179 research outputs found
Power Law of Customers' Expenditures in Convenience Stores
In a convenience store chain, a tail of the cumulative density function of
the expenditure of a person during a single shopping trip follows a power law
with an exponent of -2.5. The exponent is independent of the location of the
store, the shopper's age, the day of week, and the time of day.Comment: 9 pages, 5 figures. Accepted for publication in Journal of the
Physical Society of Japan Vol.77No.
Role of Noise in a Market Model with Stochastic Volatility
We study a generalization of the Heston model, which consists of two coupled
stochastic differential equations, one for the stock price and the other one
for the volatility. We consider a cubic nonlinearity in the first equation and
a correlation between the two Wiener processes, which model the two white noise
sources. This model can be useful to describe the market dynamics characterized
by different regimes corresponding to normal and extreme days. We analyze the
effect of the noise on the statistical properties of the escape time with
reference to the noise enhanced stability (NES) phenomenon, that is the noise
induced enhancement of the lifetime of a metastable state. We observe NES
effect in our model with stochastic volatility. We investigate the role of the
correlation between the two noise sources on the NES effect.Comment: 13 pages, 6 figures, Eur. Phys. J. B, in pres
Basic kinetic wealth-exchange models: common features and open problems
We review the basic kinetic wealth-exchange models of Angle [J. Angle, Social
Forces 65 (1986) 293; J. Math. Sociol. 26 (2002) 217], Bennati [E. Bennati,
Rivista Internazionale di Scienze Economiche e Commerciali 35 (1988) 735],
Chakraborti and Chakrabarti [A. Chakraborti, B. K. Chakrabarti, Eur. Phys. J. B
17 (2000) 167], and of Dragulescu and Yakovenko [A. Dragulescu, V. M.
Yakovenko, Eur. Phys. J. B 17 (2000) 723]. Analytical fitting forms for the
equilibrium wealth distributions are proposed. The influence of heterogeneity
is investigated, the appearance of the fat tail in the wealth distribution and
the relaxation to equilibrium are discussed. A unified reformulation of the
models considered is suggested.Comment: Updated version; 9 pages, 5 figures, 2 table
Asymptotic analysis of the model for distribution of high-tax payers
The z-transform technique is used to investigate the model for distribution
of high-tax payers, which is proposed by two of the authors (K. Y and S. M) and
others. Our analysis shows an asymptotic power-law of this model with the
exponent -5/2 when a total ``mass'' has a certain critical value. Below the
critical value, the system exhibits an ordinary critical behavior, and scaling
relations hold. Above the threshold, numerical simulations show that a
power-law distribution coexists with a huge ``monopolized'' member. It is
argued that these behaviors are observed universally in conserved aggregation
processes, by analizing an extended model.Comment: 5pages, 3figure
Scaling Theory for Migration-Driven Aggregate Growth
We give a comprehensive rate equation description for the irreversible growth
of aggregates by migration from small to large aggregates. For a homogeneous
rate K(i;j) at which monomers migrate from aggregates of size i to those of
size j, that is, K(ai;aj) ~ a^{lambda} K(i,j), the mean aggregate size grows
with time as t^{1/(2-lambda)} for lambda<2. The aggregate size distribution
exhibits distinct regimes of behavior which are controlled by the scaling
properties of the migration rate from the smallest to the largest aggregates.
Our theory applies to diverse phenomena, such as the distribution of city
populations, late stage coarsening of non-symmetric binary systems, and models
for wealth exchange.Comment: 4 pages, 2-column revtex format. Revision to appear in PRL. Various
changes in response to referee comments. Figure from version 1 deleted but is
available at http://physics.bu.edu/~redne
Comparison of coherent and weakly incoherent transport models for the interlayer magnetoresistance of layered Fermi liquids
The interlayer magnetoresistance of layered metals in a tilted magnetic field
is calculated for two distinct models for the interlayer transport. The first
model involves coherent interlayer transport and makes use of results of
semi-classical or Bloch-Boltzmann transport theory. The second model involves
weakly incoherent interlayer transport where the electron is scattered many
times within a layer before tunneling into the next layer. The results are
relevant to the interpretation of experiments on angular-dependent
magnetoresistance oscillations (AMRO) in quasi-one- and quasi-two-dimensional
metals. We find that the dependence of the magnetoresistance on the direction
of the magnetic field is identical for both models except when the field is
almost parallel to the layers. An important implication of this result is that
a three-dimensional Fermi surface is not necessary for the observation of the
Yamaji and Danner oscillations seen in quasi-two- and quasi-one-dimensional
metals, respectively. A universal expression is given for the dependence of the
resistance at AMRO maxima and minima on the magnetic field and scattering time
(and thus the temperature). We point out three distinctive features of coherent
interlayer transport: (i) a beat frequency in the magnetic oscillations of
quasi-two-dimensional systems, (ii) a peak in the angular-dependent
magnetoresistance when the field is sufficiently large and parallel to the
layers, and (iii) a crossover from a linear to a quadratic field dependence for
the magnetoresistance when the field is parallel to the layers. Properties (i)
and (ii) are compared with published experimental data for a range of
quasi-two-dimensional organic metals and for Sr2RuO4.Comment: 21 pages, RevTeX + epsf, 4 figures. Published version. Subsection
added. References update
Properties of a simple bilinear stochastic model: estimation and predictability
We analyze the properties of arguably the simplest bilinear stochastic
multiplicative process, proposed as a model of financial returns and of other
complex systems combining both nonlinearity and multiplicative noise. By
construction, it has no linear predictability (zero two-point correlation) but
a certain nonlinear predictability (non-zero three-point correlation). It can
thus be considered as a paradigm for testing the existence of a possible
nonlinear predictbility in a given time series. We present a rather exhaustive
study of the process, including its ability to produce fat-tailed distribution
from Gaussian innovations, the unstable characteristics of the inversion of the
key nonlinear parameters and of the two initial conditions necessary for the
implementation of a prediction scheme and an analysis of the associated
super-exponential sensitivity of the inversion of the innovations in the
presence of a large impluse. Our study emphasizes the conditions under which a
degree of predictability can be achieved and describes a number of different
attempts, which overall illuminates the properties of the process. In
conclusion, notwithstanding its remarkable simplicity, the bilinear stochastic
process exhibits remarkably rich and complex behavior, which makes it a serious
candidate for the modeling of financial times series and of other complex
systems.Comment: 35 pages, 5 figures, 8 table
Evaluation of flight efficiency for Stockholm Arlanda Airport arrivals
Analysis of punctuality of airport arrivals, as well as identification of causes of the delays within transition airspace, is an important step in evaluating performance of the Terminal Maneuvering Area (TMA) Air Navigation Services: without knowing the current performance levels, it is difficult to identify which areas could be improved. Deviations from the flight plans is one of the major reasons for arrival delays. In this work, we quantified the impact of the deviations from the flight plans on the fuel burn. One of the main reasons of fuel waste is non- optimal vertical profiles during the descent phase. We calculated how much extra fuel is wasted due to vertical flight inefficiency within Stockholm TMA.Peer ReviewedPostprint (published version
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