A simple model of price formation

A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes the spread of opinions among traders. It is shown via standard Monte Carlo simulations that very simple rules lead to dynamics that duplicate those of asset prices.Comment: Version 2: 4 pages, 4 figures; added more stringent statistical analysis; to appear in Int. J. Modern Physics C, Vol. 13, No. 1 (2002

Strong practical stability based robust stabilization of uncertain discrete linear repetitive processes

Repetitive processes are a distinct class of 2D systems of both theoretical and practical interest whose dynamics evolve over a subset of the positive quadrant in the 2D plane. The stability theory for these processes originally consisted of two distinct concepts termed asymptotic stability and stability along the pass respectively where the former is a necessary condition for the latter. Stability along the pass demands a bounded-input bounded-output property over the complete positive quadrant of the 2D plane and this is a very strong requirement, especially in terms of control law design. A more feasible alternative for some cases is strong practical stability, where previous work has formulated this property and obtained necessary and sufficient conditions for its existence together with Linear Matrix Inequality (LMI) based tests, which then extend to allow control law design. This paper develops considerably simpler, and hence computationally more efficient, stability tests that extend to allow control law design in the presence of uncertainty in process model

High order vibration modes of glass embedded AgAu nanoparticles

High resolution low frequency Raman scattering measurements from embedded AgAu nanoparticles unveil efficient scattering by harmonics of both the quadrupolar and the spherical modes. Comparing the experimental data with theoretical calculations that account for both the embedding medium and the resonant Raman process enables a very complete description of the observed multiple components in terms of harmonics of both the quadrupolar and spherical modes, with a dominating Raman response from the former ones. It is found that only selected harmonics of the quadrupolar mode contribute significantly to the Raman spectra in agreement with earlier theoretical predictions.Comment: 11 pages, 4 figure

Record statistics for biased random walks, with an application to financial data

We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Ziff and is well understood. Unlike the case of symmetric jump distributions, in the asymmetric case the statistics of records depends on the choice of the jump distribution. We compute the record rate $P_n(c)$, defined as the probability for the $n$th value to be larger than all previous values, for a Gaussian jump distribution with standard deviation $\sigma$ that is shifted by a constant drift $c$. For small drift, in the sense of $c/\sigma \ll n^{-1/2}$, the correction to $P_n(c)$ grows proportional to arctan$(\sqrt{n})$ and saturates at the value $\frac{c}{\sqrt{2} \sigma}$. For large $n$ the record rate approaches a constant, which is approximately given by $1-(\sigma/\sqrt{2\pi}c)\textrm{exp}(-c^2/2\sigma^2)$ for $c/\sigma \gg 1$. These asymptotic results carry over to other continuous jump distributions with finite variance. As an application, we compare our analytical results to the record statistics of 366 daily stock prices from the Standard & Poors 500 index. The biased random walk accounts quantitatively for the increase in the number of upper records due to the overall trend in the stock prices, and after detrending the number of upper records is in good agreement with the symmetric random walk. However the number of lower records in the detrended data is significantly reduced by a mechanism that remains to be identified.Comment: 16 pages, 7 figure