Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade have reported that they arenon-Gaussian, scale in time, and have power-law(or fat) tails. However, because they use sliding interval methods of analysis, these studies implicitly assume that the underlying process has stationary increments. We explicitly show that this assumption is not valid for the Euro-Dollar exchange rate between 1999-2004. In addition, we find that fluctuations in returns of the exchange rate are uncorrelated and scale as power-laws for certain time intervals during each day. This behavior is consistent with a diffusive process with a diffusion coefficient that depends both on the time and the price change. Within scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type of scaling reported in many previous studies does not exist.Comment: 12 pages, 4 figure

Creation of the substorm current wedge through the perturbation of the directly driven current system: a new model for substorm expansion

International audienceThe past four decades have seen a considerable amount of research on the study of magnetospheric substorms, and over most of these years the expansive phase of the substorm has been associated with the development of a three dimensional current system that has been termed the substorm current wedge. This current system has been thought to be a consequence of the short-circuiting of crosstail current through the ionosphere, and is viewed as a distinctive current system operating independently from the directly driven current with which it co-exists. The purpose of this paper is to show that the substorm current wedge should be viewed as an equivalent current system rather than a real current system. It will be shown that the magnetic perturbation pattern associated with the current wedge can be modeled as purely a perturbation of the directly driven current system in the midnight sector. Keywords. Magnetospheric physics (Auroral phenomena; Current systems; Magnetotail; Storms and substorm

Magnetic traveling-stripe-forcing: enhanced transport in the advent of the Rosensweig instability

A new kind of contactless pumping mechanism is realized in a layer of ferrofluid via a spatio-temporally modulated magnetic field. The resulting pressure gradient leads to a liquid ramp, which is measured by means of X-rays. The transport mechanism works best if a resonance of the surface waves with the driving is achieved. The behavior can be understood semi-quantitatively by considering the magnetically influenced dispersion relation of the fluid.Comment: 6 Pages, 8 Figure

Numerical treatment of the hyperboloidal initial value problem for the vacuum Einstein equations. I. The conformal field equations

This is the first in a series of articles on the numerical solution of Friedrich's conformal field equations for Einstein's theory of gravity. We will discuss in this paper why one should be interested in applying the conformal method to physical problems and why there is good hope that this might even be a good idea from the numerical point of view. We describe in detail the derivation of the conformal field equations in the spinor formalism which we use for the implementation of the equations, and present all the equations as a reference for future work. Finally, we discuss the implications of the assumptions of a continuous symmetry.Comment: 19 pages, LaTeX2

3D simulations of Einstein's equations: symmetric hyperbolicity, live gauges and dynamic control of the constraints

We present three-dimensional simulations of Einstein equations implementing a symmetric hyperbolic system of equations with dynamical lapse. The numerical implementation makes use of techniques that guarantee linear numerical stability for the associated initial-boundary value problem. The code is first tested with a gauge wave solution, where rather larger amplitudes and for significantly longer times are obtained with respect to other state of the art implementations. Additionally, by minimizing a suitably defined energy for the constraints in terms of free constraint-functions in the formulation one can dynamically single out preferred values of these functions for the problem at hand. We apply the technique to fully three-dimensional simulations of a stationary black hole spacetime with excision of the singularity, considerably extending the lifetime of the simulations.Comment: 21 pages. To appear in PR

Theory for the single-point velocity statistics of fully developed turbulence

We investigate the single-point velocity probability density function (PDF) in three-dimensional fully developed homogeneous isotropic turbulence within the framework of PDF equations focussing on deviations from Gaussianity. A joint analytical and numerical analysis shows that these deviations may be quantified studying correlations of dynamical quantities like pressure gradient, external forcing and energy dissipation with the velocity. A stationary solution for the PDF equation in terms of these quantities is presented, and the theory is validated with the help of direct numerical simulations indicating sub-Gaussian tails of the PDF.Comment: 6 pages, 4 figures, corrected typo in eq. (4

Conservation agriculture in the dry Mediterranean climate

The objective of this article is to review: (a) the concepts and principles that underpin Conservation Agriculture (CA) ecologically and operationally; (b) the potential benefits that can be harnessed through CA systems in the dry Mediterranean climates; (c) current status of adoption and spread of CA in the dry Mediterranean climate countries; and (d) opportunities for CA in the Central and West Asia and North Africa (CWANA) region. CA, comprising minimum mechanical soil disturbance and no-tillage seeding, organic mulch cover, and crop diversification is now practised on some 125 million ha, corresponding to about 9% of the global arable cropped land. Globally, the area under CA is spread across all continents and all agro-ecologies, including the dryland climates in the Mediterranean basin region as well as in the Mediterranean climates elsewhere in the world. Worldwide empirical and scientific evidence is available to show that significant productivity, economic, social and environmental benefits exist that can be harnessed through the adoption of CA principles for sustainable production intensification in the dry Mediterranean climates, including those in the CWANA region. The benefits include: fundamental change for the better in the sustainability of production systems and ecosystem services; higher stable yields and incomes; climate change adaptation and reduced vulnerability to the highly erratic rainfall distribution; and reduced greenhouse gas emissions. CA has taken off globally and is now spreading in several Mediterranean climates outside the Mediterranean basin particularly in South America, South Africa and Australia. In the dry Mediterranean climates in the CWANA region, CA is perceived to be a powerful tool of land management but CA has not yet taken off. Research on CA in the CWANA region has shown that there are opportunities for CA adoption in rainfed and irrigated farming systems involving arable and perennial crops as well as livestock

"Tolerization" of human T-helper cell clones by chronic exposure to alloantigen

Induction of clonal anergy in T-helper (Th) cells may have a role in regulating immune responses. A model system for studying Th cell tolerization at the clonal level in vitro could be useful for investigating the mechanisms involved. Accordingly, alloreactive helper cells were maintained in culture with interleukin 2 (IL 2) by intermittent stimulation with specific antigen. Regardless of the frequency of antigen stimulation, clones of age less than ca. 35 population doublings (PD) were found to undergo antigen-specific autocrine clonal expansion in the absence of exogenous IL 2. Such young clones (designated as phase I) could therefore not be "tolerized" by frequent exposure to antigen. In contrast, most clones of age greater than ca. 35 PD could be tolerized by frequent exposure to antigen (designated as phase II clones). Their autocrine proliferation was then blocked, although they still recognized antigen specifically as shown by their retained ability to secrete interferon-gamma (IFN-gamma) and granulocyte-macrophage colony stimulating factor (GM-CSF). The mechanism of response failure involved both an inability to upregulate IL 2 receptors in the absence of exogenous IL 2, as well as an inability to secrete IL 2. These defects were not overcome by stimulation with mitogens or calcium ionophore and phorbol esther in place of alloantigen. T-cell receptor, alpha, beta, and gamma-chain gene rearrangements remained identical in phase I and phase II clones. Tolerization of phase II clones could be avoided by increasing the period between antigen exposures. Despite this, whether or not phase II cells were capable of autocrine proliferation, they were found to have acquired the novel function of inducing suppressive activity in fresh lymphocytes. Suppressor-induction was blocked by the broadly reactive MHC class II-specific monoclonal antibody (moAb) TU39, but not by moAb preferentially reacting only with HLA-DR, DQ, or DP. Sequential immunoprecipitation on T-cell clones showed the presence of a putative non-DR, DQ, DP, TU39+ molecule on phase II clones. However, this molecule was also found on phase I clones. The nature of the TU39-blockable suppressor-inducing determinant present on phase II but not on (most) phase I clones thus remains to be clarified. In addition to suppressor-induction activity, phase II clones also acquired lytic potential as measured in a lectin approximation system. Cytotoxic (CTX) potential was also not influenced by the frequency of antigenic stimulation and could be viewed as a constitutive modulation of clonal functio