9,321 research outputs found
Crystallization of random trigonometric polynomials
We give a precise measure of the rate at which repeated differentiation of a
random trigonometric polynomial causes the roots of the function to approach
equal spacing. This can be viewed as a toy model of crystallization in one
dimension. In particular we determine the asymptotics of the distribution of
the roots around the crystalline configuration and find that the distribution
is not Gaussian.Comment: 10 pages, 3 figure
Complementarity and diversity in a soluble model ecosystem
Complementarity among species with different traits is one of the basic
processes affecting biodiversity, defined as the number of species in the
ecosystem. We present here a soluble model ecosystem in which the species are
characterized by binary traits and their pairwise interactions follow a
complementarity principle. Manipulation of the species composition, and so the
study of its effects on the species diversity is achieved through the
introduction of a bias parameter favoring one of the traits. Using statistical
mechanics tools we find explicit expressions for the allowed values of the
equilibrium species concentrations in terms of the control parameters of the
model
Autocorrelation of Random Matrix Polynomials
We calculate the autocorrelation functions (or shifted moments) of the
characteristic polynomials of matrices drawn uniformly with respect to Haar
measure from the groups U(N), O(2N) and USp(2N). In each case the result can be
expressed in three equivalent forms: as a determinant sum (and hence in terms
of symmetric polynomials), as a combinatorial sum, and as a multiple contour
integral. These formulae are analogous to those previously obtained for the
Gaussian ensembles of Random Matrix Theory, but in this case are identities for
any size of matrix, rather than large-matrix asymptotic approximations. They
also mirror exactly autocorrelation formulae conjectured to hold for
L-functions in a companion paper. This then provides further evidence in
support of the connection between Random Matrix Theory and the theory of
L-functions
Reviews
Review of The Industrial Relations Amending Legislation of 1976, Industrial Conflict: A Study of Three New Zealand Industries, A Seventh Man, Economists at Bay - Why the Experts Will Never Solve Your Problem
Anomalous price impact and the critical nature of liquidity in financial markets
We propose a dynamical theory of market liquidity that predicts that the
average supply/demand profile is V-shaped and {\it vanishes} around the current
price. This result is generic, and only relies on mild assumptions about the
order flow and on the fact that prices are (to a first approximation)
diffusive. This naturally accounts for two striking stylized facts: first,
large metaorders have to be fragmented in order to be digested by the liquidity
funnel, leading to long-memory in the sign of the order flow. Second, the
anomalously small local liquidity induces a breakdown of linear response and a
diverging impact of small orders, explaining the "square-root" impact law, for
which we provide additional empirical support. Finally, we test our arguments
quantitatively using a numerical model of order flow based on the same minimal
ingredients.Comment: 16 pages, 7 figure
System impacts of solar dynamic and growth power systems on space station
Concepts for the 1990's space station envision an initial operational capability with electrical power output requirements of approximately 75 kW and growth power requirements in the range of 300 kW over a period of a few years. Photovoltaic and solar dynamic power generation techniques are contenders for supplying this power to the space station. A study was performed to identify growth power subsystem impacts on other space station subsystems. Subsystem interactions that might suggest early design changes for the space station were emphasized. Quantitative analyses of the effects of power subsystem mass and projected area on space station controllability and reboost requirements were conducted for a range of growth station configurations. Impacts on space station structural dynamics as a function of power subsystem growth were also considered
Long-range memory model of trading activity and volatility
Earlier we proposed the stochastic point process model, which reproduces a
variety of self-affine time series exhibiting power spectral density S(f)
scaling as power of the frequency f and derived a stochastic differential
equation with the same long range memory properties. Here we present a
stochastic differential equation as a dynamical model of the observed memory in
the financial time series. The continuous stochastic process reproduces the
statistical properties of the trading activity and serves as a background model
for the modeling waiting time, return and volatility. Empirically observed
statistical properties: exponents of the power-law probability distributions
and power spectral density of the long-range memory financial variables are
reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure
Statistical theory of the continuous double auction
Most modern financial markets use a continuous double auction mechanism to
store and match orders and facilitate trading. In this paper we develop a
microscopic dynamical statistical model for the continuous double auction under
the assumption of IID random order flow, and analyze it using simulation,
dimensional analysis, and theoretical tools based on mean field approximations.
The model makes testable predictions for basic properties of markets, such as
price volatility, the depth of stored supply and demand vs. price, the bid-ask
spread, the price impact function, and the time and probability of filling
orders. These predictions are based on properties of order flow and the limit
order book, such as share volume of market and limit orders, cancellations,
typical order size, and tick size. Because these quantities can all be measured
directly there are no free parameters. We show that the order size, which can
be cast as a nondimensional granularity parameter, is in most cases a more
significant determinant of market behavior than tick size. We also provide an
explanation for the observed highly concave nature of the price impact
function. On a broader level, this work suggests how stochastic models based on
zero-intelligence agents may be useful to probe the structure of market
institutions. Like the model of perfect rationality, a stochastic-zero
intelligence model can be used to make strong predictions based on a compact
set of assumptions, even if these assumptions are not fully believable.Comment: 36 pages, 40 figures, RevTex4, submitted to Quantitative Financ
Exopaleontology and the search for a fossil record on Mars
Although present Martian surface conditions appear unfavorable for life as we know it, there is compelling geological evidence that the climate of early Mars was much more Earth-like, with a denser atmosphere and abundant surface water. The fact that life developed on the Earth within the first billion years of its history makes it quite plausible that life may have also developed on Mars. If life did develop on Mars, it is likely to have left behind a fossil record. This has led to the development of a new subdiscipline of paleontology, herein termed 'exopaleontology', which deals with the exploration for fossils on other planets. The most important factor enhancing microbial fossilization is the rapid entombment of microorganisms by fine-grained, stable mineral phases, such as silica, phosphate, or carbonate. The oldest body fossils on Earth are preserved in this way, occurring as permineralized cells in fine-grained siliceous sediments (cherts) associated with ancient volcanic terranes in Australia and South Africa. Modern terrestrial environments where minerals may precipitate in the presence of microorganisms include subaerial thermal springs and shallow hydrothermal systems, sub-lacustrine springs and evaporitic alkaline lakes, zones of mineralization within soils where 'hardpans' (e.g. calcretes, silcretes) form, and high latitude frozen soils or ground ice
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