471 research outputs found
Dissecting financial markets: Sectors and states
By analyzing a large data set of daily returns with data clustering
technique, we identify economic sectors as clusters of assets with a similar
economic dynamics. The sector size distribution follows Zipf's law. Secondly,
we find that patterns of daily market-wide economic activity cluster into
classes that can be identified with market states. The distribution of
frequencies of market states shows scale-free properties and the memory of the
market state process extends to long times ( days). Assets in the same
sector behave similarly across states. We characterize market efficiency by
analyzing market's predictability and find that indeed the market is close to
being efficient. We find evidence of the existence of a dynamic pattern after
market's crashes.Comment: 6 pages 4 figures. Additional information available at
http://www.sissa.it/dataclustering/fin
Hydrological post-processing based on approximate Bayesian computation (ABC)
[EN] This study introduces a method to quantify the conditional predictive uncertainty in hydrological post-processing contexts when it is cumbersome to calculate the likelihood (intractable likelihood). Sometimes, it can be difficult to calculate the likelihood itself in hydrological modelling, specially working with complex models or with ungauged catchments. Therefore, we propose the ABC post-processor that exchanges the requirement of calculating the likelihood function by the use of some sufficient summary statistics and synthetic datasets. The aim is to show that the conditional predictive distribution is qualitatively similar produced by the exact predictive (MCMC post-processor) or the approximate predictive (ABC post-processor). We also use MCMC post-processor as a benchmark to make results more comparable with the proposed method. We test the ABC post-processor in two scenarios: (1) the Aipe catchment with tropical climate and a spatially-lumped hydrological model (Colombia) and (2) the Oria catchment with oceanic climate and a spatially-distributed hydrological model (Spain). The main finding of the study is that the approximate (ABC post-processor) conditional predictive uncertainty is almost equivalent to the exact predictive (MCMC post-processor) in both scenarios.This study was partially supported by the Departamento del Huila Scholarship Program No. 677 (Colombia) and Colciencias, by the Spanish Research Project TETIS-MED (ref. CGL2014-58127-C3-3-R) and TETIS-CHANGE (ref.RTI2018-093717-B-I00). Also, G. Adelfio's research has been supported by the national grant of the Italian Ministry of Education University and Research (MIUR) for the PRIN-2015 program, "Complex space-time modelling and functional analysis for probabilistic forecast of seismic events'. The authors also wish to thank the editor and the two anonymous reviewers for their thoughtful comments for the revision of the manuscript.Romero-Cuellar, J.; Abbruzzo, A.; Adelfio, G.; Francés, F. (2019). Hydrological post-processing based on approximate Bayesian computation (ABC). Stochastic Environmental Research and Risk Assessment. 33(7):1361-1373. https://doi.org/10.1007/s00477-019-01694-yS13611373337Beaumont MA, Zhang W, Balding DJ (2002) Approximate Bayesian computation in population genetics. Genetics 162(4):2025–2035Blackwell D, Dubins L (1962) Merging of opinions with increasing information. Ann Math Stat 33(3):882–886Bogner K, Liechti K, Zappa M (2016) Post-processing of stream flows in Switzerland with an emphasis on low flows and floods. Water 8(4):115Brown JD, Seo D-J (2010) A nonparametric postprocessor for bias correction of hydrometeorological and hydrologic ensemble forecasts. 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A momentum conserving model with anomalous thermal conductivity in low dimension
Anomalous large thermal conductivity has been observed numerically and
experimentally in one and two dimensional systems. All explicitly solvable
microscopic models proposed to date did not explain this phenomenon and there
is an open debate about the role of conservation of momentum. We introduce a
model whose thermal conductivity diverges in dimension 1 and 2 if momentum is
conserved, while it remains finite in dimension . We consider a system
of harmonic oscillators perturbed by a non-linear stochastic dynamics
conserving momentum and energy. We compute explicitly the time correlation
function of the energy current , and we find that it behaves, for
large time, like in the unpinned cases, and like when
an on site harmonic potential is present. Consequently thermal conductivity is
finite if or if an on-site potential is present, while it is infinite
in the other cases. This result clarifies the role of conservation of momentum
in the anomalous thermal conductivity in low dimensions
Fire behaviour of non-load bearing double stud cold-formed steel frame walls
This work investigates the behaviour of Double stud Light Steel Frame (LSF) walls under ISO834 standard fire through a series of experimental tests. The walls were covered on both sides with one or two fire-resistant gypsum plasterboards (Type F), and the cavity of the steel frame was either empty, partially or fully insulated with ceramic fibre. The fire resistance of the assemblies is improved due to the existence of a wider cavity, the employment of additional gypsum plasterboard layers and the use of ceramic fibre cavity insulation. In partially insulated assemblies, significantly higher fire resistance is achieved when the ceramic fibre is placed towards the fire-exposed gypsum plasterboard. Moreover, the number of studs in contact with the unexposed gypsum plasterboard affects the fire resistance of the specimens. The experimental data acquired is useful to conduct further numerical analyses and experimental studies, as well as to understand the unique thermal behaviour of different configurations of double stud LSF walls at elevated temperatures.info:eu-repo/semantics/publishedVersio
Feature detection in point processes on linear networks using nearest neighbour volumes
We consider the feature detection problem in the presence of clutter in point
processes on linear networks. We extend the classification method developed in
previous studies to this more complex geometric context, where the classical
properties of a point process change and data visualization are not intuitive.
We use the K-th nearest neighbour volumes distribution in linear networks for
this approach. As a result, our method is suitable for analysing point patterns
consisting of features and clutter as two superimposed Poisson processes on the
same linear network. To illustrate the method, we present simulations and
examples of road traffic accidents that resulted in injuries or deaths in two
cities in Colombia
Evolution of Li, Be and B in the Galaxy
In this paper we study the production of Li, Be and B nuclei by Galactic
cosmic ray spallation processes. We include three kinds of processes: (i)
spallation by light cosmic rays impinging on interstellar CNO nuclei (direct
processes); (ii) spallation by CNO cosmic ray nuclei impinging on interstellar
p and 4He (inverse processes); and (iii) alpha-alpha fusion reactions. The
latter dominate the production of 6Li and 7Li. We calculate production rates
for a closed-box Galactic model, verifying the quadratic dependence of the Be
and B abundances for low values of Z. These are quite general results and are
known to disagree with observations. We then show that the multi-zone
multi-population model we used previously for other aspects of Galactic
evolution produces quite good agreement with the linear trend observed at low
metallicities without fine tuning. We argue that reported discrepancies between
theory and observations do not represent a nucleosynthetic problem, but instead
are the consequences of inaccurate treatments of Galactic evolution.Comment: 26 pages, 5 figures, LaTeX. The Astrophysical Journal, in pres
Finding the Needles in the Haystacks: High-Fidelity Models of the Modern and Archean Solar System for Simulating Exoplanet Observations
We present two state-of-the-art models of the solar system, one corresponding
to the present day and one to the Archean Eon 3.5 billion years ago. Each model
contains spatial and spectral information for the star, the planets, and the
interplanetary dust, extending to 50 AU from the sun and covering the
wavelength range 0.3 to 2.5 micron. In addition, we created a spectral image
cube representative of the astronomical backgrounds that will be seen behind
deep observations of extrasolar planetary systems, including galaxies and Milky
Way stars. These models are intended as inputs to high-fidelity simulations of
direct observations of exoplanetary systems using telescopes equipped with
high-contrast capability. They will help improve the realism of observation and
instrument parameters that are required inputs to statistical observatory yield
calculations, as well as guide development of post-processing algorithms for
telescopes capable of directly imaging Earth-like planets.Comment: Accepted for publication in PAS
Generic two-phase coexistence in nonequilibrium systems
Gibbs' phase rule states that two-phase coexistence of a single-component
system, characterized by an n-dimensional parameter-space, may occur in an
n-1-dimensional region. For example, the two equilibrium phases of the Ising
model coexist on a line in the temperature-magnetic-field phase diagram.
Nonequilibrium systems may violate this rule and several models, where phase
coexistence occurs over a finite (n-dimensional) region of the parameter space,
have been reported. The first example of this behaviour was found in Toom's
model [Toom,Geoff,GG], that exhibits generic bistability, i.e. two-phase
coexistence over a finite region of its two-dimensional parameter space (see
Section 1). In addition to its interest as a genuine nonequilibrium property,
generic multistability, defined as a generalization of bistability, is both of
practical and theoretical relevance. In particular, it has been used recently
to argue that some complex structures appearing in nature could be truly stable
rather than metastable (with important applications in theoretical biology),
and as the theoretical basis for an error-correction method in computer science
(see [GG,Gacs] for an illuminating and pedagogical discussion of these ideas).Comment: 7 pages, 6 figures, to appear in Eur. Phys. J. B, svjour.cls and
svepj.clo neede
Nonequilibrium wetting transitions with short range forces
We analyze within mean-field theory as well as numerically a KPZ equation
that describes nonequilibrium wetting. Both complete and critical wettitng
transitions were found and characterized in detail. For one-dimensional
substrates the critical wetting temperature is depressed by fluctuations. In
addition, we have investigated a region in the space of parameters (temperature
and chemical potential) where the wet and nonwet phases coexist. Finite-size
scaling analysis of the interfacial detaching times indicates that the finite
coexistence region survives in the thermodynamic limit. Within this region we
have observed (stable or very long-lived) structures related to spatio-temporal
intermittency in other systems. In the interfacial representation these
structures exhibit perfect triangular (pyramidal) patterns in one (two
dimensions), that are characterized by their slope and size distribution.Comment: 11 pages, 5 figures. To appear in Physical Review
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