Dynamic rewiring in small world networks

We investigate equilibrium properties of small world networks, in which both connectivity and spin variables are dynamic, using replicated transfer matrices within the replica symmetric approximation. Population dynamics techniques allow us to examine order parameters of our system at total equilibrium, probing both spin- and graph-statistics. Of these, interestingly, the degree distribution is found to acquire a Poisson-like form (both within and outside the ordered phase). Comparison with Glauber simulations confirms our results satisfactorily.Comment: 21 pages, 5 figure

Dynamical replica analysis of disordered Ising spin systems on finitely connected random graphs

We study the dynamics of macroscopic observables such as the magnetization and the energy per degree of freedom in Ising spin models on random graphs of finite connectivity, with random bonds and/or heterogeneous degree distributions. To do so we generalize existing implementations of dynamical replica theory and cavity field techniques to systems with strongly disordered and locally tree-like interactions. We illustrate our results via application to the dynamics of e.g. $\pm J$ spin-glasses on random graphs and of the overlap in finite connectivity Sourlas codes. All results are tested against Monte Carlo simulations.Comment: 4 pages, 14 .eps file

Trading interactions for topology in scale-free networks

Scale-free networks with topology-dependent interactions are studied. It is shown that the universality classes of critical behavior, which conventionally depend only on topology, can also be explored by tuning the interactions. A mapping, $\gamma' = (\gamma - \mu)/(1-\mu)$, describes how a shift of the standard exponent $\gamma$ of the degree distribution $P(q)$ can absorb the effect of degree-dependent pair interactions $J_{ij} \propto (q_iq_j)^{-\mu}$. Replica technique, cavity method and Monte Carlo simulation support the physical picture suggested by Landau theory for the critical exponents and by the Bethe-Peierls approximation for the critical temperature. The equivalence of topology and interaction holds for equilibrium and non-equilibrium systems, and is illustrated with interdisciplinary applications.Comment: 4 pages, 5 figure

Cavity approach for real variables on diluted graphs and application to synchronization in small-world lattices

We study XY spin systems on small world lattices for a variety of graph structures, e.g. Poisson and scale-free, superimposed upon a one dimensional chain. In order to solve this model we extend the cavity method in the one pure-state approximation to deal with real-valued dynamical variables. We find that small-world architectures significantly enlarge the region in parameter space where synchronization occurs. We contrast the results of population dynamics performed on a truncated set of cavity fields with Monte Carlo simulations and find excellent agreement. Further, we investigate the appearance of replica symmetry breaking in the spin-glass phase by numerically analyzing the proliferation of pure states in the message passing equations.Comment: 10 pages, 3 figure

Replica symmetry breaking in the `small world' spin glass

We apply the cavity method to a spin glass model on a `small world' lattice, a random bond graph super-imposed upon a 1-dimensional ferromagnetic ring. We show the correspondence with a replicated transfer matrix approach, up to the level of one step replica symmetry breaking (1RSB). Using the scheme developed by M\'ezard & Parisi for the Bethe lattice, we evaluate observables for a model with fixed connectivity and $\pm J$ long range bonds. Our results agree with numerical simulations significantly better than the replica symmetric (RS) theory.Comment: 21 pages, 3 figure

Dynamical replica theoretic analysis of CDMA detection dynamics

We investigate the detection dynamics of the Gibbs sampler for code-division multiple access (CDMA) multiuser detection. Our approach is based upon dynamical replica theory which allows an analytic approximation to the dynamics. We use this tool to investigate the basins of attraction when phase coexistence occurs and examine its efficacy via comparison with Monte Carlo simulations.Comment: 18 pages, 2 figure

Derivatives and Credit Contagion in Interconnected Networks

The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives.Comment: 26 pages, 7 multi-part figure

Failure Modes and Diagnostic Signatures Working Group - Ignition Diagnostics Requirements Update

We have performed an initial assessment of the sensitivity of various expected ignition diagnostic signatures to ignition failure modes using one and two-dimensional hydrodynamics simulations and post-processed simulated diagnostic output. As a result of this assessment, we recommend several changes to the current requirements for the ignition diagnostic suite. These recommendations are summarized in Table 1

Survey propagation for the cascading Sourlas code

We investigate how insights from statistical physics, namely survey propagation, can improve decoding of a particular class of sparse error correcting codes. We show that a recently proposed algorithm, time averaged belief propagation, is in fact intimately linked to a specific survey propagation for which Parisi's replica symmetry breaking parameter is set to zero, and that the latter is always superior to belief propagation in the high connectivity limit. We briefly look at further improvements available by going to the second level of replica symmetry breaking.Comment: 14 pages, 5 figure