Mathematical formulations for scheduling jobs on identical parallel machines with family setup times and total weighted completion time minimization

This paper addresses the parallel machine scheduling problem with family dependent setup times and total weighted completion time minimization. In this problem, when two jobs j and k are scheduled consecutively on the same machine, a setup time is performed between the finishing time of j and the starting time of k if and only if j and k belong to different families. The problem is strongly NP-hard and is commonly addressed in the literature by heuristic approaches and by branch-and-bound algorithms. Achieving proven optimal solution is a challenging task even for small size instances. Our contribution is to introduce five novel mixed integer linear programs based on concepts derived from one-commodity, arc-flow and set covering formulations. Numerical experiments on more than 13000 benchmark instances show that one of the arc-flow models and the set covering model are quite efficient, as they provide on average better solutions than state-of-the-art approaches, with shorter computation times, and solve to proven optimality a large number of open instances from the literature

A quantitative model of trading and price formation in financial markets

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.Comment: 5 pages, 4 figure

Thermodynamical features of multifragmentation in peripheral Au + Au Collisions at 35 A.MeV

The distribution of fragments produced in events involving the multifragmentation of excited sources is studied for peripheral Au + Au reactions at 35 A.MeV. The Quasi-Projectile has been reconstructed from its de-excitation products. An isotropic emission in its rest frame has been observed, indicating that an equilibrated system has been formed. The excitation energy of the Quasi-Projectile has been determined via calorimetry. A new event by event effective thermometer is proposed based on the energy balance. A peak in the energy fluctuations is observed related to the heat capacity, suggesting that the system undergoes a liquid-gas type phase transition at an excitation energy about 5 A.MeV and a temperature 4 - 6 MeV, dependent on the freeze-out hypothesis. By analyzing different regions of the Campi-plot, the events associated with the liquid and gas phases as well as the critical region are thermodynamically characterized. The critical exponents, tau, beta,gamma, extracted from the high moments of the charge distribution are consistent with a liquid-gas type phase transition.Comment: 44 pages, 16 Postscript figures, Fig14_nucl-ex.eps in colors, to be published in Nucl.Phys.A (1999

Delineation of the Native Basin in Continuum Models of Proteins

We propose two approaches for determining the native basins in off-lattice models of proteins. The first of them is based on exploring the saddle points on selected trajectories emerging from the native state. In the second approach, the basin size can be determined by monitoring random distortions in the shape of the protein around the native state. Both techniques yield the similar results. As a byproduct, a simple method to determine the folding temperature is obtained.Comment: REVTeX, 6 pages, 5 EPS figure

Correlation Structures of Correlated Binomial Models and Implied Default Distribution

We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches and some popular probabilistic models, including the Gaussian copula model, Beta binomial distribution model and long-range Ising model. We interpret the differences in their profiles in terms of the correlation structures. The implied default distribution has singular correlation structures, reflecting the credit market implications. We point out two possible origins of the singular behavior.Comment: 16 pages, 7 figure

Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents

This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] found that the distribution of absolute log-returns can be approximated by the power-law distribution in the inflationary period, while the distribution of absolute log-returns is well described by the exponential distribution in the deflationary period.\par To further explore these empirical findings, we have introduced a model of stock markets which was proposed in [19,20]. In this model, the stock market is composed of two groups of traders: {\it the fundamentalists}, who believe that the asset price will return to the fundamental price, and {\it the interacting traders}, who can be noise traders. We show through numerical simulation of the model that when the number of interacting traders is greater than the number of fundamentalists, the power-law distribution of absolute log-returns is generated by the interacting traders' herd behavior, and, inversely, when the number of fundamentalists is greater than the number of interacting traders, the exponential distribution of absolute log-returns is generated.Comment: 12 pages, 5 figure

Strong enhancement of extremely energetic proton production in central heavy ion collisions at intermediate energy

The energetic proton emission has been investigated as a function of the reaction centrality for the system 58Ni + 58Ni at 30A MeV. Extremely energetic protons (EpNN > 130 MeV) were measured and their multiplicity is found to increase almost quadratically with the number of participant nucleons thus indicating the onset of a mechanism beyond one and two-body dynamics.Comment: 5 pages, 2 figures, submitted to Physical Review Letter

The dynamics of financial stability in complex networks

We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking regulation, the so called Merton-Vasicek model. Economic agents are attracted to each other to exchange `economic energy', forming a network of trades. When the capital level of one economic agent drops below a minimum, the economic agent becomes insolvent. The insolvency of one single economic agent affects the economic energy of all its neighbours which thus become susceptible to insolvency, being able to trigger a chain of insolvencies (avalanche). We show that the distribution of avalanche sizes follows a power-law whose exponent depends on the minimum capital level. Furthermore, we present evidence that under an increase in the minimum capital level, large crashes will be avoided only if one assumes that agents will accept a drop in business levels, while keeping their trading attitudes and policies unchanged. The alternative assumption, that agents will try to restore their business levels, may lead to the unexpected consequence that large crises occur with higher probability

Contemporary presence of dynamical and statistical production of intermediate mass fragments in midperipheral 58^{58}Ni+58^{58}Ni collisions at 30 MeV/nucleon

The $^{58}Ni+^{58}Ni$ reaction at 30 MeV/nucleon has been experimentally investigated at the Superconducting Cyclotron of the INFN Laboratori Nazionali del Sud. In midperipheral collisions the production of massive fragments (4$\le$Z$\le$12), consistent with the statistical fragmentation of the projectile-like residue and the dynamical formation of a neck, joining projectile-like and target-like residues, has been observed. The fragments coming from these different processes differ both in charge distribution and isotopic composition. In particular it is shown that these mechanisms leading to fragment production act contemporarily inside the same event.Comment: 9 pages, minor correction