Stability of the replica-symmetric saddle-point in general mean-field spin-glass models

Within the replica approach to mean-field spin-glasses the transition from ergodic high-temperature behaviour to the glassy low-temperature phase is marked by the instability of the replica-symmetric saddle-point. For general spin-glass models with non-Gaussian field distributions the corresponding Hessian is a $2^n\times 2^n$ matrix with the number $n$ of replicas tending to zero eventually. We block-diagonalize this Hessian matrix using representation theory of the permutation group and identify the blocks related to the spin-glass susceptibility. Performing the limit $n\to 0$ within these blocks we derive expressions for the de~Almeida-Thouless line of general spin-glass models. Specifying these expressions to the cases of the Sherrington-Kirkpatrick, Viana-Bray, and the L\'evy spin glass respectively we obtain results in agreement with previous findings using the cavity approach

Alternation of different fluctuation regimes in the stock market dynamics

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading, separately. We show that periods characterized by the strong inter-stock couplings can be associated with the distributions of index fluctuations which reveal more pronounced tails than in the case of weaker couplings in the market. During periods of strong correlations in the German market these distributions can even reveal an apparent L\'evy-stable component.Comment: 19 page

Noise Dressing of Financial Correlation Matrices

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the present study is the remarkable agreement between the theoretical prediction (based on the assumption that the correlation matrix is random) and empirical data concerning the density of eigenvalues associated to the time series of the different stocks of the S&P500 (or other major markets). In particular the present study raises serious doubts on the blind use of empirical correlation matrices for risk management.Comment: Latex (Revtex) 3 pp + 2 postscript figures (in-text

Quantifying dynamics of the financial correlations

A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the financial time-series. The present study is based on the high-frequency Deutsche Aktienindex (DAX) data over the time-period between November 1997 and December 1999 and demonstrates a power of the method. In this way two significant new aspects of the DAX evolution are identified: (i) the memory effects turn out to be sizably shorter than what the standard autocorrelation function analysis seems to indicate and (ii) there exist short term repeatable structures in fluctuations that are governed by a distinct dynamics. The former of these results may provide an argument in favour of the market efficiency while the later one may indicate origin of the difficulty in reaching a Gaussian limit, expected from the central limit theorem, in the distribution of returns on longer time-horizons.Comment: 10 pages, 7 PostScript figures, talk presented by the first Author at the NATO ARW on Econophysics, Prague, February 8-10, 2001; to be published in proceedings (Physica A

Possible Stratification Mechanism in Granular Mixtures

We propose a mechanism to explain what occurs when a mixture of grains of different sizes and different shapes (i.e. different repose angles) is poured into a quasi-two-dimensional cell. Specifically, we develop a model that displays spontaneous stratification of the large and small grains in alternating layers. We find that the key requirement for stratification is a difference in the repose angles of the two pure species, a prediction confirmed by experimental findings. We also identify a kink mechanism that appears to describe essential aspects of the dynamics of stratification.Comment: 4 pages, 4 figures, http://polymer.bu.edu/~hmakse/Home.htm

Domain size effects in Barkhausen noise

The possible existence of self-organized criticality in Barkhausen noise is investigated theoretically through a single interface model, and experimentally from measurements in amorphous magnetostrictive ribbon Metglas 2605TCA under stress. Contrary to previous interpretations in the literature, both simulation and experiment indicate that the presence of a cutoff in the avalanche size distribution may be attributed to finite size effects.Comment: 5 pages, 3 figures, submitted so Physical Review

Analytic computation of the Instantaneous Normal Modes spectrum in low density liquids

We analytically compute the spectrum of the Hessian of the Hamiltonian for a system of N particles interacting via a purely repulsive potential in one dimension. Our approach is valid in the low density regime, where we compute the exact spectrum also in the localized sector. We finally perform a numerical analysis of the localization properties of the eigenfunctions.Comment: 4 RevTeX pages, 4 EPS figures. Revised version to appear on Phys. Rev. Let

The phase diagram of L\'evy spin glasses

We study the L\'evy spin-glass model with the replica and the cavity method. In this model each spin interacts through a finite number of strong bonds and an infinite number of weak bonds. This hybrid behaviour of L\'evy spin glasses becomes transparent in our solution: the local field contains a part propagating along a backbone of strong bonds and a Gaussian noise term due to weak bonds. Our method allows to determine the complete replica symmetric phase diagram, the replica symmetry breaking line and the entropy. The results are compared with simulations and previous calculations using a Gaussian ansatz for the distribution of fields.Comment: 20 pages, 7 figure

Size Segregation of Granular Matter in Silo Discharges

We present an experimental study of segregation of granular matter in a quasi-two dimensional silo emptying out of an orifice. Size separation is observed when multi-sized particles are used with the larger particles found in the center of the silo in the region of fastest flow. We use imaging to study the flow inside the silo and quantitatively measure the concentration profiles of bi-disperse beads as a function of position and time. The angle of the surface is given by the angle of repose of the particles, and the flow occurs in a few layers only near the top of this inclined surface. The flowing region becomes deeper near the center of the silo and is confined to a parabolic region centered at the orifice which is approximately described by the kinematic model. The experimental evidence suggests that the segregation occurs on the surface and not in the flow deep inside the silo where velocity gradients also are present. We report the time development of the concentrations of the bi-disperse particles as a function of size ratios, flow rate, and the ratio of initial mixture. The qualitative aspects of the observed phenomena may be explained by a void filling model of segregation.Comment: 6 pages, 10 figures (gif format), postscript version at http://physics.clarku.edu/~akudrolli/nls.htm

Elements for a Theory of Financial Risks

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on Gaussian statistics), and their practical implementation. Here we describe three interrelated aspects of this program: we first give a brief survey of the peculiar statistical properties of the empirical price fluctuations. We then review how an option pricing theory consistent with these statistical features can be constructed, and compared with real market prices for options. We finally argue that a true `microscopic' theory of price fluctuations (rather than a statistical model) would be most valuable for risk assessment. A simple Langevin-like equation is proposed, as a possible step in this direction.Comment: 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP Science