45,277 research outputs found
Fear and its implications for stock markets
The value of stocks, indices and other assets, are examples of stochastic
processes with unpredictable dynamics. In this paper, we discuss asymmetries in
short term price movements that can not be associated with a long term positive
trend. These empirical asymmetries predict that stock index drops are more
common on a relatively short time scale than the corresponding raises. We
present several empirical examples of such asymmetries. Furthermore, a simple
model featuring occasional short periods of synchronized dropping prices for
all stocks constituting the index is introduced with the aim of explaining
these facts. The collective negative price movements are imagined triggered by
external factors in our society, as well as internal to the economy, that
create fear of the future among investors. This is parameterized by a ``fear
factor'' defining the frequency of synchronized events. It is demonstrated that
such a simple fear factor model can reproduce several empirical facts
concerning index asymmetries. It is also pointed out that in its simplest form,
the model has certain shortcomings.Comment: 5 pages, 5 figures. Submitted to the Proceedings of Applications of
Physics in Financial Analysis 5, Turin 200
Low-density series expansions for directed percolation II: The square lattice with a wall
A new algorithm for the derivation of low-density expansions has been used to
greatly extend the series for moments of the pair-connectedness on the directed
square lattice near an impenetrable wall. Analysis of the series yields very
accurate estimates for the critical point and exponents. In particular, the
estimate for the exponent characterizing the average cluster length near the
wall, , appears to exclude the conjecture . The
critical point and the exponents and have the
same values as for the bulk problem.Comment: 8 pages, 1 figur
Bursts and Shocks in a Continuum Shell Model
We study a "burst" event, i. e. the evolution of an initial condition having
support only in a finite interval of k-space, in the continuum shell model due
to Parisi. We show that the continuum equation without forcing or dissipation
can be explicitly written in characteristic form and that the right and left
moving parts can be solved exactly. When this is supplemented by the
appropriate shock condition it is possible to find the asymptotic form of the
burst.Comment: 15 pages, 2 eps figures included, Latex 2e. Contribution to the
proceedings of the conference: Disorder and Chaos, in honour of Giovanni
Paladin, September 22-24, 1997, in Rom
Elementary transitions and magnetic correlations in two-dimensional disordered nanoparticle ensembles
The magnetic relaxation processes in disordered two-dimensional ensembles of
dipole-coupled magnetic nanoparticles are theoretically investigated by
performing numerical simulations. The energy landscape of the system is
explored by determining saddle points, adjacent local minima, energy barriers,
and the associated minimum energy paths (MEPs) as functions of the structural
disorder and particle density. The changes in the magnetic order of the
nanostructure along the MEPs connecting adjacent minima are analyzed from a
local perspective. In particular, we determine the extension of the correlated
region where the directions of the particle magnetic moments vary
significantly. It is shown that with increasing degree of disorder the magnetic
correlation range decreases, i.e., the elementary relaxation processes become
more localized. The distribution of the energy barriers, and their relation to
the changes in the magnetic configurations are quantified. Finally, some
implications for the long-time magnetic relaxation dynamics of nanostructures
are discussed.Comment: 19 pages, 6 figure
One Dimensional Nonequilibrium Kinetic Ising Models with Branching Annihilating Random Walk
Nonequilibrium kinetic Ising models evolving under the competing effect of
spin flips at zero temperature and nearest neighbour spin exchanges at
are investigated numerically from the point of view of a phase
transition. Branching annihilating random walk of the ferromagnetic domain
boundaries determines the steady state of the system for a range of parameters
of the model. Critical exponents obtained by simulation are found to agree,
within error, with those in Grassberger's cellular automata.Comment: 10 pages, Latex, figures upon request, SZFKI 05/9
1/z-renormalization of the mean-field behavior of the dipole-coupled singlet-singlet system HoF_3
The two main characteristics of the holmium ions in HoF_3 are that their
local electronic properties are dominated by two singlet states lying well
below the remaining 4f-levels, and that the classical dipole-coupling is an
order of magnitude larger than any other two-ion interactions between the
Ho-moments. This combination makes the system particularly suitable for testing
refinements of the mean-field theory. There are four Ho-ions per unit cell and
the hyperfine coupled electronic and nuclear moments on the Ho-ions order in a
ferrimagnetic structure at T_C=0.53 K. The corrections to the mean-field
behavior of holmium triflouride, both in the paramagnetic and ferrimagnetic
phase, have been calculated to first order in the high-density 1/z-expansion.
The effective medium theory, which includes the effects of the single-site
fluctuations, leads to a substantially improved description of the magnetic
properties of HoF_3, in comparison with that based on the mean-field
approximation.Comment: 26pp, plain-TeX, JJ
Determining consumer expectations, attitudes and buying behaviour towards âlow inputâ and organic foods
This paper reviews the first results and achievements of the QLIF SP1 âDetermining consumer expectations and attitudes towards organic/low input food quality and safetyâ. The paper aims to illustrate the array of methodologies used and to discuss the ongoing research in light of the first results
Critical behavior of a one-dimensional monomer-dimer reaction model with lateral interactions
A monomer-dimer reaction lattice model with lateral repulsion among the same
species is studied using a mean-field analysis and Monte Carlo simulations. For
weak repulsions, the model exhibits a first-order irreversible phase transition
between two absorbing states saturated by each different species. Increasing
the repulsion, a reactive stationary state appears in addition to the saturated
states. The irreversible phase transitions from the reactive phase to any of
the saturated states are continuous and belong to the directed percolation
universality class. However, a different critical behavior is found at the
point where the directed percolation phase boundaries meet. The values of the
critical exponents calculated at the bicritical point are in good agreement
with the exponents corresponding to the parity-conserving universality class.
Since the adsorption-reaction processes does not lead to a non-trivial local
parity-conserving dynamics, this result confirms that the twofold symmetry
between absorbing states plays a relevant role in determining the universality
class. The value of the exponent , which characterizes the
fluctuations of an interface at the bicritical point, supports the
Bassler-Brown's conjecture which states that this is a new exponent in the
parity-conserving universality class.Comment: 19 pages, 22 figures, to be published in Phys. Rev
Phonon-induced quadrupolar ordering of the magnetic superconductor TmNiBC
We present synchrotron x-ray diffraction studies revealing that the lattice
of thulium borocarbide is distorted below T_Q = 13.5 K at zero field. T_Q
increases and the amplitude of the displacements is drastically enhanced, by a
factor of 10 at 60 kOe, when a magnetic field is applied along [100]. The
distortion occurs at the same wave vector as the antiferromagnetic ordering
induced by the a-axis field. A model is presented that accounts for the
properties of the quadrupolar phase and explains the peculiar behavior of the
antiferromagnetic ordering previously observed in this compound.Comment: submitted to PR
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