11,906 research outputs found
Financial ``Anti-Bubbles'': Log-Periodicity in Gold and Nikkei collapses
We propose that imitation between traders and their herding behaviour not
only lead to speculative bubbles with accelerating over-valuations of financial
markets possibly followed by crashes, but also to ``anti-bubbles'' with
decelerating market devaluations following all-time highs. For this, we propose
a simple market dynamics model in which the demand decreases slowly with
barriers that progressively quench in, leading to a power law decay of the
market price decorated by decelerating log-periodic oscillations. We document
this behaviour on the Japanese Nikkei stock index from 1990 to present and on
the Gold future prices after 1980, both after their all-time highs. We perform
simultaneously a parametric and non-parametric analysis that are fully
consistent with each other. We extend the parametric approach to the next order
of perturbation, comparing the log-periodic fits with one, two and three
log-frequencies, the latter one providing a prediction for the general trend in
the coming years. The non-parametric power spectrum analysis shows the
existence of log-periodicity with high statistical significance, with a
prefered scale ratio of for the Nikkei index for the Gold future prices, comparable to the values obtained for
speculative bubbles leading to crashes.Comment: 14 pages with 4 figure
Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes
We apply two non-parametric methods to test further the hypothesis that
log-periodicity characterizes the detrended price trajectory of large financial
indices prior to financial crashes or strong corrections. The analysis using
the so-called (H,q)-derivative is applied to seven time series ending with the
October 1987 crash, the October 1997 correction and the April 2000 crash of the
Dow Jones Industrial Average (DJIA), the Standard & Poor 500 and Nasdaq
indices. The Hilbert transform is applied to two detrended price time series in
terms of the ln(t_c-t) variable, where t_c is the time of the crash. Taking all
results together, we find strong evidence for a universal fundamental
log-frequency corresponding to the scaling ratio . These values are in very good agreement with those obtained in
past works with different parametric techniques.Comment: Latex document 13 pages + 58 eps figure
Significance of log-periodic precursors to financial crashes
We clarify the status of log-periodicity associated with speculative bubbles
preceding financial crashes. In particular, we address Feigenbaum's [2001]
criticism and show how it can be rebuked. Feigenbaum's main result is as
follows: ``the hypothesis that the log-periodic component is present in the
data cannot be rejected at the 95% confidence level when using all the data
prior to the 1987 crash; however, it can be rejected by removing the last year
of data.'' (e.g., by removing 15% of the data closest to the critical point).
We stress that it is naive to analyze a critical point phenomenon, i.e., a
power law divergence, reliably by removing the most important part of the data
closest to the critical point. We also present the history of log-periodicity
in the present context explaining its essential features and why it may be
important. We offer an extension of the rational expectation bubble model for
general and arbitrary risk-aversion within the general stochastic discount
factor theory. We suggest guidelines for using log-periodicity and explain how
to develop and interpret statistical tests of log-periodicity. We discuss the
issue of prediction based on our results and the evidence of outliers in the
distribution of drawdowns. New statistical tests demonstrate that the 1% to 10%
quantile of the largest events of the population of drawdowns of the Nasdaq
composite index and of the Dow Jones Industrial Average index belong to a
distribution significantly different from the rest of the population. This
suggests that very large drawdowns result from an amplification mechanism that
may make them more predictable than smaller market moves.Comment: Latex document of 38 pages including 16 eps figures and 3 tables, in
press in Quantitative Financ
Stock market crashes are outliers
We call attention against what seems to a widely held misconception according
to which large crashes are the largest events of distributions of price
variations with fat tails. We demonstrate on the Dow Jones Industrial index
that with high probability the three largest crashes in this century are
outliers. This result supports suggestion that large crashes result from
specific amplification processes that might lead to observable pre-cursory
signatures.Comment: 8 pages, 3 figures (accepted in European Physical Journal B
A Critical Behaviour of Anomalous Currents, Electric-Magnetic Universality and CFT_4
We discuss several aspects of superconformal field theories in four
dimensions (CFT_4), in the context of electric-magnetic duality. We analyse the
behaviour of anomalous currents under RG flow to a conformal fixed point in
N=1, D=4 supersymmetric gauge theories. We prove that the anomalous dimension
of the Konishi current is related to the slope of the beta function at the
critical point. We extend the duality map to the (nonchiral) Konishi current.
As a byproduct we compute the slope of the beta function in the strong coupling
regime. We note that the OPE of with itself does not close, but
mixes with a special additional operator which in general is the
Konishi current. We discuss the implications of this fact in generic
interacting conformal theories. In particular, a SCFT_4 seems to be naturally
equipped with a privileged off-critical deformation and this allows us
to argue that electric-magnetic duality can be extended to a neighborhood of
the critical point. We also stress that in SCFT_4 there are two central
charges, c and c', associated with the stress tensor and ,
respectively; c and c' allow us to count both the vector multiplet and the
matter multiplet effective degrees of freedom of the theory.Comment: harvmac tex, 28 pages, 3 figures. Version to be published in Nucl.
Phys.
Articulated multiple couch assembly Patent
Shock absorbing articulated multiple couch assembl
Magnetostrictive behaviour of thin superconducting disks
Flux-pinning-induced stress and strain distributions in a thin disk
superconductor in a perpendicular magnetic field is analyzed. We calculate the
body forces, solve the magneto-elastic problem and derive formulas for all
stress and strain components, including the magnetostriction . The
flux and current density profiles in the disk are assumed to follow the Bean
model. During a cycle of the applied field the maximum tensile stress is found
to occur approximately midway between the maximum field and the remanent state.
An effective relationship between this overall maximum stress and the peak
field is found.Comment: 8 pages, 6 figures, submitted to Supercond. Sci. Technol., Proceed.
of MEM03 in Kyot
Three-body properties of low-lying Be resonances
We compute the three-body structure of the lowest resonances of Be
considered as two neutrons around an inert Be core. This is an extension
of the bound state calculations of Be into the continuum spectrum. We
investigate the lowest resonances of angular momenta and parities, ,
and . Surprisingly enough, they all are naturally occurring in
the three-body model. We calculate bulk structure dominated by small distance
properties as well as decays determined by the asymptotic large-distance
structure. Both and have two-body Be-neutron d-wave
structure, while has an even mixture of and d-waves. The
corresponding relative neutron-neutron partial waves are distributed among ,
, and d-waves. The branching ratios show different mixtures of one-neutron
emission, three-body direct, and sequential decays. We argue for spin and
parities, , and , to the resonances at 0.89, 2.03, 5.13,
respectively. The computed structures are in agreement with existing reaction
measurements.Comment: To be published in Physical Review
Stochastics theory of log-periodic patterns
We introduce an analytical model based on birth-death clustering processes to
help understanding the empirical log-periodic corrections to power-law scaling
and the finite-time singularity as reported in several domains including
rupture, earthquakes, world population and financial systems. In our
stochastics theory log-periodicities are a consequence of transient clusters
induced by an entropy-like term that may reflect the amount of cooperative
information carried by the state of a large system of different species. The
clustering completion rates for the system are assumed to be given by a simple
linear death process. The singularity at t_{o} is derived in terms of
birth-death clustering coefficients.Comment: LaTeX, 1 ps figure - To appear J. Phys. A: Math & Ge
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