Replicating financial market dynamics with a simple self-organized critical lattice model

We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance of the model, without tuning parameters. Prominent results of our simulation are time series of gains, prices, volatility, and gains frequency distributions, which all compare favorably to features of historical market data. Applying a standard GARCH(1,1) fit to the lattice model gives results that are almost indistinguishable from historical NASDAQ data.Comment: 20 pages, 33 figure

Schwinger boson theory of anisotropic ferromagnetic ultrathin films

Ferromagnetic thin films with magnetic single-ion anisotropies are studied within the framework of Schwinger bosonization of a quantum Heisenberg model. Two alternative bosonizations are discussed. We show that qualitatively correct results are obtained even at the mean-field level of the theory, similar to Schwinger boson results for other magnetic systems. In particular, the Mermin-Wagner theorem is satisfied: a spontaneous magnetization at finite temperatures is not found if the ground state of the anisotropic system exhibits a continuous degeneracy. We calculate the magnetization and effective anisotropies as functions of exchange interaction, magnetic anisotropies, external magnetic field, and temperature for arbitrary values of the spin quantum number. Magnetic reorientation transitions and effective anisotropies are discussed. The results obtained by Schwinger boson mean-field theory are compared with the many-body Green's function technique.Comment: 14 pages, including 7 EPS figures, minor changes, final version as publishe

Anisotropy of ultra-thin ferromagnetic films and the spin reorientation transition

The influence of uniaxial anisotropy and the dipole interaction on the direction of the magnetization of ultra-thin ferromagnetic films in the ground-state is studied. The ground-state energy can be expressed in terms of anisotropy constants which are calculated in detail as function of the system parameters and the film thickness. In particular non-collinear spin arrangements are taken into account. Conditions for the appearance of a spin reorientation transition are given and analytic results for the width of the canted phase and its shift in applied magnetic fields associated with this transition are derived.Comment: 6 pages, RevTeX

Critical exponents of directed percolation measured in spatiotemporal intermittency

A new experimental system showing a transition to spatiotemporal intermittency is presented. It consists of a ring of hundred oscillating ferrofluidic spikes. Four of five of the measured critical exponents of the system agree with those obtained from a theoretical model of directed percolation.Comment: 7 pages, 12 figures, submitted to PR

Avalanches in the Weakly Driven Frenkel-Kontorova Model

A damped chain of particles with harmonic nearest-neighbor interactions in a spatially periodic, piecewise harmonic potential (Frenkel-Kontorova model) is studied numerically. One end of the chain is pulled slowly which acts as a weak driving mechanism. The numerical study was performed in the limit of infinitely weak driving. The model exhibits avalanches starting at the pulled end of the chain. The dynamics of the avalanches and their size and strength distributions are studied in detail. The behavior depends on the value of the damping constant. For moderate values a erratic sequence of avalanches of all sizes occurs. The avalanche distributions are power-laws which is a key feature of self-organized criticality (SOC). It will be shown that the system selects a state where perturbations are just able to propagate through the whole system. For strong damping a regular behavior occurs where a sequence of states reappears periodically but shifted by an integer multiple of the period of the external potential. There is a broad transition regime between regular and irregular behavior, which is characterized by multistability between regular and irregular behavior. The avalanches are build up by sound waves and shock waves. Shock waves can turn their direction of propagation, or they can split into two pulses propagating in opposite directions leading to transient spatio-temporal chaos. PACS numbers: 05.70.Ln,05.50.+q,46.10.+zComment: 33 pages (RevTex), 15 Figures (available on request), appears in Phys. Rev.

Tumor immunosurveillance in human cancers

Until now, the anatomic extent of tumor (TNM classification) has been by far the most important factor to predict the prognosis of colorectal cancer patients. However, in recent years, data collected from large cohorts of human cancers demonstrated that the immune contexture of the primary tumors is an essential prognostic factor for patients’ disease-free and overall survival. Tumoral and immunological markers predicted by systems biology methods are involved in the shaping of an efficient immune reaction and can serve as targets for novel therapeutic approaches. Global analysis of tumor microenvironment showed that the nature, the functional orientation, the density, and the location of adaptive immune cells within distinct tumor regions influence the risk of relapse events. The density and the immune cell location within the tumor have a prognostic value that is superior to the TNM classification, and tumor invasion is statistically dependent on the host-immune reaction. Thus, the strength of the immune reaction could advance our understanding of cancer evolution and have important consequences in clinical practice

Blood-based extracellular matrix biomarkers are correlated with clinical outcome after PD-1 inhibition in patients with metastatic melanoma

Background Immune checkpoint inhibitors that target the programmed cell death protein 1 (PD-1) receptor induce a response in only a subgroup of patients with metastatic melanoma. Previous research suggests that transforming growth factor beta signaling and a collagenrich peritumoral stroma (tumor fibrosis), may negatively interfere with the interaction between T cells and tumor cells and thereby contribute to resistance mechanisms by immune-exclusion, while increased tumor infiltration of M1-like macrophages enhances T cell activity. Hence, the current study aimed to assess the relationship between blood-based markers of collagen or vimentin turnover (reflecting M1 macrophage activity) and clinical outcome in patients with metastatic melanoma after PD-1 inhibition. Methods Patients with metastatic melanoma who were treated with anti-PD-1 monotherapy between May 2016 and March 2019 were included in a prospective observational study. N-terminal pro-peptide of type III collagen (PRO-C3) cross-linked N-terminal pro-peptides of type III collagen (PC3X), matrix metalloprotease (MMP)- degraded type III (C3M) and type IV collagen (C4M), granzyme B-degraded type IV collagen and citrullinated and MMP-degraded vimentin (VICM) were measured with immunoassays in serum before (n=107), and 6weeks after the first administration of immunotherapy (n=94). The association between biomarker levels and overall survival (OS) or progression-free survival (PFS) was assessed. Results Multivariate Cox regression analysis identified high baseline PRO-C3 (Q4) and PC3X (Q4) as independent variables of worse PFS (PRO-C3: HR=1.81, 95% CI=1.06 to 3.10, p=0.030 and PC3X: HR=1.86, 95% CI=1.09 to 3.18, p=0.023). High baseline PRO-C3 was also independently related to worse OS (HR=2.08, 95% CI=1.06 to 4.09, p=0.035), whereas a high C3M/PRO-C3 ratio was related to improved OS (HR=0.42, 95% CI=0.20 to 0.90, p=0.025). An increase in VICM (p<0.0001; in 56% of the patients) was observed after 6weeks of treatment, and an increase in VICM was independently associated with improved OS (HR=0.28, 95% CI=0.10 to 0.77, p=0.014). Conclusions Blood-based biomarkers reflecting excessive type III collagen turnover were associated with worse OS and PFS after PD-1 inhibition in metastatic melanoma. Moreover, an increase in VICM levels after 6weeks of treatment was associated with improved OS These findings suggest that type III collagen and vimentin turnover contribute to resistance/response mechanisms of PD-1 inhibitors and hold promise of assessing extracellular matrix-derived and stroma-derived components to predict immunotherapy response

Nonlinear excitations in CsNiF3 in magnetic fields perpendicular to the easy plane

Experimental and numerical studies of the magnetic field dependence of the specific heat and magnetization of single crystals of CsNiF3 have been performed at 2.4 K, 2.9 K, and 4.2 K in magnetic fields up to 9 T oriented perpendicular to the easy plane. The experimental results confirm the presence of the theoretically predicted double peak structure in the specific heat arising from the formation of nonlinear spin modes. The demagnetizing effects are found to be negligible, and the overall agreement between the data and numerical predictions is better than reported for the case when the magnetic field was oriented in the easy plane. Demagnetizing effects might play a role in generating the difference observed between theory and experiment in previous work analyzing the excess specific heat using the sine-Gordon model.Comment: 6 pages, 5 figures, submitted to Phys. Rev.

Dynamic Scaling and Two-Dimensional High-Tc Superconductors

There has been ongoing debate over the critical behavior of two-dimensional superconductors; in particular for high Tc superconductors. The conventional view is that a Kosterlitz-Thouless-Berezinskii transition occurs as long as finite size effects do not obscure the transition. However, there have been recent suggestions that a different transition actually occurs which incorporates aspects of both the dynamic scaling theory of Fisher, Fisher, and Huse and the Kosterlitz-Thouless-Berezinskii transition. Of general interest is that this modified transition apparently has a universal dynamic critical exponent. Some have countered that this apparent universal behavior is rooted in a newly proposed finite-size scaling theory; one that also incorporates scaling and conventional two-dimensional theory. To investigate these issues we study DC voltage versus current data of a 12 angstrom thick YBCO film. We find that the newly proposed scaling theories have intrinsic flexibility that is relevant to the analysis of the experiments. In particular, the data scale according to the modified transition for arbitrarily defined critical temperatures between 0 K and 19.5 K, and the temperature range of a successful scaling collapse is related directly to the sensitivity of the measurement. This implies that the apparent universal exponent is due to the intrinsic flexibility rather than some real physical property. To address this intrinsic flexibility, we propose a criterion which would give conclusive evidence for phase transitions in two-dimensional superconductors. We conclude by reviewing results to see if our criterion is satisfied.Comment: 14 page

Islands of linkage in an ocean of pervasive recombination reveals two-speed evolution of human cytomegalovirus genomes

Human cytomegalovirus (HCMV) infects most of the population worldwide, persisting throughout the host's life in a latent state with periodic episodes of reactivation. While typically asymptomatic, HCMV can cause fatal disease among congenitally infected infants and immunocompromised patients. These clinical issues are compounded by the emergence of antiviral resistance and the absence of an effective vaccine, the development of which is likely complicated by the numerous immune evasins encoded by HCMV to counter the host's adaptive immune responses, a feature that facilitates frequent super-infections. Understanding the evolutionary dynamics of HCMV is essential for the development of effective new drugs and vaccines. By comparing viral genomes from uncultivated or low-passaged clinical samples of diverse origins, we observe evidence of frequent homologous recombination events, both recent and ancient, and no structure of HCMV genetic diversity at the whole-genome scale. Analysis of individual gene-scale loci reveals a striking dichotomy: while most of the genome is highly conserved, recombines essentially freely and has evolved under purifying selection, 21 genes display extreme diversity, structured into distinct genotypes that do not recombine with each other. Most of these hyper-variable genes encode glycoproteins involved in cell entry or escape of host immunity. Evidence that half of them have diverged through episodes of intense positive selection suggests that rapid evolution of hyper-variable loci is likely driven by interactions with host immunity. It appears that this process is enabled by recombination unlinking hyper-variable loci from strongly constrained neighboring sites. It is conceivable that viral mechanisms facilitating super-infection have evolved to promote recombination between diverged genotypes, allowing the virus to continuously diversify at key loci to escape immune detection, while maintaining a genome optimally adapted to its asymptomatic infectious lifecycle