15,231 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
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
Circularizing Planet Nine through dynamical friction with an extended, cold planetesimal belt
Unexpected clustering in the orbital elements of minor bodies beyond the
Kuiper belt has led to speculations that our solar system actually hosts nine
planets, the eight established plus a hypothetical "Planet Nine". Several
recent studies have shown that a planet with a mass of about 10 Earth masses on
a distant eccentric orbit with perihelion far beyond the Kuiper belt could
create and maintain this clustering. The evolutionary path resulting in an
orbit such as the one suggested for Planet Nine is nevertheless not easily
explained. Here we investigate whether a planet scattered away from the
giant-planet region could be lifted to an orbit similar to the one suggested
for Planet Nine through dynamical friction with a cold, distant planetesimal
belt. Recent simulations of planetesimal formation via the streaming
instability suggest that planetesimals can readily form beyond 100au. We
explore this circularisation by dynamical friction with a set of numerical
simulations. We find that a planet that is scattered from the region close to
Neptune onto an eccentric orbit has a 20-30% chance of obtaining an orbit
similar to that of Planet Nine after 4.6Gyr. Our simulations also result in
strong or partial clustering of the planetesimals; however, whether or not this
clustering is observable depends on the location of the inner edge of the
planetesimal belt. If the inner edge is located at 200au the degree of
clustering amongst observable objects is significant.Comment: Accepted to MNRA
A Simple Approach to Maximum Intractable Likelihood Estimation
Approximate Bayesian Computation (ABC) can be viewed as an analytic
approximation of an intractable likelihood coupled with an elementary
simulation step. Such a view, combined with a suitable instrumental prior
distribution permits maximum-likelihood (or maximum-a-posteriori) inference to
be conducted, approximately, using essentially the same techniques. An
elementary approach to this problem which simply obtains a nonparametric
approximation of the likelihood surface which is then used as a smooth proxy
for the likelihood in a subsequent maximisation step is developed here and the
convergence of this class of algorithms is characterised theoretically. The use
of non-sufficient summary statistics in this context is considered. Applying
the proposed method to four problems demonstrates good performance. The
proposed approach provides an alternative for approximating the maximum
likelihood estimator (MLE) in complex scenarios
Nonparametric identification of linearizations and uncertainty using Gaussian process models – application to robust wheel slip control
Gaussian process prior models offer a nonparametric approach to modelling unknown nonlinear systems from experimental data. These are flexible models which automatically adapt their model complexity to the available data, and which give not only mean predictions but also the variance of these predictions. A further advantage is the analytical derivation of derivatives of the model with respect to inputs, with their variance, providing a direct estimate of the locally linearized model with its corresponding parameter variance. We show how this can be used to tune a controller based on the linearized models, taking into account their uncertainty. The approach is applied to a simulated wheel slip control task illustrating controller development based on a nonparametric model of the unknown friction nonlinearity. Local stability and robustness of the controllers are tuned based on the uncertainty of the nonlinear models’ derivatives
Protoplanetary Disk Turbulence Driven by the Streaming Instability: Non-Linear Saturation and Particle Concentration
We present simulations of the non-linear evolution of streaming instabilities
in protoplanetary disks. The two components of the disk, gas treated with grid
hydrodynamics and solids treated as superparticles, are mutually coupled by
drag forces. We find that the initially laminar equilibrium flow spontaneously
develops into turbulence in our unstratified local model. Marginally coupled
solids (that couple to the gas on a Keplerian time-scale) trigger an upward
cascade to large particle clumps with peak overdensities above 100. The clumps
evolve dynamically by losing material downstream to the radial drift flow while
receiving recycled material from upstream. Smaller, more tightly coupled solids
produce weaker turbulence with more transient overdensities on smaller length
scales. The net inward radial drift is decreased for marginally coupled
particles, whereas the tightly coupled particles migrate faster in the
saturated turbulent state. The turbulent diffusion of solid particles, measured
by their random walk, depends strongly on their stopping time and on the
solids-to-gas ratio of the background state, but diffusion is generally modest,
particularly for tightly coupled solids. Angular momentum transport is too weak
and of the wrong sign to influence stellar accretion. Self-gravity and
collisions will be needed to determine the relevance of particle overdensities
for planetesimal formation.Comment: Accepted for publication in ApJ (17 pages). Movies of the simulations
can be downloaded at http://www.mpia.de/~johansen/research_en.ph
The destruction of inner planetary systems during high-eccentricity migration of gas giants
Hot Jupiters are giant planets on orbits a few hundredths of an AU. They do
not share their system with low-mass close-in planets, despite these latter
being exceedingly common. Two migration channels for hot Jupiters have been
proposed: through a protoplanetary gas disc or by tidal circularisation of
highly-eccentric planets. We show that highly-eccentric giant planets that will
become hot Jupiters clear out any low-mass inner planets in the system,
explaining the observed lack of such companions to hot Jupiters. A less common
outcome of the interaction is that the giant planet is ejected by the inner
planets. Furthermore, the interaction can implant giant planets on
moderately-high eccentricities at semimajor axes AU, a region otherwise
hard to populate. Our work supports the hypothesis that most hot Jupiters
reached their current orbits following a phase of high eccentricity, possibly
excited by other planetary or stellar companions.Comment: Replaced with accepted versio
The effects of external planets on inner systems: multiplicities, inclinations, and pathways to eccentric warm Jupiters
We study how close-in systems such as those detected by Kepler are affected
by the dynamics of bodies in the outer system. We consider two scenarios: outer
systems of giant planets potentially unstable to planet--planet scattering, and
wide binaries that may be capable of driving Kozai or other secular variations
of outer planets' eccentricities. Dynamical excitation of planets in the outer
system reduces the multiplicity of Kepler-detectable planets in the inner
system in of our systems. Accounting for the occurrence rates of
wide-orbit planets and binary stars, of close-in systems could be
destabilised by their outer companions in this way. This provides some
contribution to the apparent excess of systems with a single transiting planet
compared to multiple, however, it only contributes at most of the
excess. The effects of the outer dynamics can generate systems similar to
Kepler-56 (two coplanar planets significantly misaligned with the host star)
and Kepler-108 (two significantly non-coplanar planets in a binary). We also
identify three pathways to the formation of eccentric warm Jupiters resulting
from the interaction between outer and inner systems: direct inelastic
collision between an eccentric outer and an inner planet, secular eccentricity
oscillations that may "freeze out" when scattering resolves in the outer
system; and scattering in the inner system followed by "uplift", where inner
planets are removed by interaction with the outer planets. In these scenarios,
the formation of eccentric warm Jupiters is a signature of a past history of
violent dynamics among massive planets beyond au.Comment: 24 pages, 19 figures. Accepted to MNRA
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