9,610 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
The Higgs Penguin and its Applications : An overview
We review the effective Lagrangian of the Higgs penguin in the Standard Model
and its minimal supersymmetric extension (MSSM). As a master application of the
Higgs penguin, we discuss in some detail the B-meson decays into a
lepton-antilepton pair. Furthermore, we explain how this can probe the Higgs
sector of the MSSM provided that some of these decays are seen at Tevatron Run
II and B-factories. Finally, we present a complete list of observables where
the Higgs penguin could be strongly involved.Comment: 22 pages, 6 figures, Invited review article to appear in Mod. Phys.
Lett. A, v2: Table 1 updated, comments and references adde
The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
This paper intends to meet recent claims for the attainment of more rigorous
statistical methodology within the econophysics literature. To this end, we
consider an econometric approach to investigate the outcomes of the
log-periodic model of price movements, which has been largely used to forecast
financial crashes. In order to accomplish reliable statistical inference for
unknown parameters, we incorporate an autoregressive dynamic and a conditional
heteroskedasticity structure in the error term of the original model, yielding
the log-periodic-AR(1)-GARCH(1,1) model. Both the original and the extended
models are fitted to financial indices of U. S. market, namely S&P500 and
NASDAQ. Our analysis reveal two main points: (i) the
log-periodic-AR(1)-GARCH(1,1) model has residuals with better statistical
properties and (ii) the estimation of the parameter concerning the time of the
financial crash has been improved.Comment: 17 pages, 4 figures, 12 tables, to appear in Europen Physical Journal
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
Log-periodic route to fractal functions
Log-periodic oscillations have been found to decorate the usual power law
behavior found to describe the approach to a critical point, when the
continuous scale-invariance symmetry is partially broken into a discrete-scale
invariance (DSI) symmetry. We classify the `Weierstrass-type'' solutions of the
renormalization group equation F(x)= g(x)+(1/m)F(g x) into two classes
characterized by the amplitudes A(n) of the power law series expansion. These
two classes are separated by a novel ``critical'' point. Growth processes
(DLA), rupture, earthquake and financial crashes seem to be characterized by
oscillatory or bounded regular microscopic functions g(x) that lead to a slow
power law decay of A(n), giving strong log-periodic amplitudes. In contrast,
the regular function g(x) of statistical physics models with
``ferromagnetic''-type interactions at equibrium involves unbound logarithms of
polynomials of the control variable that lead to a fast exponential decay of
A(n) giving weak log-periodic amplitudes and smoothed observables. These two
classes of behavior can be traced back to the existence or abscence of
``antiferromagnetic'' or ``dipolar''-type interactions which, when present,
make the Green functions non-monotonous oscillatory and favor spatial modulated
patterns.Comment: Latex document of 29 pages + 20 ps figures, addition of a new
demonstration of the source of strong log-periodicity and of a justification
of the general offered classification, update of reference lis
Evidence of discrete scale invariance in DLA and time-to-failure by canonical averaging
Discrete scale invariance, which corresponds to a partial breaking of the
scaling symmetry, is reflected in the existence of a hierarchy of
characteristic scales l0, c l0, c^2 l0,... where c is a preferred scaling ratio
and l0 a microscopic cut-off. Signatures of discrete scale invariance have
recently been found in a variety of systems ranging from rupture, earthquakes,
Laplacian growth phenomena, ``animals'' in percolation to financial market
crashes. We believe it to be a quite general, albeit subtle phenomenon. Indeed,
the practical problem in uncovering an underlying discrete scale invariance is
that standard ensemble averaging procedures destroy it as if it was pure noise.
This is due to the fact, that while c only depends on the underlying physics,
l0 on the contrary is realisation-dependent. Here, we adapt and implement a
novel so-called ``canonical'' averaging scheme which re-sets the l0 of
different realizations to approximately the same value. The method is based on
the determination of a realization-dependent effective critical point obtained
from, e.g., a maximum susceptibility criterion. We demonstrate the method on
diffusion limited aggregation and a model of rupture.Comment: 14 pages, 6 figures, in press in Int. J. Mod. Phys.
Classification of Possible Finite-Time Singularities by Functional Renormalization
Starting from a representation of the early time evolution of a dynamical
system in terms of the polynomial expression of some observable f (t) as a
function of the time variable in some interval 0 < t < T, we investigate how to
extrapolate/forecast in some optimal stability sense the future evolution of
f(t) for time t>T. Using the functional renormalization of Yukalov and Gluzman,
we offer a general classification of the possible regimes that can be defined
based on the sole knowledge of the coefficients of a second-order polynomial
representation of the dynamics. In particular, we investigate the conditions
for the occurence of finite-time singularities from the structure of the time
series, and quantify the critical time and the functional nature of the
singularity when present. We also describe the regimes when a smooth extremum
replaces the singularity and determine its position and amplitude. This extends
previous works by (1) quantifying the stability of the functional
renormalization method more accurately, (2) introducing new global constraints
in terms of moments and (3) going beyond the ``mean-field'' approximation.Comment: Latex document of 18 pages + 7 ps figure
Effects of applying anaerobically digested slurry on soil available organic C and microbiota
Anaerobic digestion of animal slurries and plant residues is a valuable technology to produce bioenergy and fertilizers in organic farming systems, while at the same time reducing propagules of weeds and parasites in the input material. However, the digestion changes the quality of the slurry by reducing its content of organic matter and increasing mineral nitrogen (N) levels. This may have profound impact on soil fauna and microorganisms as well as the biogeochemical processes they drive. Organic farmers fear that application of digested materials may have negative implications for soil fertility by reducing the input of organic matter to the soil, compared to fertilizing with traditional animal slurries or green manures. Hence, it is important to gain knowledge about the short- and long-term effects on microflora and carbon (C) balance in soils fertilized with digested slurry
Black swans or dragon kings? A simple test for deviations from the power law
We develop a simple test for deviations from power law tails, which is based
on the asymptotic properties of the empirical distribution function. We use
this test to answer the question whether great natural disasters, financial
crashes or electricity price spikes should be classified as dragon kings or
'only' as black swans
Stock mechanics: predicting recession in S&P500, DJIA, and NASDAQ
An original method, assuming potential and kinetic energy for prices and
conservation of their sum is developed for forecasting exchanges. Connections
with power law are shown. Semiempirical applications on S&P500, DJIA, and
NASDAQ predict a coming recession in them. An emerging market, Istanbul Stock
Exchange index ISE-100 is found involving a potential to continue to rise.Comment: 14 pages, 4 figure
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