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, $\tau_1=1.00014(2)$, appears to exclude the conjecture $\tau_1=1$. The critical point and the exponents $\nu_{\parallel}$ and $\nu_{\perp}$ 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 $T=\infty$ 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 “low input” and organic foods

This paper reviews the first results and achievements of the QLIF SP1 “Determining consumer expectations and attitudes towards organic/low input food quality and safety”. 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 $\delta_2$, 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 TmNi2_2B2_2C

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