270 research outputs found
Scaling theory of temporal correlations and size dependent fluctuations in the traded value of stocks
Records of the traded value f_i(t) of stocks display fluctuation scaling, a
proportionality between the standard deviation sigma(i) and the average :
sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The
non-trivial (i.e., neither 0.5 nor 1) value of alpha may have different origins
and provides information about the microscopic dynamics. We present a set of
recently discovered stylized facts, and then show their connection to such
behavior. The functional form alpha(dt) originates from two aspects of the
dynamics: Stocks of larger companies both tend to be traded in larger packages,
and also display stronger correlations of traded value.Comment: 8 pages, 7 figures, 1 table, accepted to Phys. Rev.
Filling a silo with a mixture of grains: Friction-induced segregation
We study the filling process of a two-dimensional silo with inelastic
particles by simulation of a granular media lattice gas (GMLG) model. We
calculate the surface shape and flow profiles for a monodisperse system and we
introduce a novel generalization of the GMLG model for a binary mixture of
particles of different friction properties where, for the first time, we
measure the segregation process on the surface. The results are in good
agreement with a recent theory, and we explain the observed small deviations by
the nonuniform velocity profile.Comment: 10 pages, 5 figures, to be appear in Europhys. Let
Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets
In this paper we compare market price fluctuations with the response to
fundamental price drops within the Lux-Marchesi model which is able to
reproduce the most important stylized facts of real market data. Major
differences can be observed between the decay of spontaneous fluctuations and
of changes due to external perturbations reflecting the absence of detailed
balance, i.e., of the validity of the fluctuation-dissipation theorem. We found
that fundamental price drops are followed by an overshoot with a rather robust
characteristic time.Comment: 11 pages, 5 figures, 2 tables; submitted to Physica
Center Vortices and the Gribov Horizon
We show how the infinite color-Coulomb energy of color-charged states is
related to enhanced density of near-zero modes of the Faddeev-Popov operator,
and calculate this density numerically for both pure Yang-Mills and gauge-Higgs
systems at zero temperature, and for pure gauge theory in the deconfined phase.
We find that the enhancement of the eigenvalue density is tied to the presence
of percolating center vortex configurations, and that this property disappears
when center vortices are either removed from the lattice configurations, or
cease to percolate. We further demonstrate that thin center vortices have a
special geometrical status in gauge-field configuration space: Thin vortices
are located at conical or wedge singularities on the Gribov horizon. We show
that the Gribov region is itself a convex manifold in lattice configuration
space. The Coulomb gauge condition also has a special status; it is shown to be
an attractive fixed point of a more general gauge condition, interpolating
between the Coulomb and Landau gauges.Comment: 19 pages, 17 EPS figures, RevTeX4; v2: added references, corrected
caption of fig. 11; v3: new data for higher couplings, clarifications on
color-Coulomb potential in deconfined phase, version to appear in JHE
Small But Slow World: How Network Topology and Burstiness Slow Down Spreading
Communication networks show the small-world property of short paths, but the
spreading dynamics in them turns out slow. We follow the time evolution of
information propagation through communication networks by using the SI model
with empirical data on contact sequences. We introduce null models where the
sequences are randomly shuffled in different ways, enabling us to distinguish
between the contributions of different impeding effects. The slowing down of
spreading is found to be caused mostly by weight-topology correlations and the
bursty activity patterns of individuals
Opinion and community formation in coevolving networks
In human societies opinion formation is mediated by social interactions,
consequently taking place on a network of relationships and at the same time
influencing the structure of the network and its evolution. To investigate this
coevolution of opinions and social interaction structure we develop a dynamic
agent-based network model, by taking into account short range interactions like
discussions between individuals, long range interactions like a sense for
overall mood modulated by the attitudes of individuals, and external field
corresponding to outside influence. Moreover, individual biases can be
naturally taken into account. In addition the model includes the opinion
dependent link-rewiring scheme to describe network topology coevolution with a
slower time scale than that of the opinion formation. With this model
comprehensive numerical simulations and mean field calculations have been
carried out and they show the importance of the separation between fast and
slow time scales resulting in the network to organize as well-connected small
communities of agents with the same opinion.Comment: 10 pages, 5 figures. New inset for Fig. 1 and references added.
Submitted to Physical Review
Unjamming due to local perturbations in granular packings with and without gravity
We investigate the unjamming response of disordered packings of frictional
hard disks with the help of computer simulations. First, we generate jammed
configurations of the disks and then force them to move again by local
perturbations. We study the spatial distribution of the stress and displacement
response and find long range effects of the perturbation in both cases. We
record the penetration depth of the displacements and the critical force that
is needed to make the system yield. These quantities are tested in two types of
systems: in ideal homogeneous packings in zero gravity and in packings settled
under gravity. The penetration depth and the critical force are sensitive to
the interparticle friction coefficient. Qualitatively, the same nonmonotonic
friction dependence is found both with and without gravity, however the
location of the extrema are at different friction values. We discuss the role
of the connectivity of the contact network and of the pressure gradient in the
unjamming response.Comment: 12 pages, 13 figure
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