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