806 research outputs found
Role of the initial conditions on the enhancement of the escape time in static and fluctuating potentials
We present a study of the noise driven escape of an overdamped Brownian
particle moving in a cubic potential profile with a metastable state. We
analyze the role of the initial conditions of the particle on the enhancement
of the average escape time as a function of the noise intensity for fixed and
fluctuating potentials. We observe the noise enhanced stability effect for all
the initial unstable states investigated. For a fixed potential we find a
peculiar initial condition which separates the set of the initial
unstable states in two regions: those which give rise to divergences from those
which show nonmonotonic behavior of the average escape time. For fluctuating
potential at this particular initial condition and for low noise intensity we
find large fluctuations of the average escape time.Comment: 8 pages, 6 figures. Appeared in Physica A (2003
Statistical properties of short term price trends in high frequency stock market data
We investigated distributions of short term price trends for high frequency
stock market data. A number of trends as a function of their lengths was
measured. We found that such a distribution does not fit to results following
from an uncorrelated stochastic process. We proposed a simple model with a
memory that gives a qualitative agreement with real data.Comment: 10 pages, 9 figures, in ver. 2 one chapter adde
Dynamic asset trees and Black Monday
The minimum spanning tree, based on the concept of ultrametricity, is
constructed from the correlation matrix of stock returns. The dynamics of this
asset tree can be characterised by its normalised length and the mean
occupation layer, as measured from an appropriately chosen centre called the
`central node'. We show how the tree length shrinks during a stock market
crisis, Black Monday in this case, and how a strong reconfiguration takes
place, resulting in topological shrinking of the tree.Comment: 6 pages, 3 eps figues. Elsevier style. Will appear in Physica A as
part of the Bali conference proceedings, in pres
An Outlook on Correlations in Stock Prices
We present an outlook of the studies on correlations in the price timeseries
of stocks, discussing the construction and applications of "asset tree". The
topic discussed here should illustrate how the complex economic system
(financial market) enrichens the list of existing dynamical systems that
physicists have been studying for long.Comment: 6 pages, RevTeX format. To appear in the Conference Proceedings of
ECONOPHYS-KOLKATA II: International Workshop on Econophysics of Stock Markets
and Minority Games", February 14-17, 2006, SINP, Kolkata, as a book chapter
in Eds. A. Chatterjee and B.K. Chakrabarti, Econophysics of Stock and other
Markets, (Springer-Verlag (Italia), Milan, 2006
Persistence in a Random Bond Ising Model of Socio-Econo Dynamics
We study the persistence phenomenon in a socio-econo dynamics model using
computer simulations at a finite temperature on hypercubic lattices in
dimensions up to 5. The model includes a ` social\rq local field which contains
the magnetization at time . The nearest neighbour quenched interactions are
drawn from a binary distribution which is a function of the bond concentration,
. The decay of the persistence probability in the model depends on both the
spatial dimension and . We find no evidence of ` blocking\rq in this model.
We also discuss the implications of our results for possible applications in
the social and economic fields. It is suggested that the absence, or otherwise,
of blocking could be used as a criterion to decide on the validity of a given
model in different scenarios.Comment: 11 pages, 4 figure
A model for correlations in stock markets
We propose a group model for correlations in stock markets. In the group
model the markets are composed of several groups, within which the stock price
fluctuations are correlated. The spectral properties of empirical correlation
matrices reported in [Phys. Rev. Lett. {\bf 83}, 1467 (1999); Phys. Rev. Lett.
{\bf 83}, 1471 (1999.)] are well understood from the model. It provides the
connection between the spectral properties of the empirical correlation matrix
and the structure of correlations in stock markets.Comment: two pages including one EPS file for a figur
Investment strategy due to the minimization of portfolio noise level by observations of coarse-grained entropy
Using a recently developed method of noise level estimation that makes use of
properties of the coarse grained-entropy we have analyzed the noise level for
the Dow Jones index and a few stocks from the New York Stock Exchange. We have
found that the noise level ranges from 40 to 80 percent of the signal variance.
The condition of a minimal noise level has been applied to construct optimal
portfolios from selected shares. We show that implementation of a corresponding
threshold investment strategy leads to positive returns for historical data.Comment: 6 pages, 1 figure, 1 table, Proceedings of the conference APFA4. See
http://www.chaosandnoise.or
Scaling and Intermittency in Animal Behavior
Scale-invariant spatial or temporal patterns and L\'evy flight motion have
been observed in a large variety of biological systems. It has been argued that
animals in general might perform L\'evy flight motion with power law
distribution of times between two changes of the direction of motion. Here we
study the temporal behaviour of nesting gilts. The time spent by a gilt in a
given form of activity has power law probability distribution without finite
average. Further analysis reveals intermittent eruption of certain periodic
behavioural sequences which are responsible for the scaling behaviour and
indicates the existence of a critical state. We show that this behaviour is in
close analogy with temporal sequences of velocity found in turbulent flows,
where random and regular sequences alternate and form an intermittent sequence.Comment: 10 page
Enhancement of stability in randomly switching potential with metastable state
The overdamped motion of a Brownian particle in randomly switching piece-wise
metastable linear potential shows noise enhanced stability (NES): the noise
stabilizes the metastable system and the system remains in this state for a
longer time than in the absence of white noise. The mean first passage time
(MFPT) has a maximum at a finite value of white noise intensity. The analytical
expression of MFPT in terms of the white noise intensity, the parameters of the
potential barrier, and of the dichotomous noise is derived. The conditions for
the NES phenomenon and the parameter region where the effect can be observed
are obtained. The mean first passage time behaviours as a function of the mean
flipping rate of the potential for unstable and metastable initial
configurations are also analyzed. We observe the resonant activation phenomenon
for initial metastable configuration of the potential profile.Comment: 9 pages, 5 figures. In press in "European Physical Journal B
Mean Field Voter Model of Election to the House of Representatives in Japan
In this study, we propose a mechanical model of a plurality election based on
a mean field voter model. We assume that there are three candidates in each
electoral district, i.e., one from the ruling party, one from the main
opposition party, and one from other political parties. The voters are
classified as fixed supporters and herding (floating) voters with ratios of
and , respectively. Fixed supporters make decisions based on their
information and herding voters make the same choice as another randomly
selected voter. The equilibrium vote-share probability density of herding
voters follows a Dirichlet distribution. We estimate the composition of fixed
supporters in each electoral district and using data from elections to the
House of Representatives in Japan (43rd to 47th). The spatial inhomogeneity of
fixed supporters explains the long-range spatial and temporal correlations. The
estimated values of are close to the estimates obtained from a survey.Comment: 11 pages, 7 figure
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