154 research outputs found
Heat Conduction in One-Dimensional chain of Hard Discs with Substrate Potential
Heat conduction of one-dimensional chain of equivalent rigid particles in the
field of external on-site potential is considered. Zero diameters of the
particles correspond to exactly integrable case with divergent heat conduction
coefficient. By means of simple analytical model it is demonstrated that for
any nonzero particle size the integrability is violated and the heat conduction
coefficient converges. The result of the analytical computation is verified by
means of numerical simulation in a plausible diapason of parameters and good
agreement is observedComment: 14 pages, 7 figure
Heat Conduction and Entropy Production in a One-Dimensional Hard-Particle Gas
We present large scale simulations for a one-dimensional chain of hard-point
particles with alternating masses. We correct several claims in the recent
literature based on much smaller simulations. Both for boundary conditions with
two heat baths at different temperatures at both ends and from heat current
autocorrelations in equilibrium we find heat conductivities kappa to diverge
with the number N of particles. These depended very strongly on the mass
ratios, and extrapolation to N -> infty resp. t -> infty is difficult due to
very large finite-size and finite-time corrections. Nevertheless, our data seem
compatible with a universal power law kappa ~ N^alpha with alpha approx 0.33.
This suggests a relation to the Kardar-Parisi-Zhang model. We finally show that
the hard-point gas with periodic boundary conditions is not chaotic in the
usual sense and discuss why the system, when kept out of equilibrium, leads
nevertheless to energy dissipation and entropy production.Comment: 4 pages (incl. 5 figures), RevTe
Integrated random processes exhibiting long tails, finite moments and 1/f spectra
A dynamical model based on a continuous addition of colored shot noises is
presented. The resulting process is colored and non-Gaussian. A general
expression for the characteristic function of the process is obtained, which,
after a scaling assumption, takes on a form that is the basis of the results
derived in the rest of the paper. One of these is an expansion for the
cumulants, which are all finite, subject to mild conditions on the functions
defining the process. This is in contrast with the Levy distribution -which can
be obtained from our model in certain limits- which has no finite moments. The
evaluation of the power spectrum and the form of the probability density
function in the tails of the distribution shows that the model exhibits a 1/f
spectrum and long tails in a natural way. A careful analysis of the
characteristic function shows that it may be separated into a part representing
a Levy processes together with another part representing the deviation of our
model from the Levy process. This allows our process to be viewed as a
generalization of the Levy process which has finite moments.Comment: Revtex (aps), 15 pages, no figures. Submitted to Phys. Rev.
Stochastic volatility and leverage effect
We prove that a wide class of correlated stochastic volatility models exactly
measure an empirical fact in which past returns are anticorrelated with future
volatilities: the so-called ``leverage effect''. This quantitative measure
allows us to fully estimate all parameters involved and it will entail a deeper
study on correlated stochastic volatility models with practical applications on
option pricing and risk management.Comment: 4 pages, 2 figure
Functional characterization of generalized Langevin equations
We present an exact functional formalism to deal with linear Langevin
equations with arbitrary memory kernels and driven by any noise structure
characterized through its characteristic functional. No others hypothesis are
assumed over the noise, neither the fluctuation dissipation theorem. We found
that the characteristic functional of the linear process can be expressed in
terms of noise's functional and the Green function of the deterministic
(memory-like) dissipative dynamics. This object allow us to get a procedure to
calculate all the Kolmogorov hierarchy of the non-Markov process. As examples
we have characterized through the 1-time probability a noise-induced interplay
between the dissipative dynamics and the structure of different noises.
Conditions that lead to non-Gaussian statistics and distributions with long
tails are analyzed. The introduction of arbitrary fluctuations in fractional
Langevin equations have also been pointed out
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
The electricity market is a very peculiar market due to the large variety of
phenomena that can affect the spot price. However, this market still shows many
typical features of other speculative (commodity) markets like, for instance,
data clustering and mean reversion. We apply the diffusion entropy analysis
(DEA) to the Nordic spot electricity market (Nord Pool). We study the waiting
time statistics between consecutive spot price spikes and find it to show
anomalous scaling characterized by a decaying power-law. The exponent observed
in data follows a quite robust relationship with the one implied by the DEA
analysis. We also in terms of the DEA revisit topics like clustering,
mean-reversion and periodicities. We finally propose a GARCH inspired model but
for the price itself. Models in the context of stochastic volatility processes
appear under this scope to have a feasible description.Comment: 16 pages, 7 figure
Extreme times for volatility processes
We present a detailed study on the mean first-passage time of volatility
processes. We analyze the theoretical expressions based on the most common
stochastic volatility models along with empirical results extracted from daily
data of major financial indices. We find in all these data sets a very similar
behavior that is far from being that of a simple Wiener process. It seems
necessary to include a framework like the one provided by stochastic volatility
models with a reverting force driving volatility toward its normal level to
take into account memory and clustering effects in volatility dynamics. We also
detect in data a very different behavior in the mean first-passage time
depending whether the level is higher or lower than the normal level of
volatility. For this reason, we discuss asymptotic approximations and confront
them to empirical results with a good agreement, specially with the ExpOU
model.Comment: 10, 6 colored figure
The escape problem under stochastic volatility: the Heston model
We solve the escape problem for the Heston random diffusion model. We obtain
exact expressions for the survival probability (which ammounts to solving the
complete escape problem) as well as for the mean exit time. We also average the
volatility in order to work out the problem for the return alone regardless
volatility. We look over these results in terms of the dimensionless normal
level of volatility --a ratio of the three parameters that appear in the Heston
model-- and analyze their form in several assymptotic limits. Thus, for
instance, we show that the mean exit time grows quadratically with large spans
while for small spans the growth is systematically slower depending on the
value of the normal level. We compare our results with those of the Wiener
process and show that the assumption of stochastic volatility, in an apparent
paradoxical way, increases survival and prolongs the escape time.Comment: 29 pages, 12 figure
On random flights with non-uniformly distributed directions
This paper deals with a new class of random flights defined in the real space characterized
by non-uniform probability distributions on the multidimensional sphere. These
random motions differ from similar models appeared in literature which take
directions according to the uniform law. The family of angular probability
distributions introduced in this paper depends on a parameter which
gives the level of drift of the motion. Furthermore, we assume that the number
of changes of direction performed by the random flight is fixed. The time
lengths between two consecutive changes of orientation have joint probability
distribution given by a Dirichlet density function.
The analysis of is not an easy task, because it
involves the calculation of integrals which are not always solvable. Therefore,
we analyze the random flight obtained as
projection onto the lower spaces of the original random
motion in . Then we get the probability distribution of
Although, in its general framework, the analysis of is very complicated, for some values of , we can provide
some results on the process. Indeed, for , we obtain the characteristic
function of the random flight moving in . Furthermore, by
inverting the characteristic function, we are able to give the analytic form
(up to some constants) of the probability distribution of Comment: 28 pages, 3 figure
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