955 research outputs found
The Apparent Madness of Crowds: Irrational collective behavior emerging from interactions among rational agents
Standard economic theory assumes that agents in markets behave rationally.
However, the observation of extremely large fluctuations in the price of
financial assets that are not correlated to changes in their fundamental value,
as well as the extreme instance of financial bubbles and crashes, imply that
markets (at least occasionally) do display irrational behavior. In this paper,
we briefly outline our recent work demonstrating that a market with interacting
agents having bounded rationality can display price fluctuations that are {\em
quantitatively} similar to those seen in real markets.Comment: 4 pages, 1 figure, to appear in Proceedings of International Workshop
on "Econophysics of Stock Markets and Minority Games" (Econophys-Kolkata II),
Feb 14-17, 200
On Spatial Consensus Formation: Is the Sznajd Model Different from a Voter Model?
In this paper, we investigate the so-called ``Sznajd Model'' (SM) in one
dimension, which is a simple cellular automata approach to consensus formation
among two opposite opinions (described by spin up or down). To elucidate the SM
dynamics, we first provide results of computer simulations for the
spatio-temporal evolution of the opinion distribution , the evolution of
magnetization , the distribution of decision times and
relaxation times . In the main part of the paper, it is shown that the
SM can be completely reformulated in terms of a linear VM, where the transition
rates towards a given opinion are directly proportional to frequency of the
respective opinion of the second-nearest neighbors (no matter what the nearest
neighbors are). So, the SM dynamics can be reduced to one rule, ``Just follow
your second-nearest neighbor''. The equivalence is demonstrated by extensive
computer simulations that show the same behavior between SM and VM in terms of
, , , , and the final attractor statistics. The
reformulation of the SM in terms of a VM involves a new parameter , to
bias between anti- and ferromagnetic decisions in the case of frustration. We
show that plays a crucial role in explaining the phase transition
observed in SM. We further explore the role of synchronous versus asynchronous
update rules on the intermediate dynamics and the final attractors. Compared to
the original SM, we find three additional attractors, two of them related to an
asymmetric coexistence between the opposite opinions.Comment: 22 pages, 20 figures. For related publications see
http://www.ais.fraunhofer.de/~fran
A local families index formula for d-bar operators on punctured Riemann surfaces
Using heat kernel methods developed by Vaillant, a local index formula is
obtained for families of d-bar operators on the Teichmuller universal curve of
Riemann surfaces of genus g with n punctures. The formula also holds on the
moduli space M{g,n} in the sense of orbifolds where it can be written in terms
of Mumford-Morita-Miller classes. The degree two part of the formula gives the
curvature of the corresponding determinant line bundle equipped with the
Quillen connection, a result originally obtained by Takhtajan and Zograf.Comment: 47 page
On the infimum attained by a reflected L\'evy process
This paper considers a L\'evy-driven queue (i.e., a L\'evy process reflected
at 0), and focuses on the distribution of , that is, the minimal value
attained in an interval of length (where it is assumed that the queue is in
stationarity at the beginning of the interval). The first contribution is an
explicit characterization of this distribution, in terms of Laplace transforms,
for spectrally one-sided L\'evy processes (i.e., either only positive jumps or
only negative jumps). The second contribution concerns the asymptotics of
\prob{M(T_u)> u} (for different classes of functions and large);
here we have to distinguish between heavy-tailed and light-tailed scenarios
Multi-domain Fourier-continuation/WENO hybrid solver for conservation laws
We introduce a multi-domain Fourier-continuation/WENO hybrid method (FC-WENO) that enables high-order and non-oscillatory solution of systems of nonlinear conservation laws, and which enjoys essentially dispersionless, spectral character away from discontinuities, as well as mild CFL constraints (comparable to those of finite difference methods). The hybrid scheme employs the expensive, shock-capturing WENO method in small regions containing discontinuities and the efficient FC method in the rest of the computational domain, yielding a highly effective overall scheme for applications with a mix of discontinuities and complex smooth structures. The smooth and discontinuous solution regions are distinguished using the multi-resolution procedure of Harten [J. Comput. Phys. 115 (1994) 319-338]. We consider WENO schemes of formal orders five and nine and a FC method of order five. The accuracy, stability and efficiency of the new hybrid method for conservation laws is investigated for problems with both smooth and non-smooth solutions. In the latter case, we solve the Euler equations for gas dynamics for the standard test case of a Mach three shock wave interacting with an entropy wave, as well as a shock wave (with Mach 1.25, three or six) interacting with a very small entropy wave and evaluate the efficiency of the hybrid FC-WENO method as compared to a purely WENO-based approach as well as alternative hybrid based techniques. We demonstrate considerable computational advantages of the new FC-based method, suggesting a potential of an order of magnitude acceleration over alternatives when extended to fully three-dimensional problems. (C) 2011 Elsevier Inc. All rights reserved
The application of ecologically intensive principles to the systemic redesign of livestock farms on native grasslands: A case of co-innovation in Rocha, Uruguay
CONTEXT: Family-run cow-calf farms based on native grasslands exhibit low economic and social sustainability, as reflected in low family incomes and high workloads. Experimental results have shown that pasture–herd interaction management could improve native grasslands and animal productivity
OBJECTIVE: This paper analyzes the extent to which the sustainability of family-run livestock farms based on native grasslands could be enhanced by a systemic redesign informed by ecological intensification practices. The research questions address the initial state of farm sustainability, key bottlenecks to improving farm sustainability, and changes in sustainability criteria achieved over three years of farm redesign.
METHODS: The study was executed as part of a multi-level co-innovation project in Uruguay in which a team of scientist-practitioners and seven farm families participated in farm characterization, diagnosis, and redesign. The farm characterization took the form of indicators to describe the farms’ management and bio-physical subsystems. Redesign plans were negotiated between the research team and the farmers. Frequent monitoring and evaluation cycles enabled finetuning across the years of implementation.
RESULTS AND CONCLUSION: Improvements were observed in the economic indicators gross margin (+55%), return to labor (+71%), and family income (+53%) and in the social indicator workload ( 22%), and the environmental indicators bird diversity and ecosystem integrity index were maintained or increased slightly. These changes were explained by the uptake of coherent sets of ecological intensification practices causing changes in forage height (+30%), forage allowance (+69%), pregnancy (+22), weight of weaning calf per mating cow (+32%), and presence of tussocks (+65%). Ecological intensification principles resulted in synergistic positive effects between productivity–biodiversity tradeoffs and the scope for enhanced farm resilience and stability.
SIGNIFICANCE: Cow-calf family-run farms can be transformed to produce positive environmental and social effects and viable economic results. The implementation of projects in a co-innovation context may be taken as a guide to scaling up and scaling out the ecological intensification of livestock production on native grasslands, contributing to an extension system at the national level with the aim of improving cow-calf systems sustainability.Estación Experimental Agropecuaria BarilocheFil: Ruggia, Andrea. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Dogliotti, Santiago. Universidad de la República. Facultad de Agronomía. Departamento de Produccion Vegetal; UruguayFil: Aguerre, Maria Veronica. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Albicette, Maria Marta. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Blumetto, Oscar. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Cardozo, Geronimo. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Pasturas y Forrajes. Estacion Experimental INIA Treinta y Tres; UruguayFil: Leoni, Carolina. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Quintans, Graciela. Instituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Carne y Lana. Estacion Experimental INIA Treinta y Tres; UruguayFil: Scarlato, Santiago. nstituto Nacional de Investigacion Agropecuaria (INIA). Programa Nacional de Investigacion en Produccion Familiar. Estacion Experimental INIA Las Brujas; UruguayFil: Tittonell, Pablo Adrian. Instituto Nacional de Tecnología Agropecuaria (INTA). Estación Experimental Agropecuaria Bariloche; ArgentinaFil: Tittonell, Pablo Adrian. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Instituto de Investigaciones Forestales y Agropecuarias Bariloche; ArgentinaFil: Rossing, Walter A.H. Wageningen University and Research. Farming Systems Ecology, Plant Sciences Group; Holand
Implied volatility of basket options at extreme strikes
In the paper, we characterize the asymptotic behavior of the implied
volatility of a basket call option at large and small strikes in a variety of
settings with increasing generality. First, we obtain an asymptotic formula
with an error bound for the left wing of the implied volatility, under the
assumption that the dynamics of asset prices are described by the
multidimensional Black-Scholes model. Next, we find the leading term of
asymptotics of the implied volatility in the case where the asset prices follow
the multidimensional Black-Scholes model with time change by an independent
increasing stochastic process. Finally, we deal with a general situation in
which the dependence between the assets is described by a given copula
function. In this setting, we obtain a model-free tail-wing formula that links
the implied volatility to a special characteristic of the copula called the
weak lower tail dependence function
Partition functions and double-trace deformations in AdS/CFT
We study the effect of a relevant double-trace deformation on the partition
function (and conformal anomaly) of a CFT at large N and its dual picture in
AdS. Three complementary previous results are brought into full agreement with
each other: bulk and boundary computations, as well as their formal identity.
We show the exact equality between the dimensionally regularized partition
functions or, equivalently, fluctuational determinants involved. A series of
results then follows: (i) equality between the renormalized partition functions
for all d; (ii) for all even d, correction to the conformal anomaly; (iii) for
even d, the mapping entails a mixing of UV and IR effects on the same side
(bulk) of the duality, with no precedent in the leading order computations; and
finally, (iv) a subtle relation between overall coefficients, volume
renormalization and IR-UV connection. All in all, we get a clean test of the
AdS/CFT correspondence beyond the classical SUGRA approximation in the bulk and
at subleading O(1) order in the large-N expansion on the boundary.Comment: 18 pages, uses JHEP3.cls. Published JHEP versio
Determinant and Weyl anomaly of Dirac operator: a holographic derivation
We present a holographic formula relating functional determinants: the
fermion determinant in the one-loop effective action of bulk spinors in an
asymptotically locally AdS background, and the determinant of the two-point
function of the dual operator at the conformal boundary. The formula originates
from AdS/CFT heuristics that map a quantum contribution in the bulk partition
function to a subleading large-N contribution in the boundary partition
function. We use this holographic picture to address questions in spectral
theory and conformal geometry. As an instance, we compute the type-A Weyl
anomaly and the determinant of the iterated Dirac operator on round spheres,
express the latter in terms of Barnes' multiple gamma function and gain insight
into a conjecture by B\"ar and Schopka.Comment: 11 pages; new comments and references added, typos correcte
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