Random walker in a temporally deforming higher-order potential forces observed in financial crisis

Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces [Physica A 370, pp91-97, 2006]. By analyzing high-frequency financial time series of exceptional events such as bubbles and crashes, we confirm the appearance of nonlinear potential force in the markets. We show statistical significance of its existence by applying the information criterion. This new time series analysis is expected to be applied widely for detecting a non-stationary symptom in random phenomena.Comment: 5 pages, 13 figure

Nonequilibrium Phase Transitions in Models of Aggregation, Adsorption, and Dissociation

We study nonequilibrium phase transitions in a mass-aggregation model which allows for diffusion, aggregation on contact, dissociation, adsorption and desorption of unit masses. We analyse two limits explicitly. In the first case mass is locally conserved whereas in the second case local conservation is violated. In both cases the system undergoes a dynamical phase transition in all dimensions. In the first case, the steady state mass distribution decays exponentially for large mass in one phase, and develops an infinite aggregate in addition to a power-law mass decay in the other phase. In the second case, the transition is similar except that the infinite aggregate is missing.Comment: Major revision of tex

Effect of spatial bias on the nonequilibrium phase transition in a system of coagulating and fragmenting particles

We examine the effect of spatial bias on a nonequilibrium system in which masses on a lattice evolve through the elementary moves of diffusion, coagulation and fragmentation. When there is no preferred directionality in the motion of the masses, the model is known to exhibit a nonequilibrium phase transition between two different types of steady states, in all dimensions. We show analytically that introducing a preferred direction in the motion of the masses inhibits the occurrence of the phase transition in one dimension, in the thermodynamic limit. A finite size system, however, continues to show a signature of the original transition, and we characterize the finite size scaling implications of this. Our analysis is supported by numerical simulations. In two dimensions, bias is shown to be irrelevant.Comment: 7 pages, 7 figures, revte

Exact Phase Diagram of a model with Aggregation and Chipping

We revisit a simple lattice model of aggregation in which masses diffuse and coalesce upon contact with rate 1 and every nonzero mass chips off a single unit of mass to a randomly chosen neighbour with rate $w$. The dynamics conserves the average mass density $\rho$ and in the stationary state the system undergoes a nonequilibrium phase transition in the $(\rho-w)$ plane across a critical line $\rho_c(w)$. In this paper, we show analytically that in arbitrary spatial dimensions, $\rho_c(w) = \sqrt{w+1}-1$ exactly and hence, remarkably, independent of dimension. We also provide direct and indirect numerical evidence that strongly suggest that the mean field asymptotic answer for the single site mass distribution function and the associated critical exponents are super-universal, i.e., independent of dimension.Comment: 11 pages, RevTex, 3 figure

Exact Calculation of the Spatio-temporal Correlations in the Takayasu model and in the q-model of Force Fluctuations in Bead Packs

We calculate exactly the two point mass-mass correlations in arbitrary spatial dimensions in the aggregation model of Takayasu. In this model, masses diffuse on a lattice, coalesce upon contact and adsorb unit mass from outside at a constant rate. Our exact calculation of the variance of mass at a given site proves explicitly, without making any assumption of scaling, that the upper critical dimension of the model is 2. We also extend our method to calculate the spatio-temporal correlations in a generalized class of models with aggregation, fragmentation and injection which include, in particular, the $q$-model of force fluctuations in bead packs. We present explicit expressions for the spatio-temporal force-force correlation function in the $q$-model. These can be used to test the applicability of the $q$-model in experiments.Comment: 15 pages, RevTex, 2 figure

Propagation and Extinction in Branching Annihilating Random Walks

We investigate the temporal evolution and spatial propagation of branching annihilating random walks in one dimension. Depending on the branching and annihilation rates, a few-particle initial state can evolve to a propagating finite density wave, or extinction may occur, in which the number of particles vanishes in the long-time limit. The number parity conserving case where 2-offspring are produced in each branching event can be solved exactly for unit reaction probability, from which qualitative features of the transition between propagation and extinction, as well as intriguing parity-specific effects are elucidated. An approximate analysis is developed to treat this transition for general BAW processes. A scaling description suggests that the critical exponents which describe the vanishing of the particle density at the transition are unrelated to those of conventional models, such as Reggeon Field Theory. P. A. C. S. Numbers: 02.50.+s, 05.40.+j, 82.20.-wComment: 12 pages, plain Te

Phase Transition in the Takayasu Model with Desorption

We study a lattice model where particles carrying different masses diffuse, coalesce upon contact, and also unit masses adsorb to a site with rate $q$ or desorb from a site with nonzero mass with rate $p$. In the limit $p=0$ (without desorption), our model reduces to the well studied Takayasu model where the steady-state single site mass distribution has a power law tail $P(m)\sim m^{-\tau}$ for large mass. We show that varying the desorption rate $p$ induces a nonequilibrium phase transition in all dimensions. For fixed $q$, there is a critical $p_c(q)$ such that if $p<p_c(q)$, the steady state mass distribution, $P(m)\sim m^{-\tau}$ for large $m$ as in the Takayasu case. For $p=p_c(q)$, we find $P(m)\sim m^{-\tau_c}$ where $\tau_c$ is a new exponent, while for $p>p_c(q)$, $P(m)\sim \exp(-m/m^*)$ for large $m$. The model is studied analytically within a mean field theory and numerically in one dimension.Comment: RevTex, 11 pages including 5 figures, submitted to Phys. Rev.

The Dynamics of Internet Traffic: Self-Similarity, Self-Organization, and Complex Phenomena

The Internet is the most complex system ever created in human history. Therefore, its dynamics and traffic unsurprisingly take on a rich variety of complex dynamics, self-organization, and other phenomena that have been researched for years. This paper is a review of the complex dynamics of Internet traffic. Departing from normal treatises, we will take a view from both the network engineering and physics perspectives showing the strengths and weaknesses as well as insights of both. In addition, many less covered phenomena such as traffic oscillations, large-scale effects of worm traffic, and comparisons of the Internet and biological models will be covered.Comment: 63 pages, 7 figures, 7 tables, submitted to Advances in Complex System