Stability of the replica-symmetric saddle-point in general mean-field spin-glass models

Within the replica approach to mean-field spin-glasses the transition from ergodic high-temperature behaviour to the glassy low-temperature phase is marked by the instability of the replica-symmetric saddle-point. For general spin-glass models with non-Gaussian field distributions the corresponding Hessian is a $2^n\times 2^n$ matrix with the number $n$ of replicas tending to zero eventually. We block-diagonalize this Hessian matrix using representation theory of the permutation group and identify the blocks related to the spin-glass susceptibility. Performing the limit $n\to 0$ within these blocks we derive expressions for the de~Almeida-Thouless line of general spin-glass models. Specifying these expressions to the cases of the Sherrington-Kirkpatrick, Viana-Bray, and the L\'evy spin glass respectively we obtain results in agreement with previous findings using the cavity approach

Possible Stratification Mechanism in Granular Mixtures

We propose a mechanism to explain what occurs when a mixture of grains of different sizes and different shapes (i.e. different repose angles) is poured into a quasi-two-dimensional cell. Specifically, we develop a model that displays spontaneous stratification of the large and small grains in alternating layers. We find that the key requirement for stratification is a difference in the repose angles of the two pure species, a prediction confirmed by experimental findings. We also identify a kink mechanism that appears to describe essential aspects of the dynamics of stratification.Comment: 4 pages, 4 figures, http://polymer.bu.edu/~hmakse/Home.htm

Analytic computation of the Instantaneous Normal Modes spectrum in low density liquids

We analytically compute the spectrum of the Hessian of the Hamiltonian for a system of N particles interacting via a purely repulsive potential in one dimension. Our approach is valid in the low density regime, where we compute the exact spectrum also in the localized sector. We finally perform a numerical analysis of the localization properties of the eigenfunctions.Comment: 4 RevTeX pages, 4 EPS figures. Revised version to appear on Phys. Rev. Let

Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents

This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] found that the distribution of absolute log-returns can be approximated by the power-law distribution in the inflationary period, while the distribution of absolute log-returns is well described by the exponential distribution in the deflationary period.\par To further explore these empirical findings, we have introduced a model of stock markets which was proposed in [19,20]. In this model, the stock market is composed of two groups of traders: {\it the fundamentalists}, who believe that the asset price will return to the fundamental price, and {\it the interacting traders}, who can be noise traders. We show through numerical simulation of the model that when the number of interacting traders is greater than the number of fundamentalists, the power-law distribution of absolute log-returns is generated by the interacting traders' herd behavior, and, inversely, when the number of fundamentalists is greater than the number of interacting traders, the exponential distribution of absolute log-returns is generated.Comment: 12 pages, 5 figure

Domain size effects in Barkhausen noise

The possible existence of self-organized criticality in Barkhausen noise is investigated theoretically through a single interface model, and experimentally from measurements in amorphous magnetostrictive ribbon Metglas 2605TCA under stress. Contrary to previous interpretations in the literature, both simulation and experiment indicate that the presence of a cutoff in the avalanche size distribution may be attributed to finite size effects.Comment: 5 pages, 3 figures, submitted so Physical Review

The phase diagram of L\'evy spin glasses

We study the L\'evy spin-glass model with the replica and the cavity method. In this model each spin interacts through a finite number of strong bonds and an infinite number of weak bonds. This hybrid behaviour of L\'evy spin glasses becomes transparent in our solution: the local field contains a part propagating along a backbone of strong bonds and a Gaussian noise term due to weak bonds. Our method allows to determine the complete replica symmetric phase diagram, the replica symmetry breaking line and the entropy. The results are compared with simulations and previous calculations using a Gaussian ansatz for the distribution of fields.Comment: 20 pages, 7 figure

Bending and Base-Stacking Interactions in Double-Stranded Semiflexible Polymer

Simple expressions for the bending and the base-stacking energy of double-stranded semiflexible biopolymers (such as DNA and actin) are derived. The distribution of the folding angle between the two strands is obtained by solving a Schr\"{o}dinger equation variationally. Theoretical results based on this model on the extension versus force and extension versus degree of supercoiling relations of DNA chain are in good agreement with the experimental observations of Cluzel {\it et al.} [Science {\bf 271}, 792 (1996)], Smith {\it et al.} [{\it ibid.} {\bf 271}, 795 (1996)], and Strick {\it et al.} [{\it ibid.} {\bf 271}, 1835 (1996)].Comment: 8 pages in Revtex format, with 4 EPS figure

Spectral Statistics of Instantaneous Normal Modes in Liquids and Random Matrices

We study the statistical properties of eigenvalues of the Hessian matrix ${\cal H}$ (matrix of second derivatives of the potential energy) for a classical atomic liquid, and compare these properties with predictions for random matrix models (RMM). The eigenvalue spectra (the Instantaneous Normal Mode or INM spectra) are evaluated numerically for configurations generated by molecular dynamics simulations. We find that distribution of spacings between nearest neighbor eigenvalues, s, obeys quite well the Wigner prediction $s exp(-s^2)$, with the agreement being better for higher densities at fixed temperature. The deviations display a correlation with the number of localized eigenstates (normal modes) in the liquid; there are fewer localized states at higher densities which we quantify by calculating the participation ratios of the normal modes. We confirm this observation by calculating the spacing distribution for parts of the INM spectra with high participation ratios, obtaining greater conformity with the Wigner form. We also calculate the spectral rigidity and find a substantial dependence on the density of the liquid.Comment: To appear in Phys. Rev. E; 10 pages, 6 figure

Dynamics of a ferromagnetic domain wall: avalanches, depinning transition and the Barkhausen effect

We study the dynamics of a ferromagnetic domain wall driven by an external magnetic field through a disordered medium. The avalanche-like motion of the domain walls between pinned configurations produces a noise known as the Barkhausen effect. We discuss experimental results on soft ferromagnetic materials, with reference to the domain structure and the sample geometry, and report Barkhausen noise measurements on Fe$_{21}$Co$_{64}$B$_{15}$ amorphous alloy. We construct an equation of motion for a flexible domain wall, which displays a depinning transition as the field is increased. The long-range dipolar interactions are shown to set the upper critical dimension to $d_c=3$, which implies that mean-field exponents (with possible logarithmic correction) are expected to describe the Barkhausen effect. We introduce a mean-field infinite-range model and show that it is equivalent to a previously introduced single-degree-of-freedom model, known to reproduce several experimental results. We numerically simulate the equation in $d=3$, confirming the theoretical predictions. We compute the avalanche distributions as a function of the field driving rate and the intensity of the demagnetizing field. The scaling exponents change linearly with the driving rate, while the cutoff of the distribution is determined by the demagnetizing field, in remarkable agreement with experiments.Comment: 17 RevTeX pages, 19 embedded ps figures + 1 extra figure, submitted to Phys. Rev.

Quantifying the behavior of stock correlations under market stress

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios