Some expansions associated with Bessel functions

An Expansion for the Product of Two Bessel Functions.-1.1. An expansion for the product of two Bessel functions obtained by one of us(1) led to the discovery of a different expansion for the said product multiplied by the leading terms in the power series for the Bessel functions. Two proofs of this second expansion are given here

Accurate statistics of a flexible polymer chain in shear flow

We present exact and analytically accurate results for the problem of a flexible polymer chain in shear flow. Under such a flow the polymer tumbles, and the probability distribution of the tumbling times $\tau$ of the polymer decays exponentially as $\sim \exp(-\alpha \tau/\tau_0)$ (where $\tau_0$ is the longest relaxation time). We show that for a Rouse chain, this nontrivial constant $\alpha$ can be calculated in the limit of large Weissenberg number (high shear rate) and is in excellent agreement with our simulation result of $\alpha \simeq 0.324$. We also derive exactly the distribution functions for the length and the orientational angles of the end-to-end vector of the polymer.Comment: 4 pages, 2 figures. Minor changes. Texts differ slightly from the PRL published versio

A Network Model of Financial Markets

This thesis introduces a network representation of equity markets.The model is based on the premise that assets share dependencies on abstract ‘factors’ resulting in exploitable patterns among asset price levels.The network model is a collection of long-run market trends estimated by a 3 layer machine learning framework.The network model’s comprehensive validity is established with 2 simulations in the fields of algorithmic trading, and systemic risk.The algorithmic trading validation applies expectations derived from the network model to estimating expected future returns. It further utilizes the network’s expectations to actively manage a theoretically market neutral portfolio.The validation demonstrates that the network model’s portfolio generates excess returns relative to 2 benchmarks. Over the time period of April, 2007 to January, 2014 the network model’s portfolio for assets drawn from the S&P/ASX 100 produced a Sharpe ratio of 0.674.This approximately doubles the nearest benchmark. The systemic risk validation utilized the network model to simulate shocks to select market sectors and evaluate the resulting financial contagion.The validation successfully differentiated sectors by systemic connectivity levels and suggested some interesting market features. Most notable was the identification of the ‘Financials’ sector as most systemically influential and ‘Basic Materials’ as the most systemically dependent. Additionally, there was evidence that ‘Financials’ may function as a hub of systemic risk which exacerbates losses from multiple market sectors

Stochastic modelling of intermittent scrape-off layer plasma fluctuations

Single-point measurements of fluctuations in the scrape-off layer of magnetized plasmas are generally found to be dominated by large-amplitude bursts which are associated with radial motion of blob-like structures. A stochastic model for these fluctuations is presented, with the plasma density given by a random sequence of bursts with a fixed wave form. Under very general conditions, this model predicts a parabolic relation between the skewness and kurtosis moments of the plasma fluctuations. In the case of exponentially distributed burst amplitudes and waiting times, the probability density function for the fluctuation amplitudes is shown to be a Gamma distribution with the scale parameter given by the average burst amplitude and the shape parameter given by the ratio of the burst duration and waiting times.Comment: 11 pages, 1 figur

Detecting gravitational waves from inspiraling binaries with a network of detectors : coherent versus coincident strategies

We compare two strategies of multi-detector detection of compact binary inspiral signals, namely, the coincidence and the coherent. For simplicity we consider here two identical detectors having the same power spectral density of noise, that of initial LIGO, located in the same place and having the same orientation. We consider the cases of independent noise as well as that of correlated noise. The coincident strategy involves separately making two candidate event lists, one for each detector, and from these choosing those pairs of events from the two lists which lie within a suitable parameter window, which then are called as coincidence detections. The coherent strategy on the other hand involves combining the data phase coherently, so as to obtain a single network statistic which is then compared with a single threshold. Here we attempt to shed light on the question as to which strategy is better. We compare the performances of the two methods by plotting the Receiver Operating Characteristics (ROC) for the two strategies. Several of the results are obtained analytically in order to gain insight. Further we perform numerical simulations in order to determine certain parameters in the analytic formulae and thus obtain the final complete results. We consider here several cases from the relatively simple to the astrophysically more relevant in order to establish our results. The bottom line is that the coherent strategy although more computationally expensive in general than the coincidence strategy, is superior to the coincidence strategy - considerably less false dismissal probability for the same false alarm probability in the viable false alarm regime.Comment: 18 pages, 10 figures, typo correcte

Random wave functions and percolation

Recently it was conjectured that nodal domains of random wave functions are adequately described by critical percolation theory. In this paper we strengthen this conjecture in two respects. First, we show that, though wave function correlations decay slowly, a careful use of Harris' criterion confirms that these correlations are unessential and nodal domains of random wave functions belong to the same universality class as non critical percolation. Second, we argue that level domains of random wave functions are described by the non-critical percolation model.Comment: 13 page

Frequency and Phase Synchronization in Stochastic Systems

The phenomenon of frequency and phase synchronization in stochastic systems requires a revision of concepts originally phrased in the context of purely deterministic systems. Various definitions of an instantaneous phase are presented and compared with each other with special attention payed to their robustness with respect to noise. We review the results of an analytic approach describing noise-induced phase synchronization in a thermal two-state system. In this context exact expressions for the mean frequency and the phase diffusivity are obtained that together determine the average length of locking episodes. A recently proposed method to quantify frequency synchronization in noisy potential systems is presented and exemplified by applying it to the periodically driven noisy harmonic oscillator. Since this method is based on a threshold crossing rate pioneered by S.O. Rice the related phase velocity is termed Rice frequency. Finally, we discuss the relation between the phenomenon of stochastic resonance and noise-enhanced phase coherence by applying the developed concepts to the periodically driven bistable Kramers oscillator.Comment: to appear in the Chaos focus issue on "Control, communication, and synchronization in chaotic dynamical systems