Economic Fluctuations and Diffusion

Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of transactions $N_{\Delta t}$ - and the price change $G_{\Delta t}$, for a given stock, over a time interval $[t, t+\Delta t]$. To this end, we analyze a database documenting every transaction for 1000 US stocks over the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of diffusion, where the diffusion coefficient fluctuates drastically in time. We relate the analog of the diffusion coefficient to two microscopic quantities: (i) the number of transactions $N_{\Delta t}$ in $\Delta t$, which is the analog of the number of collisions and (ii) the local variance $w^2_{\Delta t}$ of the price changes for all transactions in $\Delta t$, which is the analog of the local mean square displacement between collisions. We study the distributions of both $N_{\Delta t}$ and $w_{\Delta t}$, and find that they display power-law tails. Further, we find that $N_{\Delta t}$ displays long-range power-law correlations in time, whereas $w_{\Delta t}$ does not. Our results are consistent with the interpretation that the pronounced tails of the distribution of $G_{\Delta t} are due to$w_{\Delta t}$, and that the long-range correlations previously found for$| G_{\Delta t} |$are due to$N_{\Delta t}$.Comment: RevTex 2 column format. 6 pages, 36 references, 15 eps figure

Characterization of particle rebound phenomena in the erosion of turbomachinery

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/77337/1/AIAA-44864-924.pd

Time-Like Shock Hadronization of a Supercooled Quark-Gluon Plasma

We study the energy-momentum and baryonic number conservation laws for quark-gluon plasma discontinuity transitions into hadron matter states. We find that the time-like shock hadronization of a supercooled quark-gluon plasma (when the normal vector to the discontinuity hypersurface is time-like) should take place. We consider some properties of this process, which is different from the standard space-like shock hadronization.Comment: 10 pages in Latex + 4 ps figures , preprint UP-TP 94/

Neutron scattering search for static magnetism in oxygen ordered YBa2Cu3O6.5

We present elastic and inelastic neutron scattering results on highly oxygen ordered YBa2Cu3O6.5 ortho-II. We find no evidence for the presence of ordered magnetic moments to a sensitivity of 0.003 Bohr magnetons, an order of magnitude smaller than has been suggested in theories of orbital or d-density-wave (DDW) currents. The absence of sharp elastic peaks, shows that the d-density-wave phase is not present, at least for the superconductor with the doping of 6.5 and the ordered ortho-II structure. We cannot exclude the possibility that a broad peak may exist with extremely short-range DDW correlations. For less ordered or more doped crystals it is possible that disorder may lead to static magnetism. We have also searched for the large normal state spin gap that is predicted to exist in an ordered DDW phase. Instead of a gap we find that the Q-correlated spin susceptibility persists to the lowest energies studied, 6 meV. Our results are compatible with the coexistence of superconductivity with orbital currents, but only if they are dynamic, and exclude a sharp phase transition to an ordered d-density-wave phase.Comment: 6 pages 4 figures RevTex Submitted to Phys Rev B January 23, 200

Universal Static and Dynamic Properties of the Structural Transition in Pb(Zn1/3Nb2/3)O3

The relaxors Pb(Zn$_{1/3}$Nb$_{2/3}$)O$_{3}$ (PZN) and Pb(Mg$_{1/3}$Nb$_{2/3}$)O$_{3}$ (PMN) have very similar properties based on the dielectric response around the critical temperature $T_{c}$ (defined by the structural transition under the application of an electric field). It has been widely believed that these materials are quite different below $T_{c}$ with the unit cell of PMN remaining cubic while in PZN the low temperature unit cell is rhombohedral in shape. However, this has been clarified by recent high-energy x-ray studies which have shown that PZN is rhombohedral only in the skin while the shape of the unit cell in the bulk is nearly cubic. In this study we have performed both neutron elastic and inelastic scattering to show that the temperature dependence of both the diffuse and phonon scattering in PZN and PMN is very similar. Both compounds show a nearly identical recovery of the soft optic mode and a broadening of the acoustic mode below $T_{c}$. The diffuse scattering in PZN is suggestive of an onset at the high temperature Burns temperature similar to that in PMN. In contrast to PMN, we observe a broadening of the Bragg peaks in both the longitudinal and transverse directions below $T_{c}$. We reconcile this additional broadening, not observed in PMN, in terms of structural inhomogeneity in PZN. Based on the strong similarities between PMN and PZN, we suggest that both materials belong to the same universality class and discuss the relaxor transition in terms of the three-dimensional Heisenberg model with cubic anisotropy in a random field.Comment: 11 pages, 10 figures. Updated version after helpful referee comment

Evidence for decay of spin waves above the pseudogap of underdoped YBa2Cu3O6.35

The magnetic spectrum at high energies in heavily underdoped YBa2Cu3O6.35 (Tc=18 K) has been determined throughout the Brillouin zone. At low energy, the scattering forms a cone of spin excitations emanating from the antiferromagnetic (0.5,0.5) wave vector with an acoustic velocity similar to that of insulating cuprates. At high-energy transfers, below the maximum energy of 270 meV at (0.5,0), we observe zone-boundary dispersion much larger and spectral weight loss more extensive than in insulating antiferromagnets. Moreover, we report phenomena not found in insulators, an overall lowering of the zone-boundary energies and a large damping of ~100 meV of the spin excitations at high energies. The energy above which the damping occurs coincides approximately with the gap determined from transport measurements. We propose that as the energy is raised, the spin excitations encounter an extra channel of decay into particle-hole pairs of a continuum that we associate with the pseudogap

Results on correlations and fluctuations from NA49

The large acceptance and high momentum resolution as well as the significant particle identification capabilities of the NA49 experiment at the CERN SPS allow for a broad study of fluctuations and correlations in hadronic interactions. In the first part recent results on event-by-event charge and p_t fluctuations are presented. Charge fluctuations in central Pb+Pb reactions are investigated at three different beam energies (40, 80, and 158 AGeV), while for the p_t fluctuations the focus is put on the system size dependence at 158 AGeV. In the second part recent results on Bose Einstein correlations of h-h- pairs in minimum bias Pb+Pb reactions at 40 and 158 AGeV, as well as of K+K+ and K-K- pairs in central Pb+Pb collisions at 158 AGeV are shown. Additionally, other types of two particle correlations, namely pi p, Lambda p, and Lambda Lambda correlations, have been measured by the NA49 experiment. Finally, results on the energy and system size dependence of deuteron coalescence are discussed.Comment: 10 pages, 12 figures, Presented at Quark Matter 2002, Nantes, France, Corrected error in Eq.

Experimental Study of the Shortest Reset Word of Random Automata

In this paper we describe an approach to finding the shortest reset word of a finite synchronizing automaton by using a SAT solver. We use this approach to perform an experimental study of the length of the shortest reset word of a finite synchronizing automaton. The largest automata we considered had 100 states. The results of the experiments allow us to formulate a hypothesis that the length of the shortest reset word of a random finite automaton with $n$ states and 2 input letters with high probability is sublinear with respect to $n$ and can be estimated as $1.95 n^{0.55}.