Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.Comment: 15 pages, as presented at the Complexity Workshop in Aix-en-Provenc

Validation of magnetophonon spectroscopy as a tool for analyzing hot-electron effects in devices

It is shown that very high precision hot-electron magnetophonon experiments made on n+n−n+-GaAs sandwich device structures which are customized for magnetoresistance measurements can be very accurately modeled by a new Monte Carlo technique. The latter takes account of the Landau quantization and device architecture as well as material parameters. It is proposed that this combination of experiment and modeling yields a quantitative tool for the direct analysis of spatially localized very nonequilibrium electron distributions in small devices and low dimensional structures

Simulation of phosphorus implantation into silicon with a single-parameter electronic stopping power model

We simulate dopant profiles for phosphorus implantation into silicon using a new model for electronic stopping power. In this model, the electronic stopping power is factorized into a globally averaged effective charge Z1*, and a local charge density dependent electronic stopping power for a proton. There is only a single adjustable parameter in the model, namely the one electron radius rs0 which controls Z1*. By fine tuning this parameter, we obtain excellent agreement between simulated dopant profiles and the SIMS data over a wide range of energies for the channeling case. Our work provides a further example of implant species, in addition to boron and arsenic, to verify the validity of the electronic stopping power model and to illustrate its generality for studies of physical processes involving electronic stopping.Comment: 11 pages, 7 figures. See http://bifrost.lanl.gov/~reed

First Passage Properties of the Erdos-Renyi Random Graph

We study the mean time for a random walk to traverse between two arbitrary sites of the Erdos-Renyi random graph. We develop an effective medium approximation that predicts that the mean first-passage time between pairs of nodes, as well as all moments of this first-passage time, are insensitive to the fraction p of occupied links. This prediction qualitatively agrees with numerical simulations away from the percolation threshold. Near the percolation threshold, the statistically meaningful quantity is the mean transit rate, namely, the inverse of the first-passage time. This rate varies non-monotonically with p near the percolation transition. Much of this behavior can be understood by simple heuristic arguments.Comment: 10 pages, 9 figures, 2-column revtex4 forma

Modelling fluid flow in complex natural fault zones. Implications for natural and human-induced earthquake nucleation

Pore fluid overpressures in active fault systems can drive fluid flow and cause fault weakening and seismicity. In return, deformation accommodated by different modes of failure (e.g. brittle vs. ductile) also affects fault zone permeability and, hence, fluid flow and pore fluid pressure distribution. Current numerical simulation techniques model how fluid flow controls fault reactivation and associated seismicity. However, the control exerted by pore fluid pressure on the transition from slow aseismic fault sliding to fast seismic sliding, during the earthquake nucleation phase, is still poorly understood. Here, we model overpressured, supercritical CO2 fluid flow in natural faults, where non-linear, complex feedback between fluid flow, fluid pressure and fault deformation controls the length of the nucleation phase of an earthquake and the duration of the interseismic period. The model setup is an analogue for recent seismic source events in the Northern Apennines of Italy (e.g. Mw 6.0 1997-98 Colfiorito and Mw 6.5 2016 Norcia earthquakes). Our modelling results of Darcy fluid flow show that the duration of the nucleation phase can be reduced by orders of magnitude, when realistic models of fault zone architecture and pore pressure- and deformation-dependent permeability are considered. In particular, earthquake nucleation phase duration can drop from more than 10 years to a few days/minutes, while the seismic moment can decrease by a factor of 6. Notably, the moment of aseismic slip (M0=109Nm) obtained during the nucleation phase modelled in our study is of the same order as the detection limit of local strain measurements using strain meters. These findings have significant implications for earthquake early warning systems, as the duration and moment of the nucleation phase will affect the likelihood of timely precursory signal detection. Interestingly, aseismic slip has been measured up to a few months before some recent large earthquakes, although in a different tectonic context than the model developed here, rekindling interest in the nucleation phase of earthquakes. In addition, our results have important implications for short and long term earthquake forecasting, as crustal fluid migration during the interseismic period may control fault strength and earthquake recurrence intervals

Experimental evidence of a dynamic Jahn-Teller effect in C+60.

Detailed analysis of the highest occupied molecular orbital band shape in the photoelectron spectrum of gaseous C60 reveals a dynamic Jahn-Teller effect in the ground state of C+60. The direct observation of three tunneling states asserts a D3d geometry for the isolated cation, originating from a strong vibronic coupling. These results show that the ionic motion plays an important role in the electron-phonon interaction

Velocity-resolved [CII] emission and [CII]/FIR Mapping along Orion with Herschel

We present the first 7.5'x11.5' velocity-resolved map of the [CII]158um line toward the Orion molecular cloud-1 (OMC-1) taken with the Herschel/HIFI instrument. In combination with far-infrared (FIR) photometric images and velocity-resolved maps of the H41alpha hydrogen recombination and CO J=2-1 lines, this data set provides an unprecedented view of the intricate small-scale kinematics of the ionized/PDR/molecular gas interfaces and of the radiative feedback from massive stars. The main contribution to the [CII] luminosity (~85%) is from the extended, FUV-illuminated face of the cloud G_0>500, n_H>5x10^3 cm^-3) and from dense PDRs (G_0~10^4, n_H~10^5 cm^-3) at the interface between OMC-1 and the HII region surrounding the Trapezium cluster. Around 15% of the [CII] emission arises from a different gas component without CO counterpart. The [CII] excitation, PDR gas turbulence, line opacity (from [13CII]) and role of the geometry of the illuminating stars with respect to the cloud are investigated. We construct maps of the [CII]/FIR and FIR/M_Gas ratios and show that [CII]/FIR decreases from the extended cloud component (10^-2-10^-3) to the more opaque star-forming cores (10^-3-10^-4). The lowest values are reminiscent of the "[CII] deficit" seen in local ultra-luminous IR galaxies hosting vigorous star formation. Spatial correlation analysis shows that the decreasing [CII]/FIR ratio correlates better with the column density of dust through the molecular cloud than with FIR/M_Gas. We conclude that the [CII] emitting column relative to the total dust column along each line of sight is responsible for the observed [CII]/FIR variations through the cloud.Comment: 21 pages, 17 figures. Accepted for publication in the Astrophysical Journal (2015 August 12). Figures 2, 6 and 7 are bitmapped to lower resolution. This is version 2 after minor editorial changes. Notes added after proofs include

Far infrared mapping of three Galactic star forming regions : W3(OH), S 209 & S 187

Three Galactic star forming regions associated with W3(OH), S209 and S187 have been simultaneously mapped in two trans-IRAS far infrared (FIR) bands centered at ~ 140 and 200 micron using the TIFR 100 cm balloon borne FIR telescope. These maps show extended FIR emission with structures. The HIRES processed IRAS maps of these regions at 12, 25, 60 & 100 micron have also been presented for comparison. Point-like sources have been extracted from the longest waveband TIFR maps and searched for associations in the other five bands. The diffuse emission from these regions have been quantified, which turns out to be a significant fraction of the total emission. The spatial distribution of cold dust (T < 30 K) for two of these sources (W3(OH) & S209), has been determined reliably from the maps in TIFR bands. The dust temperature and optical depth maps show complex morphology. In general the dust around S209 has been found to be warmer than that in W3(OH) region.Comment: Accepted for publication in Journal of Astrophysics and Astronomy (20 pages including 8 figures & 3 tables

A Search for Small-Scale Clumpiness in Dense Cores of Molecular Clouds

We have analyzed HCN(1-0) and CS(2-1) line profiles obtained with high signal-to-noise ratios toward distinct positions in three selected objects in order to search for small-scale structure in molecular cloud cores associated with regions of high-mass star formation. In some cases, ripples were detected in the line profiles, which could be due to the presence of a large number of unresolved small clumps in the telescope beam. The number of clumps for regions with linear scales of ~0.2-0.5 pc is determined using an analytical model and detailed calculations for a clumpy cloud model; this number varies in the range: ~2 10^4-3 10^5, depending on the source. The clump densities range from ~3 10^5-10^6 cm^{-3}, and the sizes and volume filling factors of the clumps are ~(1-3) 10^{-3} pc and ~0.03-0.12. The clumps are surrounded by inter-clump gas with densities not lower than ~(2-7) 10^4 cm^{-3}. The internal thermal energy of the gas in the model clumps is much higher than their gravitational energy. Their mean lifetimes can depend on the inter-clump collisional rates, and vary in the range ~10^4-10^5 yr. These structures are probably connected with density fluctuations due to turbulence in high-mass star-forming regions.Comment: 23 pages including 4 figures and 4 table