Mean Field Limit of a Behavioral Financial Market Model

In the past decade there has been a growing interest in agent-based econophysical financial market models. The goal of these models is to gain further insights into stylized facts of financial data. We derive the mean field limit of the econophysical model by Cross, Grinfeld, Lamba and Seaman (Physica A, 354) and show that the kinetic limit is a good approximation of the original model. Our kinetic model is able to replicate some of the most prominent stylized facts, namely fat-tails of asset returns, uncorrelated stock price returns and volatility clustering. Interestingly, psychological misperceptions of investors can be accounted to be the origin of the appearance of stylized facts. The mesoscopic model allows us to study the model analytically. We derive steady state solutions and entropy bounds of the deterministic skeleton. These first analytical results already guide us to explanations for the complex dynamics of the model

Learn with SAT to Minimize B\"uchi Automata

We describe a minimization procedure for nondeterministic B\"uchi automata (NBA). For an automaton A another automaton A_min with the minimal number of states is learned with the help of a SAT-solver. This is done by successively computing automata A' that approximate A in the sense that they accept a given finite set of positive examples and reject a given finite set of negative examples. In the course of the procedure these example sets are successively increased. Thus, our method can be seen as an instance of a generic learning algorithm based on a "minimally adequate teacher" in the sense of Angluin. We use a SAT solver to find an NBA for given sets of positive and negative examples. We use complementation via construction of deterministic parity automata to check candidates computed in this manner for equivalence with A. Failure of equivalence yields new positive or negative examples. Our method proved successful on complete samplings of small automata and of quite some examples of bigger automata. We successfully ran the minimization on over ten thousand automata with mostly up to ten states, including the complements of all possible automata with two states and alphabet size three and discuss results and runtimes; single examples had over 100 states.Comment: In Proceedings GandALF 2012, arXiv:1210.202

Driven optical lattices as strong-field simulators

We argue that ultracold atoms in strongly shaken optical lattices can be subjected to conditions similar to those experienced by electrons in laser-irradiated crystalline solids, but without introducing secondary polarization effects. As a consequence one can induce nonperturbative multiphoton-like resonances due to the mutual penetration of ac-Stark-shifted Bloch bands. These phenomena can be detected with a combination of currently available laboratory techniques.Comment: 5 pages, 5 figure

Promotion on oscillating and alternating tableaux and rotation of matchings and permutations

Using Henriques' and Kamnitzer's cactus groups, Sch\"utzenberger's promotion and evacuation operators on standard Young tableaux can be generalised in a very natural way to operators acting on highest weight words in tensor products of crystals. For the crystals corresponding to the vector representations of the symplectic groups, we show that Sundaram's map to perfect matchings intertwines promotion and rotation of the associated chord diagrams, and evacuation and reversal. We also exhibit a map with similar features for the crystals corresponding to the adjoint representations of the general linear groups. We prove these results by applying van Leeuwen's generalisation of Fomin's local rules for jeu de taquin, connected to the action of the cactus groups by Lenart, and variants of Fomin's growth diagrams for the Robinson-Schensted correspondence

MODELLING THE EFFECTS OF EU SUGAR MARKET LIBERALIZATION ON AREA ALLOCATION, PRODUCTION AND TRADE

This paper presents a partial equilibrium simulation analysis of EU sugar market reforms with a version of the European Simulation Model (ESIM) addressing three issues: preferential EU imports are a function of the price differential between world market and EU price, EU supply functions are estimated based on FADN data, and the production of bioethanol in the EU and the rest of the world is taken into account as an important component in sugar beet and sugar cane demand. It is found that the current sugar market reform including the restructuring process until the end of 2007 is sufficient to allow the EU to comply with its WTO commitments only very narrowly. EU sugar supply is simulated to decrease from roughly 19 million tons in the base period to 15.5 million tons by 2015 and the EU price remains at a level of about 450 €/t and thus significantly above the reference price. In case of full liberalization production in the EU is projected to decrease to 7.5 million tonnes by 2015.Sugar, Common Agricultural Policy, Sugar Market Reform, Partial Equilibrium Modelling, Everything But Arms, Agricultural and Food Policy, Crop Production/Industries, International Relations/Trade,

Simultaneous description of bulk and interfacial properties of fluids by the Mie potential

The vapor-liquid equilibrium (VLE) of the Mie potential, where the dispersive exponent is constant (m = 6) while the repulsive exponent n is varied between 9 and 48, is systematically investigated by molecular simulation. For systems with planar vapor-liquid interfaces, long-range correction expressions are derived, so that interfacial and bulk properties can be computed accurately. The present simulation results are found to be consistent with the available body of literature on the Mie fluid which is substantially extended. On the basis of correlations for the considered thermodynamic properties, a multicriteria optimization becomes viable. Thereby, users can adjust the three parameters of the Mie potential to the properties of real fluids, weighting different thermodynamic properties according to their importance for a particular application scenario. In the present work, this is demonstrated for carbon dioxide for which different competing objective functions are studied which describe the accuracy of the model for representing the saturated liquid density, the vapor pressure and the surface tension. It is shown that models can be found which describe simultaneously the saturated liquid density and vapor pressure with good accuracy, and it is discussed to what extent this accuracy can be upheld as the model accuracy for the surface tension is further improved