The Power (Law) of Indian Markets: Analysing NSE and BSE trading statistics

The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India. We find that the price returns in Indian markets follow a fat-tailed cumulative distribution, consistent with a power law having exponent $\alpha \sim 3$, similar to that observed in developed markets. However, the distributions of trading volume and the number of trades have a different nature than that seen in the New York Stock Exchange (NYSE). Further, the price movement of different stocks are highly correlated in Indian markets.Comment: 10 pages, 7 figures, to appear in Proceedings of International Workshop on "Econophysics of Stock Markets and Minority Games" (Econophys-Kolkata II), Feb 14-17, 200

A preliminary study of the effects of vortex diffusers (winglets) on wing flutter

Some experimental flutter results are presented for a simple, flat-plate wing model and for the same wing model equipped with two different upper surface vortex diffusers over the Mach number range from about 0.70 to 0.95. Both vortex diffusers had the same planform, but one weighed about 0.3 percent of the basic wing weight, whereas the other weighed about 1.8 percent of the wing weight. The addition of the lighter vortex diffuser reduced the flutter dynamic pressure by about 3 percent; the heavier vortex diffuser reduced the flutter dynamic pressure by about 12 percent. The experimental flutter results are compared at a Mach number of 0.80 with analytical flutter results obtained by using doublet lattice and lifting surface (Kernel function) unsteady aerodynamic theories

Preliminary study of effects of winglets on wing flutter

Some experimental flutter results are presented over a Mach number range from about 0.70 to 0.95 for a simple, swept, tapered, flat-plate wing model having a planform representative of subsonic transport airplanes and for the same wing model equipped with two different upper surface winglets. Both winglets had the same planform and area (about 2 percent of the basic-wing area); however, one weighed about 0.3 percent of the basic-wing weight, and the other weighed about 1.8 percent of the wing weight. The addition of the lighter winglet reduced the wing-flutter dynamic pressure by about 3 percent; the heavier winglet reduced the wing-flutter dynamic pressure by about 12 percent. The experimental flutter results are compared at a Mach number of 0.80 with analytical flutter results obtained by using doublet-lattice and lifting-surface (kernel-function) unsteady aerodynamic theories

On the size and composition of particles in polar stratospheric clouds

Attenuation measurements of the solar radiation between 1.5 and 15 micron wavelengths were performed with the airborne (DC-8) JPL MARK 4 interferometer during the 1987 Antarctic Expedition. The opacities not only provide information about the abundance of stratospheric gases but also about the optical depths of polar stratospheric clouds (PSCs) at wavelengths of negligible gas absorption (windows). The optical depth of PSCs can be determined for each window once the background attenuation, due to air-molecules and aerosol has been filtered out with a simple extinction law. The ratio of optical thicknesses at different wavelengths reveals information about particle size and particle composition. Among the almost 700 measured spectra only a few PSC cases exist. PSC events are identified by sudden reductions in the spectrally integrated intensity value and are also verified with backscattering data from an upward directed lidar instrument, that was mounted on the DC-8. For the selected case on September 21st at 14.40 GMT, lidar data indicate an optically thin cloud at 18k and later an additional optically thick cloud at 15 km altitude. All results still suffer from: (1) often arbitrary definitions of a clear case, that often already may have contained PSC particles and (2) noise problems that restrict the calculations of optical depths to values larger than 0.001. Once these problems are handled, this instrument may become a valuable tool towards a better understanding of the role PSCs play in the Antarctic stratosphere

Long-range memory model of trading activity and volatility

Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the same long range memory properties. Here we present a stochastic differential equation as a dynamical model of the observed memory in the financial time series. The continuous stochastic process reproduces the statistical properties of the trading activity and serves as a background model for the modeling waiting time, return and volatility. Empirically observed statistical properties: exponents of the power-law probability distributions and power spectral density of the long-range memory financial variables are reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure

Power-laws in recurrence networks from dynamical systems

Recurrence networks are a novel tool of nonlinear time series analysis allowing the characterisation of higher-order geometric properties of complex dynamical systems based on recurrences in phase space, which are a fundamental concept in classical mechanics. In this Letter, we demonstrate that recurrence networks obtained from various deterministic model systems as well as experimental data naturally display power-law degree distributions with scaling exponents $\gamma$ that can be derived exclusively from the systems' invariant densities. For one-dimensional maps, we show analytically that $\gamma$ is not related to the fractal dimension. For continuous systems, we find two distinct types of behaviour: power-laws with an exponent $\gamma$ depending on a suitable notion of local dimension, and such with fixed $\gamma=1$.Comment: 6 pages, 7 figure

Breakdown of the mean-field approximation in a wealth distribution model

One of the key socioeconomic phenomena to explain is the distribution of wealth. Bouchaud and M\'ezard have proposed an interesting model of economy [Bouchaud and M\'ezard (2000)] based on trade and investments of agents. In the mean-field approximation, the model produces a stationary wealth distribution with a power-law tail. In this paper we examine characteristic time scales of the model and show that for any finite number of agents, the validity of the mean-field result is time-limited and the model in fact has no stationary wealth distribution. Further analysis suggests that for heterogeneous agents, the limitations are even stronger. We conclude with general implications of the presented results.Comment: 11 pages, 3 figure

Transonic shock-induced dynamics of a flexible wing with a thick circular-arc airfoil

Transonic shock boundary layer oscillations occur on rigid models over a small range of Mach numbers on thick circular-arc airfoils. Extensive tests and analyses of this phenomena have been made in the past but essentially all of them were for rigid models. A simple flexible wing model with an 18 pct. circular arc airfoil was constructed and tested in the Langley Transonic Dynamics Tunnel to study the dynamic characteristics that a wing might have under these circumstances. In the region of shock boundary layer oscillations, buffeting of the first bending mode was obtained. This mode was well separated in frequency from the shock boundary layer oscillations. A limit cycle oscillation was also measured in a third bending like mode, involving wind vertical bending and splitter plate motion, which was in the frequency range of the shock boundary layer oscillations. Several model configurations were tested, and a few potential fixes were investigated

The benchmark aeroelastic models program: Description and highlights of initial results

An experimental effort was implemented in aeroelasticity called the Benchmark Models Program. The primary purpose of this program is to provide the necessary data to evaluate computational fluid dynamic codes for aeroelastic analysis. It also focuses on increasing the understanding of the physics of unsteady flows and providing data for empirical design. An overview is given of this program and some results obtained in the initial tests are highlighted. The tests that were completed include measurement of unsteady pressures during flutter of rigid wing with a NACA 0012 airfoil section and dynamic response measurements of a flexible rectangular wing with a thick circular arc airfoil undergoing shock boundary layer oscillations

Experimental flutter boundaries with unsteady pressure distributions for the NACA 0012 Benchmark Model

The Structural Dynamics Div. at NASA-Langley has started a wind tunnel activity referred to as the Benchmark Models Program. The objective is to acquire test data that will be useful for developing and evaluating aeroelastic type Computational Fluid Dynamics codes currently in use or under development. The progress is described which was achieved in testing the first model in the Benchmark Models Program. Experimental flutter boundaries are presented for a rigid semispan model (NACA 0012 airfoil section) mounted on a flexible mount system. Also, steady and unsteady pressure measurements taken at the flutter condition are presented. The pressure data were acquired over the entire model chord located at the 60 pct. span station