3,214 research outputs found
Nonlinear Volatility of River Flux Fluctuations
We study the spectral properties of the magnitudes of river flux increments,
the volatility. The volatility series exhibits (i) strong seasonal periodicity
and (ii) strongly power-law correlations for time scales less than one year. We
test the nonlinear properties of the river flux increment series by randomizing
its Fourier phases and find that the surrogate volatility series (i) has almost
no seasonal periodicity and (ii) is weakly correlated for time scales less than
one year. We quantify the degree of nonlinearity by measuring (i) the amplitude
of the power spectrum at the seasonal peak and (ii) the correlation power-law
exponent of the volatility series.Comment: 5 revtex pages, 6 page
Fractional derivatives of random walks: Time series with long-time memory
We review statistical properties of models generated by the application of a
(positive and negative order) fractional derivative operator to a standard
random walk and show that the resulting stochastic walks display
slowly-decaying autocorrelation functions. The relation between these
correlated walks and the well-known fractionally integrated autoregressive
(FIGARCH) models, commonly used in econometric studies, is discussed. The
application of correlated random walks to simulate empirical financial times
series is considered and compared with the predictions from FIGARCH and the
simpler FIARCH processes. A comparison with empirical data is performed.Comment: 10 pages, 14 figure
Electron affinity of Li: A state-selective measurement
We have investigated the threshold of photodetachment of Li^- leading to the
formation of the residual Li atom in the state. The excited residual
atom was selectively photoionized via an intermediate Rydberg state and the
resulting Li^+ ion was detected. A collinear laser-ion beam geometry enabled
both high resolution and sensitivity to be attained. We have demonstrated the
potential of this state selective photodetachment spectroscopic method by
improving the accuracy of Li electron affinity measurements an order of
magnitude. From a fit to the Wigner law in the threshold region, we obtained a
Li electron affinity of 0.618 049(20) eV.Comment: 5 pages,6 figures,22 reference
A Multi Agent Model for the Limit Order Book Dynamics
In the present work we introduce a novel multi-agent model with the aim to
reproduce the dynamics of a double auction market at microscopic time scale
through a faithful simulation of the matching mechanics in the limit order
book. The agents follow a noise decision making process where their actions are
related to a stochastic variable, "the market sentiment", which we define as a
mixture of public and private information. The model, despite making just few
basic assumptions over the trading strategies of the agents, is able to
reproduce several empirical features of the high-frequency dynamics of the
market microstructure not only related to the price movements but also to the
deposition of the orders in the book.Comment: 20 pages, 11 figures, in press European Physical Journal B (EPJB
Long-range correlation and multifractality in Bach's Inventions pitches
We show that it can be considered some of Bach pitches series as a stochastic
process with scaling behavior. Using multifractal deterend fluctuation analysis
(MF-DFA) method, frequency series of Bach pitches have been analyzed. In this
view we find same second moment exponents (after double profiling) in ranges
(1.7-1.8) in his works. Comparing MF-DFA results of original series to those
for shuffled and surrogate series we can distinguish multifractality due to
long-range correlations and a broad probability density function. Finally we
determine the scaling exponents and singularity spectrum. We conclude fat tail
has more effect in its multifractality nature than long-range correlations.Comment: 18 page, 6 figures, to appear in JSTA
An integrated approach to the assessment of long range correlation in time series data
To assess whether a given time series can be modeled by a stochastic process
possessing long range correlation one usually applies one of two types of
analysis methods: the spectral method and the random walk analysis. The first
objective of this work is to show that each one of these methods used alone can
be susceptible to producing false results. We thus advocate an integrated
approach which requires the use of both methods in a consistent fashion. We
provide the theoretical foundation of this approach and illustrate the main
ideas using examples. The second objective relates to the observation of long
range anticorrelation (Hurst exponent H < 1/2) in real world time series data.
The very peculiar nature of such processes is emphasized in light of the
stringent condition under which such processes can occur. Using examples we
discuss the possible factors that could contribute to the false claim of long
range anticorrelations and demonstrate the particular importance of the
integrated approach in this case.Comment: 15 pages, 33 figure
Widespread Wolbachia infection in an insular radiation of damselflies (Odonata, Coenagrionidae)
Wolbachia is one of the most common endosymbionts found infecting arthropods. Theory predicts symbionts like Wolbachia will be more common in species radiations, as host shift events occur with greatest frequency between closely related species. Further, the presence of Wolbachia itself may engender reproductive isolation, and promote speciation of their hosts. Here we screened 178 individuals belonging to 30 species of the damselfly genera Nesobasis and Melanesobasis — species radiations endemic to the Fiji archipelago in the South Pacific — for Wolbachia, using multilocus sequence typing to characterize bacterial strains. Incidence of Wolbachia was 71% in Nesobasis and 40% in Melanesobasis, and prevalence was also high, with an average of 88% in the Nesobasis species screened. We identified a total of 25 Wolbachia strains, belonging to supergroups A, B and F, with some epidemic strains present in multiple species. The occurrence of Wolbachia in both males and females, and the similar global prevalence found in both sexes rules out any strong effect of Wolbachia on the primary sex-ratio, but are compatible with the phenotype of cytoplasmic incompatibility. Nesobasis has higher species richness than most endemic island damselfly genera, and we discuss the potential for endosymbiont-mediated speciation within this group.Ministerio de Ciencia e InnovaciĂłn | Ref. CGL2008-02799Ministerio de EconomĂa y Competitividad | Ref. CGL2014-53140-
Multifractality in Human Heartbeat Dynamics
Recent evidence suggests that physiological signals under healthy conditions
may have a fractal temporal structure. We investigate the possibility that time
series generated by certain physiological control systems may be members of a
special class of complex processes, termed multifractal, which require a large
number of exponents to characterize their scaling properties. We report on
evidence for multifractality in a biological dynamical system --- the healthy
human heartbeat. Further, we show that the multifractal character and nonlinear
properties of the healthy heart rate are encoded in the Fourier phases. We
uncover a loss of multifractality for a life-threatening condition, congestive
heart failure.Comment: 19 pages, latex2e using rotate and epsf, with 5 ps figures; to appear
in Nature, 3 June, 199
Fermions and Disorder in Ising and Related Models in Two Dimensions
The aspects of phase transitions in the two-dimensional Ising models modified
by quenched and annealed site disorder are discussed in the framework of
fermionic approach based on the reformulation of the problem in terms of
integrals with anticommuting Grassmann variables.Comment: 11 pages, 1 table, no figures. The discussion is merely based on a
talk given at the International Bogoliubov Conference on Problems of
Theoretical and Mathematical Physics, MIRAS--JINR, Moscow--Dubna, Russia,
August 21--27, 200
Emotional persistence in online chatting communities
How do users behave in online chatrooms, where they instantaneously read and
write posts? We analyzed about 2.5 million posts covering various topics in
Internet relay channels, and found that user activity patterns follow known
power-law and stretched exponential distributions, indicating that online chat
activity is not different from other forms of communication. Analysing the
emotional expressions (positive, negative, neutral) of users, we revealed a
remarkable persistence both for individual users and channels. I.e. despite
their anonymity, users tend to follow social norms in repeated interactions in
online chats, which results in a specific emotional "tone" of the channels. We
provide an agent-based model of emotional interaction, which recovers
qualitatively both the activity patterns in chatrooms and the emotional
persistence of users and channels. While our assumptions about agent's
emotional expressions are rooted in psychology, the model allows to test
different hypothesis regarding their emotional impact in online communication.Comment: 34 pages, 4 main and 12 supplementary figure
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