Self-organized model for information spread in financial markets

A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on the market structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility correlations, and the fat tail distribution of price returns which is found to cross over to an exponential-type asymptotic decay in different dimensional systems.Comment: 8 pages with 7 EPS figures, LaTeX2e with EPJ class; Eur. Phys. J. B, in pres

Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents $\alpha$ of these power laws are time independent and depend only on the way the elements with very small values are treated. These truncated power laws determine the collective time evolution of the system. In particular the global stochastic fluctuations of the system differ from the normal Gaussian noise according to the time and size scales at which these fluctuations are considered. We describe the ranges in which these fluctuations are parameterized respectively by: the Levy regime $\alpha < 2$, the power law decay with large exponent ($\alpha > 2$), and the exponential decay. Finally we relate these results to the large exponent power laws found in the actual behavior of the stock markets and to the exponential cut-off detected in certain recent measurement.Comment: 9 pages with 5 figures; Proceedings of EPS conference "Applications of Physics in Financial Analysis 2", 13 to 15 July 2000 Liege, Belgium (to appear in Eur. Phys. J. B

Grain boundary dynamics in stripe phases of non potential systems

We describe numerical solutions of two non potential models of pattern formation in nonequilibrium systems to address the motion and decay of grain boundaries separating domains of stripe configurations of different orientations. We first address wavenumber selection because of the boundary, and possible decay modes when the periodicity of the stripe phases is different from the selected wavenumber for a stationary boundary. We discuss several decay modes including long wavelength undulations of the moving boundary as well as the formation of localized defects and their subsequent motion. We find three different regimes as a function of the distance to the stripe phase threshold and initial wavenumber, and then correlate these findings with domain morphology during domain coarsening in a large aspect ratio configuration.Comment: 8 pages, 8 figure

Testing RIAF model for Sgr A* using the size measurements

Recent radio observations by the VLBA at 7 and 3.5 mm produced the high-resolution images of the compact radio source located at the center of our Galaxy--Sgr A*, and detected its wavelength-dependent intrinsic sizes at the two wavelengths. This provides us with a good chance of testing previously-proposed theoretical models for Sgr A*. In this {\em Letter}, we calculate the size based on the radiatively inefficient accretion flow (RIAF) model proposed by Yuan, Quataert & Narayan (2003). We find that the predicted sizes after taking into account the scattering of the interstellar electrons are consistent with the observations. We further predict an image of Sgr A* at 1.3 mm which can be tested by future observations.Comment: 10 pages, 1 figure; accepted by ApJ