A continuous time random walk model for financial distributions

We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time between successive jumps and the corresponding probability density for the magnitude of a jump. We have applied the formalism to data on the US dollar/Deutsche Mark future exchange, finding good agreement between theory and the observed data.Comment: 14 pages, 5 figures, revtex4, submitted for publicatio

Agent oriented modelling of tactical decision making

A key requirement in military simulation is to have executable models of tactical decision-making. Such models are used to simulate the behaviour of human entities such as submarine commanders, fighter pilots and infantry, with a view to producing realistic predictions about tactical outcomes. Tactics specify the means of achieving mission objectives, and should capture both reactive and deliberative behaviour. The lack of a methodology and supporting tools for designing computer-based models of tactics makes them difficult to create, maintain and reuse, and this is now a significant problem in military simulation domains. To address this, we have developed TDF (Tactics Development Framework), a tactics modelling methodology and tool based on the BDI (Beliefs, Desires, Intentions) paradigm, that supports agent-oriented structural modelling of tactics and related artefacts including missions, storylines, goals and plans. The methodology was initially assessed by analysts in the undersea warfare domain, and was subsequently evaluated using a simple scenario in the autonomous unmanned aerial vehicles domain. The latter evaluation involved a comparison with UML designs, indicating that our methodology provides significant benefits to those building and maintaining models of tactical decision-making

Dynamics of Fractures in Quenched Disordered Media

We introduce a model for fractures in quenched disordered media. This model has a deterministic extremal dynamics, driven by the energy function of a network of springs (Born Hamiltonian). The breakdown is the result of the cooperation between the external field and the quenched disorder. This model can be considered as describing the low temperature limit for crack propagation in solids. To describe the memory effects in this dynamics, and then to study the resistance properties of the system we realized some numerical simulations of the model. The model exhibits interesting geometric and dynamical properties, with a strong reduction of the fractal dimension of the clusters and of their backbone, with respect to the case in which thermal fluctuations dominate. This result can be explained by a recently introduced theoretical tool as a screening enhancement due to memory effects induced by the quenched disorder.Comment: 7 pages, 9 Postscript figures, uses revtex psfig.sty, to be published on Phys. Rev.

Master Operators Govern Multifractality in Percolation

Using renormalization group methods we study multifractality in percolation at the instance of noisy random resistor networks. We introduce the concept of master operators. The multifractal moments of the current distribution (which are proportional to the noise cumulants $C_R^{(l)} (x, x^\prime)$ of the resistance between two sites x and $x^\prime$ located on the same cluster) are related to such master operators. The scaling behavior of the multifractal moments is governed exclusively by the master operators, even though a myriad of servant operators is involved in the renormalization procedure. We calculate the family of multifractal exponents ${\psi_l}$ for the scaling behavior of the noise cumulants, $C_R^{(l)} (x, x^\prime) \sim | x - x^\prime |^{\psi_l /\nu}$, where $\nu$ is the correlation length exponent for percolation, to two-loop order.Comment: 6 page

Exact solution of diffusion limited aggregation in a narrow cylindrical geometry

The diffusion limited aggregation model (DLA) and the more general dielectric breakdown model (DBM) are solved exactly in a two dimensional cylindrical geometry with periodic boundary conditions of width 2. Our approach follows the exact evolution of the growing interface, using the evolution matrix E, which is a temporal transfer matrix. The eigenvector of this matrix with an eigenvalue of one represents the system's steady state. This yields an estimate of the fractal dimension for DLA, which is in good agreement with simulations. The same technique is used to calculate the fractal dimension for various values of eta in the more general DBM model. Our exact results are very close to the approximate results found by the fixed scale transformation approach.Comment: 18 pages RevTex, 6 eps figure

Fractal to Nonfractal Phase Transition in the Dielectric Breakdown Model

A fast method is presented for simulating the dielectric-breakdown model using iterated conformal mappings. Numerical results for the dimension and for corrections to scaling are in good agreement with the recent RG prediction of an upper critical $\eta_c=4$, at which a transition occurs between branching fractal clusters and one-dimensional nonfractal clusters.Comment: 5 pages, 7 figures; corrections to scaling include

Transition from Knudsen to molecular diffusion in activity of absorbing irregular interfaces

We investigate through molecular dynamics the transition from Knudsen to molecular diffusion transport towards 2d absorbing interfaces with irregular geometry. Our results indicate that the length of the active zone decreases continuously with density from the Knudsen to the molecular diffusion regime. In the limit where molecular diffusion dominates, we find that this length approaches a constant value of the order of the system size, in agreement with theoretical predictions for Laplacian transport in irregular geometries. Finally, we show that all these features can be qualitatively described in terms of a simple random-walk model of the diffusion process.Comment: 4 pages, 4 figure

Noisy random resistor networks: renormalized field theory for the multifractal moments of the current distribution

We study the multifractal moments of the current distribution in randomly diluted resistor networks near the percolation treshold. When an external current is applied between to terminals $x$ and $x^\prime$ of the network, the $l$th multifractal moment scales as $M_I^{(l)} (x, x^\prime) \sim | x - x^\prime |^{\psi_l /\nu}$, where $\nu$ is the correlation length exponent of the isotropic percolation universality class. By applying our concept of master operators [Europhys. Lett. {\bf 51}, 539 (2000)] we calculate the family of multifractal exponents $\{\psi_l \}$ for $l \geq 0$ to two-loop order. We find that our result is in good agreement with numerical data for three dimensions.Comment: 30 pages, 6 figure

I am a total failure: associations between beliefs and anxiety and depression in patients with inflammatory bowel disease with poor mental quality of life

Background: According to cognitive behavioural theory, cognitive factors (i.e. underlying general dysfunctional beliefs and (situation) specific illness beliefs) are theorized to lead to outcomes like anxiety and depression. In clinical practice, general dysfunctional beliefs are generally not tackled directly in short-term-therapy. Aims: The goal of the present study was to investigate the associations of general versus specific illness beliefs on anxiety and depressive symptoms and psychiatric disorders among a subgroup of patients with inflammatory bowel disease (IBD) with poor mental quality of life (QoL). Method: This study concerns cross-sectional data, collected at baseline from a randomized clinical trial. One hundred and eighteen patients, recruited at four Dutch hospitals, with poor QoL (score <= 23 on the mental health subscale of the Short-Form 36-item Health-Survey; SF-36) were included. General dysfunctional beliefs were measured by the Dysfunctional Attitude Scale (DAS), specific illness beliefs by the Illness Perceptions Questionnaire-Revised (IPQ-R), anxiety and depressive symptoms by the Hospital Anxiety and Depression Scale (HADS), and psychiatric disorders by the Structured Clinical Interview for DSM-IV Axis-I Disorders (SCID-I). Results: Univariate analyses showed associations between the level of anxiety and/or depression and general dysfunctional beliefs and four specific illness beliefs (consequences, personal control, emotional representations and treatment control). Among patients with IBD with psychiatric disorders, only the DAS was significantly associated with anxiety and depression (DAS added to IPQ-R and IPQ-R added to DAS). Conclusions: Psychological interventions may have to target general dysfunctional beliefs of patients with IBD with co-morbid psychiatric disorders to be effective. These patients with IBD are especially in need of psychological treatment.Health and self-regulatio

Effective RFID-based object tracking for manufacturing

International audienceAbstract Automated Identification and in particular, Radio Frequency Identification (RFID) promises to assist with the automation of mass customised production processes by simplifying the retrieval, tracking and usage of highly specialised components. RFID has long been used to gather a history or trace of object movements, but its use as an integral part of the automated control process is yet to be fully exploited. Such (automated) use places stringent demands on the quality of the sensor data collected and the method used to interpret that data. In particular, this paper focuses on the issue of correctly identifying, tracking and dealing with aggregated objects in customised production with the use of RFID. In particular, this work presents approaches for making best use of RFID data in this context. The presented approach is evaluated in the context of a laboratory manufacturing system that produces customised gift boxes