A simple model of price formation

A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site, but spreads outward from the center to the neighbors. The model thus describes the spread of opinions among traders. It is shown via standard Monte Carlo simulations that very simple rules lead to dynamics that duplicate those of asset prices.Comment: Version 2: 4 pages, 4 figures; added more stringent statistical analysis; to appear in Int. J. Modern Physics C, Vol. 13, No. 1 (2002

Cellular automaton rules conserving the number of active sites

This paper shows how to determine all the unidimensional two-state cellular automaton rules of a given number of inputs which conserve the number of active sites. These rules have to satisfy a necessary and sufficient condition. If the active sites are viewed as cells occupied by identical particles, these cellular automaton rules represent evolution operators of systems of identical interacting particles whose total number is conserved. Some of these rules, which allow motion in both directions, mimic ensembles of one-dimensional pseudo-random walkers. Numerical evidence indicates that the corresponding stochastic processes might be non-Gaussian.Comment: 14 pages, 5 figure

First passage behaviour of fractional Brownian motion in two-dimensional wedge domains

We study the survival probability and the corresponding first passage time density of fractional Brownian motion confined to a two-dimensional open wedge domain with absorbing boundaries. By analytical arguments and numerical simulation we show that in the long time limit the first passage time density scales as t**{-1+pi*(2H-2)/(2*Theta)} in terms of the Hurst exponent H and the wedge angle Theta. We discuss this scaling behaviour in connection with the reaction kinetics of FBM particles in a one-dimensional domain.Comment: 6 pages, 4 figure

Generalized (m,k)-Zipf law for fractional Brownian motion-like time series with or without effect of an additional linear trend

We have translated fractional Brownian motion (FBM) signals into a text based on two ''letters'', as if the signal fluctuations correspond to a constant stepsize random walk. We have applied the Zipf method to extract the $\zeta '$ exponent relating the word frequency and its rank on a log-log plot. We have studied the variation of the Zipf exponent(s) giving the relationship between the frequency of occurrence of words of length $m<8$ made of such two letters: $\zeta '$ is varying as a power law in terms of $m$. We have also searched how the $\zeta '$ exponent of the Zipf law is influenced by a linear trend and the resulting effect of its slope. We can distinguish finite size effects, and results depending whether the starting FBM is persistent or not, i.e. depending on the FBM Hurst exponent $H$. It seems then numerically proven that the Zipf exponent of a persistent signal is more influenced by the trend than that of an antipersistent signal. It appears that the conjectured law $\zeta ' = |2H-1|$ only holds near $H=0.5$. We have also introduced considerations based on the notion of a {\it time dependent Zipf law} along the signal.Comment: 24 pages, 12 figures; to appear in Int. J. Modern Phys

Stochastic Processes Crossing from Ballistic to Fractional Diffusion with Memory: Exact Results

We address the now classical problem of a diffusion process that crosses over from a ballistic behavior at short times to a fractional diffusion (sub- or super-diffusion) at longer times. Using the standard non-Markovian diffusion equation we demonstrate how to choose the memory kernel to exactly respect the two different asymptotics of the diffusion process. Having done so we solve for the probability distribution function (pdf) as a continuous function which evolves inside a ballistically expanding domain. This general solution agrees for long times with the pdf obtained within the continuous random walk approach but it is much superior to this solution at shorter times where the effect of the ballistic regime is crucial

A Complexity View of Rainfall

We show that rain events are analogous to a variety of nonequilibrium relaxation processes in Nature such as earthquakes and avalanches. Analysis of high-resolution rain data reveals that power laws describe the number of rain events versus size and number of droughts versus duration. In addition, the accumulated water column displays scale-less fluctuations. These statistical properties are the fingerprints of a self-organized critical process and may serve as a benchmark for models of precipitation and atmospheric processes.Comment: 4 pages, 5 figure

Scaling Analysis and Evolution Equation of the North Atlantic Oscillation Index Fluctuations

The North Atlantic Oscillation (NAO) monthly index is studied from 1825 till 2002 in order to identify the scaling ranges of its fluctuations upon different delay times and to find out whether or not it can be regarded as a Markov process. A Hurst rescaled range analysis and a detrended fluctuation analysis both indicate the existence of weakly persistent long range time correlations for the whole scaling range and time span hereby studied. Such correlations are similar to Brownian fluctuations. The Fokker-Planck equation is derived and Kramers-Moyal coefficients estimated from the data. They are interpreted in terms of a drift and a diffusion coefficient as in fluid mechanics. All partial distribution functions of the NAO monthly index fluctuations have a form close to a Gaussian, for all time lags, in agreement with the findings of the scaling analyses. This indicates the lack of predictive power of the present NAO monthly index. Yet there are some deviations for large (and thus rare) events. Whence suggestions for other measurements are made if some improved predictability of the weather/climate in the North Atlantic is of interest. The subsequent Langevin equation of the NAO signal fluctuations is explicitly written in terms of the diffusion and drift parameters, and a characteristic time scale for these is given in appendix.Comment: 6 figures, 54 refs., 16 pages; submitted to Int. J. Mod. Phys. C: Comput. Phy

MST Resistive Wall Tearing Mode Simulations

The Madison Symmetric Torus (MST) is a toroidal device that, when operated as a tokamak, is resistant to disruptions. Unlike most tokamaks, the MST plasma is surrounded by a close fitting highly conducting wall, with a resistive wall penetration time two orders of magnitude longer than in JET or DIII-D, and three times longer than in ITER. The MST can operate with edge q_a < 2, unlike standard tokamaks. Simulations presented here indicate that the MST is unstable to resistive wall tearing modes (RWTMs) and resistive wall modes (RWMs). They could in principle cause disruptions, but the predicted thermal quench time is much longer than the experimental pulse time. If the MST thermal quench time were comparable to measurements in JET and DIII-D, theory and simulations predict that disruptions would have been observed in MST. This is consistent with the modeling herein, predicting that disruptions are caused by RWTMs and RWMs. In the low q_a regime of MST, the RWTM asymptotically satisfies the RWM dispersion relation. The transition from RWTM to RWM occurs smoothly at q_a = m/n, where m,n are poloidal and toroidal mode numbers

IMPLEMENTING CATEGORY MANAGEMENT WITHIN THE U.S. MARINE CORPS LOGISTICS COMMAND

The purpose of this research is to conduct a spend analysis on the Marine Corps Logistics Command’s (MARCORLOGCOM) contracting spend data from Fiscal Year (FY) 2007 to FY 2022 to determine if category management (CM) can be implemented to improve the command's contracting procedures. CM is the purchasing strategy that the Department of Defense (DOD) has chosen to implement within its contracting organizations to increase the efficiency and to reduce costs associated with government purchasing. Although the Office of Management and Budget (OMB) directed the implementation of CM in 2014, it has yet to be fully integrated within all DOD contracting strategies. Our research analyzed MARCORLOGCOM's spend to identify trends with regard to product service codes (PSC), contract types, and contractors. Based on the implications of our research, we determined that although it appears MARCORLOGCOM has attempted to implement CM, there are opportunities for the command to expand its use of the strategy. We concluded our research with three recommendations for implementing CM within MARCORLOGCOM which included using multiple award indefinite delivery contracts (IDCs) rather than single award IDCs; expanding the use of IDCs; and increasing coordination, communication and organization among the command contracting units.Marine Corp Logistics CommandOutstanding ThesisCaptain, United States Air ForceCaptain, United States Air ForceCaptain, United States Air ForceApproved for public release. Distribution is unlimited