44 research outputs found
Strategies used as spectroscopy of financial markets reveal new stylized facts
We propose a new set of stylized facts quantifying the structure of financial
markets. The key idea is to study the combined structure of both investment
strategies and prices in order to open a qualitatively new level of
understanding of financial and economic markets. We study the detailed order
flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This
enormous dataset allows us to compare (i) a closed national market (A-shares)
with an international market (B-shares), (ii) individuals and institutions and
(iii) real investors to random strategies with respect to timing that share
otherwise all other characteristics. We find that more trading results in
smaller net return due to trading frictions. We unveiled quantitative power
laws with non-trivial exponents, that quantify the deterioration of performance
with frequency and with holding period of the strategies used by investors.
Random strategies are found to perform much better than real ones, both for
winners and losers. Surprising large arbitrage opportunities exist, especially
when using zero-intelligence strategies. This is a diagnostic of possible
inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl
Quantum Fluctuation Theorems
Recent advances in experimental techniques allow one to measure and control
systems at the level of single molecules and atoms. Here gaining information
about fluctuating thermodynamic quantities is crucial for understanding
nonequilibrium thermodynamic behavior of small systems. To achieve this aim,
stochastic thermodynamics offers a theoretical framework, and nonequilibrium
equalities such as Jarzynski equality and fluctuation theorems provide key
information about the fluctuating thermodynamic quantities. We review the
recent progress in quantum fluctuation theorems, including the studies of
Maxwell's demon which plays a crucial role in connecting thermodynamics with
information.Comment: As a chapter of: F. Binder, L. A. Correa, C. Gogolin, J. Anders, and
G. Adesso (eds.), "Thermodynamics in the quantum regime - Fundamental Aspects
and New Directions", (Springer International Publishing, 2018
Spectral correlations in a random distributed feedback fibre laser
Random distributed feedback fibre lasers belong to the class of random lasers, where the feedback is provided by amplified Rayleigh scattering on sub-micron refractive index inhomogenities randomly distributed over the fibre length. Despite the elastic nature of Rayleigh scattering, the feedback mechanism has been insofar deemed incoherent, which corresponds to the commonly observed smooth generation spectra. Here, using a real-time spectral measurement technique based on a scanning Fabry-Pérot interferometer, we observe long-living narrowband components in the random fibre laser's spectrum. Statistical analysis of the ∼104 single-scan spectra reveals a preferential interspacing for the components and their anticorrelation in intensities. Furthermore, using mutual information analysis, we confirm the existence of nonlinear correlations between different parts of the random fibre laser spectra. The existence of such narrowband spectral components, together with their observed correlations, establishes a long-missing parallel between the fields of random fibre lasers and conventional random lasers
Phenomenological analysis of ATP dependence of motor protein
In this study, through phenomenological comparison of the velocity-force data
of processive motor proteins, including conventional kinesin, cytoplasmic
dynein and myosin V, we found that, the ratio between motor velocities of two
different ATP concentrations is almost invariant for any substall, superstall
or negative external loads. Therefore, the velocity of motor can be well
approximated by a Michaelis-Menten like formula V=\atp k(F)L/(\atp +K_M),
with the step size, and the external load dependent rate of one
mechanochemical cycle of motor motion in saturated ATP solution. The difference
of Michaelis-Menten constant for substall, superstall and negative
external load indicates, the ATP molecule affinity of motor head for these
three cases are different, though the expression of as a function of
might be unchanged for any external load . Verifications of this
Michaelis-Menten like formula has also been done by fitting to the recent
experimental data
Second law, entropy production, and reversibility in thermodynamics of information
We present a pedagogical review of the fundamental concepts in thermodynamics
of information, by focusing on the second law of thermodynamics and the entropy
production. Especially, we discuss the relationship among thermodynamic
reversibility, logical reversibility, and heat emission in the context of the
Landauer principle and clarify that these three concepts are fundamentally
distinct to each other. We also discuss thermodynamics of measurement and
feedback control by Maxwell's demon. We clarify that the demon and the second
law are indeed consistent in the measurement and the feedback processes
individually, by including the mutual information to the entropy production.Comment: 43 pages, 10 figures. As a chapter of: G. Snider et al. (eds.),
"Energy Limits in Computation: A Review of Landauer's Principle, Theory and
Experiments
DFT-inspired methods for quantum thermodynamics
In the framework of quantum thermodynamics, we propose a method to
quantitatively describe thermodynamic quantities for out-of-equilibrium
interacting many-body systems. The method is articulated in various
approximation protocols which allow to achieve increasing levels of accuracy,
it is relatively simple to implement even for medium and large number of
interactive particles, and uses tools and concepts from density functional
theory. We test the method on the driven Hubbard dimer at half filling, and
compare exact and approximate results. We show that the proposed method
reproduces the average quantum work to high accuracy: for a very large region
of parameter space (which cuts across all dynamical regimes) estimates are
within 10% of the exact results
Non-cooperative Brownian donkeys: A solvable 1D model
de Cisneros BJ, Reimann P, Parrondo JMR. Non-cooperative Brownian donkeys: A solvable 1D model. EUROPHYSICS LETTERS. 2003;64(5):599-605.A paradigmatic 1D model for Brownian motion in a spatially symmetric, periodic system is tackled analytically. Upon application of an external static force F the system's response is an average current which is positive for F 0 ( absolute negative mobility). Under suitable conditions, the system approaches 100% efficiency when working against the external force F