Experiments on Internet Response

This paper suggests a generalized distribution of response times to new information $\sim t^{-b}$ for human populations in the absence of deadlines. This has important implications for psychological and social studies as well the study of dynamical networks such as the WWW.Comment: 4 figures 6 page

Characterization of large price variations in financial markets

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) of returns. Previous results have shown that the vast majority of drawdowns occurring on the major financial markets have a distribution which is well-represented by a stretched exponential, while the largest drawdowns are occurring with a significantly larger rate than predicted by the bulk of the distribution and should thus be characterized as outliers. In the present analysis, the definition of drawdowns is generalised to coarse-grained drawdowns or so-called epsilon-drawdowns and a link between such epsilon-outliers and preceding log-periodic power law bubbles previously identified is established.Comment: 7 pages and 5 figures. To be published in Physica A, Proceedings of International Econophysics Conference, Bali, August 28-31, 200

Large financial crashes

We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We extend our previous renormalization group model of stock market prices prior to and after crashes [D. Sornette et al., J.Phys.I France 6, 167, 1996] by including the first non-linear correction. This predicts the existence of a log-frequency shift over time in the log-periodic oscillations prior to a crash. This is tested on the two largest historical crashes of the century, the october 1929 and october 1987 crashes, by fitting the stock market index over an interval of 8 years prior to the crashes. The good quality of the fits, as well as the consistency of the parameter values obtained from the two crashes, promote the theory that crashes have their origin in the collective ``crowd'' behavior of many interacting agents.Comment: 14 pages and 4 figures. To be published in Physica

Influence of the water content in protoplanetary discs on planet migration and formation

The temperature and density profiles of protoplanetary discs depend crucially on the mass fraction of micrometre-sized dust grains and on their chemical composition. A larger abundance of micrometre-sized grains leads to an overall heating of the disc, so that the water ice line moves further away from the star. An increase in the water fraction inside the disc, maintaining a fixed dust abundance, increases the temperature in the icy regions of the disc and lowers the temperature in the inner regions. Discs with a larger silicate fraction have the opposite effect. Here we explore the consequence of the dust composition and abundance for the formation and migration of planets. We find that discs with low water content can only sustain outwards migration for planets up to 4 Earth masses, while outwards migration in discs with a larger water content persists up to 8 Earth masses in the late stages of the disc evolution. Icy planetary cores that do not reach run-away gas accretion can thus migrate to orbits close to the host star if the water abundance is low. Our results imply that hot and warm super-Earths found in exoplanet surveys could have formed beyond the ice line and thus contain a significant fraction in water. These water-rich super-Earths should orbit primarily around stars with a low oxygen abundance, where a low oxygen abundance is caused by either a low water-to-silicate ratio or by overall low metallicity.Comment: 15 pages, 12 figures, accepted by A&

The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash

The Nasdaq Composite fell another $\approx 10$ on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: the belief in what was coined a ``New Economy'' both in 1929 and presently made share-prices of companies with three digits price-earning ratios soar. Furthermore, we show that the largest draw downs of the Nasdaq are outliers with a confidence level better than 99% and that these two speculative bubbles, as well as others, both nicely fit into the quantitative framework proposed by the authors in a series of recent papers.Comment: 15 pages including 7 figures. Accepted in Eur. Phys. J. The revised version contains significant parametric and non-parametric statistical tests which establishes the outlier nature of the largest market events and provides an objective definition of a cras

Critical Crashes

We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998 global market events and on the 1985 Forex event, for the hypothesis advanced four years ago that stock market crashes are caused by the slow buildup of long-range correlations between traders leading to a collapse of the stock market in one critical instant. We qualify the log-periodic oscillations using a novel non-parametric method that does not rely on any fit: the corresponding log-periodogram exhibits a strong statistically significant peak for all six crashes examined, pointing at approximately the same prefered scaling ratio around 2.Comment: 7 pages, 5 figure

Critical Ruptures

The fracture of materials is a catastrophic phenomenon of considerable technological and scientific importance. Here, we analysed experiments designed for industrial applications in order to test the concept that, in heterogeneous materials such as fiber composites, rocks, concrete under compression and materials with large distributed residual stresses, rupture is a genuine critical point, i.e. the culmination of a self-organization of damage and cracking characterized by power law signatures. Specifically, we analyse the acoustic emissions recorded during the pressurisation of spherical tanks of kevlar or carbon fibers pre-impregnated in a resin matrix wrapped up around a thin metallic liner (steel or titanium) fabricated and instrumented by A\'erospatiale-Matra Inc. These experiments are performed as part of a routine industrial procedure which tests the quality of the tanks prior to shipment and varies in nature. We find that the seven acoustic emission recordings of seven pressure tanks which was brought to rupture exhibit clear acceleration in agreement with a power law ``divergence'' expected from the critical point theory. In addition, we find strong evidence of log-periodic corrections that quantify the intermittent succession of accelerating bursts and quiescent phases of the acoustic emissions on the approach to rupture. An improved model accounting for the cross-over from the non-critical to the critical region close to the rupture point exhibits interesting predictive potential.Comment: 24 pages including 50 figure

Modeling the Stock Market prior to large crashes

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, ``bounded rationality'' and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which follows the above requirements outperforms the other with a high statistical significance.Comment: 18 pages with 4 figures. Submitted to Eur.Phys.