On-Shell Description of Unsteady Flames

The problem of non-perturbative description of unsteady premixed flames with arbitrary gas expansion is solved in the two-dimensional case. Considering the flame as a surface of discontinuity with arbitrary local burning rate and gas velocity jumps given on it, we show that the front dynamics can be determined without having to solve the flow equations in the bulk. On the basis of the Thomson circulation theorem, an implicit integral representation of the gas velocity downstream is constructed. It is then simplified by a successive stripping of the potential contributions to obtain an explicit expression for the vortex component near the flame front. We prove that the unknown potential component is left bounded and divergence-free by this procedure, and hence can be eliminated using the dispersion relation for its on-shell value (i.e., the value along the flame front). The resulting system of integro-differential equations relates the on-shell fuel velocity and the front position. As limiting cases, these equations contain all theoretical results on flame dynamics established so far, including the linear equation describing the Darrieus-Landau instability of planar flames, and the nonlinear Sivashinsky-Clavin equation for flames with weak gas expansion.Comment: 21 pages, 3 figures; extended discussion of causality, new references adde

Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The scaling laws give an accurate estimation of the length of the price-curve coastline, which turns out to be surprisingly long. The new laws substantially extend the catalogue of stylised facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.Comment: 26 pages, 3 figures, 23 tables,2nd version (text made more concise and readable, algorithm pseudocode, results unchanged), 5-year datasets (USD-JPY, EUR-USD) provided at http://www.olsen.ch/more/datasets

On the small-scale stability of thermonuclear flames in Type Ia supernovae

We present a numerical model which allows us to investigate thermonuclear flames in Type Ia supernova explosions. The model is based on a finite-volume explicit hydrodynamics solver employing PPM. Using the level-set technique combined with in-cell reconstruction and flux-splitting schemes we are able to describe the flame in the discontinuity approximation. We apply our implementation to flame propagation in Chandrasekhar-mass Type Ia supernova models. In particular we concentrate on intermediate scales between the flame width and the Gibson-scale, where the burning front is subject to the Landau-Darrieus instability. We are able to reproduce the theoretical prediction on the growth rates of perturbations in the linear regime and observe the stabilization of the flame in a cellular shape. The increase of the mean burning velocity due to the enlarged flame surface is measured. Results of our simulation are in agreement with semianalytical studies.Comment: 9 pages, 7 figures, Uses AASTEX, emulateapj5.sty, onecolfloat.sty. Replaced with accepted version (ApJ), Figures 1 and 3 are ne

Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws

We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is quantitatively similar to earthquakes and solar flares, which have been described by three empirical laws --- the Omori law, the productivity law, and the Bath law. We analyze the most traded 531 stocks in U.S. markets during the two-year period 2001-2002 at the 1-minute time resolution. We find quantitative relations between (i) the "main shock" magnitude M \equiv \log V(T_{c}) occurring at the time T_{c} of each of the 219 "volatility quakes" analyzed, and (ii) the parameters quantifying the decay of volatility aftershocks as well as the volatility preshocks. We also find that stocks with larger trading activity react more strongly and more quickly to market shocks than stocks with smaller trading activity. Our findings characterize the typical volatility response conditional on M, both at the market and the individual stock scale. We argue that there is potential utility in these three statistical quantitative relations with applications in option pricing and volatility trading.Comment: 16 pages, double column, 13 figures, 1 Table; Changes made in Version 2 in response to referee comment

Determinants of immediate price impacts at the trade level in an emerging order-driven market

The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.Comment: 21 IOP tex pages including 5 figures and 5 tables. Accepted for publication in New Journal of Physic

Sivashinsky equation in a rectangular domain

The (Michelson) Sivashinsky equation of premixed flames is studied in a rectangular domain in two dimensions. A huge number of 2D stationary solutions are trivially obtained by addition of two 1D solutions. With Neumann boundary conditions, it is shown numerically that adding two stable 1D solutions leads to a 2D stable solution. This type of solution is shown to play an important role in the dynamics of the equation with additive noise

Flame front propagation I: The Geometry of Developing Flame Fronts: Analysis with Pole Decomposition

The roughening of expanding flame fronts by the accretion of cusp-like singularities is a fascinating example of the interplay between instability, noise and nonlinear dynamics that is reminiscent of self-fractalization in Laplacian growth patterns. The nonlinear integro-differential equation that describes the dynamics of expanding flame fronts is amenable to analytic investigations using pole decomposition. This powerful technique allows the development of a satisfactory understanding of the qualitative and some quantitative aspects of the complex geometry that develops in expanding flame fronts.Comment: 4 pages, 2 figure

Image Co-localization by Mimicking a Good Detector's Confidence Score Distribution

Given a set of images containing objects from the same category, the task of image co-localization is to identify and localize each instance. This paper shows that this problem can be solved by a simple but intriguing idea, that is, a common object detector can be learnt by making its detection confidence scores distributed like those of a strongly supervised detector. More specifically, we observe that given a set of object proposals extracted from an image that contains the object of interest, an accurate strongly supervised object detector should give high scores to only a small minority of proposals, and low scores to most of them. Thus, we devise an entropy-based objective function to enforce the above property when learning the common object detector. Once the detector is learnt, we resort to a segmentation approach to refine the localization. We show that despite its simplicity, our approach outperforms state-of-the-art methods.Comment: Accepted to Proc. European Conf. Computer Vision 201

Coupling the actuator line method to the high order meteorological les model Meso-NH to study wind farm wakes impacts on local meteorology

Offshore wind energy is now reaching the technological maturity, its capacity is increasing all over the world and this trend is projected to continue for several more years. Given this expectation, a better understanding of the relationship between the presence of wind farms and the atmospheric boundary layer is needed. Turbulent wakes produced by wind turbines can significantly impact the flow dynamics within wind farms and downstream of them. Operating offshore parks have already shown losses on energy production and effects on the local climate. In order to analyse the interactions occurring during these impacts, a new tool has been developed. This numerical tool is a coupling between the Actuator Line Method (ALM) and the open-source, non-hydrostatic mesoscale atmospheric model Meso-NH, based on the Large Eddy Simulation (LES) framework. The coupled Meso-NH + ALM system is first validated by using the experimental data obtained during the New MEXICO experiments. In particular, simulated and experimental loadings along the blades are compared. Then, a simulation of an idealized Horns Rev wind farm is performed using met mast measurements and reanalysis data for the “Horns Rev 1 photo case” as initial conditions. This new coupled system allows the exploration of the impact of wind farms on the lower levels of the atmosphere.Fil: Joulin, P. A.. French Institute of Petroleum Énergies nouvelles; Francia. Centre National de Recherches Météorologiques; FranciaFil: Mayol, María Laura. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Parque Centenario. Centro de Simulación Computacional para Aplicaciones Tecnológicas; ArgentinaFil: Blondel, F.. French Institute of Petroleum Énergies nouvelles; FranciaFil: Masson, Viviana Patricia. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Centre National de Recherches Météorologiques; FranciaFil: Rodier, Q.. Centre National de Recherches Météorologiques; FranciaFil: Lac, C.. Centre National de Recherches Météorologiques; Franci