Inverse Statistics in the Foreign Exchange Market

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) $\rho$ in the price of an investment. The analysis is performed for the Deutsch mark (DM) against the $US for the full year of 1998, but similar results are obtained for the Japanese Yen against the$US. With high statistical significance, the presence of "resonance peaks" in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the markets participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new {\em stylized fact}, is observed for the waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale dependent features of the market activity.Comment: 8 pages. Accepted Physica

Optimal Investment Horizons for Stocks and Markets

The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in \cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, the inverse statistics for 2/3 of the individual stocks presently in the DJIA is investigated. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks nor their average. This observation points towards some kind of collective movement of the stocks of the index (synchronization).Comment: Subm. to Physica A as Conference Proceedings of Econophysics Colloquium, ANU Canberra, 13-17 Nov. 2005. 6 pages including figure

Scaling and the prediction of energy spectra in decaying hydrodynamic turbulence

Few rigorous results are derived for fully developed turbulence. By applying the scaling properties of the Navier-Stokes equation we have derived a relation for the energy spectrum valid for unforced or decaying isotropic turbulence. We find the existence of a scaling function $\psi$. The energy spectrum can at any time by a suitable rescaling be mapped onto this function. This indicates that the initial (primordial) energy spectrum is in principle retained in the energy spectrum observed at any later time, and the principle of permanence of large eddies is derived. The result can be seen as a restoration of the determinism of the Navier-Stokes equation in the mean. We compare our results with a windtunnel experiment and find good agreement.Comment: 4 pages, 1 figur

New Algorithm for Parallel Laplacian Growth by Iterated Conformal Maps

We report a new algorithm to generate Laplacian Growth Patterns using iterated conformal maps. The difficulty of growing a complete layer with local width proportional to the gradient of the Laplacian field is overcome. The resulting growth patterns are compared to those obtained by the best algorithms of direct numerical solutions. The fractal dimension of the patterns is discussed.Comment: Sumitted to Phys. Rev. Lett. Further details at http://www.pik-potsdam.de/~ander

Pulses in the Zero-Spacing Limit of the GOY Model

We study the propagation of localised disturbances in a turbulent, but momentarily quiescent and unforced shell model (an approximation of the Navier-Stokes equations on a set of exponentially spaced momentum shells). These disturbances represent bursts of turbulence travelling down the inertial range, which is thought to be responsible for the intermittency observed in turbulence. Starting from the GOY shell model, we go to the limit where the distance between succeeding shells approaches zero (``the zero spacing limit'') and helicity conservation is retained. We obtain a discrete field theory which is numerically shown to have pulse solutions travelling with constant speed and with unchanged form. We give numerical evidence that the model might even be exactly integrable, although the continuum limit seems to be singular and the pulses show an unusual super exponential decay to zero as $\exp(- \mathrm{const} \sigma^n)$ when $n \to \infty$, where $\sigma$ is the {\em golden mean}. For finite momentum shell spacing, we argue that the pulses should accelerate, moving to infinity in a finite time. Finally we show that the maximal Lyapunov exponent of the GOY model approaches zero in this limit.Comment: 27 pages, submitted for publicatio

Hastings-Levitov aggregation in the small-particle limit

We establish some scaling limits for a model of planar aggregation. The model is described by the composition of a sequence of independent and identically distributed random conformal maps, each corresponding to the addition of one particle. We study the limit of small particle size and rapid aggregation. The process of growing clusters converges, in the sense of Caratheodory, to an inflating disc. A more refined analysis reveals, within the cluster, a tree structure of branching fingers, whose radial component increases deterministically with time. The arguments of any finite sample of fingers, tracked inwards, perform coalescing Brownian motions. The arguments of any finite sample of gaps between the fingers, tracked outwards, also perform coalescing Brownian motions. These properties are closely related to the evolution of harmonic measure on the boundary of the cluster, which is shown to converge to the Brownian web

On two-dimensionalization of three-dimensional turbulence in shell models

Applying a modified version of the Gledzer-Ohkitani-Yamada (GOY) shell model, the signatures of so-called two-dimensionalization effect of three-dimensional incompressible, homogeneous, isotropic fully developed unforced turbulence have been studied and reproduced. Within the framework of shell models we have obtained the following results: (i) progressive steepening of the energy spectrum with increased strength of the rotation, and, (ii) depletion in the energy flux of the forward forward cascade, sometimes leading to an inverse cascade. The presence of extended self-similarity and self-similar PDFs for longitudinal velocity differences are also presented for the rotating 3D turbulence case

Modeling Water and Nitrogen Behavior in the Soil-Plant System

A set of dynamic mathematical relations is developed for the major variables of soil water, nitrate, ammonium, available organic nitrogen, and plant growth and nitrogen uptake. Daily climatic conditions are used to control evapotranspiration and modify the rates of plant growth and soil processes. Inputs of irrigation water and fertilizer can be controlled to reduce leaching of nitrate

BioConcens: Biomass and bioenergy production agriculture – consequences for soil fertility, environment, spread of animal parasites and socio-economy

The research programme called “international research cooperation and organic integrity” was commenced for a period 2006-2010. It is coordinated by DARCOF (The Danish Research Centre for Organic Farming). The whole programme, with acronym DARCOF III, consists of 15 projects (http://www.darcof.dk/research/darcofiii/index.html). One of them is BIOCONCENS - Biomass and bioenergy production in organic farming – consequences for soil fertility, environment, spread of animal parasites and socio-economy (http://www.bioconcens.elr.dk/uk/). The production of bioenergy in organic agriculture (OA) can reduce its dependency of fossil fuels and decrease green house gasses emission; consequently it will increase sustainability of organic farms. Biorefinery concept based on co-production of biogas, bioethanol and protein fodder in organic farming will be developed within the BIOCONCENS project and the background for the project and the different work packages will be presented in this paper