Dynamics of Moving Average Rules in a Continuous-time Financial Market Model

Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used indiscrete-time HAMs. The time delay represents a memory length of a moving average rule indiscrete-time HAMs.Intuitive conditions for the stability of the fundamental price of the deterministic model in terms of agents' behavior parameters and memory length are obtained. It is found that an increase in memory length not only can destabilize the market price, resulting in oscillatory market price characterized by a Hopf bifurcation, but also can stabilize another wise unstable market price, leading to stability switching as the memory length increases. Numerical simulations show that the stochastic model is able to characterize long deviations of the market price from its fundamental price and excess volatility and generate most of the stylized factso bserved in financial markets.asset price; financial market behavior; heterogeneous beliefs; stochastic delay differential equations; stability; bifurcations; stylized facts

Stochastic Dynamics of Electrical Membrane with Voltage-Dependent Ion Channel Fluctuations

Brownian ratchet like stochastic theory for the electrochemical membrane system of Hodgkin-Huxley (HH) is developed. The system is characterized by a continuous variable $Q_m(t)$, representing mobile membrane charge density, and a discrete variable $K_t$ representing ion channel conformational dynamics. A Nernst-Planck-Nyquist-Johnson type equilibrium is obtained when multiple conducting ions have a common reversal potential. Detailed balance yields a previously unknown relation between the channel switching rates and membrane capacitance, bypassing Eyring-type explicit treatment of gating charge kinetics. From a molecular structural standpoint, membrane charge $Q_m$ is a more natural dynamic variable than potential $V_m$; our formalism treats $Q_m$-dependent conformational transition rates $\lambda_{ij}$ as intrinsic parameters. Therefore in principle, $\lambda_{ij}$ vs. $V_m$ is experimental protocol dependent,e.g., different from voltage or charge clamping measurements. For constant membrane capacitance per unit area $C_m$ and neglecting membrane potential induced by gating charges, $V_m=Q_m/C_m$, and HH's formalism is recovered. The presence of two types of ions, with different channels and reversal potentials, gives rise to a nonequilibrium steady state with positive entropy production $e_p$. For rapidly fluctuating channels, an expression for $e_p$ is obtained.Comment: 8 pages, two figure

Optimized Route Capability (ORC) Intelligent Offloading of Congested Arrival Routes

The Optimized Route Capability (ORC) concept is designed to enable intelligent offloading of congested arrival routes. When ORC predicts arrival route congestion as projected excess arrival meter fix delay, automation offers decision support to traffic managers by identifying candidate flights to strategically reroute to alternate meter fixes and alleviate the congestion. This concept was applied to a model of arrival operations into Houston International Airport. An arrival rush from the Northeast was simulated in fast-time to analyze ORC algorithm behavior. The results demonstrate how strategically rerouting a few flights to alternate meter fixes not only has the potential to manage meter fix delay (and possibly the need for traffic management initiatives applied upstream), but may also increase airport capacity utilization and reduce total flight delay

Three Dimensional Sector Design with Optimal Number of Sectors

In the national airspace system, sectors get overloaded due to high traffic demand and inefficient airspace designs. Overloads can be eliminated in some cases by redesigning sector boundaries. This paper extends the Voronoi-based sector design method by automatically selecting the number of sectors, allowing three-dimensional partitions, and enforcing traffic pattern conformance. The method was used to design sectors at Fort-Worth and Indianapolis centers for current traffic scenarios. Results show that new designs can eliminate overloaded sectors, although not in all cases, reduce the number of necessary sectors, and conform to major traffic patterns. Overall, the new methodology produces enhanced and efficient sector designs

The Stochastic Dynamics of Speculative Prices

Within the framework of the heterogeneous agent paradigm, we establish a stochastic model of speculative price dynamics involving of two types of agents, fundamentalists and chartists, and the market price equilibria of which can be characterised by the invariant measures of a random dynamical system. By conducting a stochastic bifurcation analysis, we examine the market impact of speculative behaviour. We show that, when the chartists use lagged price trends to form their expectations, the market equilibrium price can be characterised by a unique and stable invariant measure when the activity of the speculators is below a certain critical value. If this threshold is surpassed, the market equilibrium can be characterised by more than two invariant measures, of which one is completely stable, another is completely unstable and the remaining ones may exhibit various types of stability. Also, the corresponding stationary measure displays a significant qualitative change near the threshold value. We show that the stochastic model displays behaviour consistent with that of the underlying deterministic model. However, when the time lag in the formation of the price trends used by the chartists approaches zero, such consistency breaks down. In addition, the change in the stationary distribution is consistent with a number of market anomalies and stylised facts observed in financial markets, including a bimodal logarithmic price distribution and fat tails.heterogeneous agents; speculative behaviour; random dynamical systems; stochastic bifurcations; invariant measures; chartists

Quantum dense coding scheme via cavity decay

We investigate a secure scheme for implementing quantum dense coding via cavity decay and liner optics devices. Our scheme combines two distinct advantages: atomic qubit sevres as stationary bit and photonic qubit as flying bit, thus it is suitable for long distant quantum communication.Comment: 5 pages, 2 figure. A revised version, accept for publication in Journal of Modern Optc