On Financial Markets Trading

Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has introduced realistic constraints in order to confine money, time, gain and loss within an appropriate range. The main ingredients are local and global coupling, randomness, Zipf distribution of resources and price formation when inserting an order. The simulation starts with the initial public offer and comprises the broadcasting of news/advertisements and the building of the book, where all the selling and buying orders are stored. The model is able to reproduce fat tails and clustered volatility, the two most significant characteristics of a real stockmarket, being driven by very intuitive parameters.Comment: 18 pages, submitte

Solar wind turbulence from MHD to sub-ion scales: high-resolution hybrid simulations

We present results from a high-resolution and large-scale hybrid (fluid electrons and particle-in-cell protons) two-dimensional numerical simulation of decaying turbulence. Two distinct spectral regions (separated by a smooth break at proton scales) develop with clear power-law scaling, each one occupying about a decade in wave numbers. The simulation results exhibit simultaneously several properties of the observed solar wind fluctuations: spectral indices of the magnetic, kinetic, and residual energy spectra in the magneto-hydrodynamic (MHD) inertial range along with a flattening of the electric field spectrum, an increase in magnetic compressibility, and a strong coupling of the cascade with the density and the parallel component of the magnetic fluctuations at sub-proton scales. Our findings support the interpretation that in the solar wind large-scale MHD fluctuations naturally evolve beyond proton scales into a turbulent regime that is governed by the generalized Ohm's law.Comment: 5 pages, 5 figures; introduction and conclusions changed, references updated, accepted for publication in ApJ

Two-dimensional Hybrid Simulations of Kinetic Plasma Turbulence: Current and Vorticity vs Proton Temperature

Proton temperature anisotropies between the directions parallel and perpendicular to the mean magnetic field are usually observed in the solar wind plasma. Here, we employ a high-resolution hybrid particle-in-cell simulation in order to investigate the relation between spatial properties of the proton temperature and the peaks in the current density and in the flow vorticity. Our results indicate that, although regions where the proton temperature is enhanced and temperature anisotropies are larger correspond approximately to regions where many thin current sheets form, no firm quantitative evidence supports the idea of a direct causality between the two phenomena. On the other hand, quite a clear correlation between the behavior of the proton temperature and the out-of-plane vorticity is obtained.Comment: 4 pages, 2 figures, Proceedings of the Fourteenth International Solar Wind Conferenc

High-resolution hybrid simulations of kinetic plasma turbulence at proton scales

We investigate properties of plasma turbulence from magneto-hydrodynamic (MHD) to sub-ion scales by means of two-dimensional, high-resolution hybrid particle-in-cell simulations. We impose an initial ambient magnetic field, perpendicular to the simulation box, and we add a spectrum of large-scale magnetic and kinetic fluctuations, with energy equipartition and vanishing correlation. Once the turbulence is fully developed, we observe a MHD inertial range, where the spectra of the perpendicular magnetic field and the perpendicular proton bulk velocity fluctuations exhibit power-law scaling with spectral indices of -5/3 and -3/2, respectively. This behavior is extended over a full decade in wavevectors and is very stable in time. A transition is observed around proton scales. At sub-ion scales, both spectra steepen, with the former still following a power law with a spectral index of ~-3. A -2.8 slope is observed in the density and parallel magnetic fluctuations, highlighting the presence of compressive effects at kinetic scales. The spectrum of the perpendicular electric fluctuations follows that of the proton bulk velocity at MHD scales, and flattens at small scales. All these features, which we carefully tested against variations of many parameters, are in good agreement with solar wind observations. The turbulent cascade leads to on overall proton energization with similar heating rates in the parallel and perpendicular directions. While the parallel proton heating is found to be independent on the resistivity, the number of particles per cell and the resolution employed, the perpendicular proton temperature strongly depends on these parameters.Comment: 15 pages, 13 figures, submitted to Ap

Solar Wind Turbulent Cascade from MHD to Sub-ion Scales: Large-size 3D Hybrid Particle-in-cell Simulations

Spectral properties of the turbulent cascade from fluid to kinetic scales in collisionless plasmas are investigated by means of large-size three-dimensional (3D) hybrid (fluid electrons, kinetic protons) particle-in-cell simulations. Initially isotropic Alfv\`enic fluctuations rapidly develop a strongly anisotropic turbulent cascade, mainly in the direction perpendicular to the ambient magnetic field. The omnidirectional magnetic field spectrum shows a double power-law behavior over almost two decades in wavenumber, with a Kolmogorov-like index at large scales, a spectral break around ion scales, and a steepening at sub-ion scales. Power laws are also observed in the spectra of the ion bulk velocity, density, and electric field, both at magnetohydrodynamic (MHD) and at kinetic scales. Despite the complex structure, the omnidirectional spectra of all fields at ion and sub-ion scales are in remarkable quantitative agreement with those of a two-dimensional (2D) simulation with similar physical parameters. This provides a partial, a-posteriori validation of the 2D approximation at kinetic scales. Conversely, at MHD scales, the spectra of the density and of the velocity (and, consequently, of the electric field) exhibit differences between the 2D and 3D cases. Although they can be partly ascribed to the lower spatial resolution, the main reason is likely the larger importance of compressible effects in a full geometry. Our findings are also in remarkable quantitative agreement with solar wind observations.Comment: 11 pages, 8 figures, submitted to The Astrophysical Journa