1,177 research outputs found
Maximum Entropy Production Principle for Stock Returns
In our previous studies we have investigated the structural complexity of
time series describing stock returns on New York's and Warsaw's stock
exchanges, by employing two estimators of Shannon's entropy rate based on
Lempel-Ziv and Context Tree Weighting algorithms, which were originally used
for data compression. Such structural complexity of the time series describing
logarithmic stock returns can be used as a measure of the inherent (model-free)
predictability of the underlying price formation processes, testing the
Efficient-Market Hypothesis in practice. We have also correlated the estimated
predictability with the profitability of standard trading algorithms, and found
that these do not use the structure inherent in the stock returns to any
significant degree. To find a way to use the structural complexity of the stock
returns for the purpose of predictions we propose the Maximum Entropy
Production Principle as applied to stock returns, and test it on the two
mentioned markets, inquiring into whether it is possible to enhance prediction
of stock returns based on the structural complexity of these and the mentioned
principle.Comment: 14 pages, 5 figure
Kirchhoff's Loop Law and the maximum entropy production principle
In contrast to the standard derivation of Kirchhoff's loop law, which invokes
electric potential, we show, for the linear planar electric network in a
stationary state at the fixed temperature,that loop law can be derived from the
maximum entropy production principle. This means that the currents in network
branches are distributed in such a way as to achieve the state of maximum
entropy production.Comment: revtex4, 5 pages, 2 figure
A story and a recommendation about the principle of maximum entropy production
The principle of maximum entropy production (MEP) is the subject of considerable academic study, but has yet to become remarkable for its practical applications. A tale is told of an instance in which a spin-off from consideration of an MEP-constrained climate model at least led to re-consideration of the very practical issue of water-vapour feedback in climate change. Further, and on a more-or-less unrelated matter, a recommendation is made for further research on whether there might exist a general "rule" whereby, for certain classes of complex non-linear systems, a state of maximum entropy production is equivalent to a state of minimum entropy
Entropy production selects nonequilibrium states in multistable systems
Far-from-equilibrium thermodynamics underpins the emergence of life, but how
has been a long-outstanding puzzle. Best candidate theories based on the
maximum entropy production principle could not be unequivocally proven, in part
due to complicated physics, unintuitive stochastic thermodynamics, and the
existence of alternative theories such as the minimum entropy production
principle. Here, we use a simple, analytically solvable, one-dimensional
bistable chemical system to demonstrate the validity of the maximum entropy
production principle. To generalize to multistable stochastic system, we use
the stochastic least-action principle to derive the entropy production and its
role in the stability of nonequilibrium steady states. This shows that in a
multistable system, all else being equal, the steady state with the highest
entropy production is favored, with a number of implications for the evolution
of biological, physical, and geological systems.Comment: 15 pages, 4 figure
Jaynes' MaxEnt, Steady State Flow Systems and the Maximum Entropy Production Principle
Jaynes' maximum entropy (MaxEnt) principle was recently used to give a
conditional, local derivation of the ``maximum entropy production'' (MEP)
principle, which states that a flow system with fixed flow(s) or gradient(s)
will converge to a steady state of maximum production of thermodynamic entropy
(R.K. Niven, Phys. Rev. E, in press). The analysis provides a steady state
analog of the MaxEnt formulation of equilibrium thermodynamics, applicable to
many complex flow systems at steady state. The present study examines the
classification of physical systems, with emphasis on the choice of constraints
in MaxEnt. The discussion clarifies the distinction between equilibrium, fluid
flow, source/sink, flow/reactive and other systems, leading into an appraisal
of the application of MaxEnt to steady state flow and reactive systems.Comment: 6 pages; paper for MaxEnt0
Present and Last Glacial Maximum climates as states of maximum entropy production
The Earth, like other planets with a relatively thick atmosphere, is not
locally in radiative equilibrium and the transport of energy by the geophysical
fluids (atmosphere and ocean) plays a fundamental role in determining its
climate. Using simple energy-balance models, it was suggested a few decades ago
that the meridional energy fluxes might follow a thermodynamic Maximum Entropy
Production (MEP) principle. In the present study, we assess the MEP hypothesis
in the framework of a minimal climate model based solely on a robust radiative
scheme and the MEP principle, with no extra assumptions. Specifically, we show
that by choosing an adequate radiative exchange formulation, the Net Exchange
Formulation, a rigorous derivation of all the physical parameters can be
performed. The MEP principle is also extended to surface energy fluxes, in
addition to meridional energy fluxes. The climate model presented here is
extremely fast, needs very little empirical data and does not rely on ad hoc
parameterizations. We investigate its range of validity by comparing its
performances for pre-industrial climate and Last Glacial Maximum climate with
corresponding simulations with the IPSL coupled atmosphere-ocean General
Circulation Model IPSL_CM4, finding reasonable agreement. Beyond the practical
interest of this result for climate modelling, it supports the idea that, to a
certain extent, climate can be characterized with macroscale features with no
need to compute the underlying microscale dynamics.Comment: Submitted to the Quarterly Journal of the Royal Meteorological
Societ
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