A unified model for price return distributions used in econophysics

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the evolution of financial prices. Today, there is an “extreme diversity” of models recently developed by econophysicists whose research is sometimes presented as an ill-defined field. The objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base this new field on shared scientific standards.     

Psychophysics of time perception and valuation in temporal discounting of gain and loss

Anomalies in intertemporal choice (e.g. “hyperbolic” discounting and sign effect) have been investigated in econophysics and behavioral neuroeconomics. We experimentally examined the roles of psychophysical effects of time perception and subjective valuation of outcomes (value function) on temporal discounting of gain and loss, by utilizing a q$q$-exponential temporal discounting model developed in Tsallis’s thermostatistics. Consequently, we demonstrated that both “hyperbolic” discounting and the sign effect (i.e. gain is more steeply time-discounted than loss) are due to psychophysical effects of time perception (i.e., nonlinearity and gain–loss asymmetry). Implications of the present study for neuroeconomics and econophysics are discussed.     

The Pietra term structures of financial assets

This paper explores an elemental connection between call options-the most commonly tradable financial derivatives, implied volatility term structures-critical “market information” emanating from call-option prices, and the Pietra index-a quantitative economic measure of societal egalitarianism. Our study: (i) unveils an intrinsic “Pietra structure” of call-option prices; (ii) introduces the notion of the “Pietra term structures” of financial assets; (iii) describes the probabilistic meaning of the Pietra term structures; (iv) establishes an explicit nonlinear one-to-one mapping between the Pietra term structures and the implied volatility term structures of financial assets. The results presented in this paper provide a deep insight into the econophysics of call options and implied volatility term structures.     

Reproducible resistive switching effect for memory applications in heterocontacts based on strongly correlated electron systems

The transitional processes in heterocontacts based on strongly correlated electron systems (SCES) are studied for analyzing of the effect of resistive switching (ERS). It has been shown that the process is asymmetric with respect to switching into “on” and “off” states, the switching time is controlled by a voltage level, this time can be less than microseconds, on the other hand, relaxation processes can reach tens seconds. The switching is controlled by two processes: a change in the resistance state of the normal metal/SCES interface under effect of electric current field and by electrodiffusion of oxygen to vacancies, at that the doping level of the contact area and resistive properties of the heterocontact change. In particular, electrodiffusion of mobile oxygen induced by the electric field makes it possible to use a device with ERS as a memristor. On the other hand, a possibility to control the switching time and ON and OFF parameters show the possibilities to use these devices as memory elements “RAM”.     

Economic uncertainty and econophysics

The objective of this paper is to provide a methodological link between econophysics and economics. I will study a key notion of both fields: uncertainty and the ways of thinking about it developed by the two disciplines. After having presented the main economic theories of uncertainty (provided by Knight, Keynes and Hayek), I show how this notion is paradoxically excluded from the economic field. In economics, uncertainty is totally reduced by an a priori Gaussian framework—in contrast to econophysics, which does not use a priori models because it works directly on data. Uncertainty is then not shaped by a specific model, and is partially and temporally reduced as models improve. This way of thinking about uncertainty has echoes in the economic literature. By presenting econophysics as a Knightian method, and a complementary approach to a Hayekian framework, this paper shows that econophysics can be methodologically justified from an economic point of view.     

Generation of quantum switch and nonlocal fields with an external field in a high quality dispersive cavity

We present a scheme to prepare an optical “quantum switch”, a superposition of “open” and “closed” states. The scheme is based on the interaction of an Λ-type three-level atom with a single-mode of quantized cavity field and an external classical driving field, in the regime where the atom and fields are highly detuned. We show how this interaction can be used to generate coherent states of the cavity field in contrast to the usual method used in microwave cavity QED of injecting a coherent state into a cavity. A combination of switches could be used to prepare a quantum superposition of coherent field states located simultaneously in two cavities. Compared with previous proposals, our scheme is simplified due to economizes the Ramsey zone and the time required for the state generation is short.     

Saturation field direction dependence of domain structures in NiFe elements

The domain structures in NiFe elements were studied by magnetic force microscopy measurement and micromagnetic modeling. The remanent states in the elements were dependent on the direction of the saturation field. The “S” and “U” states were observed at remanence by applying the saturation field at different directions. The “S” and “U” states are metastable: magnetic force microscopy tip field-induced switching from the “S” and “U” states to the flux closure configuration was observed.     

Heat transfer modelling and stability analysis of selective laser melting

The process of direct manufacturing by selective laser melting basically consists of laser beam scanning over a thin powder layer deposited on a dense substrate. Complete remelting of the powder in the scanned zone and its good adhesion to the substrate ensure obtaining functional parts with improved mechanical properties. Experiments with single-line scanning indicate, that an interval of scanning velocities exists where the remelted tracks are uniform. The tracks become broken if the scanning velocity is outside this interval. This is extremely undesirable and referred to as the “balling” effect. A numerical model of coupled radiation and heat transfer is proposed to analyse the observed instability. The “balling” effect at high scanning velocities (above ∼20 cm/s for the present conditions) can be explained by the Plateau-Rayleigh capillary instability of the melt pool. Two factors stabilize the process with decreasing the scanning velocity: reducing the length-to-width ratio of the melt pool and increasing the width of its contact with the substrate.     

Recent progress in econophysics: Chaos,leverage, and business cycles as revealed by agent-based modeling and human experiments

Agent-based modeling and controlled human experiments serve as two fundamental research methods in the field of econophysics. Agent-based modeling has been in development for over 20 years, but how to design virtual agents with high levels of human-like “intelligence” remains a challenge. On the other hand, experimental econophysics is an emerging field; however, there is a lack of experience and paradigms related to the field. Here, we review some of the most recent research results obtained through the use of these two methods concerning financial problems such as chaos, leverage, and business cycles. We also review the principles behind assessments of agents’ intelligence levels, and some relevant designs for human experiments. The main theme of this review is to show that by combining theory, agent-based modeling, and controlled human experiments, one can garner more reliable and credible results on account of a better verification of theory; accordingly, this way, a wider range of economic and financial problems and phenomena can be studied.     

Resolving the black-hole information paradox by treating time on an equal footing with space

Pure states in quantum field theory can be represented by many-fingered block-time wave functions, which treat time on an equal footing with space and make the notions of “time evolution” and “state at a given time” fundamentally irrelevant. Instead of information destruction resulting from an attempt to use a “state at a given time” to describe semi-classical black-hole evaporation, the full many-fingered block-time wave function of the universe conserves information by describing the correlations of outgoing Hawking particles in the future with ingoing Hawking particles in the past.     

Non-Weyl resonance asymptotics for quantum graphs in a magnetic field

We study asymptotical behaviour of resonances for a quantum graph consisting of a finite internal part and external leads placed into a magnetic field, in particular, the question whether their number follows the Weyl law. We prove that the presence of a magnetic field cannot change a non-Weyl asymptotics into a Weyl one and vice versa. On the other hand, we present examples demonstrating that for some non-Weyl graphs the “effective size” of the graph, and therefore the resonance asymptotics, can be affected by the magnetic field.     

The evaluation of binaural playback systems for virtual sound fields

By means of virtual acoustics technologies the impulse response in a location of a real enclosure can be used to create a virtual room. Also in this virtual space, typically implemented in a dead room, an impulse response can be measured. From both “real” and respective “virtual” impulse response a group of room-acoustical parameters can be calculated. The match of the two groups of indicators mostly depends on the layout of the playback system and on the implemented processing. In this paper a procedure of virtual measurement in a dead room is developed and some typical layouts of playback systems employing two loudspeakers are compared. Based on the consistency of the room-acoustical indicators derived from “real” and “virtual” impulse responses can be investigated. It is shown how the performance depends on the angular separation of loudspeakers and the efficiency of the cross-talk is also tested and discussed. Finally, a set-up which is suitable for psychoacoustics tests is indicated.     

Sound radiation from inflow turbulence in axial flow fans

The sound radiated when inflow turbulence is present in axial flow fans has been investigated. Theoretically, two noise radiating mechanisms can be identified: (i) interaction of turbulence with the rotor potential field results in a quadrupole-type volume source distribution, producing “flow-interaction” noise; (ii) impingement of turbulence on the blades results in a dipole-type (fluctuating force) surface source distribution, producing “fluctuating lift” noise. A theoretical expression for the flow interaction sound power in the upstream radiation field has been developed, in terms of parameters that can be experimentally determined by near field flow measurements involving spatial cross-correlations of the fluctuating axial velocity, with respect to both radial and circumferential position. Both these measurements and radiated sound pressure measurements have been made for eight- and ten-bladed rotors of relatively low tip Mach number (< 0·3). The sound pressure measurements revealed the occurrence of band-spreading of discrete tones at the blade passing frequency and its harmonics, as would be theoretically predicted for quadrupole-type sources here. The theoretical predictions and the measurements, respectively, of the sound power radiated upstream were compared. The results indicated that, for the fans tested, the “fluctuating lift” noise strongly predominated over the “flow-interaction” noise. The observed sound power levels were consistent with levels estimated from the theory.     

How random is a random vector?

Over 80 years ago Samuel Wilks proposed that the “generalized variance” of a random vector is the determinant of its covariance matrix. To date, the notion and use of the generalized variance is confined only to very specific niches in statistics. In this paper we establish that the “Wilks standard deviation” –the square root of the generalized variance–is indeed the standard deviation of a random vector. We further establish that the “uncorrelation index” –a derivative of the Wilks standard deviation–is a measure of the overall correlation between the components of a random vector. Both the Wilks standard deviation and the uncorrelation index are, respectively, special cases of two general notions that we introduce: “randomness measures” and “independence indices” of random vectors. In turn, these general notions give rise to “randomness diagrams”—tangible planar visualizations that answer the question: How random is a random vector? The notion of “independence indices” yields a novel measure of correlation for Lévy laws. In general, the concepts and results presented in this paper are applicable to any field of science and engineering with random-vectors empirical data.     

On higher derivatives in 3D gravity and higher-spin gauge theories

The general second-order massive field equations for arbitrary positive integer spin in three spacetime dimensions, and their “self-dual” limit to first-order equations, are shown to be equivalent to gauge-invariant higher-derivative field equations. We recover most known equivalences for spins 1 and 2, and find some new ones. In particular, we find a non-unitary massive 3D gravity theory with a 5th order term obtained by contraction of the Ricci and Cotton tensors; this term is part of an N=2 super-invariant that includes the “extended Chern-Simons” term of 3D electrodynamics. We also find a new unitary 6th order gauge theory for “self-dual” spin 3.     

Notes on nonlocal projective measurements in relativistic systems

In quantum mechanical bipartite systems, naive extensions of von Neumann’s projective measurement to nonlocal variables can produce superluminal signals and thus violate causality. We analyze the projective quantum nondemolition state-verification in a two-spin system and see how the projection introduces nonlocality without entanglement. For the ideal measurements of “R-nonlocal” variables, we argue that causality violation can be resolved by introducing further restrictions on the post-measurement states, which makes the measurement “Q-nonlocal”. After we generalize these ideas to quantum mechanical harmonic oscillators, we look into the projective measurements of the particle number of a single mode or a wave-packet of a relativistic quantum field in Minkowski space. It turns out that the causality-violating terms in the expectation values of the local operators, generated either by the ideal measurement of the “R-nonlocal” variable or the quantum nondemolition verification of a Fock state, are all suppressed by the IR and UV cutoffs of the theory. Thus relativistic quantum field theories with such projective measurements are effectively causal.     

Ribs effects in acoustic radiation of a gearbox — their modelling in a boundary element method

Boundary element methods are nowadays currently used for acoustic radiation prediction of complex mechanic structures. Many of those structures contain an important account of ribs. The present paper deals with the acoustic influence of ribs and their modelling in a boundary element method. The influence of ribs is theoreticaly discussed and three different physical effects are distinguished : the “vibrating”, the “obstacle” and the ”source” effects. Further the modelling of ribs in boundary element meshes is discussed. An application to an automotive gearbox housing is then proposed. The vibrating behaviour of the structure is calculated with a finite element model, which has been updated thanks to an experimental modal analysis. The boundary element modelling necessity and the acoustic effects of the different ribs of the gearbox housing are studied.     

Compensation of nonlinear phase noise in an in-plane-magnetized anisotropic spin-torque oscillator

A theory of generation linewidth of a spin-torque oscillator (STO) based on an in-plane-magnetized nano-pillar with an anisotropic “free” magnetic layer has been developed. It is predicted that by choosing the direction of the in-plane bias magnetic field H₀ along the “hard” anisotropy axis of the STO “free” layer and the magnitude of this field to be four times larger than the anisotropy field H_A (H₀=4H_A) it would be possible to compensate the nonlinear phase noise and to achieve the minimum value of the generation linewidth, characteristic for an auto-oscillator without a nonlinear frequency shift.