Power, Lévy, exponential and Gaussian-like regimes in autocatalytic financial systems

We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws in the size distribution of their individual elements. The exponents α of these power laws are time independent and depend only on the way the elements with very small values are treated. These truncated power laws determine the collective time evolution of the system. In particular the global stochastic fluctuations of the system differ from the normal Gaussian noise according to the time and size scales at which these fluctuations are considered. We describe the ranges in which these fluctuations are parameterized respectively by: the Lévy regime α < 2, the power law decay with large exponent ( α > 2), and the exponential decay. Finally we relate these results to the large exponent power laws found in the actual behavior of the stock markets and to the exponential cut-off detected in certain recent measurement. Received 29 July 2000 and Received in final form 25 September 2000     

On the microscopic foundations of elasticity

The modeling of the elastic properties of disordered or nanoscale solids requires the foundations of the theory of elasticity to be revisited, as one explores scales at which this theory may no longer hold. The only cases for which microscopically based derivations of elasticity are documented are (nearly) uniformly strained lattices. A microscopic approach to elasticity is proposed. As a first step, microscopically exact expressions for the displacement, strain and stress fields are derived. Conditions under which linear elastic constitutive relations hold are studied theoretically and numerically. It turns out that standard continuum elasticity is not self-evident, and applies only above certain spatial scales, which depend on details of the considered system and boundary conditions. Possible relevance to granular materials is briefly discussed. Received 18 March 2002 and Received in final form 29 May 2002     

Noise correlations in shear flows

We consider the effects of a shear on velocity fluctuations in a flow. The shear gives rise to a transient amplification that not only influences the amplitude of perturbations but also their time correlations. We show that, in the presence of white noise, time correlations of transversal velocity components are exponential and that correlations of the longitudinal components are exponential with an algebraic prefactor. Cross correlations between transversal and downstream components are strongly asymmetric and provide a clear indication of non-normal amplification. We suggest experimental tests of our predictions. Received 26 February 2002 / Received in final form 11 March 2003 Published online 20 June 2003 RID="a" ID="a"e-mail: bruno.eckhardt@physik.uni-marburg.de RID="b" ID="b"Also at: Jawaharlal Nehru Centre for Advanced Scientific Research, Bangalore, India     

Lie algebraic approach for Fokker-Planck dynamics with space-dependent diffusion and mean-reverting drift

Using the Lie algebraic approach we have derived the exact diffusion propagator of the Fokker-Planck equation with a time-dependent variable diffusion coefficient and a time-dependent mean-reverting force between two absorbing boundaries. The exact diffusion propagator not only enables us to study the time evolution of the corresponding stochastic system, but the knowledge of the propagator can also provide a benchmark for testing approximate numerical or analytical procedures. Furthermore, the Lie algebraic method is very simple and could be easily extended to the more general Fokker-Planck equations with well-defined algebraic structures. Received 18 December 2002 / Received in final form 3 March 2003 Published online 24 April 2003     

Momentum distribution of relativistic nuclei with Hartree-Fock mesonic correlations

The impact of Hartree-Fock correlations on the nuclear momentum distribution is studied in a fully relativistic one-boson-exchange model. Hartree-Fock equations are exactly solved to first order in the coupling constants. The renormalization of the Dirac spinors in the medium is shown to affect the momentum distribution, as opposed to what happens in the non-relativistic case. The unitarity of the model is shown to be preserved by the present renormalization procedure. Received: 7 June 2002 / Accepted: 24 September 2002 / Published online: 10 December 2002 RID="a" ID="a"e-mail: juan@nucle.us.es Communicated by G. Orlandini     

A multi-reference exponential expansion for the electronic wave function

The expansion structure of a CI vector as combination of excitations from a model-space reference determinant is investigated. It is shown that between the linear and the exponential expansions there is a relation which is similar to the single-reference case, if the internal excitations are adsorbed into the reference vector. Moreover, expansions with respect to different determinants are related by a set of linear equations. By using these two properties, a State-Specific Coupled-Cluster formalism is proposed. Received 2 November 2000 / Received in final form 1st March 2002 Published online 28 June 2002     

Nonextensive statistics and incomplete information

We comment on some open questions and theoretical peculiarities in Tsallis nonextensive statistical mechanics. It is shown that the theoretical basis of the successful Tsallis' generalized exponential distribution shows some worrying properties with the conventional normalization and the escort probability. These theoretical difficulties may be avoided by introducing an so called incomplete normalization allowing to deduce Tsallis' generalized distribution in a more convincing and consistent way. Received 29 October 2001 and Received in final form 30 January 2002     

Quantum computational gates with radiation free couplings

We examine a generic three level mechanism of quantum computation in which all fundamental single and double qubit quantum logic gates are operating under the effect of adiabatically controllable static (radiation free) bias couplings between the states. Under the time evolution imposed by these bias couplings the quantum state cycles between the two degenerate levels in the ground state and the quantum gates are realized by changing Hamiltonian at certain time intervals when the system collapses to a two state subspace. We propose a physical implementation of the mechanism using Aharonov-Bohm persistent-current loops in crossed electric and magnetic fields, with the output of the loop read out by using a quantum Hall effect aided mechanism. Received 26 March 2002 / Received in final form 8 July 2002 Published online 19 November 2002     

The individual success of musicians, like that of physicists, follows a stretched exponential distribution by J.A. Davies

Comment on Eur. Phys. J. B 27, 445 (2002) We analyze the distribution of success of musicians, comparing a stretched exponential (found by J.A. Davies [Eur. Phys. J. B 27, 445 (2002)]) with a distribution of the family of the q-exponential (presenting an intermediate power-law regime with a crossover to an exponential tail). We find that both assumptions yield comparable results, within the available range of data, hence a definite conclusion cannot yet be taken. But this example joins many others that has been found to be fairly described by q-exponentials (or variations of it), which may be indicative that there is a (significantly large) class of systems described by nonextensive statistical mechanics, from where q-exponentials naturally appear. Received 17 October 2002 Published online 31 December 2002     

Self-similar approach to market analysis

A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the Law of Self-Similar Evolution, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution of a system, say of a market, so that each of such systems possesses its own character regulating its behaviour. The problem is how to discover these hidden internal laws defining the system character. This problem can be solved by employing the self-similar approximation theory, which supplies the mathematical foundation for the law of self-similar evolution. In this report, the theoretical basis of the new approach to analyzing time series is formulated, with an accurate explanation of its principal points. Received 15 August 2000     

Broad distribution effects in sums of lognormal random variables

The lognormal distribution describing, e.g., exponentials of Gaussian random variables is one of the most common statistical distributions in physics. It can exhibit features of broad distributions that imply qualitative departure from the usual statistical scaling associated to narrow distributions. Approximate formulae are derived for the typical sums of lognormal random variables. The validity of these formulae is numerically checked and the physical consequences, e.g., for the current flowing through small tunnel junctions, are pointed out. Received 8 November 2002 / Received in final form 17 March 2003 Published online 7 May 2003     

Stress fluctuations and macroscopic stick-slip in granular materials

This paper deals with the quasi-static regime of deformation of granular matter. It investigates the size of the Representative Elementary Volume (REV), which is the minimum packing size above which the macroscopic mechanical behaviour of granular materials can be defined from averaging. The first part uses typical results from recent literature and finds that the minimum REV contains in general 10 grains; this result holds true either for most experiments or for Discrete Element Method (DEM) simulation. This appears to be quite small. However, the second part gives a counterexample, which has been found when investigating uniaxial compression of glass spheres which exhibit stick-slip; we show in this case that the minimum REV becomes 10⁷ grains. This makes the system not computable by DEM. Moreover, similarity between the Richter law of seism and the exponential statistics of stick-slip is stressed. Received 8 March 2002 and Received in final form 12 July 2002     

Lattice effects in the quasiparticle dynamics and kinetics

In this work we present a full selfconsistent set of nonlinear equations which unifies the nonlinear elasticity theory equations, the Boltzmannn transport theory and the Maxwell equations for quasiparticles with arbitrary dispersion laws in nonstationarily deformed crystals with arbitrary (but linear) constitutive relations. Transformations to replace the Galilean ones are obtained, the quasiparticle mechanics in a Hamiltonian form is deduced, and a Boltzmann-type transport equation (valid in the whole Brillouin zone) is derived. The theory may be applied to metals, semiconductors, quantum crystals, low-dimensional structures etc. Received 20 October 2001 Published online 2 October 2002 RID="a" ID="a"e-mail: dipushk@issp.bas.bg     

Analytical study of four-wave mixing with large atomic coherence

Four-wave mixing in resonant atomic vapors based on maximum coherence induced by Stark-chirped rapid adiabatic passage (SCRAP) is investigated theoretically. We show the advantages of a coupling scheme involving maximum coherence and demonstrate how a large atomic coherence between a ground and an highly excited state can be prepared by SCRAP. Full analytic solutions of the field propagation problem taking into account pump field depletion are derived. The solutions are obtained with the help of an Hamiltonian approach which in the adiabatic limit permits to reduce the full set of Maxwell-Bloch equations to simple canonical equations of Hamiltonian mechanics for the field variables. It is found that the conversion efficiency reached is largely enhanced if the phase mismatch induced by linear refraction is compensated. A detailed analysis of the phase matching conditions shows, however, that the phase mismatch contribution from the Kerr effect cannot be compensated simultaneously with linear refraction contribution. Therefore, the conversion efficiency in a coupling scheme involving maximum coherence prepared by SCRAP is high, but not equal to unity. Received 16 August 2002 Published online 4 February 2003 RID="a" ID="a"e-mail: korsunsky@physik.uni-kl.de     

Eigenstates of an operating quantum computer: hypersensitivity to static imperfections

We study the properties of eigenstates of an operating quantum computer which simulates the dynamical evolution in the regime of quantum chaos. Even if the quantum algorithm is polynomial in number of qubits n_q, it is shown that the ideal eigenstates become mixed and strongly modified by static imperfections above a certain threshold which drops exponentially with n_q. Above this threshold the quantum eigenstate entropy grows linearly with n_q but the computation remains reliable during a time scale which is polynomial in the imperfection strength and in n_q. Received 7 March 2002/ Received in final form 3 May 2002 Published online 19 July 2002     

Non-linear dynamics of spinodal decomposition

We develop a new technique describing the non linear growth of interfaces. We apply this analytical approach to the one dimensional Cahn-Hilliard equation. The dynamics is captured through a solvability condition performed over a particular family of quasi-static solutions. The main result is that the dynamics along this particular class of solutions can be expressed in terms of a simple ordinary differential equation. The density profile of the stationary regime found at the end of the non-linear growth is also well characterized. Numerical simulations are compared in a satisfactory way with the analytical results through three different fitting methods and asymptotic dynamics are well recovered, even far from the region where the approximations hold. Received 16 October 2001 / Received in final form 15 March 2002 Published online 2 October 2002 RID="a" ID="a"e-mail: josseran@lmm.jussieu.fr RID="b" ID="b"UMR CNRS 7607     

Brownian motion of particles embedded in a solution of giant micelles

We have measured the mean-square displacement of colloidal particles embedded in a semi-dilute solution of worm-like micelles, using diffusing wave spectroscopy. This allowed us to describe their rheological properties over a very wide time range. At very short times, the particles diffuse freely in the solvent, and then, they experience the characteristic relaxation times of the living chains. We deduced directly, from the mean-square displacement of the particles, the mechanical properties of the micellar solution, not only in the high-frequency regime, but also in the low-frequency range, in which we compared our results with direct mechanical measurements, and found good agreement. Received 22 March 2002 and Received in final form 5 June 2002     

Evidence for the exponential distribution of income in the USA

Using tax and census data, we demonstrate that the distribution of individual income in the USA is exponential. Our calculated Lorenz curve without fitting parameters and Gini coefficient 1/2 agree well with the data. From the individual income distribution, we derive the distribution function of income for families with two earners and show that it also agrees well with the data. The family data for the period 1947-1994 fit the Lorenz curve and Gini coefficient 3/8 = 0.375 calculated for two-earners families. Received 21 August 2000     

Tunneling time in magnetic barrier structures

We adopt the group velocity approach to the issue of tunneling time in two configurations of magnetic barrier structures, which are arranged with identical or unidentical building blocks. The effects of an external electric field are also taken into account. The tunneling time in magnetic barrier structures is found to be strongly dependent on the magnetic configuration, the applied bias, the incident energy as well as the longitudinal wave vector. The results indicate that for electrons with equal energy but different incident angles, the tunneling processes are significantly separated in time within the same magnetic barrier structure. In the configuration arranged with unidentical building blocks, there exists obvious asymmetry of tunneling time in two opposite tunneling directions. Such a discrepancy of the tunneling time varies distinctly with the longitudinal wave vector and the applied bias. Received 4 March 2002 / Received in final form 22 May 2002 Published online 17 September 2002