A nonextensive approach to the dynamics of financial observables

We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy . More precisely, we present stochastic dynamical mechanisms which mimic probability density functions empirically observed. These mechanisms provide possible interpretations for the emergence of the entropic indices q in the time evolution of the corresponding observables. In addition to this, through multi-fractal analysis of return time series, we verify that the dual relation q_stat+q_sens=2 is numerically satisfied, q_stat and q_sens being associated to the probability density function and to the sensitivity to initial conditions respectively. This type of simple relation, whose understanding remains ellusive, has been empirically verified in various other systems.     

Interface transparency of Nb/Pd layered systems

We have investigated, in the framework of proximity effect theory, the interface transparency of superconducting/normal metal layered systems which consist of Nb and high paramagnetic Pd deposited by dc magnetron sputtering. The obtained value is relatively high, as expected by theoretical arguments. This leads to a large value of the ratio although Pd does not exhibit any magnetic ordering.Received: 12 December 2003, Published online: 20 April 2004PACS: 74.45. + c Proximity effects; Andreev effect; SN and SNS junctions - 74.78.Fk Multilayers, superlattices, heterostructuresS.L. Prischepa: Permanent address: State University of Computer Science and RadioElectronics, P. Brovka street 6, 220600, Minsk, Belarus     

On the Meissner effect in a superconductor with 4-fermion attraction

A presence of a Meissner-Ochsenfeld effect in a gas of spin 1/2 fermions with an interaction , where is a volume of a region in real space which is taken by thesystem and with , satisfying Fermi anticommutation relations, is investigated. The effect proves to be weaker than in BCS by a factor 3/4 at T = 0, implying a greater penetration depth of external magnetic field. V ₄ is nonzero only within a thin layer of 1-fermion energies around the chemical potential .Received: 14 June 2004, Published online: 12 October 2004PACS: 74.20.-z Theories and models of superconducting state - 74.20.Fg BCS theory and its development     

Interpreting remanence isotherms: a Preisach-based study

Numerical simulations of the field dependence of the isothermal remanent moment (IRM) and the thermoremanent moment (TRM) are presented, based on a Preisach formalism which decomposes the free energy landscape into an ensemble of thermally activated, temperature dependent, double well subsystems, each characterized by a dissipation field H _d and a bias field H _s . The simulations show that the TRM approaches saturation much more rapidly than the corresponding IRM and that, as a consequence, the characteristics of the IRM are determined primarily by the distribution of dissipation fields, as defined by the mean field and the dispersion , while the characteristics of the TRM are determined primarily by a mixture of the mean dissipation field and the dispersion of bias fields . The simulations also identify a regime , where the influence of on the TRM is negligible, and hence where the TRM and the IRM provide essentially independent scans of the Preisach distribution along the two orthogonal H _s and H _d directions, respectively. The systematics established by the model simulations are exploited to analyze TRM and IRM data from a mixed ferromagnetic perovskite Ca_0.4Sr_0.6RuO₃, and to reconstruct the distribution of characteristic fields H _d and H _s , and its variation with temperature.Received: 16 April 2004, Published online: 12 August 2004PACS: 75.60.Ej Magnetization curves, hysteresis, Barkhausen and related effects - 75.60.-d Domain effects, magnetization curves, and hysteresis     

Majority orienting model for the oscillation of market price

The cyclic Lotka-Volterra model in a D-dimensional regular lattice is considered. Entropy production of its nucleus growth mode is investigated by analyzing the time evolution of the family of entropies , with . This family contains as particular case (q = 1) the usual entropic form . The rate of growth of the entropy S _q , for some , is expected to provide non-trivial information about certain complex systems. For the system here considered, it is shown, both numerically and by means of analytical considerations, that a linear increase of entropy with time, meaning finite asymptotic entropy rate, is achieved for the entropic index q _c = 1-1/D, as previously conjectured in the literature. However, although , this relation can be explained in terms of very simple features not directly connected to the complexity of the dynamics. The relation between the characteristic entropic index and lattice dimensionality is shown to be a consequence of the fact that the system soon approaches a steady regime where the nucleus radius grows linearly with time.Received: 8 October 2004, Published online: 14 December 2004PACS: 05.10.Ln Monte Carlo methods - 05.65. + b Self-organized systems - 05.45.-a Nonlinear dynamics and nonlinear dynamical systems     

$\mathsf{\sqrt{3}}$ linear structures in the Te/Ni(111) system

Surface structures in the Te/Ni(111) system are revealed by using reflection high-energy electron diffraction combined with X-ray and ultraviolet photoelectron spectroscopies. At a 0.33 mono-layer (ML)-Te/Ni(111) surface, a reversible structural phase transition is observed with a transition temperature T_c of 380 C. The diffraction pattern from the low temperature phase is accompanied by streaks. The high and low temperature phases are characterized by and rectangle, respectively. The mechanism of the phase transition is explained by the order-disorder transition with a rumpled chain model. Both 0.51 ML- and 0.44 ML-Te/Ni(111) surfaces exhibit the complex diffraction patterns accompanied by diffuse streaks. These surface structures are characterized by the rectangle and , respectively. All diffuse streaks obtained at the above surfaces are consistently interpreted in the view of the ill-ordered arrangements of the well-ordered linear chains. It is shown that the linear structure is the key in the Te/Ni(111) system.Received: 1 December 2003, Published online: 20 April 2004PACS: 61.14.Hg Low-energy electron diffraction (LEED) and reflection high-energy electron diffraction (RHEED) - 68.65.-k Low-dimensional, mesoscopic, and nanoscale systems: structure and nonelectronic properties - 64.60.Cn Order-disorder transformations; statistical mechanics of model systems     

Scale dependent partitioning of one-dimensional aperiodic set diffraction

We give a multiresolution partition of pure point parts of diffraction patterns of one-dimensional aperiodic sets. When an aperiodic set is related to the Golden Ratio, denoted by , it is well known that the pure point part of its diffractive measure is supported by the extension ring of , denoted by . The partition we give is based on the formalism of the so called -integers, denoted by . The set of -integers is a selfsimilar set obeying , . The pure point spectrum is then partitioned with respect to this Russian doll like sequence of subsets . Thus we deduce the partition of the pure point part of the diffractive measure of aperiodic sets.Received: 24 March 2004, Published online: 12 July 2004PACS: 61.44.Br Quasicrystals - 61.10.Dp Theories of diffraction and scattering     

Charge orderings in the atomic limit of the extended Hubbard model

The extended Hubbard model in the atomic limit (AL-EHM) on a square lattice with periodic boundary conditions is studied with use of the Monte Carlo (MC) method. Within the grand canonical ensemble the phase and order-order boundaries for charge orderings are obtained. The phase diagrams include three types of charge ordered phases and the nonordered phase. The system exhibits very rich structure and shows unusual multicritical behavior. In the limiting case of t_ij=0, the EHM is equivalent to the pseudospin model with single-ion anisotropy , exchange interaction W in an effective magnetic field . This classical spin model is analyzed using the MC method for the canonical ensemble. The phase diagram is compared with the known results for the Blume-Capel model.     

Effective action for phase fluctuations in <Emphasis Type="Italic">d</Emphasis>-wave superconductors near a Mott transition

Phase fluctuations of a d-wave superconducting order parameter are theoretically studied in the context of high-T_c cuprates. We consider an extended t-J model describing electrons in a layer which also contains long-range Coulomb interactions. The constraint of having at most singly occupied sites is enforced by an additional Hubbard term. The Heisenberg interaction is decoupled by a d-wave order parameter in the particle-particle channel. Assuming first that the equilibrium state has long-range phase order, the effective action is derived perturbatively for small fluctuations within a path integral formalism, in the presence of the Coulomb and Hubbard interaction terms. In a second step, a more general derivation of is performed in terms of a gradient expansion which only assumes that the gradients of the order parameter are small whereas the value of the phase may be large. We show that in the phase-only approximation the resulting reduces in leading order in the field gradients to the perturbative one which thus allows to treat also the case without long-range phase order or vortices. Our result generalizes previous expressions for to the case of interacting electrons, is explicitly gauge invariant, and avoids problematic singular gauge transformations.     

Singular behavior of the Emery model with O-O hopping for high-T$\mathsf{_c}$ superconductors

Mean field slave boson (MFSB) solution is found analytically for the Emery model of the high-T_c cuprates with infinite interaction U_d on the Cu-site and finite O-O hopping t', in addition to the Cu-O hopping t₀. The solution is found for arbitrary Cu-O charge transfer energy and small doping , assuming only t' < 0 for the insulating phase, appropriate for the superconducting cuprates. It is shown analytically that the Brinkmann-Rice metal-insulator transition is preserved, though shifted to higher values of . To the leading order in t', the transition conserves its t'=0 triple point nature with complete electron-hole symmetry with respect to doping. This symmetry is broken by logarithmically small terms related to the t'-induced shift of the chemical potential of the half-filled band from the van Hove singularity. Qualitative change in the behavior of the effective charge transfer energy is found at finite t' for large . The prerequisite to MFSB solution is the discussion of the singularities in the 3-band dispersion of the Emery model. The range of parameters leading to the touching of two bands is determined analytically, showing that it is wider than known before. The anticrossing (rather than touching) is however consistent with the observed Fermi surfaces, leading to the MFSB theory with t' < 0. The detailed comparison of the theory with the angle-resolved photoemission spectroscopy data in La Sr CuO₄, Bi₂Sr₂CaCuO and YBa₂Cu₃O is finally given, using the properties of the resonant band of the physical fermions, discussed in the companion paper. Fast evolution of the band-structure with doping is explained for LSCO. The three-band fits for Bi2212 and Y123 are equally good, although the Luttinger sum rule is not obeyed there.Received: 30 May 2002, Published online: 23 July 2003PACS:   71.18.+y Fermi surface: calculations and measurements; effective mass, g factor - 74.72.Dn La-based cuprates - 74.25.Jb Electronic structure - 79.60.-i Photoemission and photoelectron spectra     

Some features of the conditional ${\mathsf q}$-entropies of composite quantum systems

The study of conditional q-entropies in composite quantum systems has recently been the focus of considerable interest, particularly in connection with the problem of separability. The q-entropies depend on the density matrix through the quantity , and admit as a particular instance the standard von Neumann entropy in the limit case . A comprehensive numerical survey of the space of pure and mixed states of bipartite systems is here performed, in order to determine the volumes in state space occupied by those states exhibiting various special properties related to the signs of their conditional q-entropies and to their connections with other separability-related features, including the majorization condition. Different values of the entropic parameter q are considered, as well as different values of the dimensions N ₁ and N ₂ of the Hilbert spaces associated with the constituting subsystems. Special emphasis is paid to the analysis of the monotonicity properties, both as a function of q and as a function of N ₁ and N ₂, of the various entropic functionals considered.Received: 30 May 2003, Published online: 15 October 2003PACS: 03.67.-a Quantum information - 89.70.+c Information theory and communication theory - 03.65.-w Quantum mechanics     

Surface critical behavior of fluids: Lennard-Jones fluid near a weakly attractive substrate

The phase behavior of fluids near weakly attractive substrates is studied by computer simulations of the coexistence curve of a Lennard-Jones (LJ) fluid confined in a slitlike pore. The temperature dependence of the density profiles of the LJ fluid was used to study the surface critical behavior. A universal critical behavior of the local order parameter, defined as the difference between the local densities of the coexisting liquid and vapor phases at some distance from the pore walls, , is observed in a wide temperature range and found to be consistent with the surface critical behavior of the Ising model. Near the surface the dependence of the order parameter on the reduced temperature obeys a scaling law ~1 with a critical exponent 1 of about 0.8, corresponding to the surface transition. A crossover from bulk-like to surface-like critical behavior occurs, when the distance to the surface is about twice the correlation length at the given temperature. Relations between the and transitions in Ising systems and the surface critical behavior of fluids are discussed.     

New gauge bosons from the littlest Higgs modeland the process $e^{ + }e^{-}\rightarrow t\bar{t}$

In the context of the littlest Higgs (LH) model, we study the process . We find that the new gauge bosons Z _H and B _H can produce significant correction effects on this process, which can be further enhanced by suitably polarized beams. In most of the parameter space preferred by the electroweak precision data, the absolute value of the relative correction parameter is larger than 5 %. As long as and the absolute value of the relative correction parameter is larger than . With reasonable values of the parameters of the LH model, the possible signals of the new gauge bosons B _H and Z _H can be detected via the process in the future LC experiments with the CM energy . B _H exchange and Z _H exchange can generate significantly corrections to the forward-backward asymmetry only in a small part of the parameter space.Received: 29 October 2004, Revised: 29 November 2004, Published online: 15 February 2005     

Scaling behavior of jamming fluctuations upon random sequential adsorption

It is shown that the fluctuations of the jamming coverage upon Random Sequential Adsorption (RSA) ( ), decay with the lattice size according to the power-law , with ,where D is the dimension of the substrate and is the fractal dimension of the set of sites belonging to the substrate where the RSA process actually takes place. This result is in excellent agreement with the figure recently reported by Vandewalle et al. [Eur. Phys. J. B 14, 407 (2000)], namely for the RSA of needles with D = 2 and , that gives . Furthermore, our prediction is in excellent agreement with different previous numerical results. The derived relationships are also confirmed by means of extensive numerical simulations applied to the RSA of dimers on both stochastic and deterministic fractal substrates.Received: 17 October 2003, Published online: 8 December 2003PACS: 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion - 02.50.-r Probability theory, stochastic processes, and statistics     

Structural,electronic, and optical properties of beryllium monochalcogenides

The results of first-principles theoretical study of the structural, electronic and optical properties of beryllium monochalcogenides BeTe, BeSe and BeS, performed using the full potential linearized augmented plane wave (FP-LAPW) method are presented. The calculated structural parameters and band gaps compare very well with previous theoretical results. The trends of the band gap pressure coefficients and volume deformation potentials for these II-VI compounds are investigated. The linear pressure coefficients for the X and band gaps increase with decrease in anion atomic weight. The dependence of the direct and indirect band gaps on the relative change of lattice constant are found to follow almost the same type of trends in each of these compounds. The volume deformation potential ( ) for the direct ( ) and indirect ( ) gaps are positive, but negative for the indirect ( ) gap. Furthermore, , for transitions decreases with increase in anion atomic number whereas , increases. The optical properties have also been calculated. From the reflectivity spectra, the compounds will be useful for optical applications. The variation of the band gaps with respect to the application of pressure and the origin of some of the peaks in the optical spectra are discussed in terms the calculated electronic structure.Received: 26 September 2003, Published online: 18 June 2004PACS: 71.15.Ap Basis sets (LCAO, plane-wave, APW, etc.) and related methodology (scattering methods, ASA, linearized methods, etc.) - 71.15.Mb Density functional theory, local density approximation, gradient and other corrections - 71.20.Nr Semiconductor compounds     

Omnidirectional zero-\bar {\mathsf n} gap in symmetrical Fibonacci sequences composed of positive and negative refractive index materials

The band structures of symmetrical Fibonacci sequences (SFS) composed of positive and negative refractive index materials are studied with a transfer matrix method. A new type of omnidirectional zero- gaps is found in the SFS. In contrast to the Bragg gaps, such an omnidirectional zero- gap is insensitive to the incident angles and polarization, and is invariant upon the change of the ratio of the thicknesses of two media. It is found that omnidirectional zero- gap exists in all the SFS, and it is rather stable and independence of the structure sequence.     

Variable-range hopping in 2D quasi-1D electronic systems

A semi-phenomenological theory of variable-range hopping (VRH) is developed for two-dimensional (2D) quasi-one-dimensional (quasi-1D) systems such as arrays of quantum wires in the Wigner crystal regime. The theory follows the phenomenology of Efros, Mott and Shklovskii allied with microscopic arguments. We first derive the Coulomb gap in the single-particle density of states, g(ε), where ε is the energy of the charge excitation. We then derive the main exponential dependence of the electron conductivity in the linear (L), i.e. σ(T) ∼exp [-(T_L/T)^γL], and current in the non-linear (NL), i.e. , response regimes ( is the applied electric field). Due to the strong anisotropy of the system and its peculiar dielectric properties we show that unusual, with respect to known results, Coulomb gaps open followed by unusual VRH laws, i.e. with respect to the disorder-dependence of T_L and and the values of γ_L and γ_NL.     

ZZ production in e+ e- int eractions at $\sqrt{s} =$ 183-209 G eV

Measurements of on-shell ZZ production are described, using data from the DELPHI experiment at LEP in e ⁺ e ^- collisions at centre-of-mass energies between 183 and 209 GeV, corresponding to an integrated luminosity of about 665 pb^-1. Results obtained in each of the final states , , , , , l ⁺ l ^- l ⁺ l ^-, and (with ) are presented. The measured production cross-sections are consistent with the Standard Model expectations. These results update and supersede those already published at 183 and 189 GeV.Received: 3 March 2002, Revised: 28 May 2003, Published online: 19 September 2003     

Scaling the $\alpha $-relaxation time of supercooled fragile organic liquids

It was shown recently [1] that the structural -relaxation time of supercooled o-terphenyl depends on a single control parameter , which is the product of a function of density , by the inverse temperature T ^-1. We extend this finding to other fragile glassforming liquids using light scattering data. Available experimental results do not allow to discriminate between several analytical forms of the function , the scaling arising from the separation of density and temperature in . We also propose a simple form for , which depends only on three material-dependent parameters, reproducing relaxation times over 12 orders of magnitude.Received: 16 July 2004, Published online: 23 December 2004PACS: 66.20. + d Viscosity of liquids; diffusive momentum transport - 78.35. + c Brillouin and Rayleigh scattering; other light scattering - 64.70.Pf Glass transitions     

Aging of the field-induced asymmetry in a disordered ferroelectric

The isothermal aging of the asymmetry induced in the disordered dielectric crystal (x=0.027) submitted to the biasing electric field E, is investigated. To this end, the response of the complex dielectric constant to infinitesimal field changes , applied to the sample after a variable aging delay, has been measured for different magnitudes of E and after different aging delays. Two different experimental procedures have been used: in both cases the response strongly depends on the time spent under field. For short aging delays, the response has a strong contribution proportional to δE and a weak quadratic contribution proportional to . As time elapses, the linear and the quadratic contributions age in opposite ways: the former decreases whereas the latter increases. This paradoxical behaviour is analyzed in the framework of a model which attributes aging and the related effects (rejuvenation, memory) to the evolution of polarization domain walls: the decrease of the linear contribution is related to the decrease of the total wall area, while the increase of the quadratic term is attributed to wall reconformations.