Observations of deterministic chaos in financial time series by recurrence plots, can one control chaotic economy?

Several economical time series such as exchange rates US$/British Pound, USA Treasure Bonds rates and Warsaw Stock Index WIG have been investigated using the method of recurrence plots. The percentage of recurrence REC and the percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REC and DET parameters are about 20% lower for the surrogate data which indicates the presence of unstable periodical orbits in the considered data. A similar result has been obtained for the chaotic Lorenz model contaminated by noise. Our investigations suggest that real economical dynamics is a mixture of deterministic and stochastic chaos. We show how a simple chaotic economic model can be controlled by appropriate influence of time-delayed feedback. Received 13 October 2000     

Front propagation in chaotic and noisy reaction-diffusion systems: a discrete-time map approach

We study the front propagation in reaction-diffusion systems whose reaction dynamics exhibits an unstable fixed point and chaotic or noisy behaviour. We have examined the influence of chaos and noise on the front propagation speed and on the wandering of the front around its average position. Assuming that the reaction term acts periodically in an impulsive way, the dynamical evolution of the system can be written as the convolution between a spatial propagator and a discrete-time map acting locally. This approach allows us to perform accurate numerical analysis. They reveal that in the pulled regime the front speed is basically determined by the shape of the map around the unstable fixed point, while its chaotic or noisy features play a marginal role. In contrast, in the pushed regime the presence of chaos or noise is more relevant. In particular the front speed decreases when the degree of chaoticity is increased, but it is not straightforward to derive a direct connection between the chaotic properties (e.g. the Lyapunov exponent) and the behaviour of the front. As for the fluctuations of the front position, we observe for the noisy maps that the associated mean square displacement grows in time as t ^1/2 in the pushed case and as t ^1/4 in the pulled one, in agreement with recent findings obtained for continuous models with multiplicative noise. Moreover we show that the same quantity saturates when a chaotic deterministic dynamics is considered for both pushed and pulled regimes. Received 17 July 2001     

用直线稳定方法控制耦合哈密顿系统的混沌运动

讨论了不稳定不动点邻域的不稳定轨道的稳定问题．通过对系统施加外部的控制信号，将直线稳定方法推广到控制高维保守系统一耦合标准映象的混沌运动．通过对外加控制信号的调整，使系统不稳定不动点邻域的不稳定轨道沿着连接任意时刻轨道点和该不动点的直线趋向不动点，从而使难于控制的高维保守系统的不稳定轨道趋于稳定．这种方法不需要事先掌握系统动力行为，而且具有较强的抗干扰能力。     

An integrable model in general relativity

Melnikov-method-based theoretical results are demonstrated concerning the relative effectiveness of any two weak excitations in suppressing homoclinic/heteroclinic chaos of a relevant class of dissipative, low-dimensional and non-autonomous systems for the main resonance between the chaos-inducing and chaos-suppressing excitations. General analytical expressions are derived from the analysis of generic Melnikov functions providing the boundaries of the regions as well as the enclosed area in the amplitude/initial phase plane of the chaos-suppressing excitation where homoclinic/heteroclinic chaos is inhibited. The relevance of the theoretical results on chaotic attractor elimination is confirmed by means of Lyapunov exponent calculations for a two-well Duffing oscillator. Received 21 May 2002 / Received in final form 13 September 2002 Published online 29 November 2002     

Revisiting the role of correlation coefficient to distinguish chaos from noise

The correlation coefficient vs. prediction time profile has been widely used to distinguish chaos from noise. The correlation coefficient remains initially high, gradually decreasing as prediction time increases for chaos and remains low for all prediction time for noise. We here show that for some chaotic series with dominant embedded cyclical component(s), when modelled through a newly developed scheme of periodic decomposition, will yield high correlation coefficient even for long prediction time intervals, thus leading to a wrong assessment of inherent chaoticity. But if this profile of correlation coefficient vs. prediction horizon is compared with the profile obtained from the surrogate series, correct interpretations about the underlying dynamics are very much likely. Received 8 March 1999     

Chaotic dynamics in a storage-ring free electron laser

The temporal dynamics of a storage-ring Free Electron Laser is here investigated with particular attention to the case in which an external modulation is applied to the laser-electron beam detuning. The system is shown to produce bifurcations as well as chaotic regimes. The peculiarities of this phenomenon with respect to the analogous behaviour displayed by conventional laser sources are pointed out. Theoretical results, obtained by means of a phenomenological model reproducing the evolution of the main statistical parameters of the system, are shown to be in a good agreement with experiments carried out on the Super-ACO Free Electron Laser. Received 27 March 2002 / Received in final form 17 July 2002 Published online 21 January 2003 RID="a" ID="a"Present address: Sincrotone Trieste, 34012 Trieste, Italy. RID="b" ID="b"e-mail: fanelli@nada.kth.se     

Theoretical and experimental study of discrete behavior of Shilnikov chaos in a CO 2 laser

The discrete distribution of homoclinic orbits has been investigated numerically and experimentally in a CO₂ laser with feedback. The narrow chaotic ranges appear consequently when a laser parameter (bias voltage or feedback gain) changes exponentially. Up to six consecutive chaotic windows have been observed in the numerical simulation as well as in the experiments. Every subsequent increase in the number of loops in the upward spiral around the saddle focus is accompanied by the appearance of the corresponding chaotic window. The discrete character of homoclinic chaos is also demonstrated through bifurcation diagrams, eigenvalues of the fixed point, return maps, and return times of the return maps. Received 28 September 2000 and 27 October 2000     

Spatial orders appearing at instabilities of synchronous chaos of spatiotemporal systems

Various spatial orders introduced by the instabilities of synchronous chaotic state of spatiotemporal systems are investigated by considering coupled map lattice and chaotic partial differential equation. In particular, the motions of on-off intermittent states at the onset of the instabilities are studied in detail. The chaotic desynchronized patterns can be described by a simple universal form, including three parts: the synchronous chaos; a spatially ordered pattern, determined by the unstable mode of the reference synchronous chaos; and on-off intermittency of the scale of this given pattern. Received 31 July 2002 / Received in final form 20 November 2002 Published online 31 December 2002     

Eigenvalues and eigenfunctions of a clover plate

We report a numerical study of the flexural modes of a plate using semi-classical analysis developed in the context of quantum systems. We first introduce the Clover billiard as a paradigm for a system inside which rays exhibit stable and chaotic trajectories. The resulting phase space explored by the ray trajectories is illustrated using the Poincare surface of section, and shows that it has both integrable and chaotic regions. Examples of the stable and the unstable periodic orbits in the geometry are presented. We numerically solve the biharmonic equation for the flexural vibrations of the Clover shaped plate with clamped boundary conditions. The first few hundred eigenvalues and the eigenfunctions are obtained using a boundary elements method. The Fourier transform of the eigenvalues show strong peaks which correspond to ray periodic orbits. However, the peaks corresponding to the shortest stable periodic orbits are not stronger than the peaks associated with unstable periodic orbits. We also perform statistics on the obtained eigenvalues and the eigenfunctions. The eigenvalue spacing distribution P(s) shows a strong peak and therefore deviates from both the Poisson and the Wigner distribution of random matrix theory at small spacings because of the C_4v symmetry of the Clover geometry. The density distribution of the eigenfunctions is observed to agree with the Porter-Thomas distribution of random matrix theory. Received 12 February 2001 and Received in final form 17 April 2001     

State-to-State Transitions in a Hindmarsh-Rose Neuron System

We investigate the dynamical response of the neuron system to a feeble external signal by using the Hindmarsh-Rose model, when the system is tuned below the first bifurcation point, which corresponds to the period-1 bursting state, and an external signal with a fixed period of about 170s is introduced to the system. It is found that to respond to the outside signal, the system changes from the period-1 state to a period-2 one with variation of the signal amplitude, indicating the occurrence of state-to-state transition （SST）. Moreover, when a signal with different fixed periods is introduced, we can also find a similar transition between other states. Furthermore, the effect of the frequency of the signal on the transition is also discussed. These results may imply that SST plays a constructive role in information processing in neuron systems.     

Non-equilibrium behavior at a liquid-gas critical point

Second-order phase transitions in a non-equilibrium liquid-gas model with reversible mode couplings, i.e., model H for binary-fluid critical dynamics, are studied using dynamic field theory and the renormalization group. The system is driven out of equilibrium either by considering different values for the noise strengths in the Langevin equations describing the evolution of the dynamic variables (effectively placing these at different temperatures), or more generally by allowing for anisotropic noise strengths, i.e., by constraining the dynamics to be at different temperatures in d _|| - and d _⊥-dimensional subspaces, respectively. In the first, isotropic case, we find one infrared-stable and one unstable renormalization group fixed point. At the stable fixed point, detailed balance is dynamically restored, with the two noise strengths becoming asymptotically equal. The ensuing critical behavior is that of the standard equilibrium model H. At the novel unstable fixed point, the temperature ratio for the dynamic variables is renormalized to infinity, resulting in an effective decoupling between the two modes. We compute the critical exponents at this new fixed point to one-loop order. For model H with spatially anisotropic noise, we observe a critical softening only in the d _⊥-dimensional sector in wave vector space with lower noise temperature. The ensuing effective two-temperature model H does not have any stable fixed point in any physical dimension, at least to one-loop order. We obtain formal expressions for the novel critical exponents in a double expansion about the upper critical dimension d _c = 4 - d _|| and with respect to d _|| , i.e., about the equilibrium theory. Received 4 April 2002 Published online 13 August 2002     

Coupling induced topological transition in a ring of chaotic oscillators

A ring of diffusively coupled R?ssler oscillators, which can develop the conventional rotating wave from high-dimensional chaos by increasing the coupling ɛ continuously is studied. The chaotic generator for the rotating wave emerges around ɛ = ɛ, where the topological transition induced by the coupling not only changes the topological structure of all the oscillators, which share a common strange attractor, but also changes them into being different from each other. Starting from this transition, infinitely long range temporal correlation and spatial order in the style of antiphase state are established gradually, which gives rise to the chaotic generator of the rotating wave. Received 15 March 2001     

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     

声光双稳系统混沌的控制

对声光双稳系统的混沌态提出参数连续延时反馈的控制技术。数值分析表明，在一定的控制强度下，这种控制使系统在原混沌区具有负的最大李亚普诺夫指数，并且能够保证控制的目标状态是原系统的失稳不动点中稳定周期轨道。文章通过与实验结果的比较，验证了本控制方法的有效性。     

Are EUR and GBP different words for the same currency?

The British Pound (GBP) is not part of the Euro (EUR) monetary system. In order to find out arguments on whether GBP should join the EUR or not correlations are calculated between GBP exchange rates with respect to various currencies: USD, JPY, CHF, DKK, the currencies forming EUR and a reconstructed EUR for the time interval from 1993 till June 30, 2000. The distribution of fluctuations of the exchange rates is Gaussian for the central part of the distribution, but has fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method the power law behavior describing the root-mean-square deviation from a linear trend of the exchange rate fluctuations is obtained as a function of time for the time interval of interest. The time-dependent exponent evolution of the exchange rate fluctuations is given. Statistical considerations imply that the GBP is already behaving as a true EUR. Received 31 December 2001     

Control Chaos in Hindmarsh--Rose Neuron by Using Intermittent Feedback with One Variable

The mechanism of the famous phase compression is discussed, and it is used to control the chaos in the Hindmarsh-Rose （H-R） model. It is numerically confirmed that the phase compression scheme can be understood as one kind of intermittent feedback scheme, which requires appropriate thresholds and feedback coeffcient, and the intermittent feedback can be realized with the Heaviside function. In the case of control chaos, the output variable （usually the voltage or the membrane potential of the neuron） is sampled and compared with the external standard signal of the electric electrode. The error between the sampled variable and the external standard signal of the electrode is input into the system only when the sampled variable surpasses the selected thresholds. The numerical simulation results confirm that the chaotic H-R system can be controlled to reach arbitrary n-periodical （n = 1, 2, 3, 4, 5, 6,...） orbit or stable state even when just one variable is feed backed into the system intermittently. The chaotic Chua circuit is also investigated to check its model independence and effectiveness of the schemes and the equivalence of the two schemes are confirmed again.     

Spatiotemporal chaos control in two-wave driven systems

Spatiotemporal chaos control is considered by taking a one-dimensional driven/damped nonlinear drift-wave equation as a model. We apply an additional sinusoidal wave to suppress spatiotemporal chaos, and the system becomes a two-sinusoidal-wave driven system (the original driving wave with frequency ω and an additional controlling wave with frequency Ω). Numerical simulations show that when the frequency of the controlling wave is in the proper range, spatiotemporal chaos can be modified into a regular state where the amplitudes of all modes vary periodically with frequency Ω-ω while the phases of all modes evolve quasi-periodically with a running frequency Ω overlapped by a small modulation of frequency Ω-ω. The physical reason for this peculiar phenomenon is attributed to a frequency entrainment in the competition of the two external waves.     

Experimental observation of strange nonchaotic attractors in a driven excitable system

We report the observation of strange nonchaotic attractors in an electrochemical cell. The system parameters were chosen such that the system observable (anodic current) exhibits fixed point behavior or period one oscillations. These autonomous dynamics were thereafter subjected to external quasiperiodic forcing. Systematically varying the characteristics (frequency and amplitude) of the superimposed external signal; quasiperiodic, chaotic and strange nonchaotic behaviors in the anodic current were generated. The inception of strange nonchaotic attractors was verified using standard diagnostic techniques.     

Chaotic dynamics in optimal monetary policy

There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King [NBER Macroeconomics Annual 1997 edited by B. Bernanke and J. Rotemberg (Cambridge, Mass.: MIT Press, 1997), pp. 231–282], Clarida et al. [J. Econ. Lit. 37, 1661 (1999)], Svensson [J. Mon. Econ. 43, 607 (1999)] and Woodford [Interest and Prices: Foundations of a Theory of Monetary Policy (Princeton, New Jersey, Princeton University Press, 2003)]. In this paper we extend the standard optimal monetary policy model by introducing nonlinearity into the Phillips curve. Under the specific form of nonlinearity proposed in our paper (which allows for convexity and concavity and secures closed form solutions), we show that the introduction of a nonlinear Phillips curve into the structure of the standard model in a discrete time and deterministic framework produces radical changes to the major conclusions regarding stability and the efficiency of monetary policy. We emphasize the following main results: (i) instead of a unique fixed point we end up with multiple equilibria; (ii) instead of saddle-path stability, for different sets of parameter values we may have saddle stability, totally unstable equilibria and chaotic attractors; (iii) for certain degrees of convexity and/or concavity of the Phillips curve, where endogenous fluctuations arise, one is able to encounter various results that seem intuitively correct. Firstly, when the Central Bank pays attention essentially to inflation targeting, the inflation rate has a lower mean and is less volatile; secondly, when the degree of price stickiness is high, the inflation rate displays a larger mean and higher volatility (but this is sensitive to the values given to the parameters of the model); and thirdly, the higher the target value of the output gap chosen by the Central Bank, the higher is the inflation rate and its volatility.     

False Euro (FEUR) exchange rate correlated behaviors and investment strategy

We have searched for correlations and anticorrelations with respect to currencies as CHF, DKK, JPY, and USD in order to understand the EUR behavior. In order to do so we have invented a false euro (FEUR) dating back to 1993 and have derived simulated exchange rates of the FEUR. Within the Detrended Fluctuation Analysis (DFA) statistical method we have obtained the power law behavior describing the rms. deviation of the fluctuations as a function of time. We have compared the time-dependent exponent for these four exchange rates, and observe the role of the DEM, and the other currencies forming the EUR. A simple investment strategy based on the local DFA technique shows one can obtain appreciable gains, even taking into account some modest transaction fee. We compare the time dependent α exponent of the DFA for various exchange rates as in a correlation matrix for estimating respective influences. Received 31 August 2000