Open dynamic behaviour of financial markets

Open dynamic behaviour of financial markets with internal interactions between agents and with external “fields” from other systems are investigated using the approach of Grossman and Stiglitz for inefficient markets, and Keynes for interference of the market using physics of finance (referred to hereafter as phynance). The simulation results indicate that the NYSE data analyzed in Plerou, V. et al., Nature 421, 130 (2003) can be fitted by an equation of order parameter Φ and local deviation R of type: -(R+0.03) Φ+ 0.6 Φ³ + 0.02 = 0, which is shown to be in remarkable agreement with Plerou's data.     

Evidence of Strange Attractors in Class C Amplifier with Single Bipolar Transistor: Polynomial and Piecewise-Linear Case

This paper presents and briefly discusses recent observations of dynamics associated with isolated generalized bipolar transistor cells. A mathematical model of this simple system is considered on the highest level of abstraction such that it comprises many different network topologies. The key property of the analyzed structure is its bias point since the transistor is modeled via two-port admittance parameters. A necessary but not sufficient condition for the evolution of autonomous complex behavior is the nonlinear bilateral nature of the transistor with arbitrary reason that causes this effect. It is proved both by numerical analysis and experimental measurement that chaotic motion is miscellaneous, robust, and it is neither numerical artifact nor long transient motion.     

Transition to chaos in lid-driven square cavity flow

To date, there are very few studies on the transition beyond second Hopf bifurcation in a lid-driven square cavity, due to the difficulties in theoretical analysis and numerical simulations. In this paper, we study the characteristics of the third Hopf bifurcation in a driven square cavity by applying a consistent fourth-order compact finite difference scheme rectently developed by us. We numerically identify the critical Reynolds number of the third Hopf bifurcation located in the interval of (13944.7021,13946.5333) by the method of bisection. Through Fourier analysis, it is discovered that the flow becomes chaotic with a characteristic of period-doubling bifurcation when the Reynolds number is beyond the third bifurcation critical interval. Nonlinear time series analysis further ascertains the flow chaotic behaviors via the phase diagram, Kolmogorov entropy and maximal Lyapunov exponent. The phase diagram changes interestingly from a closed curve with self-intersection to an unclosed curve and the attractor eventually becomes strange when the flow becomes chaotic.     

受迫振动非线性特性的教学拓展

受迫振动在大学物理和大学物理实验中均是重点教学内容,为了使学生更加深入理解受迫振动的非线性特性,本文基于波耳共振仪所涉及的非线性因素和实验数据,对受迫振动方程进行非线性修正,利用数值分析探讨其非线性特性.通过引入硬弹簧型杜芬方程,探讨系统由周期性运动进入混沌状态的演化,将受迫振动中相对稳定的平衡点与奇异吸引子进行类比,拓展非线性振动教学内容.     

汽轮机转子在气流力和油膜力作用下的非线性动力学特性

为了分析转子在油膜力和气流激振力共同作用下的非线性振动特性，本文以短轴承支撑的不平衡刚性对称Jeffcott转子系统为研究对象，首先分析转子在非稳态油膜力作用下的振动特性，然后分析转子在油膜力和气流激振力共同作用下的非线性振动特性。采用数值模拟的方法研究了系统的分岔和混沌特性，计算结果表明，考虑气流激振力和油膜力共同作用下的转子系统与仅考虑油膜力的转子系统相比，在相对进气速度v=30m／s时，随着无量纲转速ω的增加。二者都出现了周期运动和混沌运动多次交替出现的复杂运动特性，但是前者首次出现倍周期分岔和混沌运动时的转运提前，在定转速情况下，随着v的增大，系统最终在经历周期运动之后进入混沌运动，而且圆盘中心的最大振幅随着v的增大而增大。     

Stability and Oscillations in a Time-Delayed Vehicle System with Driver Control

In this paper, linear stability and chaotic motion of a time-delayednonlinear vehicle system are studied. The stability is determined bycomputing the spectrum associated with a system of linear retardedfunctional differential equations, which reveals that a loss ofstability occurs following a Hopf bifurcation. Beyond the critical valuefor linear stability, the system exhibits limit cycle motions.Subharmonic, quasi-periodic and chaotic motions are observed for asystem excited by a periodic disturbance.     

Bifurcations and chaos in parametrically excited single-degree-of-freedom systems

The behavior of single-degree-of-freedom systems possessing quadratic and cubic nonlinearities subject to parametric excitation is investigated. Both fundamental and principal parametric resonances are considered. A global bifurcation diagram in the excitation amplitude and excitation frequency domain is presented showing different possible stable steady-state solutions (attractors). Fractal basin maps for fundamental and principal parametric resonances when three attractors coexist are presented in color. An enlargement of one region of the map for principal parametric resonance reveals a Cantor-like set of fractal boundaries. For some cases, both periodic and chaotic attractors coexist.     

Non-linear dynamic phenomena in the behaviour of a railway wheelset model

A dicone moving on a pair of cylindrical rails can be considered as a simplified model of a railway wheelset. Taking into account the non-linear friction laws of rolling contact, the equations of motion for this non-linear mechanical system result in a set of differential-algebraic equations. Previous simulations performed with the differential-algebraic solver DASSL, [2], and experiments, [7], indicated non-linear phenomena such as limit-cycles, bifurcations as well as chaotic behaviour. In this paper the non-linear phenomena are investigated in more detail with the aid of special in-house software and the path-following algorithm PATH [10]. We apply Poincaré sections and Poincaré maps to describe the structure of periodic, quasiperiodic and chaotic motions. The analyses show that part of the chaotic behaviour of the non-linear system can be fully understood as a non-linear iterative process. The resulting stretching and folding processes are illustrated by series of Poincaré sections.     

The chaotic response of a fluttering panel: The influence of maneuvering

The influence of maneuvering on the chaotic response of a fluttering buckled plate on an aircraft has been studied. The governing equations, derived using Lagrangian mechanics, include geometric non-linearities associated with the occurrence of tensile stresses, as well as coupling between the angular velocity of the maneuver and the elastic degrees of freedom. Numerical simulation for periodic and chaotic responses are conducted in order to analyze the influence of the pull-up maneuver on the dynamic behavior of the panel. Long-time histories phase-plane plots, and power spectra of the responses are presented. As the maneuver (load factor) increases, the system exhibits complicated dynamic behavior including a direct and inverse cascade of subharmonic bifurcations, intermittency, and chaos. Beside these classical routes of transition from a periodic state to chaos, our calculations suggest amplitude modulation as a possible new mode of transition to chaos. Consequently this research contributes to the understanding of the mechanisms through which the transition between periodic and strange attractors occurs in, dissipative mechanical systems. In the case of a prescribed time dependent maneuver, a remarkable transition between the different types of limit cycles is presented.Nomenclature a plate length - a _r u _r /h - D plate bending stiffness - E modulus of elasticity - g acceleration due to gravity - h plate thickness - j₁,j₂,j₃ base vectors of the body frame of reference - K spring constant - M Mach number - n 1 + ₀/g - N ₁ applied in-plane force - p–p aerodynamic pressure - P pa ⁴/Dh - q ₀/2 - Q _r generalized Lagrangian forces - R rotation matrix - R ₄ N, a ²/D - t time - kinetic energy - u plate deflection - u displacement of the structure - u _r modal amplitude - v₀ velocity - x coordinates in the inertial frame of reference - z coordinates in the body frame of reference - Ka/(Ka+Eh) - - elastic energy - 2qa ³/D - a/_mh - Poisson's ratio - material coordinates - air density - _m plate density - - _r prescribed functions - _r sin(r z/a) - angular velocity - a/v₀ - skew-symmetric matrix form of the angular velocity     

Generalized spatiotemporal chaos synchronization of the Ginzburg-Landau equation

In this paper, the generalized synchronization of two unidirectionally coupled Ginzburg-Landau equations is studied theoretically. It is demonstrated that the drive-response system has bounded attraction domain and compact attractors. It is derived that the correction equation has asymptotically stable zero solutions under certain conditions and that the sufficient conditions for smooth generalized synchronization and Hölder continuous generalized synchronization exist in the coupling system. Numerical result analysis shows the correctness of theory.