Majority orienting model for the oscillation of market price

The present paper introduces a majority orienting model in which the dealers behavior changes based on the influence of the price to show the oscillation of stock price in the stock market. We show the oscillation of the price for the model by applying the van der Pol equation which is a deterministic approximation of our model.Received: 29 October 2003, Published online: 15 March 2004PACS: 89.65.Gh Economics; econophysics, financial markets, business and management - 05.45.Tp Time series analysis - 02.50.Ey Stochastic processesY. Itoh: Also at The Graduate University for Advanced Studies     

The oscillation of stock price by majority orienting traders with investment position

We consider an interacting particle system for the stock price fluctuation. The change of the stock price with a feedback by the price considering the herding behavior (majority orienting behavior) of traders, gives the van der Pol equation as a deterministic approximation. Considering the investment position of each trader, we introduce the delayed van der Pol equation. The history of investment positions, for example sell or buy, of each trader for a stock makes a memory effect, which is modeled by using the time retardation. The delayed van der Pol equation model seems to be natural and explains typical phenomena, for example triangle pattern, volatility jumps, price jumps and price trends, known for the time series of a stock price.     

An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders to be influenced by the other traders’ investment attitudes [Kaizoji, Physica A 287 (2000) 493], and formulate the traders’ decision-making regarding investment as the maximum entropy principle for nonextensive entropy [C. Tsallis, J. Stat. Phys. 52 (1988) 479]. We demonstrate that the equilibrium probability distribution function of the traders’ investment attitude is the q-exponential distribution. We also show that the power-law distribution of the volatility of price fluctuations, which is often demonstrated in empirical studies can be explained naturally by our model which originates in the collective crowd behavior of many interacting-agents.     

A finite-dimensional quantum model for the stock market

We present a finite-dimensional version of the quantum model for the stock market proposed in C. Zhang and L. Huang [A quantum model for the stock market, Physica A 389 (2010) 5769]. Our approach is an attempt to make this model consistent with the discrete nature of the stock price and is based on the mathematical formalism used in the case of the quantum systems with finite-dimensional Hilbert space. The rate of return is a discrete variable corresponding to the coordinate in the case of quantum systems, and the operator of the conjugate variable describing the trend of the stock return is defined in terms of the finite Fourier transform. The stock return in equilibrium is described by a finite Gaussian function, and the time evolution of the stock price, directly related to the rate of return, is obtained by numerically solving a Schrödinger type equation.     

Molecular dynamics investigation on the atomic-scale friction behaviors between copper(0 0 1) and diamond(1 1 1) surfaces

Classical molecular dynamics (MD) simulations are conducted to examine the atomic-scale friction behavior of an infinite flat-flat contact between copper(0 0 1) and diamond(1 1 1) surfaces. Two types of diamond surface, namely H-free and hydrogenated, are constructed and on each of them the copper counterface is brought to slide along the [1 1 −2] and [1 −1 0] crystallographic directions with a variety of loads. The simulation results demonstrate that the hydrogen atoms chemisorbed to the diamond surface can to large extent eliminate the directional dependency of its friction behavior with copper. Under pressures less than 30 GPa, the sliding between copper and hydrogenated is wearless. In this period, the shear stress of them just slightly increases to 0.6 GPa. Between 30 GPa and 32 GPa, copper atoms near the interface begin to be worn and incorporate into the diamond substrate and this causes a sharp shift from 0.6 GPa to 2.7 GPa in their shear stress. In contrast, the sliding process between copper and H-free diamond is always wearless even under pressure beyond 40 GPa. The H-free [1 −1 0] model exhibits much higher shear stress than H-free [1 1 −2] under pressures less than 35 GPa. Beyond 35 GPa, they present nearly consistent shear stress evolution. Moreover, the simulations for hydrogenated diamond models suggest that their friction behavior is independent on sliding velocity only under wearless sliding regime.     

A multidimensional subdiffusion model： An arbitrage-free market

<正>To capture the subdiffusive characteristics of financial markets,the subordinated process,directed by the inverse Q-stale subordinator S_α(t) for 0 <α< 1,has been employed as the model of asset prices.In this article,we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks.The stock price process is a multidimensional subdiffusion process directed by the inverse Q-stable subordinator.This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks.Moreover,we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process using the Laplace transform technique.Finally, using a martingale approach,we prove that the multidimensional subdiffusion model is arbitrage-free,and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.     

Coupled effects of market impact and asymmetric sensitivity in financial markets

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors’ asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority–minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.     

Multidimensional subdiffusion model: Arbitrage-free market

To capture the subdiffusive characteristics of financial markets, the subordinated process, directed by the inverse α-stale subordinator S_α(t) for 0 < α <1, has been employed as the model of asset prices. In this article, we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks. The stock price process is a multidimensional subdiffusion process directed by the inverse α-stable subordinator. This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks. Moreover, we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process by Laplace transform technique. Finally, using martingale approach, we prove that the multidimensional subdiffusion model is arbitrage-free, and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.     

Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis

The continuum percolation system is developed to model a random stock price process in this work. Recent empirical research has demonstrated various statistical features of stock price changes, the financial model aiming at understanding price fluctuations needs to define a mechanism for the formation of the price, in an attempt to reproduce and explain this set of empirical facts. The continuum percolation model is usually referred to as a random coverage process or a Boolean model, the local interaction or influence among traders is constructed by the continuum percolation, and a cluster of continuum percolation is applied to define the cluster of traders sharing the same opinion about the market. We investigate and analyze the statistical behaviors of normalized returns of the price model by some analysis methods, including power-law tail distribution analysis, chaotic behavior analysis and Zipf analysis. Moreover, we consider the daily returns of Shanghai Stock Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and the simulation data are exhibited.     

First-principles study of elastic and thermo-physical properties of kesterite-type Cu2ZnSnS4

The lattice constants and elastic constants of the kesterite-type Cu₂ZnSnS₄ have been calculated using density-functional theory (DFT). The calculated lattice constants are in good agreement with the experimental data. The calculated elastic constants indicate that the bonding strength along the [1 0 0] and [0 1 0] directions is as strong as the one along the [0 0 1] direction. The high B/G ratio shows that the kesterite-type Cu₂ZnSnS₄ compound has ductile behavior. Finally, using the Debye model, the volume, bulk modulus and heat capacity as a function of temperature for the kesterite-type CZTS have been estimated at different pressures. The Debye temperature and Gruneisen parameter are 157 K and 2.28 at 300 K temperature, respectively. The present results can give some information for the design of the kesterite-type CZTS compounds, and these can also be used to stimulate future experimental and theoretical work.     

Electrical conductance at initial stage in epitaxial growth of Pb on modified Si(1 1 1) surface

The electrical conductance and RHEED intensities as a function of the coverage have been measured during Pb depositions at 105 K on Si(1 1 1)-(6 × 6)Au with up to 4.2 ML of annealed Pb. The experiments show the strong influence of used substrates on the behavior of the conductance during the epitaxy of Pb atoms, especially for very initial stage of growth. Oscillations of the conductance during the layer-by-layer growth are correlated with RHEED intensity oscillations. The analysis of the conductance behavior is made according to the theory described by Trivedi and Aschcroft [N. Trivedi, N. Aschcroft, Phys. Rev. B 38 (1988) 12298].     

The risks and returns of stock investment in a financial market

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.     

One-factor model for the cross-correlation matrix in the Vietnamese stock market

Random matrix theory (RMT) has been applied to the analysis of the cross-correlation matrix of a financial time series. The most important findings of previous studies using this method are that the eigenvalue spectrum largely follows that of random matrices but the largest eigenvalue is at least one order of magnitude higher than the maximum eigenvalue predicted by RMT. In this work, we investigate the cross-correlation matrix in the Vietnamese stock market using RMT and find similar results to those of studies realized in developed markets (US, Europe, Japan) , , , , , , , ,  and  as well as in other emerging markets, ,  and . Importantly, we found that the largest eigenvalue could be approximated by the product of the average cross-correlation coefficient and the number of stocks studied. We demonstrate this dependence using a simple one-factor model. The model could be extended to describe other characteristics of the realistic data.     

Thermal decomposition of toluene: Overall rate and branching ratio

The two-channel thermal decomposition of toluene, C₆H₅CH₃ → C₆H₅CH₂ + H (1) and C₆H₅CH₃ → C₆H₅ + CH₃ (2), was investigated in shock tube experiments over the temperature range of 1400-1780 K at a pressure of 1.5 (±0.1) bar. Rate coefficients for reactions (1) and (2) were determined by monitoring benzyl radical (C₆H₅CH₂) absorption at 266 nm during the decomposition of toluene diluted in argon and modeling the temporal behavior of the benzyl concentration with a kinetic model. The first-order rate coefficients determined at a pressure of 1.5 bar are expressed by k₁(T) = 2.09 × 10¹⁵ exp (−87510 [cal/mol]/RT) [s⁻¹] and k₂(T) = 2.66 × 10¹⁶ exp (−97880 [cal/mol]/RT) [s⁻¹]. The resulting branching ratio, k₁/(k₁ + k₂), ranges from 0.8 at 1350 K to 0.6 at 1800 K.     

CoPt alloy grown on the WSe2(0 0 0 1) van der Waals surface

The structural and magnetic properties of 3-nm-thick CoPt alloys grown on WSe₂(0 0 0 1) at various temperature are investigated. Deposition at room temperature leads to the formation of a chemically disordered fcc CoPt alloy with [1 1 1] orientation. Growth at elevated temperatures induces L1₀ chemical order starting at 470 K accompanied with an increase in grain size and a change in grain morphology. As a consequence of the [1 1 1] growth direction, the CoPt grains can adopt one of the three possible variants of the L1₀ phase with tetragonal c-axis tilted from the normal to the film plane direction at 54°. The average long-range order parameter is found to be 0.35(±0.05) and does not change with the increase in the deposition temperature from 570 to 730 K. This behavior might be related to Se segregation towards the growing facets and surface disorder effects promoted by a high surface-to-volume ratio. Magnetic studies reveal a superparamagnetic behavior for the films grown at 570 and 730 K in agreement with the film morphology and degree of chemical order. The measurements at 10 K reveal the orientation of the easy axis of the magnetization lying basically in the film plane.     

High-order incompressible large-eddy simulation of fully inhomogeneous turbulent flows

The subgrid-scale (SGS) eddy-viscosity model developed by Vreman [Phys. Fluids 16 (2004) 3670] and its dynamic version [Phys. Fluids 19 (2007) 065110] are tested in large-eddy simulations (LES) of the turbulent flow in an Re = 12,000 lid-driven cubical cavity by comparison to the direct numerical simulation (DNS) data of Leriche and Gavrilakis [Phys. Fluids 12 (2000) 1363]. This appears to be the first test of this class of model to flows without any homogeneous flow directions, which is typical of flows in complex geometries. Additional LES predictions at Re = 18,000 and Re = 22,000 are compared to the DNS data of Leriche [J. Sci. Comp. 27 (2006)]. The new LES framework yielded excellent agreement for both the mean velocity and Reynolds stress profiles and matches DNS data better than the more traditional Smagorinsky-based SGS models.     

Modeling of nonlinear viscous stress in encapsulating shells of lipid-coated contrast agent microbubbles

A general theoretical approach to the development of zero-thickness encapsulation models for contrast microbubbles is proposed. The approach describes a procedure that allows one to recast available rheological laws from the bulk form to a surface form which is used in a modified Rayleigh-Plesset equation governing the radial dynamics of a contrast microbubble. By the use of the proposed procedure, the testing of different rheological laws for encapsulation can be carried out. Challenges of existing shell models for lipid-encapsulated microbubbles, such as the dependence of shell parameters on the initial bubble radius and the “compression-only” behavior, are discussed. Analysis of the rheological behavior of lipid encapsulation is made by using experimental radius-time curves for lipid-coated microbubbles with radii in the range 1.2-2.5 μm. The curves were acquired for a research phospholipid-coated contrast agent insonified with a 20 cycle, 3.0 MHz, 100 kPa acoustic pulse. The fitting of the experimental data by a model which treats the shell as a viscoelastic solid gives the values of the shell surface viscosity increasing from 0.30 × 10⁻⁸ kg/s to 2.63 × 10⁻⁸ kg/s for the range of bubble radii, indicated above. The shell surface elastic modulus increases from 0.054 N/m to 0.37 N/m. It is proposed that this increase may be a result of the lipid coating possessing the properties of both a shear-thinning and a strain-softening material. We hypothesize that these complicated rheological properties do not allow the existing shell models to satisfactorily describe the dynamics of lipid encapsulation. In the existing shell models, the viscous and the elastic shell terms have the linear form which assumes that the viscous and the elastic stresses acting inside the lipid shell are proportional to the shell shear rate and the shell strain, respectively, with constant coefficients of proportionality. The analysis performed in the present paper suggests that a more general, nonlinear theory may be more appropriate. It is shown that the use of the nonlinear theory for shell viscosity allows one to model the “compression-only” behavior. As an example, the results of the simulation for a 2.03 μm radius bubble insonified with a 6 cycle, 1.8 MHz, 100 kPa acoustic pulse are given. These parameters correspond to the acoustic conditions under which the “compression-only” behavior was observed by de Jong et al. [Ultrasound Med. Biol. 33 (2007) 653-656]. It is also shown that the use of the Cross law for the modeling of the shear-thinning behavior of shell viscosity reduces the variance of experimentally estimated values of the shell viscosity and its dependence on the initial bubble radius.     

Economic mapping to the renormalization group scaling of stock markets

We make an attempt to map a simple economically motivated model for price evolution [J. Phys. A 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the critical exponents and the renormalization group predictions for the log-periodic oscillations preceding some stock market crashes from the perspective of non-linear changes in `the level of stock'. Received 7 August 2000     

Density functional theory studies on stress stabilization of the Cu(1 1 0) striped phase

Under oxygen exposure, the Cu(1 1 0) surface shows a striped phase consisting of alternating bare (1 1 0) surface areas and added-row (2 × 1)O reconstructions. Density functional theory is used to show that the major origin for the formation of the striped phase is the elastic interaction between these areas. The difference between the surface stress of the bare surface and the (2 × 1)O covered surface is predicted to be 1.3 N/m in reasonable agreement with values derived from grazing incidence X-ray diffraction. Supercell calculations for periods of up to 62 Å confirm that the formation of the striped phase is favorable compared to an added-row (4 × 1)O reconstruction with the same coverage. But the predicted equilibrium period of roughly 30 Å is significantly smaller than in experiment. The calculations are impeded by the surface energy alternating with the number of layers in the slab. This behavior is related to a quantum well behavior of the Cu 4s-electrons. A simple model for this behavior is discussed and compared to ab initio results.