Multifractal detrended fluctuation analysis of derivative and spot markets

We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the above exponents, we quantify the multifractality of a financial time series and compare the multifractal properties of two different markets. The different behavior of each agent-group in transactions is also discussed. In order to identify the nature of the underlying multifractality, we apply the method of surrogate data to both sets of financial data. It is shown that multifractality due to a fat-tailed distribution is significant.     

From limit cycles to periodic orbits through ultradiscretisation

We examine the transition between discrete and ultradiscrete (cellular-automaton-like) systems, the dynamics of which exhibit limit cycles. Motivated by results obtained previously for three-dimensional systems, we consider here a more manageable two-dimensional model. We show that one can follow the changes in dynamics of the system when a parameter that tunes the discrete-ultradiscrete transition is varied. In particular we explain the phenomenon of the splitting of a discrete limit cycle to a profusion of periodic orbits at the ultradiscrete limit.     

Magnetic properties of a ferrimagnetic core/shell nanocube Ising model: A Monte Carlo simulation study

Monte Carlo simulation has been used to study the magnetic properties and hysteresis loops of a single nanocube, consisting of a ferromagnetic core of spin- surrounded by a ferromagnetic shell of spin-1 with antiferromagnetic interface coupling. We find a number of characteristic phenomena. In particular, the effects of the shell coupling and the interface coupling on both the compensation temperature and the magnetization profiles are investigated. The effects of the interface coupling on the hysteresis loops are also examined.     

Classical limit of the Casimir entropy for scalar massless field

We study the Casimir effect at finite temperature for a massless scalar field in the parallel plates geometry in N spatial dimensions, under various combinations of Dirichlet and Neumann boundary conditions on the plates. We show that in all these cases the entropy, in the limit where energy equipartitioning applies, is a geometrical factor whose sign determines the sign of the Casimir force.     

Dynamics of electrons and holes at surfaces

We present ab initio calculation results for electron-phonon (e-ph) contribution to hole lifetime broadening of the surface state on Al(0 0 1). We show that e-ph coupling in this state is significantly stronger than in bulk Al at the Fermi level. It makes the e-ph decay channel very important in the formation of the hole decay in the surface state at . We also present the results for e-e lifetime broadening in a quantum-well state in 1 ML K/Cu(1 1 1). We show that this contribution is not negligible and is much larger than that in a surface state on Ag(1 1 1).     

Partial equivalence of statistical ensembles and kinetic energy

The phenomenon of partial equivalence of statistical ensembles is illustrated by discussing two examples, the mean-field XY and the mean-field spherical model. The configurational parts of these systems exhibit partial equivalence of the microcanonical and the canonical ensemble. Furthermore, the configurational microcanonical entropy is a smooth function, whereas a nonanalytic point of the configurational free energy indicates the presence of a phase transition in the canonical ensemble. In the presence of a standard kinetic energy contribution, partial equivalence is removed and a nonanalyticity arises also microcanonically. Hence in contrast to the common belief, kinetic energy, even though a quadratic form in the momenta, has a nontrivial effect on the thermodynamic behaviour. As a by-product we present the microcanonical solution of the mean-field spherical model with kinetic energy for finite and infinite system sizes.     

Measurement of the F5/2 and H(2)9/2 manifold lifetime in Nd:YLiF4

We present direct measurements of the lifetime of the ⁴F_5/2 and ²H(2)_9/2 manifold in Nd³⁺:YLiF₄, using a fluorescence pump-probe technique. The technique populates the ⁴F_5/2 and ²H(2)_9/2 manifold directly with a pump pulse. Via excited state absorption from this excited manifold, the ²F(2)_5/2 manifold of Nd³⁺ is populated with a delayed probe pulse. The population in the ⁴F_5/2 and ²H(2)_9/2 manifold is monitored as a function of time by observing the change in integrated UV fluorescence from the ²F(2)_5/2 manifold for each time delay between pump and probe pulses. The pump and probe beams come from the fundamental and second harmonic wavelengths of a femtosecond Ti:sapphire regenerative amplifier. The measured lifetime agrees well with the energy gap law, based on other nonradiative lifetime measurements from the literature for Nd³⁺:YLiF₄.     

Phonon spectra of a Fibonacci chain

Based on more realistic physics we study the phonon spectra of the Fibonacci chain by taking into account a nonlinear resistance. It is found that the nonlinear force should be very weak and consequently, the continuity, range and gaps of the phonon spectra would be still controlled dominantly by the relative strength of spring constants and chain length. It means that even if no additional nonlinear resistance was taken into account, the conventional results of phonon spectra are exactly correct. On the other hand, in the framework of a conventional model we investigated the relationship between the biggest gaps of phonon spectra and defects of Fibonacci-like aperiodic chains. By means of numerical calculations one can obtain quantitatively the maximum of the length of a one-dimensional aperiodic chain sensitive to boundaries. This method would be useful for the calculation of quasiperiodic and aperiodic lattices.     

Bias voltage effect on electron tunneling across a junction with a ferroelectric-ferromagnetic two-phase composite barrier

The effect of bias voltage on electron tunneling across a junction with a ferroelectric-ferromagnetic composite barrier is investigated theoretically. Because of the inversion symmetry breaking of the spontaneous ferroelectric polarization, bias voltage dependence of the electron tunneling shows significant differences between the positive bias and the negative one. The differences of spin filtering or tunnel magnetoresistance increase with the increasing absolute value of bias voltage. Such direction preferred electron tunneling is found intimately related with the unusual asymmetry of the electrical potential profile in two-phase composite barrier and provides a unique change to realize rectifying functions in spintronics.     

Simulation of a spintronic transistor: A study of its performance

We study theoretically the magnetic bipolar transistor, and compare its performance with common bipolar transistor. We present not only the simulation results for the characteristic curves, but also other relevant parameters related with its performance, such as: the current amplification factor, the open-loop gain, the hybrid parameters and the cutoff frequency. We noted that the spin-charge coupling introduces new phenomena that enrich the functionality characteristics of the magnetic bipolar transistor. Among other things, it has an adjustable band structure, which may be modified during the device operation; it exhibits the already known spin-voltaic effect. On the other hand, we observed that it is necessary a large g-factor to analyze the influence of the field B over the transistor. Nevertheless, we consider the magnetic bipolar transistor as a promising device for spintronic applications.     

Proximity effects in a superconductor/ferromagnet junction

A proximity effect in an s-wave superconductor/ferromagnet (SC/F) junction is theoretically studied using the second order perturbation theory for the tunneling Hamiltonian and Green's function method. We calculate a pair amplitude induced by the proximity effect in a weak ferromagnetic metal (FM) and a half-metal (HM). In the SC/FM junction, it is found that a spin-singlet pair amplitude (Ψ_s) and spin-triplet pair amplitude (Ψ_t) are induced in FM and both amplitudes depend on the frequency in the Matsubara representation. Ψ_s is an even function and Ψ_t is an odd function with respect to the Matsubara frequency (ω_n). In the SC/HM junction, we examine the proximity effects by taking account of magnon excitations in HM. It is found that the triplet-pair correlation is induced in HM. The induced pair amplitude in HM shows a damped oscillation as a function of the position and contains the terms of even and odd functions of ω_n as in the case of the SC/FM junction. We discuss that in our tunneling model the pair amplitude of even function of ω_n only contributes to a Josephson current.     

Zipf distribution in top Chinese firms and an economic explanation

By analyzing the data of top 500 Chinese firms from the year 2002 to 2007, we reveal that their revenues and ranks obey the Zipf’s law with exponent of 1 for each year. This result confirms the universality of firm size character which has been presented in many other empirical works, since China possesses a unique ideological and political system. We offer an explanation of it based on a simple economic model which takes production and capital accumulation into account.     

Temperature dependent photoluminescence down to 4.2 K in EuTFC

The temperature dependence of photoluminescence in Europium tris[3-(trifluoro-methylhydroxymethylene)-(+)-camphorate] (EuTFC) embedded in polymer films has been examined from 40 K down to 4.2 K with the goal of preparing sensor films for low-temperature thermal imaging. The behavior of EuTFC showed significant difference when based on polystyrene compared to poly(n-alkyl methacrylate)s. In poly(n-alkyl methacrylate)s prepared by standard methods for imaging applications, the photoluminescence is fully saturated below 30 K, whereas in polystyrene films there is a strong temperature dependence even down to 4.2 K. By optimizing the preparation procedure for films made of poly(butyl methacrylate) (PBMA) and poly(methyl methacrylate), also these polymers became very sensitive down to liquid helium temperature. The maximum temperature sensitivity of EuTFC in PBMA is found to be 1.0%/K at 4.2 K. The problem of delamination and cracking of the polymer film at cryogenic temperature is also avoided by the special preparation method.     

A genetic algorithm for the 1D electron gas

We show how to apply a genetic algorithm to describe the homogeneous electron gas. For simplicity we consider just the 1D case. The pair correlation function so obtained is compared with those found by using variational Monte Carlo and quantum hypernetted chain calculations and reported for the first time in this paper.     

The Gaussian effective potential and stochastic partial differential equations

We investigate arbitrary stochastic partial differential equations subject to translation invariant and temporally white noise correlations from a nonperturbative framework. The method that we expose first casts the stochastic equations into a functional integral form, then it makes use of the Gaussian effective potential approach, which is an useful tool for describing symmetry breaking. We apply this method to the Kardar-Parisi-Zhang equation and find that the system exhibits spontaneous symmetry breaking in and (3+1) Euclidean dimensions, providing insight into the evolution of the system configuration due to the presence of noise correlations. A simple and systematic approach to the renormalization, without explicit regularization, is employed.     

The bias- and temperature-dependent electron transport in a magnetic nanostructure

In this paper, we theoretically investigate the effect of the bias and temperature on the electron transport properties in a magnetic nanostructure. It is found that the large spin-polarization can be achieved in such a nanostructure, and the degree of spin-polarization obviously increases with increasing applied bias. It is also found that the conductance curves for the different temperatures obviously intersect at the same Fermi energy for the low Fermi energy, and the degree of spin-polarization decreases with the increase of temperature. Thus, we can control the electron transport through changing the bias and temperature.     

Pricing European options with a log Student’s t-distribution: A Gosset formula

The distributions of returns for stocks are not well described by a normal probability density function (pdf). Student’s t-distributions, which have fat tails, are known to fit the distributions of the returns. We present pricing of European call or put options using a log Student’s t-distribution, which we call a Gosset approach in honour of W.S. Gosset, the author behind the nom de plume Student. The approach that we present can be used to price European options using other distributions and yields the Black-Scholes formula for returns described by a normal pdf.     

The static and dynamic properties of PuCoGa5 and NpCoGa5 investigated by neutron scattering experiments

Neutron scattering results on single crystals shed light on the static and dynamic properties of the superconductor () PuCoGa₅ and its isostructural but antiferromagnetic () homologue NpCoGa₅. By polarized neutron diffraction the magnetization density in the paramagnetic state of both compounds has been inferred. The microscopic magnetization of NpCoGa₅ is consistent with the orbital and spin components of a localized Np³⁺ magnetic moment. In the case of PuCoGa₅ the microscopic magnetization is small, temperature-independent and cannot be described as a localized Pu³⁺ magnetic moment. For NpCoGa₅ a dynamic magnetic signal has been observed by three-axis spectroscopy in the antiferromagnetically ordered state. The magnetic signal is strongest at the antiferromagnetic zone center and an energy transfer of about 5 meV. Magnetic fluctuations persist at this position in the paramagnetic state. The dynamic response is similar to the dynamic response observed in other actinide intermetallic compounds. This supports the possibility that magnetic fluctuations could also be present in the paramagnetic superconductor PuCoGa₅.     

Abnormal hysteresis effect and phase transitions in a velocity-difference dependent randomization CA model

Additional to the basic Nagel-Schreckenberg model for single-lane traffic flow, we consider the effect of the velocity-difference between two successive vehicles on the randomization of the latter one. This modification improves the transit capacity of the model, which results in a much higher simulated flux. Moreover, in a circular road, this model simulates an abnormal hysteresis effect. The characteristic shape of hysteresis curves may shed some light on the distinguish of synchronized flow and jams.     

Complex turing patterns in non-linearly coupled systems

Recently pattern formation in layered structures, showing complicated superimposed patterns, has been modeled by coupling two Turing systems linearly, i.e., passively, such that the characteristic length scales of the independent systems are well separated. Here we propose a model of two non-linearly coupled Turing systems to study pattern formation in layered membrane-like structures, where the coupling plays an active role and changes the kinetics of the uncoupled systems. Extensive numerical simulations show that non-linear coupling generates a number of new regular patterns different from the ones observed earlier with linearly coupled systems. Some of them turn out to be superimposed patterns with different length scales, but many are not. Also, contrary to the linear coupling case, the strength of the non-linear coupling is found to play an important role in the formation and selection of patterns.