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.     

Variability of scaling parameters in non-conservative systems: Geophysical aspect

Newly obtained data on the critical dynamics of the drifting/fracturing sea ice in the Arctic Ocean were analyzed and compared with published data on the dynamic processes in the Earth’s crust. Substantial similarities were found in the scaling behavior of both geophysical systems; the most important of them is the b-value space/time variability including a pre-failure drop of this parameter. The b-value pattern of the ensemble of drifting ice floes is an analogue of the b-value distribution over areas and depths in tectonic structures. A common feature of the pre-failure state in the cryosphere and in the Earth’s crust is the increased degree of the energy conservation that manifests itself both in the sea ice consolidation prior to basin-wide ice pack fragmentations, and in involving harder geological formations in the fracture process before earthquakes, respectively. From the viewpoint of the conservative SOC concept, this relation between the system’s conservativity and the occurrence of large-scale fracture events means that the expected scale level of failure is determined by the system’s closeness to “true” SOC behavior.     

A psychophysical model of decision making

Herein we develop a psychophysical model of decision making based on the difference between objective clock time and the human brain’s perception of time. In this model the utility function is given by the survival probability, which is shown to be a generalized hyperbolic distribution. The parameters of the utility function are fit to intertemporal choice model experimental data and decision making is determined to be a 1/f-noise process.     

Generalised Tsallis statistics in electron-positron collisions

The scaling of charged hadron fragmentation functions to the Tsallis distribution for the momentum fraction 0.01?x?0.2 is presented for various e⁺e⁻ collision energies. A possible microcanonical generalisation of the Tsallis distribution is proposed, which gives good agreement with measured data up to x≈1. The proposal is based on superstatistics and a Koba-Nielsen-Olesen (KNO) like scaling of multiplicity distributions in e⁺e⁻ experiments.     

Single- and double-pion production in nucleon collisions on the nucleon and on nuclei—the ABC effect and its origin in a dibaryonic resonance

The ABC effect-an intriguing low-mass enhancement in the ππ invariant mass spectrum-is known from inclusive measurements of two-pion production in nuclear fusion reactions. First exclusive measurements carried out at CELSIUS-WASA for the fusion reactions leading to d or ³He reveal this effect to be a σ-channel phenomenon associated with the formation of a ΔΔ system in the intermediate state and combined with a resonance-like behavior in the total cross-section. Together with the observation that the differential distributions do not change in shape over the resonance region the features fulfill the criteria of an isoscalar s-channel resonance in pn and NNππ systems, if the two emitted nucleons are bound. It obviously is robust enough to survive in nuclei as a dibaryonic resonance configuration. In this context also the phenomenon of NΔ resonances is reexamined.     

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.     

Universality in bibliometrics

Many discussions have enlarged the literature in Bibliometrics since the Hirsch proposal, the so called h-index. Ranking papers according to their citations, this index quantifies a researcher only by its greatest possible number of papers that are cited at least h times. A closed formula for h-index distribution that can be applied for distinct databases is not yet known. In fact, to obtain such distribution, the knowledge of citation distribution of the authors and its specificities are required. Instead of dealing with researchers randomly chosen, here we address different groups based on distinct databases. The first group is composed of physicists and biologists, with data extracted from Institute of Scientific Information (ISI). The second group is composed of computer scientists, in which data were extracted from Google-Scholar system. In this paper, we obtain a general formula for the h-index probability density function (pdf) for groups of authors by using generalized exponentials in the context of escort probability. Our analysis includes the use of several statistical methods to estimate the necessary parameters. Also an exhaustive comparison among the possible candidate distributions are used to describe the way the citations are distributed among authors. The h-index pdf should be used to classify groups of researchers from a quantitative point of view, which is meaningfully interesting to eliminate obscure qualitative methods.     

Precursory phenomena associated with large avalanches in the long-range connective sandpile (LRCS) model

Reduction in b-values before a large earthquake is a very popular topic for discussion. This study proposes an alternative sandpile model being able to demonstrate reduction in scaling exponents before large events through adaptable long-range connections. The distant connection between two separated cells was introduced in the sandpile model. We found that our modified long-range connective sandpile (LRCS) system repeatedly approaches and retreats from a critical state. When a large avalanche occurs in the LRCS model, accumulated energy dramatically dissipates and the system simultaneously retreats from criticality. The system quickly approaches the critical state accompanied by the increase in the slopes of the power-law frequency-size distributions of events. Afterwards, and most interestingly, the power-law slope declines before the next large event. The precursory b-value reduction before large earthquakes observed from earthquake catalogues closely mimics the evolution in power-law slopes for the frequency-size distributions of events derived in the LRCS models. Our paper, thus, provides a new explanation for declined b-values before large earthquakes.     

Tsallis’ statistics in the variability of El Niño/Southern Oscillation during the Holocene epoch

Analysis of the Tsallis q-triplet for the variability of El Niño Southern Oscillation (ENSO) index during the Holocene epoch (last 11,000 years) is presented. Three periods are analyzed, 0-7000, 7000-9700, 9700-11,000 years before the present. During the first and the third periods, the q-index values have the expected usual relations between them (q_sens<1<q_stat<q_rel), and in the second one there is an inversion between q_stat and q_rel (q_stat>q_rel).     

Energy-scale phenomenology and pairing via resonant spin-charge motion in FeAs, CuO, heavy-fermion and other exotic superconductors

Muon spin relaxation (μSR) studies of the “1111” and “122” FeAs systems have detected static magnetism with variably sized ordered moments in their parent compounds. The phase diagrams of FeAs, CuO, organic BEDT, A₃C₆₀ and heavy-fermion systems indicate competition between static magnetism and superconductivity, associated with first-order phase transitions at quantum phase boundaries. In both FeAs and CuO systems, the superfluid density n_s/m^* at T→0 exhibits a nearly linear scaling with T_c. Analogous to the roton-minimum energy scaling with the lambda transition temperature in superfluid ⁴He, clear scaling with T_c was also found for the energy of the magnetic resonance mode in cuprates, (Ba,K)Fe₂As₂, CeCoIn₅ and CeCu₂Si₂, as well as the energy of the superconducting coherence peak observed by angle resolved photo emission (ARPES) in the cuprates near (π,0). Both the superfluid density and the energy of these pair-non-breaking soft-mode excitations determine the superconducting T_c via phase fluctuations of condensed bosons. Combining these observations and common dispersion relations of spin and charge collective excitations in the cuprates, we propose a resonant spin-charge motion/coupling, “traffic-light resonance,” expected when the charge energy scale ε_F becomes comparable to the spin fluctuation energy scale ?ω_SF~J, as the process which leads to pair formation in these correlated electron superconductors.     

Dilemma game structure hidden in traffic flow at a bottleneck due to a 2 into 1 lane junction

Following Yamauchi’s study [A. Yamauchi, J. Tanimoto, A. Hagishima, H. Sagara, Dilemma game structure observed in traffic flow at a 2-to-1 lane junction, Physical Review E 79 (2009) 036104], we find that several social dilemma structures are represented by n-person Prisoner’s Dilemma (n-PD) games in certain traffic flow phases at a bottleneck caused by a lane-closing section. In this study, the stochastic Nishinari-Fukui-Schadschneider (S-NFS) model was adopted as a cellular automaton traffic model. In the system, two classes of driver-agents coexist: C-Agents (cooperative strategy) always driving in the first lane, and D-Agents (defective strategy) trying to drive in a lower-density lane, whether the first or the second lane. In relatively high-density flow phases, such as the metastable phase and the high-density phase, we found n-PD games, where D-Agents’ interruption into the first lane from the second just before the lane-closing section creates a heavier traffic jam, which reduces social efficiency. This could be solved by decreasing the interruption probability, which can be realized by a provision where drivers in the first lane firmly refuse interruptions.     

Organization of networks with tagged nodes and biased links: A priori distinct communities: The case of intelligent design proponents and Darwinian evolution defenders

Among the topics of opinion formation it is of interest to observe the characteristics of networks with a priori distinct communities. The citation network(s) between selected members of the Neocreationist and Intelligent Design and the Darwinian Evolution communities are unfolded through the available internet citations. The resulting adjacency matrix is not symmetric. A generalization of considerations pertaining to the case of networks with tagged nodes and biased links, directed or undirected, is presented. The main characteristic coefficients describing the structure of such networks are outlined. The structural features are discussed searching for statistical aspects of the communities. The degree distributions, each network’s assortativity, specific global and local clustering coefficients and the Average Overlap Indices are especially calculated since the distribution of elements in the rectangular submatrices represent inter-community connections. The various closed and open triangles made from nodes, distinguishing the community, are listed. The z-scores of patterns are calculated. One can distinguish between opinion leaders, followers and main rivals and briefly interpret their relationships through intuitively expected behavior in defence of an opinion. Suggestions for more elaborate models describing such communities and their subsequent structures are found in conclusions.     

Ground-state properties of the one-dimensional extended Hubbard model at half filling

The density-matrix renormalization group (DMRG) technique is used to study the ground-state properties of the one-dimensional half-filled Hubbard model with on-site (nearest-neighbor) repulsive interaction U (V) and nearest-neighbor hopping t. We calculate the static spin structure factor to consider the spin degrees of freedom. We notice a striking difference of the static spin structure factor among the spin-density-wave, charge-density-wave (CDW), and bond-order-wave (BOW) phases. Based on the results, we identify the BOW-CDW transition at small (large) U value as continuous (of first order). We also calculate the double occupancy to consider the charge degrees of freedom. For large U, the double occupancy show a discontinuous jump at the BOW-CDW critical point and it implies first-order transition. With decreasing U, the jump becomes smaller and vanishes at the tricritical point U_t≈5.961t. This value is close to our previous estimation U_t=5.89t obtained with other quantities. Consequently, the results of static spin structure factor and double occupancy support the accuracy of our ground-state phase diagram.     

Spectral weights of the 2-dimensional t-J-type models: Wave function study

We examine the distribution of spectral weights (SWs) of the 2-dimensional t-t^′-t^″-J model describing cuprate superconductors in terms of the Gutzwiller projected Fermi liquid, as the possible normal state, and d-wave (superconducting) resonating valence bond state. Treat exactly strong correlation between electrons by numerical approach, we calculate SWs for removing an electron which can be compared with the observation made by the future angle-resolved photoemission spectroscopy experiment.     

Aharonov-Bohm effect in a draining bathtub vortex

We study planar waves in a circulating, draining fluid flow, which: (i) exhibit an analogue of the Aharonov-Bohm (AB) effect in Quantum Mechanics; (ii) obey a Klein-Gordon equation on an ‘effective spacetime’ which resembles the Kerr spacetime of General Relativity; and (iii) may be observed in the laboratory using gravity waves in a shallow basin. We describe a modified AB effect which depends on two dimensionless parameters, associated with the circulation α and draining β rates; we call this the ‘αβ effect’. We show that the αβ effect is inherently asymmetric even in the low-frequency limit, and that it leads to novel interference patterns which carry the signature of both rotation and absorption.     

Variational approach to strong correlation in the photoemission of electron-doped superconductors

We use a variational approach with strictly strong-correlated constraint to gain insight into low-energy states of t-t^′-t^″-J model in the electron-doped regime. Compared with the recent results on the electron-doped cuprates obtained by angle-resolved photoemission spectroscopy (ARPES), we show that based on the long-range ordered antiferromagnetic metallic state prohibiting vacant sites, our results lead to qualitatively similar trends in ARPES spectra and Fermi surface topology. Additionally, the results about the evolution of the energy gap and spectral weight as a function of doping will be discussed.     

Effective action for strongly correlated electron systems

The su(2|1) coherent-state path-integral representation of the partition function of the t-J model of strongly correlated electrons is derived at finite doping. The emergent effective action is compared to the one proposed earlier on phenomenological grounds by Shankar to describe holes in an antiferromagnet [R. Shankar, Nucl. Phys. B 330 (1990) 433]. The t-J model effective action is found to have an important “extra” factor with no analogue in Shankar?s action. It represents the local constraint of no double electron occupancy and reflects the rearrangement of the underlying phase-space manifold due to the presence of strong electron correlation. This important ingredient is shown to be essential to describe the physics of strongly correlated electron systems.     

Influence of surface heterogeneity in electroosmotic flows—Implications in chromatography, fluid mixing, and chemical reactions in microdevices

We analyze the influence of surface heterogeneity, inducing a random ζ-potential at the walls in electroosmotic incompressible flows. Specifically, we focus on how surface heterogeneity modifies the physico-chemical processes (transport, chemical reaction, mixing) occurring in microchannel and microreactors. While the macroscopic short-time features associated with solute transport (e.g. chromatographic patterns) do not depend significantly on ζ-potential heterogeneity, spatial randomness in the surface ζ-potential modifies the spectral properties of the advection-diffusion operator, determining different long-term properties of transport/reaction phenomena compared to the homogeneous case. Examples of physical relevance (chromatography, infinitely fast reactions) are addressed.     

Quasi-stationary chaotic states in multi-dimensional Hamiltonian systems

We study numerically statistical distributions of sums of chaotic orbit coordinates, viewed as independent random variables, in weakly chaotic regimes of three multi-dimensional Hamiltonian systems: Two Fermi-Pasta-Ulam (FPU-β) oscillator chains with different boundary conditions and numbers of particles and a microplasma of identical ions confined in a Penning trap and repelled by mutual Coulomb interactions. For the FPU systems we show that, when chaos is limited within “small size” phase space regions, statistical distributions of sums of chaotic variables are well approximated for surprisingly long times (typically up to t≈10⁶) by a q-Gaussian (1<q<3) distribution and tend to a Gaussian (q=1) for longer times, as the orbits eventually enter into “large size” chaotic domains. However, in agreement with other studies, we find in certain cases that the q-Gaussian is not the only possible distribution that can fit the data, as our sums may be better approximated by a different so-called “crossover” function attributed to finite-size effects. In the case of the microplasma Hamiltonian, we make use of these q-Gaussian distributions to identify two energy regimes of “weak chaos”—one where the system melts and one where it transforms from liquid to a gas state-by observing where the q-index of the distribution increases significantly above the q=1 value of strong chaos.