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     

Entropy and stability in a stochastic laser model

The asymptotic stability of a microscopic stochastic laser model in the Heisenberg picture is discussed using Liapounov's direct method. By reducing the laser Langevin equations to a classical van der Pol equation for the photon number in the rotating wave approximation, it may be shown that the above-threshold steady state characterized by the cubic non-linearity in the van der Pol equation, is stable. This leads to the definition of a monotonic increasing entropy function far from thermal equilibrium.     

Energy-based analysis of frequency entrainment described by van der Pol and phase-locked loop equations

This paper analyzes frequency entrainment described by van der Pol and phase-locked loop (PLL) equations. The PLL equation represents the dynamics of a PLL circuit that appear in typical phase-locking phenomena. These two equations describe frequency entrainment by a periodic force. The entrainment originates from two different types of limit cycles: libration for the van der Pol equation and rotation for the PLL one. To explore the relationship between the geometry of limit cycles and the mechanism of entrainment, we investigate the entrainment using an energy balance relation. This relation is equivalent to the energy conservation law of dynamical systems with dissipation and input terms. We show response curves for the dc component, harmonic amplitude, phase difference, and energy supplied by a periodic force. The obtained curves indicate that the entrainments for the two equations have different features of supplied energy, and that the entrainment for the PLL equation possibly has the same mechanism as does the regulation of the phase difference for the van der Pol equation.     

van der Pol方程分析研究的新结果

依据等效小参量法原理,用主振荡包含两个谐波的符号分析算法求解van der Pol方程,在强非线性时获得的周期解准确度高于扰动法、KBM法、多尺度法、谐波平衡法及主振荡为一个谐波的等效小参量法,且求解过程简单,易于计算机编程．     

Synchronization of two coupled self-excited systems with multi-limit cycles

We analyze the stability and optimization of the synchronization process between two coupled self-excited systems modeled by the multi-limit cycles van der Pol oscillators through the case of an enzymatic substrate reaction with ferroelectric behavior in brain waves model. The one-way and two-way couplings synchronization are considered. The stability boundaries and expressions of the synchronization time are obtained using the properties of the Hill equation. Numerical simulations validate and complement the results of analytical investigations.     

Kinetic models for socio-economic dynamics of speculative markets

In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different trader populations, chartists and fundamentalists, which determine the price dynamics of the stock. The model has been inspired by the microscopic Lux-Marchesi model (Lux and Marchesi (2000, 1999) [3] and [25]). The introduction of kinetic equations permits to study the asymptotic behavior of the investments and the price distributions and to characterize the regimes of lognormal behavior and the formation of power law tails.     

一类随机van der Pol系统的Hopf 分岔研究

研究了一类随机van der Pol 系统的Hopf分岔行为.首先根据Hilbert空间的正交展开理论,含有随机参数的van der Pol系统被约化为等价确定性系统,然后利用确定性分岔理论分析了等价系统的Hopf分岔,得出了随机van der Pol 系统的Hopf 分岔临界点,探究了随机参数对系统Hopf分岔的影响.最后利用数值模拟验证了理论分析结果. 关键词： 随机van der Pol系统 Hopf分岔 正交多项式逼近     

Theory of noise in semiconductor laser emission

For the complex light field amplitude of a semiconductor laser an equation of a generalized van der Pol oscillator with a fluctuating driving term is derived from first principles. This equation is shown to be valid for optical band-to-band transitions with and withoutk-selection rule. Neglecting the nonlinearity in the saturation higher than of second order and also the intensity dependence of the dispersion this equation reduces to the standard van der Pol equation with a noisy driving term. From the general equation the linewidth and the noise of the intensity of the laser emission is calculated above and below threshold. The results are in agreement with the experimental data ofArmstrong andSmith.     

具有时滞状态反馈的随机Van der Pol系统的动力学研究

研究了时滞及时滞反馈控制参数对Van der Pol系统极限环幅值的影响. 运用自适应的平均场近似方法给出了系统的线性化近似及系统参数Lyapunov稳定性的边界条件, 同时给出了Van der Pol系统的关联时间和功率谱密度的数值模拟结果. 通过与平均场近似下的解析结果比较后发现, 数值模拟结果和理论结果符合.进一步讨论了时滞反馈控制参数、噪声强度以及时滞对关联时间和功率谱密度的影响. 关键词： 平均场近似 关联时间 Lyapunov稳定性     

分数阶van der Pol振子的超谐共振

以含分数阶微分项的van der Pol振子为对象,研究其超谐共振时的动力学特性.首先,通过平均法得到了系统的一阶近似解,提出了超谐共振时等效线性阻尼和等效线性刚度的概念,研究了分数阶微分项的系数和阶次以等效线性阻尼和等效线性刚度的形式对系统动力学特性的影响.随后,建立了超谐共振时定常解的幅频曲线的解析表达式,得到了超谐共振周期响应的稳定性判断准则并提出等效非线性阻尼和非线性稳定性条件参数的概念.最后,通过数值仿真比较了分数阶与整数阶系统的幅频曲线,分析了分数阶微分项的系数和阶次对响应幅值、幅频曲线以及系统稳定性的影响.     

Comparison of backstepping and modified active control in projective synchronization of chaos in an extended Bonhöffer–van der Pol oscillator

In this article, projective synchronization of double–scroll attractor of an extended Bonöffer–van der Pol oscillator (BVPO) is considered via the backstepping and active control techniques. In each synchronization scheme, a single control function is designed to achieve projective synchronization between two Bonhöffer–van der Pol oscillator evolving from different initial conditions. To obtain a single control function via the active control, the coefficient of the error dynamics is chosen such that the number of control functions is reduced from three to one, thereby, reducing control function complexity in design. The results show that the transient error dynamics convergence and synchronization time are achieved faster via the backstepping than that of the active control technique. However, the control function obtained via the active control is simpler with a more stable synchronization time and hence, it is more suitable for practical implementation. Numerical simulations are presented to confirm the effectiveness of the analytical results.     

基于Chebyshev多项式逼近的随机 van der Pol系统的倍周期分岔分析

应用 Chebyshev 多项式逼近法研究了谐和激励作用下具有随机参数的随机van der Pol系统 的倍周期分岔现象.随机系统首先被转化成等价的确定性系统，然后通过数值方法求得响应 ，借此探索了随机van der Pol系统丰富的随机倍周期分岔现象.数值模拟显示随机van der Pol 系统存在与确定性系统极为相似的倍周期分岔行为，但受随机因素的影响，又有与之不 同之处.数值结果表明，Chebyshev 多项式逼近是研究非线性系统动力学问题的一种新的有 效方法. 关键词： Chebyshev 多项式 随机van der Pol 系统 倍周期分岔     

Correlation function of the amplitude and of the intensity fluctuation for a laser model near threshold

In extension of a preceding paper the correlation function of the amplitude and of the intensity fluctuation are calculated in the threshold region. The laser amplitude is treated as a classical random variable obeying a van der Pol equation with a noise term. In order to get correlation functions, the method of distribution functions is employed. The distribution functions are evaluated by the Fokker-Planck equation. The lowest eigensolutions of the Fokker-Planck equation are obtained approximately by a variational method.     

耦合的van der Pol振子的极限环幅值控制

设计反馈控制器，对一类耦合的van der Pol振子的极限环幅值进行控制. 用近似解析方法求出了控制系统的幅值的控制方程, 得到了控制参数与极限环幅值的函数关系, 使系统的振幅能按需求得到有效地调整. 通过数值计算绘制了在不同控制参数下, 系统响应的时间历程曲线和极限环. 近似解析方法计算得到的结果与数值计算进行了比较，两者是符合的. 这一方法也可以推广应用到其他耦合的van der Pol振子.     

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.     

Van der Pol and the history of relaxation oscillations: toward the emergence of a concept

Relaxation oscillations are commonly associated with the name of Balthazar van der Pol via his paper (Philosophical Magazine, 1926) in which he apparently introduced this terminology to describe the nonlinear oscillations produced by self-sustained oscillating systems such as a triode circuit. Our aim is to investigate how relaxation oscillations were actually discovered. Browsing the literature from the late 19th century, we identified four self-oscillating systems in which relaxation oscillations have been observed: (i) the series dynamo machine conducted by Ge?rard-Lescuyer (1880), (ii) the musical arc discovered by Duddell (1901) and investigated by Blondel (1905), (iii) the triode invented by de Forest (1907), and (iv) the multivibrator elaborated by Abraham and Bloch (1917). The differential equation describing such a self-oscillating system was proposed by Poincare? for the musical arc (1908), by Janet for the series dynamo machine (1919), and by Blondel for the triode (1919). Once Janet (1919) established that these three self-oscillating systems can be described by the same equation, van der Pol proposed (1926) a generic dimensionless equation which captures the relevant dynamical properties shared by these systems. Van der Pol's contributions during the period of 1926-1930 were investigated to show how, with Le Corbeiller's help, he popularized the "relaxation oscillations" using the previous experiments as examples and, turned them into a concept.     

Determination of limit cycles for strongly nonlinear oscillators

An innovative approach to finding limit cycles is proposed and illustrated on the van der Pol equation. The technique developed in this Letter is similar to the Ritz's method in variational theory. The present theory can be applied to not only weakly nonlinear equations, but also strongly nonlinear ones, and the obtained results are valid for the whole solution domain.     

A mechanical approach to one-dimensional interacting gas

Derivations of the van der Waals equation typically use standard recipes involving ensemble averages of statistical mechanics. In this work, we study a box of weakly interacting gas particles in one-dimension by explicitly incorporating the mechanical point of view. This has the merit that it not only reproduces the van der Waals equation but also tells us some extra interesting physics not immediately clear from a pure statistical mechanical approach. For example, we show that the traditional handwaving argument leading to van der Waals equation requires closer scrutiny if it is to get things right.     

Bifurcations of a parametrically excited oscillator with strong nonlinearity

A parametrically excited oscillator with strong nonlinearity, including van der Pol and Duffing types, is studied for static bifurcations. The applicable range of the modified Lindstedt－Poincaré method is extended to 1/2 subharmonic resonance systems. The bifurcation equation of a strongly nonlinear oscillator, which is transformed into a small parameter system, is determined by the multiple scales method. On the basis of the singularity theory, the transition set and the bifurcation diagram in various regions of the parameter plane are analysed.     

Coherence and stochastic resonance in a birhythmic van der Pol system

We consider the response to uncorrelated noise and harmonic excitation of a birhythmic van der Pol-type oscillator. This system, as opposed to the standard van der Pol oscillator, is characterized by two stable orbits. The noisy oscillator can be analytically mapped, with the technique of stochastic averaging, onto an ordinary bistable system with a bistable (quasi)potential. The birhythmic oscillator can also be numerically characterized through the diagnostics of coherent resonance and the signal-to-noise-ratio. The analysis shows the presence of noise-induced coherent states, influenced by the different time scales of the oscillator.