Endogenous and exogenous dynamics in the fluctuations of capital fluxes

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out on the Chinese stock market using mean-variance analysis, fluctuation analysis, and their generalizations to higher orders. Non-universal dynamics have been found not only in the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σ^exo / σ^endo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent H_i increase in logarithmic form with the time scale Δt and the mean traded value per minute 〈f_i 〉, respectively. We find that the scaling exponent α^endo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.     

Cycloidal vortex motion in easy-plane ferromagnets due to interaction with spin waves

The dynamics of a non-planar vortex in a two-dimensional easy-plane ferromagnet of finite size is studied. Spin dynamics simulations show small cycloidal oscillations of the vortex around its mean path. In contrast to an earlier phenomenological theory we give a physical explanation: The oscillations occur due to the interaction of the vortex with coherent spin waves which are excited by this vortex at the moment when it starts to move, in order to conserve the total energy and angular momentum. The calculation of these quantities yields the frequencies and amplitudes of the cycloidal oscillations in good agreement with the simulation data. Received 9 December 2002 Published online 4 June 2003 RID="a" ID="a"e-mail: franz.mertens@uni-bayreuth.de     

Kink solutions of the classical transverse field Ising chain

We investigate stationary and travelling wave solutions of the classical one-dimensional transverse field Ising model. Results are given on the existence, shape and stability of kink solutions and periodic solutions. We review recent analytical results (e.g., the proof of existence of a one-parameter family of stationary kink solutions and the proof of existence of travelling wave kink solutions with nonzero velocity c≠ 0) and extend them by the use of numerical methods. Small oscillations arising in the tails of travelling kink solutions are investigated numerically. In the end, stability analysis puts some light on pinning effects. Received 23 February 2001 and Received in final form 4 October 2001     

Self-similarity, small-world, scale-free scaling, disassortativity, and robustness in hierarchical lattices

In this paper, firstly, we study analytically the topological features of a family of hierarchical lattices (HLs) from the view point of complex networks. We derive some basic properties of HLs controlled by a parameter q: scale-free degree distribution with exponent γ=2+ln 2/(ln q), null clustering coefficient, power-law behavior of grid coefficient, exponential growth of average path length (non-small-world), fractal scaling with dimension d_B=ln (2q)/(ln 2), and disassortativity. Our results show that scale-free networks are not always small-world, and support the conjecture that self-similar scale-free networks are not assortative. Secondly, we define a deterministic family of graphs called small-world hierarchical lattices (SWHLs). Our construction preserves the structure of hierarchical lattices, including its degree distribution, fractal architecture, clustering coefficient, while the small-world phenomenon arises. Finally, the dynamical processes of intentional attacks and collective synchronization are studied and the comparisons between HLs and Barabási-Albert (BA) networks as well as SWHLs are shown. We find that the self-similar property of HLs and SWHLs significantly increases the robustness of such networks against targeted damage on hubs, as compared to the very vulnerable non fractal BA networks, and that HLs have poorer synchronizability than their counterparts SWHLs and BA networks. We show that degree distribution of scale-free networks does not suffice to characterize their synchronizability, and that networks with smaller average path length are not always easier to synchronize.     

Inevitable self-similar topology of binary trees and their diverse hierarchical density

Self-similar topology, which can be characterized as power law size distribution, has been found in diverse tree networks ranging from river networks to taxonomic trees. In this study, we find that the statistical self-similar topology is an inevitable consequence of any full binary tree organization. We show this by coding a binary tree as a unique bifurcation string. This coding scheme allows us to investigate trees over the realm from deterministic to entirely random trees. To obtain partial random trees, partial random perturbation is added to the deterministic trees by an operator similar to that used in genetic algorithms. Our analysis shows that the hierarchical density of binary trees is more diverse than has been described in earlier studies. We find that the connectivity structure of river networks is far from strict self-similar trees. On the other hand, organization of some social networks is close to deterministic supercritical trees.     

Switching of vortex polarization in 2D easy-plane magnets by magnetic fields

We investigate the dynamics of out-of-plane (OP) vortices, in a 2-dimensional (2D) classical Heisenberg magnet with a weak anisotropy in the coupling of z-components of spins (easy plane anisotropy), on square lattices, under the influence of a rotating in-plane (IP) magnetic field. Switching of the z-component of magnetization of the vortex is studied in computer simulations as a function of the magnetic field's amplitude and frequency. The effects of the size and the anisotropy of the system on the switching process are shown. An approximate dynamical equivalence of the system, in the bulk limit, to another system with both IP and OP static fields in the rotating reference frame is demonstrated, and qualitatively the same switching and critical behavior is obtained in computer simulations for both systems. We briefly discuss the interplay between finite size effects (image vortices) and the applied field in the dynamics of OP vortices. In the framework of a discrete reduced model of the vortex core we propose a mechanism for switching the vortex polarization, which can account qualitatively for all our results. A coupling between the IP movement (trajectories) of the vortex center and the OP core structure oscillations, due to the discreteness of the underlying lattice, is shown. A connection between this coupling and our reduced model is made clear, through an analogy with a generalized Thiele equation. Received 6 June 2002 / Received in final form 4 November 2002 Published online 6 March 2003 RID="a" ID="a"e-mail: juan.zagorodny@uni-bayreuth.de     

Incompatibility networks as models of scale-free small-world graphs

We make a mapping from Sierpinski fractals to a new class of networks, the incompatibility networks, which are scale-free, small-world, disassortative, and maximal planar graphs. Some relevant characteristics of the networks such as degree distribution, clustering coefficient, average path length, and degree correlations are computed analytically and found to be peculiarly rich. The method of network representation can be applied to some real-life systems making it possible to study the complexity of real networked systems within the framework of complex network theory.     

Localization, Dirac fermions and Onsager universality

Disordered systems exhibiting exponential localization are mapped to anisotropic spin chains with localization length being related to the anisotropy of the spin model. This relates localization phenomenon in fermions to the rotational symmetry breaking in the critical spin chains. One of the intriguing consequence is that the statement of Onsager universality in spin chains implies universality of the localized fermions where the fluctuations in localized wave functions are universal. We further show that the fluctuations about localized nonrelativistic fermions describe relativistic fermions. This provides a new approach to understand the absence of localization in disordered Dirac fermions. We investigate how disorder affects well known universality of the spin chains by examining the multifractal exponents. Finally, we examine the effects of correlations on the localization characteristics of relativistic fermions. Received 28 September 2001 / Received in final form 30 November 2001 Published online 2 October 2002 RID="a" ID="a"e-mail: isatija@nickel.nist.gov     

New geometries associated with the nonlinear Schrödinger equation

We apply our recent formalism establishing new connections between the geometry of moving space curves and soliton equations, to the nonlinear Schr?dinger equation (NLS). We show that any given solution of the NLS gets associated with three distinct space curve evolutions. The tangent vector of the first of these curves, the binormal vector of the second and the normal vector of the third, are shown to satisfy the integrable Landau-Lifshitz (LL) equation = ×, ( = 1). These connections enable us to find the three surfaces swept out by the moving curves associated with the NLS. As an example, surfaces corresponding to a stationary envelope soliton solution of the NLS are obtained. Received 5 December 2001 Published online 2 October 2002 RID="a" ID="a"e-mail: radha@imsc.ernet.in     

Uniaxially anisotropic antiferromagnets in a field on a square lattice

Classical uniaxially anisotropic Heisenberg and XY antiferromagnets in a field along the easy axis on a square lattice are analysed, applying ground state considerations and Monte Carlo techniques. The models are known to display antiferromagnetic and spin-flop phases. In the Heisenberg case, a single-ion anisotropy is added to the XXZ antiferromagnet, enhancing or competing with the uniaxial exchange anisotropy. Its effect on the stability of non-collinear structures of biconical type is studied. In the case of the anisotropic XY antiferromagnet, the transition region between the antiferromagnetic and spin-flop phases is found to be dominated by degenerate bidirectional fluctuations. The phase diagram is observed to resemble closely that of the XXZ antiferromagnet without single-ion anisotropy.     

Uniform susceptibility of classical antiferromagnets in one and two dimensions in a magnetic field

We simulated the field-dependent magnetization m(H,T) and the uniform susceptibility of classical Heisenberg antiferromagnets in the chain and square-lattice geometry using Monte Carlo methods. The results confirm the singular behavior of at small T,H: and , where D=3 is the number of spin components, J ₀=zJ, and z is the number of nearest neighbors. A good agreement is achieved in a wide range of temperatures T and magnetic fields H with the first-order 1/D expansion results (D.A. Garanin, J. Stat. Phys. 83, 907 (1996)). Received 20 March 2000     

Stable power laws in variable economies; Lotka-Volterra implies Pareto-Zipf

In recent years we have found that logistic systems of the Generalized Lotka-Volterra type (GLV) describing statistical systems of auto-catalytic elements posses power law distributions of the Pareto-Zipf type. In particular, when applied to economic systems, GLV leads to power laws in the relative individual wealth distribution and in market returns. These power laws and their exponent α are invariant to arbitrary variations in the total wealth of the system and to other endogenously and exogenously induced variations. Received 31 December 2001     

Spin-wave theory for finite classical magnets and superparamagnetic relation

Analytical calculations based on finite-size spin-wave theory and Monte Carlo (MC) simulations are performed to investigate the validity of the well-known relation m(H, T) = M(H, T)B _D[M(H, T) H/T] between the induced magnetization m of the magnetic particle and its intrinsic magnetization M for the Ising and isotropic classical models (B _D(x) is the Langevin function, D is the number of spin components, is the number of atoms in the particle). It follows from general arguments and from our analytical results for the Heisenberg model at T≪T _c that this relation is not exact for any finite D and nonzero temperature. Nevertheless, corrections to this formula remain very small practically in the whole range T < T _c if ≫ 1, as confirmed by our Monte Carlo calculations. At T T _c/4 there is a good agreement between the MC and finite-size spin-wave calculations for the field dependence of m and M for the Heisenberg model with free boundary conditions. Received 1st December 2000     

Scattering of vortex pairs in 2D easy-plane ferromagnets

Vortex-antivortex pairs in 2D easy-plane ferromagnets have characteristics of solitons in two dimensions. We investigate numerically and analytically the dynamics of such vortex pairs. In particular we simulate numerically the head-on collision of two pairs with different velocities for a wide range of the total linear momentum of the system. If the momentum difference of the two pairs is small, the vortices exchange partners, scatter at an angle depending on this difference, and form two new identical pairs. If it is large, the pairs pass through each other without losing their identity. We also study head-tail collisions. Two identical pairs moving in the same direction are bound into a moving quadrupole in which the two vortices as well as the two antivortices rotate around each other. We study the scattering processes also analytically in the frame of a collective variable theory, where the equations of motion for a system of four vortices constitute an integrable system. The features of the different collision scenarios are fully reproduced by the theory. We finally compare some aspects of the present soliton scattering with the corresponding situation in one dimension. Received 18 September 2001     

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval (2,3) and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread do not possess multifractal nature.     

Comparison between volatility return intervals of the S&;P 500 index and two common models

We analyze the S&P 500 index data for the 13-year period, from January 1, 1984 to December 31, 1996, with one data point every 10 min. For this database, we study the distribution and clustering of volatility return intervals, which are defined as the time intervals between successive volatilities above a certain threshold q. We find that the long memory in the volatility leads to a clustering of above-median as well as below-median return intervals. In addition, it turns out that the short return intervals form larger clusters compared to the long return intervals. When comparing the empirical results to the ARMA-FIGARCH and fBm models for volatility, we find that the fBm model predicts scaling better than the ARMA-FIGARCH model, which is consistent with the argument that both ARMA-FIGARCH and fBm capture the long-term dependence in return intervals to a certain extent, but only fBm accounts for the scaling. We perform the Student's t-test to compare the empirical data with the shuffled records, ARMA-FIGARCH and fBm. We analyze separately the clusters of above-median return intervals and the clusters of below-median return intervals for different thresholds q. We find that the empirical data are statistically different from the shuffled data for all thresholds q. Our results also suggest that the ARMA-FIGARCH model is statistically different from the S&P 500 for intermediate q for both above-median and below-median clusters, while fBm is statistically different from S&P 500 for small and large q for above-median clusters and for small q for below-median clusters. Neither model can fully explain the entire regime of q studied.     

Delocalization of two-particle ring near the Fermi level of 2d Anderson model

We study analytically and numerically the problem of two particles with a long range attractive interaction on a two-dimensional (2d) lattice with disorder. It is shown that below some critical disorder the interaction creates delocalized coupled states near the Fermi level. These states appear inside well localized noninteracting phase and have a form of two-particle ring which diffusively propagates over the lattice. Received 29 September 2000 and Received in final form 15 January 2001     

An evolving network model in polymer melts with community structures

In order to describe the entangled network structure in polymer melts visually, we propose an evolving network model with community structure. This network model grows according to the inner-community and inter-community preferential mechanisms of both community sizes and node degrees. Numerical simulation results indicate that the cumulative distribution of community size and node degree distribution follow power-law distributions P(S≥s)∼s^-υ and P(k)∼k^-γ respectively, with the exponents of υ≥1 and .     

The glassy phase of Gallager codes

Gallager codes are the best error-correcting codes to date. In this paper we study them by using the tools of statistical mechanics. The corresponding statistical mechanics model is a spin model on a sparse random graph. The model can be solved by elementary methods (i.e. without replicas) in a large connectivity limit. For low enough temperatures it presents a completely frozen glassy phase (q _EA = 1). The same scenario is shown to hold for finite connectivities. In this case we adopt the replica approach and exhibit a one-step replica symmetry breaking order parameter. We argue that our ansatz yields the exact solution of the model. This allows us to determine the whole phase diagram and to understand the performances of Gallager codes. Received 9 April 2001     

Vertex cover problem studied by cavity method: Analytics and population dynamics

We study the vertex cover problem on finite connectivity random graphs by zero-temperature cavity method. The minimum vertex cover corresponds to the ground state(s) of a proposed Ising spin model. When the connectivity c > e = 2.718282, there is no state for this system as the reweighting parameter y, which takes a similar role as the inverse temperature β in conventional statistical physics, approaches infinity; consequently the ground state energy is obtained at a finite value of y when the free energy function attains its maximum value. The minimum vertex cover size at given c is estimated using population dynamics and compared with known rigorous bounds and numerical results. The backbone size is also calculated. Received 11 November 2002 Published online 1st April 2003 RID="a" ID="a"e-mail: zhou@mpikg-golm.mpg.de