Topological Effects on the Performance of Transportation Networks

We investigate the influence of the network topology on the performance （characterized by the total system cost and maximal tratffic volume） of transportation networks, where the weights are not static （constant）, but dynamic （a function of the flow on the link）. Four classes of networks are used in the simulation, including regular networks, random networks, small-world networks and scale-free networks. The initial simulation results show that topologies play important roles on the performance of transportation networks, and random networks have better performance than other networks. Also, we find that there are distinct difference of the link flow distribution for various networks in both the distribution function form and the span between the minimum and the maximum of the link flow, explaining the difference of the performance among distinct networks. These findings will be useful in network design problems of transportation systems.     

Characteristics of the volatility in the Korea composite stock price index

We empirically analyze the time series of the Korea Composite Stock Price Index (KOSPI) from March of 1992 to February of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and volatility, which are respectively the price change and a measure of the financial market fluctuation over a time interval. With these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this model, we suggest that the non-Gaussian characteristic of the return results from the fluctuation of the volatility. That is, a large return is partly, if not entirely, due to the market fluctuation in a long time scale influencing the fluctuation in a short time scale via net information flow. We further show that the volatility has a multi-fractal property, which resembles the multifractality of the energy dissipation in the turbulence.     

Some results for a fractional diffusion equation with radial symmetry in a confined region

We investigate an N-dimensional fractional diffusion equation with radial symmetry by taking a spatial and time dependent diffusion coefficient into account, i.e.,  with . The equation is considered in a confined region and subjected to time dependent boundary conditions which may be related to inhomogeneous characteristics of the surfaces confining the system. The results show an anomalous spreading of the solutions and an unusual behavior of the survival probability.     

Evacuation from a classroom considering the occupant density around exits

An existing cellular automaton evacuation model is modified to simulate an evacuation experiment conducted in a classroom with obstacles. In the modified model, the impact of the occupant density around exits on human behavior in evacuation is considered. The simulation and experimental results prove that this improvement makes sense, because besides the spatial distance to exits, people may also choose the exit according to the occupant density around exits. The distribution of individual evacuation times as a function of initial positions and the dynamics of the evacuation process are studied. Comparison between the experimental and simulation results shows that the model can reproduce the experiment well. The improvement of the CA model is useful for further study.     

PID feedback controller used as a tactical asset allocation technique: The G.A.M. model

The objective of this paper is to illustrate a tactical asset allocation technique utilizing the PID controller. The proportional-integral-derivative (PID) controller is widely applied in most industrial processes; it has been successfully used for over 50 years and it is used by more than 95% of the plants processes. It is a robust and easily understood algorithm that can provide excellent control performance in spite of the diverse dynamic characteristics of the process plant.In finance, the process plant, controlled by the PID controller, can be represented by financial market assets forming a portfolio. More specifically, in the present work, the plant is represented by a risk-adjusted return variable. Money and portfolio managers’ main target is to achieve a relevant risk-adjusted return in their managing activities. In literature and in the financial industry business, numerous kinds of return/risk ratios are commonly studied and used.The aim of this work is to perform a tactical asset allocation technique consisting in the optimization of risk adjusted return by means of asset allocation methodologies based on the PID model-free feedback control modeling procedure. The process plant does not need to be mathematically modeled: the PID control action lies in altering the portfolio asset weights, according to the PID algorithm and its parameters, Ziegler-and-Nichols-tuned, in order to approach the desired portfolio risk-adjusted return efficiently.     

Simulation of pedestrian counter-flow with right-moving preference

People prefer to walk on the right-hand side of the road for physical and social reasons. In this paper, pedestrian counter-flow in a channel is simulated with the Cellular Automata (CA) Model, with focus on right-preference. Two types of pedestrians are taken into account, walking leftward and rightward along the channel. Circular and open boundaries are adopted respectively. The right-preference intensity, k, is introduced, defined as the ratio of the right-moving probability to left-moving probability. In simulations, the dynamical transition between fluid and jammed phase is presented. With a fixed k, the critical density is independent of the channel size. According to research results on physiology and sociology [O. Guentuerkuen, Nature 421 (2003) 711; M. Reiss, G. Reiss, Percept. Mot. Skill 85 (1997) 569; M.C. Corballis, Psychol. Rev. 104 (1997) 714], k=1,2,8 have been discussed, and k=8 is satisfied in this work. Furthermore, simulation results are compared with the ideal calculation, and other researchers’ experiments [M. Isobe, T. Adachi, T. Nagatani, Physica A 336 (2004) 638]. It is found that right-preference is effective when the density is below critical. The model is shown to be useful to simulate and analyze this situation numerically.     

Statistical methods and regression analysis of stratospheric ozone and meteorological variables in Isfahan

Data of seven meteorological variables (relative humidity, wet temperature, dry temperature, maximum temperature, minimum temperature, ground temperature and sun radiation time) and ozone values have been used for statistical analysis. Meteorological variables and ozone values were analyzed using both multiple linear regression and principal component methods. Data for the period 1999-2004 are analyzed jointly using both methods. For all periods, temperature dependent variables were highly correlated, but were all negatively correlated with relative humidity. Multiple regression analysis was used to fit the meteorological variables using the meteorological variables as predictors. A variable selection method based on high loading of varimax rotated principal components was used to obtain subsets of the predictor variables to be included in the linear regression model of the meteorological variables. In 1999, 2001 and 2002 one of the meteorological variables was weakly influenced predominantly by the ozone concentrations. However, the model did not predict that the meteorological variables for the year 2000 were not influenced predominantly by the ozone concentrations that point to variation in sun radiation. This could be due to other factors that were not explicitly considered in this study.     

Exact solutions for a forced Burgers equation with a linear external force

We investigate the solutions of the Burgers equation , where F(x,t) is an external force and Φ(x,t) represents a forcing term. This equation is first analyzed in the absence of the forcing term by taking F(x,t)=k₁(t)−k₂(t)x into account. For this case, the solution obtained extends the usual one present in the Ornstein-Uhlenbeck process and depending on the choice of k₁(t) and k₂(t) it can present a stationary state or an anomalous spreading. Afterwards, the forcing terms Φ(x,t)=Φ₁(t)+Φ₂(t)x and Φ(x,t)=Φ₃x−Φ₄/x³ are incorporated in the previous analysis and exact solutions are obtained for both cases.     

Maximum entropy with fluctuating constraints: The example of K-distributions

We indicate that in a maximum entropy setting, the thermodynamic β and the observation constraint are linked, so that fluctuations of the latter imposes fluctuations of the former. This gives an alternate viewpoint to ‘superstatistics’. While a Gamma model for fluctuations of the β parameter gives the so-called Tsallis distributions, we work out the case of a Gamma model for fluctuations of the observable, and show that this leads to K-distributions. We draw attention to the fact that these heavy-tailed distributions have high interest in physical applications, and we discuss them in some details.     

Taxonomy of correlations of wind velocity — an application to the Sicilian area

We present an algorithm that allows us to analyze the cross-correlation of wind velocity measured in different locations; this algorithm is applied to 29 recording stations in Sicily. The results show that such correlations present a significant and persistent ultrametric structure that is influenced by the geographical neighborhood as well as by the presence of mountain and the sea. The algorithm presented, that is also able to reveal weak correlations, can be used as a starting point for the development of multivariate models of wind.     

Performance characteristic of a Stirling refrigeration cycle in micro/nano scale

The aim of the paper is to present the performance characteristics of a Stirling refrigeration cycle in micro/nano scale, in which the working substance of cycle is an ideal Maxwellian gas. Due to the quantum boundary effect on the gas particles confined in the finite domain, the cycle no longer possesses the condition of perfect regeneration. The inherent regenerative losses, the refrigeration heat and coefficient of performance (COP) of the cycle are derived. It is found that, for the micro/nano scaled Stirling refrigeration cycle devices, the refrigeration heat and COP of cycle all depend on the surface area of the system (boundary of cycle) besides the temperature of the heat reservoirs, the volume of system and other parameters, while for the macro scaled refrigeration cycle devices, the refrigeration heat and COP of cycle are independent of the surface area of the system. Variations of the refrigeration heat ratio r_R and the COP ratio r_ε with the temperature ratio τ and volume ratio r_V for the different surface area ratio r_A are examined, which reveals the influence of the boundary of cycle on the performance of a micro/nano scaled Stirling refrigeration cycle. The results are useful for designing of a micro/nano scaled Stirling cycle device and may conduce to confirming experimentally the quantum boundary effect in the micro/nano scaled devices.     

A new look at q-exponential distributions via excess statistics

Q-exponential distributions play an important role in nonextensive statistics. They appear as the canonical distributions, i.e. the maximum generalized q-entropy distributions under mean constraint. Their relevance is also independently justified by their appearance in the theory of superstatistics introduced by Beck and Cohen. In this paper, we provide a third and independent rationale for these distributions. We indicate that q-exponentials are stable by a statistical normalization operation, and that Pickands’ extreme values theorem plays the role of a CLT-like theorem in this context. This suggests that q-exponentials can arise in many contexts if the system at hand or the measurement device introduces some threshold. Moreover we give an asymptotic connection between excess distributions and maximum q-entropy. We also highlight the role of Generalized Pareto Distributions in many applications and present several methods for the practical estimation of q-exponential parameters.     

Performance analysis of a thermosize micro/nano heat engine

In a recent paper [A. Sisman, I. Muller, Phys. Lett. A 320 (2004) 360] the thermodynamic properties of ideal gases confined in a narrow box were examined theoretically. The so-called “thermosize effects” similar to thermoelectric effects, such as Seebeck-like thermosize effect, Peltier-like thermosize effect and Thomson-like thermosize effect, were analyzed. Like the thermoelectric generator, based on the thermosize effects we have established a model of micro/nano scaled ideal gas heat engine cycle which includes two isothermal and two isobaric processes. The expressions of power output and efficiency of this cycle in the two cases of reversible and irreversible heat exchange are derived and the optimal performance characteristics of the heat engine is discussed by some numerical example. The results obtained here will provide theoretical guidance for the design of micro/nano scaled device.     

X-ray binary systems and nonextensivity

We study the x-ray intensity variations obtained from the time series of 155 light curves of x-ray binary systems collected by the instrument All Sky Monitor on board the satellite Rossi X-Ray Timing Explorer. These intensity distributions are adequately fitted by q-Gaussian distributions which maximize the Tsallis entropy and in turn satisfy a nonlinear Fokker-Planck equation, indicating their nonextensive and nonequilibrium behavior. From the values of the entropic index q obtained, we give a physical interpretation of the dynamics in x-ray binary systems based on the kinetic foundation of generalized thermostatistics. The present findings indicate that the binary systems display a nonextensive and turbulent behavior.     

Perturbation expansion for option pricing with stochastic volatility

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the same superposition of Black-Scholes expressions. An explicit analytic formula is deduced from a perturbation expansion around a Black-Scholes formula with the mean volatility. The expansion has two parts. The first takes into account the non-Gaussian character of the stock-fluctuations and is organized by powers of the excess kurtosis, the second is contract based, and is organized by the moments of moneyness of the option. With this expansion we show that for the Dow Jones Euro Stoxx 50 option data, a -hedging strategy is close to being optimal.     

The world according to Rényi: thermodynamics of multifractal systems

We discuss basic statistical properties of systems with multifractal structure. This is possible by extending the notion of the usual Gibbs-Shannon entropy into more general framework—Rényi’s information entropy. We address the renormalization issue for Rényi’s entropy on (multi)fractal sets and consequently show how Rényi’s parameter is connected with multifractal singularity spectrum. The maximal entropy approach then provides a passage between Rényi’s information entropy and thermodynamics of multifractals. Important issues such as Rényi’s entropy versus Tsallis-Havrda-Charvat entropy and PDF reconstruction theorem are also studied. Finally, some further speculations on a possible relevance of our approach to cosmology are discussed.     

Discretization effect in a multi-grid egress model

In the traditional egress model based on cellular automata, building spaces are divided into discrete grids, the size of which is usually as large as that of a pedestrian. In order to explore the influences of the grid size on the evacuation results, we studied the evacuation process using a multi-grid egress model. In the multi-grid model, a finer grid is used and each pedestrian occupies n×n basic grids. It is found that if the pedestrian always moves one grid at each time step, the evacuation time increases with the decrease of the grid size, and reaches a stable, grid-independent value when the grid size is small enough. Another factor which influences the evacuation results is the length of the time step. It is found that with the increasing length of the time step, the evacuation time has a tendency to increase but endures complex changes. The differences between the single-grid model and multi-grid model may be due to two main reasons. First, in the multi-grid model, the pedestrians are out of alignment so that there are patches of unusable empty spaces as they are smaller in size than a pedestrian. Second, in the multi-grid model, pedestrians tend to reach the exit at the same time, leading to more serious conflicts among pedestrians.     

Quantum boundary layer: a non-uniform density distribution of an ideal gas in thermodynamic equilibrium

Density distribution of an ideal Maxwellian gas confined in a finite domain is not uniform even in thermodynamic equilibrium. Near to the boundaries, there is a layer in which the density goes to zero. Existence of this boundary layer explains the shape and size dependence of the thermodynamic quantities in nano scale.     

Diffusive capture processes for information search

We show how effectively the diffusive capture processes (DCP) on complex networks can be applied to information search in the networks. Numerical simulations show that our method generates only 2% of traffic compared with the most popular flooding-based query-packet-forwarding (FB) algorithm. We find that the average searching time, 〈T〉, of the our model is more scalable than another well known n-random walker model and comparable to the FB algorithm both on real Gnutella network and scale-free networks with γ=2.4. We also discuss the possible relationship between 〈T〉 and 〈k²〉, the second moment of the degree distribution of the networks.     

Edge Effects on Growth of Ordered Stress Relief Patterns in Free Sustained Aluminum Films

An unusual form of ordered stress relief patterns is observed in a nearly free sustained aluminum film system deposited on liquid substrates by the therm~l evaporation method. The edge effects on the growth of the ordered patterns are systematically studied. It is found that the patterns initiate from the film edges, preexisting ordered patterns, or other imperfections of the film. When the patterns extend in the film regions, they decay gradually and finally disappear. If they develop along the boundaries, however, the sizes are almost unchanged over several millimeters. The stress relief patterns look like rectangular waves in appearance, which are proven to evolve from sinusoidal to triangular waves gradually. The morphological evolution can be well explained by the general theory of buckling of plates.