Connection between scale-free networks and nonextensive statistical mechanics

The degree distribution of the so-called scale-free networks exhibits, quite often, the form p(k) ∝1/(k₀+k)^γ (with γ>0 and k₀>0), in the limit of large networks. It happens that this form precisely coincides with the q-exponential p(k) ∝exp _q(-k/κ) (q ≥1 and κ>0), with γ=1/(q-1) and k₀=κ/(q-1). It optimises the nonadditive entropy with mathematically the same constraints that yield the stationary (or quasi-stationary) distribution in nonextensive statistical mechanics. In other words, the most ubiquitous form of the degree distribution of scale-free networks is a realisation of the hypothesis involved within the q-generalisation of Boltzmann-Gibbs statistical mechanics. In addition to this, we show that growth is not a necessary condition for having scale-free networks, in contrast with a widely spread belief.     

An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders to be influenced by the other traders’ investment attitudes [Kaizoji, Physica A 287 (2000) 493], and formulate the traders’ decision-making regarding investment as the maximum entropy principle for nonextensive entropy [C. Tsallis, J. Stat. Phys. 52 (1988) 479]. We demonstrate that the equilibrium probability distribution function of the traders’ investment attitude is the q-exponential distribution. We also show that the power-law distribution of the volatility of price fluctuations, which is often demonstrated in empirical studies can be explained naturally by our model which originates in the collective crowd behavior of many interacting-agents.     

Theoretical self-consistency in nonextensive statistical mechanics with parameter transformation

Self-consistency in nonextensive statistical mechanics is studied as a recourse to parameter transformation, where different nonextensive parameters are presented for various theoretical branches. The unification between the first and third choices of the average definition and that between the normal and escort distributions are both examined. The problem of parameter inversion in the generalized H theorem is also investigated. The inconsistency between the statistical ensemble pressure and molecular dynamics pressure can be eliminated. This work also verifies the equivalence of physical temperature and gravitational temperature in nonextensive statistical mechanics. In these parameter transformations, the Tsallis entropy form is observed to remain invariant.     

Equilibrium statistical mechanics for incomplete nonextensive statistics

The incomplete nonextensive statistics in the canonical and microcanonical ensembles is explored in the general case and in a particular case for the ideal gas. By exact analytical results for the ideal gas it is shown that taking the thermodynamic limit, with z=q/(1−q) being an extensive variable of state, the incomplete nonextensive statistics satisfies the requirements of equilibrium thermodynamics. The thermodynamical potential of the statistical ensemble is a homogeneous function of the first degree of the extensive variables of state. In this case, the incomplete nonextensive statistics is equivalent to the usual Tsallis statistics. If z is an intensive variable of state, i.e. the entropic index q is a universal constant, the requirements of the equilibrium thermodynamics are violated.     

Dynamical analogy between economical crisis and earthquake dynamics within the nonextensive statistical mechanics framework

The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural, artificial, and social systems. Several authors have suggested that earthquake dynamics and the dynamics of economic (financial) systems can be analyzed within similar mathematical frameworks. We apply concepts of the nonextensive statistical physics, on time-series data of observable manifestations of the underlying complex processes ending up with these different extreme events, in order to support the suggestion that a dynamical analogy exists between a financial crisis (in the form of share or index price collapse) and a single earthquake. We also investigate the existence of such an analogy by means of scale-free statistics (the Gutenberg–Richter distribution of event sizes). We show that the populations of: (i) fracto-electromagnetic events rooted in the activation of a single fault, emerging prior to a significant earthquake, (ii) the trade volume events of different shares/economic indices, prior to a collapse, and (iii) the price fluctuation (considered as the difference of maximum minus minimum price within a day) events of different shares/economic indices, prior to a collapse, follow both the traditional Gutenberg–Richter law as well as a nonextensive model for earthquake dynamics, with similar parameter values. The obtained results imply the existence of a dynamic analogy between earthquakes and economic crises, which moreover follow the dynamics of seizures, magnetic storms and solar flares.     

The thermal Green functions in nonextensive quantum statistical mechanics

The thermal Green functions of the quantum-mechanical harmonic oscillator are constructed within the framework of nonextensive statistical mechanics with normalized q -expectation values. For the Tsallis index q greater than unity, these functions are found to be expressed analytically in terms of the Hurwitz zeta function. It is found that influence of the nonextensivity on the time-ordered thermal propagator is relevant only at the “on-shell” states. In particular, the finite-temperature contribution to the thermal propagator becomes enhanced for the strong nonextensivity. Received 30 September 1998     

To fluctuation theory in statistical mechanics of nonextensive systems

New inequalities and uncertainty relations are derived for physical quantities being measured simultaneously in equilibrium and nonequilibrium quantum nonextensive systems and depending on the value of a quantum analog of the Havrda-Charvat-Daroczy entropy. Superoperators are introduced and equations for the density and distribution operators are derived. __________ Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 10, pp. 14–19, October, 2005.     

Dynamical analogy between epileptic seizures and seismogenic electromagnetic emissions by means of nonextensive statistical mechanics

The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural, artificial, and social systems. Several authors have suggested that earthquake dynamics and neurodynamics can be analyzed within similar mathematical frameworks. Recently, authors have shown that a dynamical analogy supported by scale-free statistics exists between seizures and earthquakes, analyzing populations of different seizures and earthquakes, respectively. The purpose of this paper is to suggest a shift in emphasis from the large to the small scale: our analyses focus on a single epileptic seizure generation and the activation of a single fault (earthquake) and not on the statistics of sequences of different seizures and earthquakes. We apply the concepts of the nonextensive statistical physics to support the suggestion that a dynamical analogy exists between the two different extreme events, seizures and earthquakes. We also investigate the existence of such an analogy by means of scale-free statistics (the Gutenberg–Richter distribution of event sizes and the distribution of the waiting time until the next event). The performed analysis confirms the existence of a dynamic analogy between earthquakes and seizures, which moreover follow the dynamics of magnetic storms and solar flares.     

On the relation between classical and quantum statistical mechanics

Classical and quantum statistical mechanics are compared in the high temperature limit =1/kT0. While this limit is rather trivial for spin systems, we obtain some rigorous results which suggest (and sometimes prove) different asymptotics for continuous systems, depending on the behaviour of the two-body potential for small distances: the difference between suitable classical and quantum variables vanishes as ² for smooth potentials and as for potentials with hard cores.Supported in part by FAPESP. Permanent address: Instituto de Fisica, Universidade de Sao Paulo, Sao Paulo, Brazil     

A delay financial model with stochastic volatility; martingale method

In this paper, we extend a delayed geometric Brownian model by adding a stochastic volatility term, which is driven by a hidden process of fast mean reverting diffusion, to the delayed model. Combining a martingale approach and an asymptotic method, we develop a theory for option pricing under this hybrid model. The core result obtained by our work is a proof that a discounted approximate option price can be decomposed as a martingale part plus a small term. Subsequently, a correction effect on the European option price is demonstrated both theoretically and numerically for a good agreement with practical results.     

Hammerstein system represention of financial volatility processes

We show new modeling aspects of stock return volatility processes, by first representing them through Hammerstein Systems, and by then approximating the observed and transformed dynamics with wavelet-based atomic dictionaries. We thus propose an hybrid statistical methodology for volatility approximation and non-parametric estimation, and aim to use the information embedded in a bank of volatility sources obtained by decomposing the observed signal with multiresolution techniques. Scale dependent information refers both to market activity inherent to different temporally aggregated trading horizons, and to a variable degree of sparsity in representing the signal. A decomposition of the expansion coefficients in least dependent coordinates is then implemented through Independent Component Analysis. Based on the described steps, the features of volatility can be more effectively detected through global and greedy algorithms. Received 31 December 2001     

An alternative approach to calculate the density of states in nonextensive statistical mechanics

A relation between the generalized partition function (Tsallis) and density of states is established by using the method of integral transform which enables reducing some integral equations into the algebraic equations. Inverse Mellin transformation of this equation gives the density of states. Similar relation is also hold the for standard partition function (Boltzmann-Gibbs) and the density of states. Using these relations, we recover the density of states for the classical ideal gas within both statistics.     

Quantum statistical mechanics on stochastic phase space

Within the context of the theory of stochastic phase spaces, introduced in some earlier papers, a systematic mathematical procedure is developed for expressing quantum mechanical observables as generalized functions on a stochastic phase space. The states in such a theory are normalized, positive semidefinite, continuous functions of the phase space variables, satisfying marginality conditions appropriate to the stochastic nature of the underlying phase space. The action of a general quantum mechanical observable on the state space is then shown to lead in general to formal differential operators of finite or infinite order. Explicit computations of some typical operators are made to illustrate the theory. As a useful practical application, the theory is employed to derive a Bloch equation from which the Husimi transform of the canonical equilibrium state is then computed, after expressing it as an infinite series in powers of .Supported in part by a research grant from the National Research Council of Canada.     

Multiplicative stochastic processes in statistical physics

For a large class of nonlinear stochastic processes with pure multiplicative fluctuations the corresponding time-dependent Fokker-Planck equation is solved exactly by means of analytic methods. We obtain a universal eigenvalue spectrum and the corresponding set of eigenfunctions.     

小系统的非平衡统计力学与随机热力学

热力学是一个古老的课题,古典热力学以宏观的具有大粒子数的系统为研究对象,自17世纪以来,科学家们构建了热力学的完备公理化体系。将热力学推广至小系统是近三十年来的研究前沿。文章介绍小系统的非平衡统计力学以及小系统的随机热力学。作为研究案例,利用时间依赖的谐振子势场控制单个粒子来构造随机热机的类卡诺循环,并发现该热机最大功率对应的效率等于1-,其中T_c和T_h分别对应于低温热库和高温热库的温度。