Imprints of log-periodic self-similarity in the stock market

Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a large decline, in magnitude only comparable to the so-called Black Monday of October 1987. The present example provides further arguments in favour of a discrete scale-invariance governing the dynamics of the stock market. A related clear log-periodic structure prior to the crash and consistent with its onset extends over the period of a few months. Furthermore, on smaller time-scales the data seems to indicate the appearance of analogous log-periodic oscillations as precursors of the smaller, intermediate decreases. Even the frequencies of such oscillations are similar on various levels of resolution. The related value of preferred scaling ratios is amazingly consistent with those found for a wide variety of other complex systems. Similar analysis of the major American indices between September 1998 and February 1999 also provides some evidence supporting this concept but, at the same time, illustrates a possible splitting of the dynamics that a large market may experience. Received 22 January 1999 and Received in final form 4 May 1999     

Boolean delay equations,debruijn oscillations and intermittency

We prove the PLP-tauberian theorem, a generalization of the Hardy-Littlewood tauberian theorem for polynomial log-periodic growth laws. We use this to show that the intermittency present in linear nonresonant boolean delay equations is due to log-periodic DeBruijn oscillations. In another paper we use this fact to construct deterministic white noise. We have also used the PLP-tauberian theorem in models of homogeneous fluid turbulence.     

Diffraction pattern of modulated structures described by Bessel functions

We performed detailed analysis of 1D modulated structure (MS) with harmonic modulation within the statistical approach. By applying two-mode Fourier transform, we were able to derive analytically the structure factor for MS with single harmonic modulation component. We confirmed in a very smooth way that ordinary Bessel functions of the first kind define envelopes tuning the intensities of the diffraction peaks. This applies not only to main reflections of the diffraction pattern but also to all satellites. In the second part, we discussed in details the similarities between harmonically modulated structures with multiple modulations and 1D model quasicrystal. The Fourier expansion of the nodes’ positions in the Fibonacci chain gives direct numerical definition of the atomic arrangement in MS. In that sense, we can define 1D quasicrystal as a MS with infinite number of harmonic modulations. We prove that characteristic measures (like v(u) relation typical for statistical approach and diffraction pattern) calculated for MS asymptotically approach their counterparts for 1D quasicrystal as large enough number of modulation terms is taken into account.     

Purcell effect in one-dimensional photonic quasicrystals

The change in probability of spontaneous emission for emitter placed in one-dimensional photonic quasicrystal (optical Fibonacci lattice) was examined. When the dipole is placed in Fibonacci lattice two different scenarios can be expected: enhancing (if frequency and direction of the dipole emission correspond to optical eigenmode of structure, and position corresponds to maximum value of modes electric field profile) or suppression (in case of photonic band gap) of spontaneous emission rate. Fact that both effects are expressed in quasicrystals less than in the Bragg reflectors and in the microcavities was demonstrated.     

Phonon Transmission and Thermal Conductance in Fibonacci Wire at Low Temperature

We investigate the phonon transmission and thermal conductance in a general Fibonacci quasicrystal by the model of lattice dynamics and the technique of transfer matrix. It is found that quasiperiodic distribution of masses may greatly destroy the phonon transport at both low and high frequencies and thus may affect the thermal conductance. The thermal conductance increases with temperature at low temperatures and displays saturation with further increase of the temperature. Such saturation behaviour is preserved even when the mass ratio of atoms in the Fibonacci chain is changed.     

Dynamical properties of three component Fibonacci quasicrystal

We present a real space renormalization group (RSRG) method to study the lattice dynamics of a three component Fibonacci (3CF) quasicrystal. Phonon dispersion relations corresponding to different models of this lattice are obtained. Some features of the phonon dispersion curves are compared with experiments on real quasicrystal. It is observed that the positions of the strongest Bragg peaks calculated analytically are in perfect agreement with our RSRG calculations. Received 23 October 2000 and Received in final form 11 January 2001     

Pseudomorphic growth of a single element quasiperiodic ultrathin film on a quasicrystal substrate

An ultrathin film with a periodic interlayer spacing was grown by the deposition of Cu atoms on the fivefold surface of the icosahedral Al70Pd21Mn9 quasicrystal. For coverages from 5 to 25 monolayers, a distinctive quasiperiodic low-energy electron diffraction pattern is observed. Scanning tunneling microscopy images show that the in-plane structure comprises rows having separations of S=4.5+/-0.2 A and L=7.3+/-0.3 A, whose ratio equals tau=1.618... within experimental error. The sequences of such row separations form segments of terms of the Fibonacci sequence, indicative of the formation of a pseudomorphic Cu film.     

Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000

Following our investigation of the USA Standard and Poor index anti-bubble that started in August 2000 (Quant. Finance 2 (2002) 468), we analyze 38 world stock market indices and identify 21 “bearish anti-bubbles” and six “bullish anti-bubbles”. An “anti-bubble” is defined as a self-reinforcing price trajectory with self-similar expanding log-periodic oscillations. Mathematically, a bearish anti-bubble is characterize by a power law decrease of the price (or of the logarithm of the price) as a function of time and by expanding log-periodic oscillations. We propose that bearish anti-bubbles are created by positive price-to-price feedbacks feeding overall pessimism and negative market sentiment further strengthened by inter-personal interactions. Bullish anti-bubbles are here identified for the first time. The most striking discovery is that the majority of European and Western stock market indices as well as other stock indices exhibit practically the same log-periodic power law anti-bubble structure as found for the USA S&P500 index. These anti-bubbles are found to start approximately at the same time, August 2000, in all these markets. This shows a remarkable degree of worldwide synchronization. The descent of the worldwide stock markets since 2000 is thus an international event, suggesting the strengthening of globalization.     

The surface structure of icosahedral Al68Pd23Mn9 measured by STM and LEED

For the first time the surface structure of an icosahedral quasicrystal has been successfully investigated in Ultra-High Vacuum (UHV) by Scanning Tunneling Microscopy (STM) and Low-Energy Electron Diffraction (LEED). After cleaning an i-Al₆₈Pd₂₃Mn₉ sample in UHV by cycles of ion-sputtering and annealing at temperatures close to the melting point atomically flat terraces are observed by STM. Successive step heights show quasiperiodic order according to the Fibonacci chain. The normals of these terraces are parallel to a five-fold axis as revealed by highly resolved STM images. On the terraces five-fold stars and pentagonal holes are observed. Their orientation is the same on all terraces investigated. Additionally to this long-range orientational order, a high degree of quasiperiodic order is found for the pentagonal holes. This indicates that the quasiperiodic order of this highly ordered and thermodynamically stable quasicrystal extends even up to the surface. Both the step heights and the distances between the pentagonal holes well agree with the values derived from a structural model of this material. Five-fold symmetric LEED patterns can be analysed by means of the Fourier transform of a Fibonacci pentagrid as suggested by the STM data. The analysis yields the same line separations within the pentagrid as deduced from the STM experiments.     

Electronic spectrum of a two-dimensional Fibonacci lattice

The electronic spectrum and wave functions of a new quasicrystal structure—a two-dimensional Fibonacci lattice—are investigated in the tight-binding approximation using the method of the level statistics. This is a self-similar structure consisting of three elementary structural units. The “central” and “nodal” decoration of this structure are examined. It is shown that the electronic energy spectrum of a two-dimensional Fibonacci lattice contains a singular part, but in contrast to a one-dimensional Fibonacci lattice the spectrum does not contain a hierarchical gap structure. The measure of allowed states (Lebesgue measure) of the spectrum is different from zero, and for “central” decoration it is close to 1. The character of the localization of the wave functions is investigated, and it is found that the wave functions are “critical.” Zh. éksp. Teor. Fiz. 116, 1834–1842 (November 1999)     

Millimeter wave oscillations in a log-periodic antenna integrated with field-effect transistor

We experimentally study microwave oscillations in a hybrid integrated circuit comprising a field effect transistor and a log-periodic microstrip antenna on a dielectric substrate. The oscillations were observed both at the main resonance frequency of the antenna and at harmonics in a range of 6 to 40 GHz. The opportunities for oscillator design optimization were studied in application to the millimeter-wave range.     

Contagion effects in a chartist-fundamentalist model with time delays

In this paper two models of speculative markets are developed to study the effects of feedback mechanisms in financial markets. In the first model, a crash market model couples a linear chartist-fundamentalist model with time delays with a log-periodic market index I(t) through direct coupling. Numerical solutions to the model show that asset prices exhibit significant persistence as a result of the coupling to the log-periodic market index. An extension to include endogenous wealth dynamics shows that the chartists benefit from the persistent dynamics induced by the coupling. The second model is a two-asset model represented by a 2-dimensional delay-differential equation. Asset one price exhibits limit cycle dynamics while in the second market asset prices follow stable damped oscillations. The markets are coupled through a diffusive coupling term. Solutions to the coupled model show that the dynamics of asset two changes fundamentally with the price now exhibiting a limit cycle. The stable converging dynamics is replaced with limit cycle oscillations around the fundamental.     

Band structures of Fibonacci phononic quasicrystals

The paper studies the band structures of a two-component Fibonacci phononic quasicrystal which is considered as a phononic crystal disordered in a special way. Oblique propagation in an arbitrary direction of the in-plane elastic waves with coupling of longitudinal and transverse modes is considered. The transfer matrix method is used and the well-defined localization factors which are used to study the ordered and disordered phononic crystals are introduced to describe the band gaps of the phononic quasicrystals. The transmission coefficients are also calculated and the results show the same behaviours as the localization factor does. The results show the merits of using the localization factors. The band gaps of the phononic quasicrystal and crystals with translational and/or mirror symmetries are presented and compared to the perfect phononic crystals. More band structures are exhibited when symmetries are introduced to the phononic quasicrystals.     

Vertex configuration rules to grow an octagonal Ammann–Beenker tiling

Based on vertex configurations in the Ammann–Beenker tiling, we propose an algorithm for aggregation of square and rhombus tiles to generate an octagonal quasilattice, which mimics the growth process of a two-dimensional quasicrystal. Local matching rules with configuration selection are used to guide the way that tiles are joined to a cluster and form Ammann lines according to a generalized Fibonacci sequence. Our results reveal that vertex configuration selection can improve the performance of the algorithm, which provides an approach for growing a perfect octagonal quasiperiodic structure.     

Transport properties of graphene under periodic and quasiperiodic magnetic superlattices

We study the transmission of Dirac electrons through the one-dimensional periodic, Fibonacci, and Thue–Morse magnetic superlattices (MS), which can be realized by two different magnetic blocks arranged in certain sequences in graphene. The numerical results show that the transmission as a function of incident energy presents regular resonance splitting effect in periodic MS due to the split energy spectrum. For the quasiperiodic MS with more layers, they exhibit rich transmission patterns. In particular, the transmission in Fibonacci MS presents scaling property and fragmented behavior with self-similarity, while the transmission in Thue–Morse MS presents more perfect resonant peaks which are related to the completely transparent states. Furthermore, these interesting properties are robust against the profile of MS, but dependent on the magnetic structure parameters and the transverse wave vector.     

Discrete scale invariance in viscous fingering patterns

We study viscous fingering patterns in a lifting Hele-Shaw cell, where a non-Newtonian fluid (oil paint) is displaced by air. The lengths of the air fingers are measured and their cumulative distribution is seen to follow a power law with log-periodic oscillations indicating the presence of discrete scale invariance. Received 21 May 1999     

Jump kinetics on the Fibonacci quasilattice. Exactly solvable model of the layer growth and dislocation kinetics in quasicrystals

The jump kinetics on a quasiperiodic pinning potential is analyzed under small external force in a 1D Fibonacci quasilattice model. The model describes planar (layer) growth of stable quasicrystals from the melt and is also relevant to the movement of quasicrystal dislocations under small stress. An exact solution is found for the spectrum of jump length as function of the driving force. The solution describes the supercooling dependence of the spectrum of nucleus heights on the growing surface of a quasicrystal. The spectrum appears to be universal and its shape has a periodic dependence on the logarithm of the supercooling. The resulting quasicrystal growth kinetics agrees well with that found in computer simulations and in the analysis of continuous thermodynamic models. Pis’ma Zh. éksp. Teor. Fiz. 69, No. 8, 531–536 (25 April 1999) Published in English in the original Russian journal. Edited by Steve Torstveit. Institute of Crystallography, Russian Academy of Sciences, 117333, Moscow, Russia     

Intermediate stages of a transformation between a quasicrystal and an approximant including nanodomain structures in the Al-Ni-Co system

Transition states between decagonal quasicrystal and periodic approximants are studied in the Al-Ni-Co system at a measured composition of Al_71.3Ni_11.3Co _17.4 by high-resolution transmission electron microscopy and electron diffraction. The nanodomain structures appearing after annealing at 1270 K show periodic fluctuations coherently embedded in domains with the coarse order of a one-dimensional quasicrystal. Further annealing at lower temperatures changes the features of nanodomain structures and results in an increase in more periodic structures. These can be strongly disordered and full of defects but tiling analysis and electron diffraction patterns show that they correspond to locked phason strain values of two closely related periodic approximants. We conclude that the periodic approximants do not result from a continuous increase in phason strain but from the growth of seeds with a locked phason strain.     

一族一维准晶的局部电子性质

本文利用推广的实空间重整化群方法,研究按膨胀规则(A,B)→(AⁿB,A)构造的一族一维泛Fibonacci准晶系(A_n序列)的局部电子性质。所引入的2n²+1种基本变换可计算该族一维准晶中任一A_n序列在任意格点的局部格林函数和局部态密度。结果表明,该方法是有效的,A_n链的电子局部态密度象Fibonacci准晶一样,呈现临界性。 关键词：