Power laws and Gaussians for stock market fluctuations

The daily financial volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well to their long-term trends. We also model the transition to a Gaussian distribution for longer time intervals, like months instead of days.     

A new universality class in corpus of texts; A statistical physics study

Text can be regarded as a complex system. There are some methods in statistical physics which can be used to study this system. In this work, by means of statistical physics methods, we reveal new universal behaviors of texts associating with the fractality values of words in a text. The fractality measure indicates the importance of words in a text by considering distribution pattern of words throughout the text. We observed a power law relation between fractality of text and vocabulary size for texts and corpora. We also observed this behavior in studying biological data.     

A unified econophysics explanation for the power-law exponents of stock market activity

We survey a theory (first sketched in Nature in 2003, then fleshed out in the Quarterly Journal of Economics in 2006) of the economic underpinnings of the fat-tailed distributions of a number of financial variables, such as returns and trading volume. Our theory posits that they have a common origin in the strategic trading behavior of very large financial institutions in a relatively illiquid market. We show how the fat-tailed distribution of fund sizes can indeed generate extreme returns and volumes, even in the absence of fundamental news. Moreover, we are able to replicate the individually different empirical values of the power-law exponents for each distribution: 3 for returns, 3/2 for volumes, 1 for the assets under management of large investors. Large investors moderate their trades to reduce their price impact; coupled with a concave price impact function, this leads to volumes being more fat-tailed than returns but less fat-tailed than fund sizes. The trades of large institutions also offer a unified explanation for apparently disconnected empirical regularities that are otherwise a challenge for economic theory.     

Renormalization group operators for maps and universal scaling of universal scaling exponents

Renormalization group (RG) methods provide a unifying framework for understanding critical behaviour, such as transition to chaos in area-preserving maps and other dynamical systems, which have associated with them universal scaling exponents. Recently, de la Llave et al. (2007) [10] have formulated the Principle of Approximate Combination of Scaling Exponents (PACSE for short), which relates exponents for different criticalities via their combinatorial properties. The main objective of this paper is to show that certain integrable fixed points of RG operators for area-preserving maps do indeed follow the PACSE.     

Restoration of universality for the rod-to-coil transition scaling in the infinite-dimensionality limit: Exact results for directed walks

We derive scaling forms for the thermodynamic and correlation quantities for the turn-weighted fully and partially directed self-avoiding walks on the hypercubic lattices ind2. In the grand canonical (fixed fugacity per step) ensemble, the conformational rod-to-coil transition sets up in the regimew¯N=O(1), wherew is the weight of each 90° turn and¯N is the (fugacity-dependent) average number of steps. Contrary to the conventional critical phenomena wisdom, the scaling functions for the two different walk models, directed and partially directed, become universal only in the limitd.     

A statistical mechanics view of quantum chromodynamics: Lattice gauge theory

Recent developments in lattice gauge theory are discussed from a statistical mechanics viewpoint. The basic physics problems of quantum chromodynamics (QCD) are reviewed for an audience of critical phenomena theorists. The idea of local gauge symmetry and color, the connection between statistical mechanics and field theory, asymptotic freedom and the continuum limit of lattice gauge theories, and the order parameters (confinement and chiral symmetry) of QCD are reviewed. Then recent developments in the field are discussed. These include the proof of confinement in the lattice theory, numerical evidence for confinement in the continuum limit of lattice gauge theory, and perturbative improvement programs for lattice actions. Next, we turn to the new challenges facing the subject. These include the need for a better understanding of the lattice Dirac equation and recent progress in the development of numerical methods for fermions (the pseudofermion stochastic algorithm and the microcanonical, molecular dynamics equation of motion approach). Finally, some of the applications of lattice gauge theory to QCD spectrum calculations and the thermodynamics of. QCD will be discussed and a few remarks concerning future directions of the field will be made.Supported in part by the NSF under grant No. PHY82-01948     

Weak violation of universality for polyelectrolyte chains: Variational theory and simulations

A variational approach is considered to calculate the free energy and the conformational properties of a polyelectrolyte chain in d dimensions. We consider in detail the case of pure Coulombic interactions between the monomers, when screening is not present, in order to compute the end-to-end distance and the asymptotic properties of the chain as a function of the polymer chain length N. We find R≃N ^ν(log N)^γ, where ν = and λ is the exponent which characterizes the long-range interaction U∝ 1/r ^λ. The exponent γ is shown to be non-universal, depending on the strength of the Coulomb interaction. We check our findings by a direct numerical minimization of the variational energy for chains of increasing size 2⁴ < N < 2¹⁵. The electrostatic blob picture, expected for small enough values of the interaction strength, is quantitatively described by the variational approach. We perform a Monte Carlo simulation for chains of length 2⁴ < N < 2¹⁰. The non-universal behavior of the exponent γ previously derived within the variational method is also confirmed by the simulation results. Non-universal behavior is found for a polyelectrolyte chain in d = 3 dimension. Particular attention is devoted to the homopolymer chain problem, when short-range contact interactions are present. Received 8 August 2000 and Received in final form 19 December 2000     

Two-parameter analysis of the scaling behavior at the onset of chaos: tricritical and pseudo-tricritical points

We discuss the so-called tricritical points at the border of the period-doubling transition to chaos and examine to what extent the associated universality applies to 2D dissipative maps. As a concrete example, the Ikeda map is studied together with its 1D analog. For the approximate 1D map, the tricritical points appear as the terminal points of Feigenbaum's critical curves in the parameter plane. For the 2D map the same type of critical behavior does not occur in a rigorous sense. It may be observed as a kind of intermediate asymptotics, however, when one considers a finite number of period doublings. We refer to the associated points in the parameter plane as pseudo-tricritical. For the Ikeda map, we present estimates of the number of period doublings, after which the departure from the tricritical universality becomes essential.     

A new formalism for the statistical dynamics of vector spin systems

The relaxational dynamics of a classical vector Heisenberg spin system is studied using the Fokker-Planck equation. To calculate the eigenvalues of the Fokker-Planck operator, a new approach is introduced. In this connection, a number space repesentation is introduced, which enables us to visualize the eigenvalue structure of the Fokker-Planck operator. The mean field approximation is derived and a systematic method to improve the mean field approximation is presented.     

The distribution and scaling of fluctuations for Hang Seng index in Hong Kong stock market

The statistical properties of the Hang Seng index in the Hong Kong stock market are analyzed. The data include minute by minute records of the Hang Seng index from January 3, 1994 to May 28, 1997. The probability distribution functions of index returns for the time scales from 1 minute to 128 minutes are given. The results show that the nature of the stochastic process underlying the time series of the returns of Hang Seng index cannot be described by the normal distribution. It is more reasonable to model it by a truncated Lévy distribution with an exponential fall-off in its tails. The scaling of the maximium value of the probability distribution is studied. Results show that the data are consistent with scaling of a Lévy distribution. It is observed that in the tail of the distribution, the fall-off deviates from that of a Lévy stable process and is approximately exponential, especially after removing daily trading pattern from the data. The daily pattern thus affects strongly the analysis of the asymptotic behavior and scaling of fluctuation distributions. Received 9 August 2000 and Received in final form 28 August 2000     

A mathematical framework for critical transitions: Bifurcations, fast-slow systems and stochastic dynamics

Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms “critical transition” or “tipping point” have been used to describe this situation. Critical transitions have been observed in an astonishingly diverse set of applications from ecosystems and climate change to medicine and finance. The main goal of this paper is to give an overview which standard mathematical theories can be applied to critical transitions. We shall focus on early-warning signs that have been suggested to predict critical transitions and point out what mathematical theory can provide in this context. Starting from classical bifurcation theory and incorporating multiple time scale dynamics one can give a detailed analysis of local bifurcations that induce critical transitions. We suggest that the mathematical theory of fast-slow systems provides a natural definition of critical transitions. Since noise often plays a crucial role near critical transitions the next step is to consider stochastic fast-slow systems. The interplay between sample path techniques, partial differential equations and random dynamical systems is highlighted. Each viewpoint provides potential early-warning signs for critical transitions. Since increasing variance has been suggested as an early-warning sign we examine it in the context of normal forms analytically, numerically and geometrically; we also consider autocorrelation numerically. Hence we demonstrate the applicability of early-warning signs for generic models. We end with suggestions for future directions of the theory.     

A new formalism for the statistical dynamics of planar spin systems

The relaxational dynamics of a classical planar Heisenberg spin system is studied using the Fokker-Planck equation. A new approach is introduced in which we attempt to directly calculate the eigenvalues of the Fokker-Planck operator. In this connection a number space representation is introduced, which enables us to visualize the eigenvalue structure of the Fokker-Planck operator. The mean field approximation is derived and a systematic method to improve the mean field approximation is presented.     

Gauge invariant lattice quantum field theory: Implications for statistical properties of high frequency financial markets

We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a probability distribution of relative gains which matches the high frequency historical data of the NASDAQ stock exchange index.     

Adsorption of hydrogen in defective carbon nanotube: modelling and consequent investigations using statistical physics formalism

ABSTRACT

Experimental adsorption isotherms of hydrogen in CNT samples (CNT-A, activated CNT-A CNT-B and activated CNT-B) at T?=?77, 87 and 90?K have been fitted using some theoretical model expressions treated by statistical physics through the grand canonical ensemble. The monolayer model with single energy is selected to fit and interpret the experimental data obtained with CNTs. The physico-chemical parameters, interfering in the adsorption process and implicated in the model expressions, could be directly determined from the experimental data through numerical simulation. Three parameters of the model are fitted, namely the number of hydrogen molecule per site n, the interstitial site density N_m and the energetic parameter P_1/2. The evolution of these parameters as function of temperature is plotted and interpreted in relation to adsorption process. Finally, the thermo-dynamic potential functions, which involve in the adsorption mechanism like free enthalpy of Gibbs G_a, internal energy E_int and entropy S_a, are derived by statistical physics calculations from the selected model.     

Similarity measure and topology evolution of foreign exchange markets using dynamic time warping method: Evidence from minimal spanning tree

In this study, we employ a dynamic time warping method to study the topology of similarity networks among 35 major currencies in international foreign exchange (FX) markets, measured by the minimal spanning tree (MST) approach, which is expected to overcome the synchronous restriction of the Pearson correlation coefficient. In the empirical process, firstly, we subdivide the analysis period from June 2005 to May 2011 into three sub-periods: before, during, and after the US sub-prime crisis. Secondly, we choose NZD (New Zealand dollar) as the numeraire and then, analyze the topology evolution of FX markets in terms of the structure changes of MSTs during the above periods. We also present the hierarchical tree associated with the MST to study the currency clusters in each sub-period. Our results confirm that USD and EUR are the predominant world currencies. But USD gradually loses the most central position while EUR acts as a stable center in the MST passing through the crisis. Furthermore, an interesting finding is that, after the crisis, SGD (Singapore dollar) becomes a new center currency for the network.     

Finite-size scaling properties of the damage distance and dynamical critical exponent for the Ising model

With the damage spreading method, scaling properties of the damage distance on the Ising model with heat bath dynamics are studied numerically. With the parallel flipping scheme, the scaling curves fall on two curves, which depend on the odd or even lattice sizes. The both scaling curves give the consistent dynamical exponent as z = 2.16±0.04 for d = 2 and z = 2.09±0.05 for d = 3, respectively. By shifting one of them, two curves overlap each other perfectly. Meanwhile, all the scaling curves obtained by single-spin flipping processes (with different odd or even lattice sizes) fall on a single curve, from which the consistent dynamical critical exponent with the parallel scheme is obtained z = 2.18±0.02 for d = 2 and z = 2.08±0.04 for d = 3.     

Ursell operators in statistical physics of dense systems: the role of high order operators and of exchange cycles

The purpose of this article is to discuss cluster expansions in dense quantum systems, as well as their interconnection with exchange cycles. We show in general how the Ursell operators of order l≥ 3 contribute to an exponential which corresponds to a mean-field energy involving the second operator U₂, instead of the potential itself as usual - in other words, the mean-field correction is expressed in terms of a modification of a local Boltzmann equilibrium. In a first part, we consider classical statistical mechanics and recall the relation between the reducible part of the classical cluster integrals and the mean-field; we introduce an alternative method to obtain the linear density contribution to the mean-field, which is based on the notion of tree-diagrams and provides a preview of the subsequent quantum calculations. We then proceed to study quantum particles with Boltzmann statistics (distinguishable particles) and show that each Ursell operator U_n with n≥ 3 contains a “tree-reducible part”, which groups naturally with U₂ through a linear chain of binary interactions; this part contributes to the associated mean-field experienced by particles in the fluid. The irreducible part, on the other hand, corresponds to the effects associated with three (or more) particles interacting all together at the same time. We then show that the same algebra holds in the case of Fermi or Bose particles, and discuss physically the role of the exchange cycles, combined with interactions. Bose condensed systems are not considered at this stage. The similarities and differences between Boltzmann and quantum statistics are illustrated by this approach, in contrast with field theoretical or Green's functions methods, which do not allow a separate study of the role of quantum statistics and dynamics. Received 18 October 2001