Memory effect and multifractality of cross-correlations in financial markets

We introduce an instantaneous and an average instantaneous cross-correlation function to detect the temporal cross-correlations between individual stocks based on the daily data of the United States and the Chinese stock markets. The memory effect of the instantaneous cross-correlations is investigated by applying the detrended fluctuation analysis (DFA), where the DFA exponents can be partly explained by the correlation function from the common sense. Long-range memory is observed for the average instantaneous cross-correlations, and persists up to a month magnitude of timescale for the United States stock market and half a month magnitude of timescale for the Chinese stock market. In addition, multifractal nature is investigated by a multifractal detrended fluctuation analysis.     

Randomness in denoised stock returns: The case of Moroccan family business companies

In this paper, we scrutinize entropy in family business stocks listed on Casablanca stock exchange and market index to assess randomness in their returns. For this purpose, we adopt a novel approach based on combination of stationary wavelet transform and Tsallis entropy for empirical analysis of the return series. The obtained empirical results show strong evidence that their respective entropy functions are characterized by opposite dynamics. Indeed, the information contents of their respective dynamics are statistically and significantly different. Obviously, information on regular events carried by family business returns is more certain, whilst that carried by market returns is uncertain. Such results are definitively useful to understand the nonlinear dynamics on returns on family business companies and those of the market. Without a doubt, they could be helpful for quantitative portfolio managers and investors.     

Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices

We analyze 27 house price indices of Las Vegas from June 1983 to March 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real estate bubble, defined as a price acceleration faster than exponential, which is found, however, to be confined to a rather limited time interval in the recent past from approximately 2003 to mid-2004 and has progressively transformed into a more normal growth rate comparable to pre-bubble levels in 2005. There has been no bubble till 2002 except for a medium-sized surge in 1990. In addition, we have identified a strong yearly periodicity which provides a good potential for fine-tuned prediction from month to month. A monthly monitoring using a model that we have developed could confirm, by testing the intra-year structure, if indeed the market has returned to “normal” or if more turbulence is expected ahead. We predict the evolution of the indices one year ahead, which is validated with new data up to September 2006. The present analysis demonstrates the existence of very significant variations at the local scale, in the sense that the bubble in Las Vegas seems to have preceded the more global USA bubble and has ended approximately two years earlier (mid-2004 for Las Vegas compared with mid-2006 for the whole of the USA).     

EHD in thermal energy systems - A review of the applications,modelling, and experiments

Electrohydrodynamics (EHD) is recognized as a technology with high energy efficiency, which can be used in various thermal energy systems. Researchers performed many experimental and numerical studies on this topic to investigate its potential applications in thermo-fluid systems. This survey reviews the existing researches performed on different applications of EHD in thermal energy systems containing boiling, condensing, drying, evaporating, and solar energy systems. Capability, limitations, and applications of this technique in each system are investigated and listed, pursued by a number of conclusions and suggestions.     

Thermodynamics and dynamics of systems with long-range interactions

We review simple aspects of the thermodynamic and dynamical properties of systems with long-range pairwise interactions (LRI), which decay as 1/r^d+σ at large distances r in d dimensions. Two broad classes of such systems are discussed. (i) Systems with a slow decay of the interactions, termed “strong” LRI, where the energy is super-extensive. These systems are characterized by unusual properties such as inequivalence of ensembles, negative specific heat, slow decay of correlations, anomalous diffusion and ergodicity breaking. (ii) Systems with faster decay of the interaction potential, where the energy is additive, thus resulting in less dramatic effects. These interactions affect the thermodynamic behavior of systems near phase transitions, where long-range correlations are naturally present. Long-range correlations are often present in systems driven out of equilibrium when the dynamics involves conserved quantities. Steady state properties of driven systems with local dynamics are considered within the framework outlined above.     

Thermodynamics stability,electronic structures and spectroscopic properties of defects and Ce3+ ions in Y2O3

Thermodynamic properties, electronic structures and spectroscopic properties of defects and Ce³⁺ in Y₂O₃ are studied by using the hybrid density functional theory associated with multi-reference configuration interaction ab-initio calculations. Thermodynamic transition energy levels of the easily generated oxygen vacancies in the host are analyzed according to HSE06-calculated formation energies, which may be conducive to interpretations of the persistent luminescence (PersL) of Y₂O₃-based phosphors. Besides, the locations of impurity states (caused by V_O and Ce³⁺) in energy bands are obtained from derived density of states. Moreover, energies and oscillator strengths of 4f₁ → 5d₁₋₅ transitions of Ce³⁺ ions (at Y1 and Y2 sites) calculated from the CASSCF/CASPT2/RASSI−SO method agree reasonably well with experimental excitation spectra of Y₂O₃: Ce³⁺ phosphors, achieving the assignment of excitation spectra. The presented calculations can be applied to identify luminescent centers in Ce³⁺-doped phosphors and reveals possible native defects and their roles in the PersL of phosphors.     

Behavioural breaks in the heterogeneous agent model: The impact of herding,overconfidence, and market sentiment

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) [34] framework. Behavioural patterns are injected into an asset pricing framework through the so-called ‘Break Point Date’, which allows us to examine their direct impact. In particular, we analyse the dynamics of the model around the behavioural break. Price behaviour of 30 Dow Jones Industrial Average constituents covering five particularly turbulent US stock market periods reveals interesting patterns in this aspect. To replicate it, we apply numerical analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model framework and they extend the original model considerably. Various modifications lead to significantly different results and model with behavioural breaks is also able to partially replicate price behaviour found in the data during turbulent stock market periods.     

Microscopic systems with and without Coulomb interaction, fragmentation and phase transitions in finite nuclei

We test the influence of the Coulomb interaction on the thermodynamic and cluster generation properties of a system of classical particles described by different lattice models. Numerical simulations show that the Coulomb interaction produces essentially a shift in temperature of quantities like the specific heat but not qualitative changes. We also consider a cellular model. The thermodynamic properties of the system are qualitatively unaltered. Received: 7 November 2000 / Accepted: 17 May 2001     

Impulsive control of stochastic systems with applications in chaos control, chaos synchronization, and neural networks

Real systems are often subject to both noise perturbations and impulsive effects. In this paper, we study the stability and stabilization of systems with both noise perturbations and impulsive effects. In other words, we generalize the impulsive control theory from the deterministic case to the stochastic case. The method is based on extending the comparison method to the stochastic case. The method presented in this paper is general and easy to apply. Theoretical results on both stability in the pth mean and stability with disturbance attenuation are derived. To show the effectiveness of the basic theory, we apply it to the impulsive control and synchronization of chaotic systems with noise perturbations, and to the stability of impulsive stochastic neural networks. Several numerical examples are also presented to verify the theoretical results.     

A method for detection of abrupt changes in the financial market combining wavelet decomposition and correlation graphs

The objective of this work is to propose a new methodology to detect the imminence of abrupt changes in the stock market by combining a numerical indicator based on the wavelet decomposition technique with a measure of the interdependency of the markets using graph theory. While the indicator based on wavelet decomposition is based on a single time series, an approach based on network representation can provide information on the interdependency of the various markets. More specifically, the stock market indices are associated with nodes of a network and the correlation between pairs of nodes with links. Results from the theory of graphs can then be used to indicate numerically the connectivity of this network. Experimentations with a variety of financial time series shows that the connectivity varies as trends of the financial time series varies. Combining the indicator based on the wavelet decomposition with the proposed measure of the connectivity of the network, it was possible to refine the authors previous results in terms of detecting abrupt changes in the stock market. In order to illustrate the methodology a case study involving twelve stock market indices was presented.     

Spectral density method in quantum nonextensive thermostatistics and magnetic systems with long-range interactions

Motived by the necessity of explicit and reliable calculations, as a valid contribution to clarify the effectiveness and, possibly, the limits of the Tsallis thermostatistics, we formulate the Two-Time Green Functions Method in nonextensive quantum statistical mechanics within the optimal Lagrange multiplier framework, focusing on the basic ingredients of the related Spectral Density Method (SDM). Besides, to show how the SDM works, we have performed, to the lowest order of approximation, explicit calculations of the low-temperature properties for a quantum d-dimensional spin-1/2 Heisenberg ferromagnet with long-range interactions decaying as 1/r^p ( r is the distance between spins in the lattice).     

DFT study on surface properties and dissolution trends of Al(1 0 0) surfaces doped with Zn, Ga, In, Sn and Pb

In this paper, the properties and dissolution trends of the surfaces doped with different metal atoms on the Al(1 0 0) surface were investigated by the density functional theory calculations. A surface impurity model was proposed by replacing the topmost surface layer Al atoms by Me (Me = Zn, Ga, In, Sn and Pb) atoms with the coverage of 1/9, 1/4, 1/2, and 3/4 monolayer, respectively. Results show that the surface energy of Me-Al(1 0 0) surfaces depends primarily on the nature of the impurity atom species and the monolayer coverage. The work function of Me-Al surfaces is smaller than that of pure Al(1 0 0) surface, and decreases almost linearly with the amount of Me. It is found that the Me-Al alloys are more easily dissolvable than the pure Al, due to the fact that the electrochemical dissolution potential shifts were negative for all Me-Al(1 0 0) surfaces with respect to the clean pure Al(1 0 0) surface.     

Impulsive control of chaotic systems and its applications in synchronization

In this paper,some novel sufficient conditions for asymptotic stability of impulsive control systems are presented by comparison systems.The results are used to obtain the conditions under which the chaotic systems can be asymptotically controlled to the origin via impulsive control.Compared with some existing results,our results are more relaxed in the sense that the Lyapunov function is required to be nonincreasing only along a subsequence of switchings.Moreover,a larger upper bound of impulsive intervals for stabilization and synchronization is obtained.     

Random matrix theory analysis of cross-correlations in the US stock market: Evidence from Pearson’s correlation coefficient and detrended cross-correlation coefficient

In this study, we first build two empirical cross-correlation matrices in the US stock market by two different methods, namely the Pearson’s correlation coefficient and the detrended cross-correlation coefficient (DCCA coefficient). Then, combining the two matrices with the method of random matrix theory (RMT), we mainly investigate the statistical properties of cross-correlations in the US stock market. We choose the daily closing prices of 462 constituent stocks of S&P 500 index as the research objects and select the sample data from January 3, 2005 to August 31, 2012. In the empirical analysis, we examine the statistical properties of cross-correlation coefficients, the distribution of eigenvalues, the distribution of eigenvector components, and the inverse participation ratio. From the two methods, we find some new results of the cross-correlations in the US stock market in our study, which are different from the conclusions reached by previous studies. The empirical cross-correlation matrices constructed by the DCCA coefficient show several interesting properties at different time scales in the US stock market, which are useful to the risk management and optimal portfolio selection, especially to the diversity of the asset portfolio. It will be an interesting and meaningful work to find the theoretical eigenvalue distribution of a completely random matrix R for the DCCA coefficient because it does not obey the Mar?enko–Pastur distribution.     

The relationship between the adhesion work, the wettability and composition of the surface layer in the systems polymer/aqueous solution of anionic surfactants and alcohol mixtures

Measurements of advancing contact angle (θ) were carried out on polytetrafluoroethylene (PTFE) and polymethylmethacrylate (PMMA) for aqueous solution of sodium dodecyl sulfate (SDDS) mixtures with methanol, ethanol and propanol in the range of SDDS concentration from 10⁻⁵ to 10⁻² M, and for sodium hexadecyl sulfonate (SHS) with the same alcohols at the SHS concentration ranging from 10⁻⁵ to 8 × 10⁻⁴ M at 293 K. The concentration of methanol, ethanol and propanol used for measurements varied from 0 to 21.1, 11.97 and 6.67 M, respectively. On the basis of the contact angles the critical surface tension of PTFE and PMMA wetting was determined by using for this purpose the relationship between the adhesion and the surface tension and cos θ and surface tension both at constant alcohol and surfactant concentration, respectively. The obtained contact angles were also used in the Young Dupre’ equation for calculations of the adhesion work of aqueous solution of mixtures of anionic surfactants and short chain alcohols to PTFE and PMMA surface. The adhesion work calculated in this way was compared to that of the particular components of aqueous solution to these surfaces determined on the basis of the surface tension components and parameters of the surface tension of the surface active agents, water, PTFE and PMMA from van Oss et al. equation. The calculated adhesion work was discussed in the light of the concentration of surface active agents at polymer-water and water-air interface determined from Lucassen-Reynders, Gibbs and Guggenheim-Adam equations.     

Structural, electronic, and magnetic properties of bcc iron surfaces

Trends in atomic multilayer relaxations, surface energy, electronic work function, and magnetic structure of several low-Miller-index surfaces of iron are investigated employing density functional theory total energy calculations. The calculated topmost layer relaxations reproduce well the experimental contractions and their variation with the surface crystallographic orientation, and surface roughness. The multilayer relaxation sequences correlate with the reduced coordination in surface layers and can be explained in terms of a simple electrostatic picture. The surface energies scale almost linearly with the surface roughness. They agree well with the experimental surface tensions and show a small anisotropy in agreement with predictions based on measurements for other metals. The equilibrium shape of a bcc Fe crystal is determined and discussed. The work function anisotropy is calculated and rationalized in terms of changes in the valence charge distribution. Significantly increased local magnetic moments of atoms in the surface region are determined. The correlation between the anisotropy of the surface magnetic moments and atomic coordination in the outermost layers is demonstrated to follow a simple rule.     

Energy spreading,equipartition, and chaos in lattices with non-central forces

We numerically study a one-dimensional,nonlinear lattice model which in the linear limit is relevant to the study of bending(flexural)waves.In contrast with the classic one-dimensional mass-spring system,the linear dispersion relation of the considered model has different characteristics in the low frequency limit.By introducing disorder in the masses of the lattice particles,we investigate how different nonlinearities in the potential(cubic,quadratic,and their combination)lead to energy delocalization,equipartition,and chaotic dynamics.We excite the lattice using single site initial momentum excitations corresponding to a strongly localized linear mode and increase the initial energy of excitation.Beyond a certain energy threshold,when the cubic nonlinearity is present,the system is found to reach energy equipartition and total delocalization.On the other hand,when only the quartic nonlinearity is activated,the system remains localized and away from equipartition at least for the energies and evolution times considered here.However,for large enough energies for all types of nonlinearities we observe chaos.This chaotic behavior is combined with energy delocalization when cubic nonlinearities are present,while the appearance of only quadratic nonlinearity leads to energy localization.Our results reveal a rich dynamical behavior and show differences with the relevant Fermi–Pasta–Ulam–Tsingou model.Our findings pave the way for the study of models relevant to bending(flexural)waves in the presence of nonlinearity and disorder,anticipating different energy transport behaviors.     

非线性自治系统频率特性及其利用

用数值模拟方法对三维非线性混沌系统进行了分析,发现衰减项参量的变化基本不影响系统的周期(指在同一周期内),并且系统基频与分频(基本周期与倍周期)之间还存在着近似的简单倍数关系.另外,还将Hopf分支理论中的实用分析方法应用到某些系统,解析地确定出系统开始出现稳定周期解(分岔)的临界位置、基本周期的近似值及分岔方向等有关特征量.进一步利用确定系统基本周期的方法以及基本周期和其他周期关系的规律,讨论了变量延迟反馈法控制混沌的两个实例 关键词： 自治系统 基本周期(频率) Hopf分支 混沌控制     

Vibronic spectra, ab initio calculations, and structures of conformationally non-rigid molecules of oxalyl halides in the ground and lowest excited electronic states. Part I: Reanalysis of the 3680 Å and 4100 Å absorption systems of oxalyl chloride

The vapor-phase absorption spectrum of oxalyl chloride in the 3000-4180 Å region has been re-examined at high resolution. Singlet-singlet and singlet-triplet electronic transitions of the trans-conformer found in the spectrum are in agreement with earlier works [W.J. Balfour, G.W. King, J. Mol. Spectrosc. 26 (1968) 384-397; ibid. 27 (1968) 432-442]. Torsion levels of trans-oxalyl chloride in the ground and excited and states were found for the first time. Ab initio calculations of structures for conformers of oxalyl chloride in the ground and lowest excited electronic states explain the absence of second conformer transitions in the vibronic absorption spectrum.