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.     

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).     

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.     

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.     

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.     

Interaction of Electrons with Indole,Tryptophan, and their Derivatives in the Gas Phase

The electron energy loss spectra (EELS) of indole, 3-indolyl propionic acid, 3-indolealdehyde, 3-dimethylaminomethylindole, tryptophan, and N-acetyl-L-tryptophan in the gas phase upon excitation by monokinetic electrons with an energy of E₀ = 11–50 eV are obtained. The structure of EELS is determined in the main by the indole chromophore; the side groups, except for the C=O group of 3-indolealdehyde, exert an insignificant influence. The energy of the lower triplet level ³L_a is 3.3 eV for indole and its derivatives and 3.2 eV for tryptophan and N-acetyl-L-tryptophan. Four singlet transitions in the region of 4.4–7.2 eV have been identified. The molecules studied, except for tryptophan, fluoresce in the gas phase on excitation by electrons. At low values of E₀ (10–25 eV), the fluorescence spectra are similar and are due to the indole fluorophore. Just as in the case of optical excitation, fluorescence on excitation by electrons is associated with the ¹L_b-S₀ transitions. An increase in the energy E₀ up to 60–80 eV leads to dissociation of a portion of the indole molecules and to the appearance of additional bands in the fluorescence spectrum. __________ Translated from Zhurnal Prikladnoi Spektroskopii, Vol. 72, No. 4, pp. 468–472, July–August, 2005.     

激光诱导击穿光谱定量分析玉石中的Mg,Fe和Ca

基于对样品进行的激光诱导击穿光谱和X射线荧光光谱分析测试建立了天然玉石中主要元素Mg,Ca和微量元素Fe的定标曲线。实验采用纳秒级的Nd∶YAG激光器(波长:1 064nm)为光源,在延迟时间为3μs,激光脉冲累积数量为110,单个脉冲能量为100mJ,脉冲重复频率为10Hz的实验条件下,采用激光诱导击穿光谱技术装置对天然南阳独山玉石样品中的元素进行等离子体激发测试,得到波长在300~1 000nm的等离子光谱图。通过将得到的光谱图中特征峰与美国国家标准与技术研究院数据库进行对比,发现测试样品中含有Mg,Fe和Ca等元素,以X射线荧光光谱分析技术对四种南阳独山玉标准样品中测量出的Mg,Fe和Ca元素氧化物含量作为标准数据,选取含量比较高的Al元素作为内标元素,采用内标法对玉石光谱图中Mg,Fe和Ca元素特征峰值进行线性拟合,从而得出Mg,Fe和Ca三种元素的定标曲线,求出待测样品中这3种元素氧化物的含量,结果表明这三种元素氧化物的含量与中国珠宝宝石收藏鉴赏全集资料中所给出的元素氧化物含量的百分比范围MgO(0.28%~1.73%),Fe2O3(0~0.8%),CaO(18%~20%)相符合,相比于常用的方法,激光诱导击穿光谱技术可以快速地对待测样品进行检测,样品预处理简单且对样品损害较小。进一步验证了激光诱导击穿光谱技术对于玉石应用的可行性。     

相对论平均场理论对Se，Kr，Sr和Zr同位素链形状共存的系统研究

在约束形变的相对论平均场理论下,用NL3参数组系统地研究了Se,Kr,Sr和Zr四个同位素链中的偶-偶核,理论计算的基态束缚能和实验值符合得非常好.通过对这些核的位能曲面的分析,发现在此区域内有着丰富的形状共存现象,系统地指出可能存在形状共存现象的原子核,并且进一步指出在这些核的位能曲面上两个能量极小点的能量差.另外通过对位能曲面以及单中子能级的研究,提出在此区域内N＝70可能是一个中子幻数. 关键词： 形状共存 相对论平均场 位能曲面 幻数     

PEEM study of work function changes in Cu, Au and Pd metal surfaces with surface acoustic wave propagation

The effects of surface acoustic wave (SAW) on the work function of Cu, Au and Pd metal surfaces with different surface structures were studied by photoelectron emission microscopy (PEEM). SAW propagation produced bright PEEM images for Cu, Au and Pd metal surfaces consisting of high-index planes and step sites, whereas it yielded dark images for the metals exposing low-index planes, indicating that the SAW enhanced photoemission from rough metal surfaces containing coordinatively-unsaturated metal atoms and lowered that from densely packed smooth metal surfaces. Changes in the PEEM images with SAW-on and SAW-off were reversible and were associated with decreases and increases in the work function of the metal surfaces, respectively. The SAW caused periodic and vertical lattice displacement, and it was demonstrated that large lattice displacement was responsible for work function changes from coincidence between the patterns of photoemission and lattice displacement. A mechanism for work function changes is proposed on the basis of effects on the spatial structures and electronic properties of metal surfaces.     

Chemiluminescence of alkaline earth monohalides in the collisions of ground state Ca, Sr, and Ba atoms with Cl2, Br2, I2, ICl,, ICl, and IBr

Formation of electronically excited alkaline earth monohalides MX^* in the reactions of ground state Ca, Sr, and Ba atoms with Cl₂, Br₂, I₂, ICl, and IBr was studied in a beam-gas arrangement. The MX^* spectra were observed for all the reactive systems with the exception of Ca, . The energy balance indicates that MX^* can be formed in a single-collision exchange reaction; also the dependence of MX^*-chemiluminescence intensity on halogen gas pressure is typical of a bimolecular process. The MX^*-chemiluminescence cross sections and lower limits of photon yields are estimated. Received 17 April 2000 and Received in final form 18 July 2000     

Variational transition state theory with multidimensional tunnelling and kinetic isotope effects in the reactions of C2H6, C2H5D and C2D6 with .CCl3 to produce CHCl3 and CDCl3

ABSTRACT

Rate constants for the reactions of C₂H₆, C₂H₅D and C₂D₆ with .CCl₃. for the production of CHCl₃ and CDCl₃ (k₁, k₂, k₃ and k₄) were computed using variational transition state theory coupled with hybrid-meta density functional theory (MPWB1K) over the temperature range of 200–2900 K. The ground-state vibrational adiabatic potential was plotted for all channels. Small- and large-curvature tunnelling were determined to include quantum effects in the calculation of rate constants. Harmonic vibrational frequencies along the reaction path were calculated in curvilinear coordinates with scaled frequencies. Anharmonicity was included in the lowest-frequency torsion. The position of formation and dissociation of bonds was specified using the variation in harmonic vibrational frequencies along the reaction path. Representative tunnelling energy and the thermally averaged transmission probability at 298 K (P(E)exp?( ? ΔE/RT)) were determined for the reactions in which tunnelling is important. The kinetic isotope effect was used to calculate the considerable contributions of tunnelling and vibration. The expressions for rate constants were determined using nonlinear least-square fitting over the temperature range of 200–2900 K.     

The atomic geometries of the ordered (2 × 2) and (√3 × √3)R30° phases of K, Rb, and Cs on Rh(111) in comparison with Ru(0001)

The local adsorption geometries of K, Rb and Cs in the (√3 × √3)R30° and (2 × 2) phases on a Rh(111) surface at coverages of 0.33 and 0.25 ML, respectively, are determined by analyzing LEED intensity data. For all (√3 × √3)R30° phases investigated, the three-fold hcp site is found. For the (2 × 2) overlayer, K remains in the hcp position, while Cs favors the on-top position. For the case of Rb-(2 × 2), LEED analysis suggests occupation of the unusual two-fold bridge site. Since LEED analysis of the Rb-(2 × 2) phase is not completely conclusive, additional experimental evidence is necessary to firmly establish this adsorption geometry.     

Analyzing Transverse Momentum Spectra of Pions,Kaons and Protons in p–p,p–A and A–A Collisions via the Blast-Wave Model with Fluctuations

The transverse momentum spectra of different types of particles, π±, K±, p and p¯, produced at mid-(pseudo)rapidity in different centrality lead–lead (Pb–Pb) collisions at 2.76 TeV; proton–lead (p–Pb) collisions at 5.02 TeV; xenon–xenon (Xe–Xe) collisions at 5.44 TeV; and proton–proton (p–p) collisions at 0.9, 2.76, 5.02, 7 and 13 TeV, were analyzed by the blast-wave model with fluctuations. With the experimental data measured by the ALICE and CMS Collaborations at the Large Hadron Collider (LHC), the kinetic freeze-out temperature, transverse flow velocity and proper time were extracted from fitting the transverse momentum spectra. In nucleus–nucleus (A–A) and proton–nucleus (p–A) collisions, the three parameters decrease with the decrease of event centrality from central to peripheral, indicating higher degrees of excitation, quicker expansion velocities and longer evolution times for central collisions. In p–p collisions, the kinetic freeze-out temperature is nearly invariant with the increase of energy, though the transverse flow velocity and proper time increase slightly, in the considered energy range.     

Investigations of the electron paramagnetic resonance parameters and the tetragonal local structure for (VCl6)4- coordination complex in MCl:V2+ (M=Na, K, Rb) systems

By simulating the electron paramagnetic resonance (EPR) and optical spectra on the basis of the 120×120 complete energy matrix, this paper determines the local lattice structure parameters R1 and R2 for MCl:V2+ (M=Na, K, Rb) systems at 77 K, 195 K and RT (room temperature 295 K or 302 K), respectively. The theoretical results indicate that there exists a compressed distortion in MCl:V2+ systems. Meanwhile, it finds that the structure parameters R1, R2 and |△R| (= R1-R2) increase with the rising temperature. Subsequently, from the analysis it concludes that the relation of EPR parameter D vs.△R is approximately linear. Finally, the effects of orbital reduction factor k on the g factors for the three systems have been discussed.     

Volumetric and viscometric study of molecular interactions in the mixtures of some secondary alcohols with equimolar mixture of ethanol and N,N-dimethylacetamide at 308.15 K

Densities and viscosities of mixtures of isopropanol, isobutanol and isoamylalcohol with equimolar mixture of ethanol and N,N-dimethylacetamide have been measured at 308.15 K over the entire composition range. Deviations in viscosity, excess molar volume and excess Gibb’s free energy of activation of viscous flow have been calculated from the experimental values of densities and viscosities. Excess properties have been fitted to the Redlich-Kister type polynomial equation and the corresponding standard deviations have been calculated. The experimental data of viscosity have been used to test the applicability of empirical relations of Grunberg-Nissan, Hind-McLaughlin, Katti-Chaudhary and Heric-Brewer for the systems studied. Molecular interactions in the liquid mixtures have been investigated in the light of variation of deviation and of excess values in evaluated properties.     

The differential interference angle of ^2∏[Case（a）] diatom on rotational energy transfer in NO（X^2∏） collision with He,Ne and Ar system

To study theoretically the relationship between the differential interference angle and the scattering angle in collisional quantum interference （CQI）, we have investigated the differential interference angle of the atom-diatomic [case（a）] molecule system in detail. For the 2∏ electronic state in Hund＇s case （a）, the degree of the differential interference is also discussed. The differential interference angles of NO（X^2∏） are calculated quantitatively for the rotational energy transfer in Hund＇s case （a） induced by collision with He, Ne and Ar atoms. The method to calculate the differential interference angle is presented. Several factors that affect the differential interference angle are investigated. Finally the variation of the differential interference angle with the impact parameter and relative velocity is discussed.