Triangular arbitrage as an interaction among foreign exchange rates

We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen–dollar rate, the dollar–euro rate and the yen–euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular arbitrage transactions as an interaction among three rates. The model explains the actual data of the multiple foreign exchange rates well.     

Dynamics of bound vector solitons induced by stochastic perturbations: Soliton breakup and soliton switching

We respectively investigate breakup and switching of the Manakov-typed bound vector solitons (BVSs) induced by two types of stochastic perturbations: the homogenous and nonhomogenous. Symmetry-recovering is discovered for the asymmetrical homogenous case, while soliton switching is found to relate with the perturbation amplitude and soliton coherence. Simulations show that soliton switching in the circularly-polarized light system is much weaker than that in the Manakov and linearly-polarized systems. In addition, the homogenous perturbations can enhance the soliton switching in both of the Manakov and non-integrable (linearly- and circularly-polarized) systems. Our results might be helpful in interpreting dynamics of the BVSs with stochastic noises in nonlinear optics or with stochastic quantum fluctuations in Bose–Einstein condensates.     

Computer simulation of low-energy displacement events in pure HCP metals

Abstract

Molecular dynamics simulations of low-energy atomic recoils have been carried out for α-Ti (HCP) with a view to investigating the displacement threshold energy, E_d, in detail. These have been undertaken at 0 K and 100 K, using a many-body interatomic potential modified to reflect the dominant two-body interaction at short range. This is the first systematic study of atomic displacement events in the HCP structure using such a potential. The mechanisms of these threshold events have been investigated and the strong orientation dependence of the threshold energy has been interpreted in terms of the HCP crystal structure. Also, a correlation has been found between the magnitude of the threshold displacement energy and the maximum number of atoms temporarily displaced into interstitial positions during a cascade.     

Non-equilibrium stochastic model for stock exchange market

We study the effect of the topology of industrial relationship (IR) between the companies in a stock exchange market on the universal features in the market. For this we propose a stochastic model for stock exchange markets based on the behavior of technical traders. From the numerical simulations we measure the return distribution, P(R)$P\left(R\right)$, and the autocorrelation function of the volatility, C(T)$C\left(T\right)$, and find that the observed universal features in real financial markets are originated from the heterogeneity of IR network topology. Moreover, the heterogeneous IR topology can also explain Zipf–Pareto’s law for the distribution of market value of equity in the real stock exchange markets.     

Auxiliary field loop expansion of the effective action for a class of stochastic partial differential equations

We present an alternative to the perturbative (in coupling constant) diagrammatic approach for studying stochastic dynamics of a class of reaction diffusion systems. Our approach is based on an auxiliary field loop expansion for the path integral representation for the generating functional of the noise induced correlation functions of the fields describing these systems. The systems we consider include Langevin systems describable by the set of self interacting classical fields ?_i(x,t)${?}_i(x,t)$ in the presence of external noise η_i(x,t)${\eta }_i(x,t)$, namely (∂_t−ν∇²)?−F[?]=η$({\partial }_t-\nu {\nabla }^2)?-F\left[?\right]=\eta$, as well as chemical reaction annihilation processes obtained by applying the many-body approach of Doi–Peliti to the Master Equation formulation of these problems. We consider two different effective actions, one based on the Onsager–Machlup (OM) approach, and the other due to Janssen–deGenneris based on the Martin–Siggia–Rose (MSR) response function approach. For the simple models we consider, we determine an analytic expression for the Energy landscape (effective potential) in both formalisms and show how to obtain the more physical effective potential of the Onsager–Machlup approach from the MSR effective potential in leading order in the auxiliary field loop expansion. For the KPZ equation we find that our approximation, which is non-perturbative and obeys broken symmetry Ward identities, does not lead to the appearance of a fluctuation induced symmetry breakdown. This contradicts the results of earlier studies.     

Unconventional Coding Technique Applied to Multi-Level Polarization Modulation

A new technique is proposed to improve information confidentiality in optical-fiber communications without bandwidth consumption. A pseudorandom vectorial sequence was generated by a dynamic system algorithm and used to codify a multi-level polarization modulation based on the Stokes vector. Optical-fiber birefringence, usually considered as a disturbance, was exploited to obfuscate the signal transmission. At the receiver end, the same pseudorandom sequence was generated and used to decode the multi-level polarization modulated signal. The proposed scheme, working at the physical layer, provides strong information security without introducing complex processing and thus latency.     

Constructive influence of noise-flatness in correlation ratchets

The influence of noise-flatness on overdamped motion of Brownian particles in a 1D periodic system with a simple sawtooth potential subjected to both unbiased thermal noise and three-level telegraph noise is considered. The exact formula for the stationary probability flux (current) is presented. The phenomenon of multiple current reversals and some topological properties of the hypersurface of zero current in the parameter space of noises are investigated and illustrated by phase diagrams. The conditions for the existence of four current reversals versus the switching rate of nonequilibrium noise are given. An alternative interpretation of the results in terms of cross-correlation between two dichotomous noises is presented.     

Segregation effect in symmetric cellular automata model for two-lane mixed traffic

Segregation effects commonly exist in granular mixtures with difference in size, shape or density. In mixed traffic flow, slow vehicle and fast vehicle, as two types of particles, have different desired speed. We investigate the segregation along the road in mixed traffic flow by using a symmetric two-lane cellular automata model. A parameter D, which quantifies the degree of segregation, is defined. We study the density dependency of the parameter at different randomization probability. Simulation results show that segregation is more obviously in free flow region. We argue that the overtaking maneuvers have similar effect as percolation in granular flow.     

The impact of competing time delays in coupled stochastic systems

We study the impact of competing time delays in coupled stochastic synchronization and coordination problems. We consider two types of delays: transmission delays between interacting elements and processing, cognitive, or execution delays at each element. We establish the scaling theory for the phase boundary of synchronization and for the steady-state fluctuations in the synchronizable regime. Further, we provide the asymptotic behavior near the boundary of the synchronizable regime. Our results also imply the potential for optimization and trade-offs in synchronization problems with time delays.     

Fluctuations induced extinction and stochastic resonance effect in a model of tumor growth with periodic treatment

We investigate a stochastic model of tumor growth derived from the catalytic Michaelis-Menten reaction with positional and environmental fluctuations under subthreshold periodic treatment. Firstly, the influences of environmental fluctuations on the treatable stage are analyzed numerically. Applying the standard theory of stochastic resonance derived from the two-state approach, we derive the signal-to-noise ratio (SNR) analytically, which is used to measure the stochastic resonance phenomenon. It is found that the weak environmental fluctuations could induce the extinction of tumor cells in the subthreshold periodic treatment. The positional stability is better in favor of the treatment of the tumor cells. Besides, the appropriate and feasible treatment intensity and the treatment cycle should be highlighted considered in the treatment of tumor cells.