Critical comparison of several order-book models for stock-market fluctuations

Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel orders placed on a price axis in the order book. We revisit some modifications of well-known models, starting with the Bak-Paczuski-Shubik model. We look at the four decades old Stigler model and investigate its variants. One of them is the simplified version of the Genoa artificial market. The list of studied models is completed by the models of Maslov and Daniels et al. Generically, in all cases we compare the return distribution, absolute return autocorrelation and the value of the Hurst exponent. It turns out that none of the models reproduces satisfactorily all the empirical data, but the most promising candidates for further development are the Genoa artificial market and the Maslov model with moderate order evaporation.     

Phase diagram of the 3D bimodal random-field Ising model

The one-parametric Wang-Landau (WL) method is implemented together with an extrapolation scheme to yield approximations of the two-dimensional (exchange-energy, field-energy) density of states (DOS) of the 3D bimodal random-field Ising model (RFIM). The present approach generalizes our earlier WL implementations, by handling the final stage of the WL process as an entropic sampling scheme, appropriate for the recording of the required two-parametric histograms. We test the accuracy of the proposed extrapolation scheme and then apply it to study the size-shift behavior of the phase diagram of the 3D bimodal RFIM. We present a finite-size converging approach and a well-behaved sequence of estimates for the critical disorder strength. Their asymptotic shift-behavior yields the critical disorder strength and the associated correlation length's exponent, in agreement with previous estimates from ground-state studies of the model.     

Hierarchical ferromagnetic vector spin model possessing the Lee-Yang property. Thermodynamic limit at the critical point and above

The hierarchical ferromagneticN-dimensional vector spin model as a sequence of probability measures onR ^N is considered. The starting element of this sequence is chosen to belong to the Lee-Yang class of measures that is defined in the paper and includes most known examples (⁴ measures, Gaussian measures, and so on). For this model, we probe two thermodynamic limit theorems. One of them is just the classical central limit theorem for weakly dependent random vectors. It describes the convergence of classically normed sums of spins when temperature is sufficiently high. The other theorem describes the convergence of more than normally normed sums that holds for some fixed temperature. It corresponds to the strong dependence of spins, which appears at the critical point of the model.     

The Micro-Canonical Point Vortex Ensemble: Beyond Equivalence

The fluid limit N is constructed for a sequence of ensembles of N classical point vortices in a finite domain ² whose ensemble densities (w.r.t. Liouville measure) are Gaussian approximations to (E-H). Letting the variance 0 after N has been taken, one recovers the special class of nonlinear stationary Euler flows that is expected from the micro-canonical ensemble. The construction improves over previous ones which either had to regularize the logarithmic singularities of the point vortex Hamiltonian or had to assume equivalence of ensembles. In particular, nonequivalence between micro-canonical and canonical ensemble prevails for certain geometries where conditionally stable configurations with negative 'global vortex pair-specific heat' can and do exist in the micro-canonical but not in the canonical ensemble.     

Aging dynamics of Edwards-Anderson spin glasses

We analyze by means of extensive computer simulations the out of equilibrium dynamics of Edwards-Anderson spin glasses in d = 4 and d = 6 dimensions with ± J interactions. In particular, we focus our analysis on the scaling properties of the two-time autocorrelation function in a wide range of temperatures from T = 0.07 T _c to T = 0.75 T _c in both systems. In both the 4 d and 6 d models at very low temperatures we study the effects of discretization of energy levels. Strong sub-aging behaviors are found. We argue that this is because in the times accessible to our simulations the systems are only able to probe activated dynamics through the lowest discrete energy levels and remain trapped around nearly flat regions of the energy landscape. For temperatures T ≥ 0.5 T _c in 4 d and 6 d we find logarithmic scalings that are compatible with simple dynamical ultrametricity. Nevertheless the behaviour of the systems, even in 6 d is very different from the mean field SK model results. Received 21 October 2002 / Received in final form 13 January 2003 Published online 11 April 2003 RID="a" ID="a"Associate researcher of the Abdus Salam International Centre for Theoretical Physics; e-mail: stariolo@if.ufrgs.br; http://www.if.ufrgs.br/stariolo RID="b" ID="b"Present address: The Abdus Salam International Centre for Theoretical Physics, Strada Costiera 11, 34014 Trieste, Italy e-mail: mmontemu@ictp.trieste.it RID="c" ID="c"e-mail: tamarit@famaf.unc.edu.ar     

Shift-tolerance Property of Optical Security System using Phase-based Virtual Image

The shift-tolerance property of the encrypted image or the Fourier decrypting key in the Fourier space is proposed based on a phase-encoded virtual image. The encrypted data is obtained by the Fourier transform of the product of a phase-encoded virtual image to camouflage the original one and a random phase image. Therefore, even if unauthorized users analyze the encrypted image, they cannot reconstruct the required image. This virtual image protects the original one from being counterfeited and from unauthorized access. We demonstrate the robustness to data loss and shift of the encrypted data or the Fourier decrypting key in the proposed decryption technique using an interferometer.     

Measuring a colloidal particle's interaction with a flat surface under nonequilibrium conditions

A new and general approach is proposed to analyze the dynamics of a colloidal particle interacting with a nearby wall. This analysis can be used to determine the acting forces even when the system is non-stationary. As an illustration, we use total internal reflection microscopy to investigate the forces acting on a polystyrene sulfate latex particle as it is receding from a charged glass surface. Received 10 October 2002 Published online: 16 April 2003 RID="a" ID="a"Present address: Department of Polymer Physics, BASF Aktiengesellschaft, 67056 Ludwigshafen, Germany RID="b" ID="b"Present address: Arryx. Inc., Chicago, IL 60601, USA     

Initial incorporation of sulfur into the Pd(1 1 1) surface: A theoretical study

Density functional theory is used to investigate the initial inclusion of sulfur into the subsurface interstitial sites of Pd(1 1 1) surface. Pure subsurface adsorption is found to be less energetically favorable than on-surface adsorption. The incorporation of sulfur into the metal becomes more favorable than continuous adsorption on the surface after a critical on-surface sulfur coverage. We find subsurface sulfur occupation to be energetically favorable after adsorption of more than half a monolayer on the surface. Occupation of subsurface sites induces a pronounced structural distortion of the Pd(1 1 1) surface. We find significant expansion of interplanar spacing between the uppermost surface metal layers and rearrangement of the S overlayer. The interplay between the energy cost due to structural distortion of Pd(1 1 1) and the energy gain due to bond formation for different structures is discussed.     

针孔辅助点投影诊断方法实验研究

针孔辅助点投影背光成像是近几年国外新兴的等离子体诊断技术,在惯性约束聚变相关物理实验诊断中具有重要的应用前景.为验证这一诊断方法的实用性,在神光Ⅱ第九路平台上开展了演示实验.利用激光驱动平面Ti靶获得约4.7 keV的Ti K壳层X射线,在十几微米的针孔约束下作为次级点源并对Au栅格样品投影成像,并用CCD记录.实验成功获得了清晰的样品二维空间分辨的时间积分图像,空间分辨力优于16.1 μm.实验结果表明针孔辅助点投影具有较高的空间分辨力、较大的视场、较高的图像对比度,将成为瑞利泰勒不稳定性研究、激光状态方程研究等物理实验的重要诊断方法之一.