Resonantly enhanced off-specular X-ray scattering from polymer/polymer interfaces<Superscript>⋆</Superscript>

We have used measurements of the absolute intensity of diffuse X-ray scattering to extract the interfacial tension of a buried polymer/polymer interface. Diffuse scattering was excited by an X-ray standing wave whose phase was adjusted to have a high intensity at the polymer/polymer interface and simultaneously a node at the polymer/air interface. This method permits the capillary-wave-induced roughness of the interface, and hence the interfacial tension, to be measured independently of the polymer/polymer interdiffusion.     

Radiative corrections with 5D mixed position-/momentum-space propagators

In higher dimensional field theories with compactified dimensions there are three standard ways to do perturbative calculations: (i) by the summation over Kaluza-Klein towers; (ii) by the summation over winding numbers making use of the Poisson-resummation formula; and (iii) by using mixed propagators, where the coordinates of the four infinite dimensions are Fourier-transformed to momentum space while those of the compactified dimension are kept in configuration space. The third method is broadly used in finite temperature field theory calculations. One of its advantages is that one can easily separate the ultraviolet divergent terms of the uncompactified theory from the non-local finite corrections arising from windings around the compact dimensions. In this note we demonstrate the use of this formalism by calculating one-loop self-energy corrections in a 5D theory formulated on the manifold and on the orbifold .     

The $-game

We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In contrast with previous MG, the best strategies are not always targeting the minority but are shifting opportunistically between the minority and the majority. The emergent properties of the price dynamics and of the wealth of agents are strikingly different from those found in MG. As the memory of agents is increased, we find a phase transition between a self-sustained speculative phase in which a “stubborn majority” of agents effectively collaborate to arbitrage a market-maker for their mutual benefit and a phase where the market-maker always arbitrages the agents. A subset of agents exhibit a sustained non-equilibrium risk-return profile. Received 5 June 2002 / Received in final form 21 November 2002 Published online 27 January 2003 RID="a" ID="a"e-mail: sornette@unice.fr RID="b" ID="b"CNRS UMR7536 RID="c" ID="c"CNRS UMR6622     

Adsorption of hydrophobic polyelectrolytes onto oppositely charged surfaces

We present a scaling theory for the adsorption of a weakly charged polyelectrolyte chain in a poor solvent onto an oppositely charged surface. Depending on the fraction of charged monomers and on the solvent quality for uncharged monomers, the globule in the bulk of the solution has either a spherical conformation or a necklace structure. At sufficiently high surface charge density, a chain in the globular conformation adsorbs in a flat pancake conformation due to the Coulombic attraction to the oppositely charged surface. Different adsorption regimes are predicted depending on two screening lengths (the Debye screening length monitored by the salt concentration and the Gouy-Chapman length monitored by the surface charge density), on the degree of ionization of the polymer and on the solvent strength. At low bulk ionic strength, an increase in the surface charge density may induce a transition from an adsorbed necklace structure to a uniform pancake due to the enhanced screening of the intra-chain Coulombic repulsion by the counterions localized near the surface. Received 12 April 2001     

Scale-free avalanches in the multifractal random walk

Avalanches, or Avalanche-like, events are often observed in the dynamical behaviour of many complex systems which span from solar flaring to the Earth's crust dynamics and from traffic flows to financial markets. Self-organized criticality (SOC) is one of the most popular theories able to explain this intermittent charge/discharge behaviour. Despite a large amount of theoretical work, empirical tests for SOC are still in their infancy. In the present paper we address the common problem of revealing SOC from a simple time series without having much information about the underlying system. As a working example we use a modified version of the multifractal random walk originally proposed as a model for the stock market dynamics. The study reveals, despite the lack of the typical ingredients of SOC, an avalanche-like dynamics similar to that of many physical systems. While, on one hand, the results confirm the relevance of cascade models in representing turbulent-like phenomena, on the other, they also raise the question about the current state of reliability of SOC inference from time series analysis.     

Exact solutions for network rewiring models

Evolving networks with a constant number of edges may be modelled using a rewiring process. These models are used to describe many real-world processes including the evolution of cultural artifacts such as family names, the evolution of gene variations, and the popularity of strategies in simple econophysics models such as the minority game. The model is closely related to Urn models used for glasses, quantum gravity and wealth distributions. The full mean field equation for the degree distribution is found and its exact solution and generating solution are given.     

Endogenous and exogenous dynamics in the fluctuations of capital fluxes

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out on the Chinese stock market using mean-variance analysis, fluctuation analysis, and their generalizations to higher orders. Non-universal dynamics have been found not only in the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σ^exo / σ^endo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent H_i increase in logarithmic form with the time scale Δt and the mean traded value per minute 〈f_i 〉, respectively. We find that the scaling exponent α^endo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.     

Accelerating universe in two-dimensional noncommutative dilaton cosmology

We show that the phase transition from the decelerating universe to the accelerating universe, which is of relevance to the cosmological coincidence problem, is possible in the semiclassically quantized two-dimensional dilaton gravity by taking into account the noncommutative field variables during the finite time. Initially, the quantum-mechanically induced energy from the noncommutativity among the fields makes the early universe decelerate and subsequently the universe is accelerating because the dilaton driven cosmology becomes dominant later.     

Downside Risk analysis applied to the Hedge Funds universe

Hedge Funds are considered as one of the portfolio management sectors which shows a fastest growing for the past decade. An optimal Hedge Fund management requires an appropriate risk metrics. The classic CAPM theory and its Ratio Sharpe fail to capture some crucial aspects due to the strong non-Gaussian character of Hedge Funds statistics. A possible way out to this problem while keeping the CAPM simplicity is the so-called Downside Risk analysis. One important benefit lies in distinguishing between good and bad returns, that is: returns greater or lower than investor's goal. We revisit most popular Downside Risk indicators and provide new analytical results on them. We compute these measures by taking the Credit Suisse/Tremont Investable Hedge Fund Index Data and with the Gaussian case as a benchmark. In this way, an unusual transversal lecture of the existing Downside Risk measures is provided.     

Fluctuations in time intervals of financial data from the view point of the Gini index

We propose an approach to explain fluctuations in time intervals of financial markets data from the view-point of the Gini index. We show the explicit form of the Gini index for a Weibull distribution: A good candidate to describe the first passage time of foreign exchange rate. The analytical expression of the Gini index compares well with the value obtained from empirical data.