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A reflexive toy-model for financial market

Palatella, Luigi - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 2, pp. 315-322

We propose a reflexive toy model for market dynamics, based on the idea that existing reflexive loops are generated by the conviction, shared by many market operators, that a certain price follows a certain model. Their trading behaviour will therefore increase the probability that the model...

Persistent link: https://www.econbiz.de/10010873097

Statistical properties of turbidity, oxygen and pH fluctuations in the Seine river estuary (France)

Schmitt, François G.; Dur, Gael; Souissi, Sami; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 26, pp. 6613-6623

We consider here, the fluctuations of turbidity, oxygen and pH time series recorded from the MAREL system (Ifremer, France), which is based on the deployment of data buoys equipped with water analysis capabilities in an automated mode. We perform a spectral analysis (from 10 min to years) of...

Persistent link: https://www.econbiz.de/10010873901

Stress fluctuations in monodisperse and bidisperse rapid granular shear flows

Jalali, Payman; Ritvanen, Jouni; Sarkomaa, Pertti - In: Physica A: Statistical Mechanics and its Applications 369 (2006) 2, pp. 535-544

Local stress fluctuations are measured in annular rapid shear flows of granular medium made of steel spheres with 2 and 3mm in diameter. Both monodisperse packing and bidisperse packing are investigated to reveal the influence of size diversity on intermittent features of granular materials....

Persistent link: https://www.econbiz.de/10010874065

Turbulence in compressible flows

Porter, David; Pouquet, Annick; Sytine, Igor; Woodward, Paul - In: Physica A: Statistical Mechanics and its Applications 263 (1999) 1, pp. 263-270

Results stemming from a series of high-resolution three-dimensional computations using the PPM code [28] are reviewed, both for decaying and for driven supersonic turbulence at a r.m.s. Mach number of unity. A comparison with Navier-Stokes runs is provided for the first time in three dimensions....

Persistent link: https://www.econbiz.de/10010874230

The renormalization group and optimization of non-extensive entropy: criticality in non-linear one-dimensional maps

Robledo, A - In: Physica A: Statistical Mechanics and its Applications 314 (2002) 1, pp. 437-441

We examine the pitchfork and tangent bifurcations in unimodal maps to illustrate a connection between renormalization group (RG) fixed points and entropy extremal properties. We observe that the exact RG solution for the tangent bifurcation is also applicable to the period-doubling cascade and...

Persistent link: https://www.econbiz.de/10010588721

Multifractal structure of the dissipation field of intensity fluctuations in the solar photosphere

Lepreti, F; Carbone, V; Pietropaolo, E; Consolini, G; … - In: Physica A: Statistical Mechanics and its Applications 280 (2000) 1, pp. 87-91

We investigate the scaling properties of the photospheric intensity field, using images acquired at the THEMIS telescope with the Italian Panoramic Monochromator. After calculating the power spectrum of the continuum intensity fluctuations, we analyze the scaling laws of the dissipation field...

Persistent link: https://www.econbiz.de/10010589198

Sum of positive Lyapunov exponents for Kuramoto–Sivashinsky equation

Shibata, Hiroshi - In: Physica A: Statistical Mechanics and its Applications 299 (2001) 3, pp. 405-411

Lyapunov exponents for Kuramoto–Sivashinsky equation is studied. Its time series behaves like the on–off intermittency. They … intermittency-like. …

Persistent link: https://www.econbiz.de/10010589200

Stochastic sensitivity analysis of noise-induced intermittency and transition to chaos in one-dimensional discrete-time systems

Bashkirtseva, Irina; Ryashko, Lev - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 2, pp. 295-306

We study a phenomenon of noise-induced intermittency for the stochastically forced one-dimensional discrete-time system … noises generate large-amplitude chaotic oscillations and intermittency. We show that this phenomenon can be explained by a … threshold corresponding to the onset of noise-induced intermittency is found. On the basis of our approach, a parametrical …

Persistent link: https://www.econbiz.de/10010589509

Multifractal PDF analysis for intermittent systems

Arimitsu, T.; Arimitsu, N. - In: Physica A: Statistical Mechanics and its Applications 365 (2006) 1, pp. 190-196

experimental situation gives a new route to obtain the scaling exponents of velocity structure function, including intermittency …

Persistent link: https://www.econbiz.de/10010589697

Fine structure in the scaling of type-I intermittency bifurcations

S. Cavalcante, Hugo L.D. de; Leite, J.R. Rios - In: Physica A: Statistical Mechanics and its Applications 342 (2004) 1, pp. 356-362

Tangent bifurcations in maps with type-I intermittency have been studied numerically and oscillations in the …

Persistent link: https://www.econbiz.de/10010590473