We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all
four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronge related to the presence of high values of returns in the series.
Message passing algorithms have proved surprisingly successful in solving hard constraint satisfaction problems on sparse random graphs. In such applications, variables are fixed sequentially to satisfy the constraints. Message passing is run after e
ach step. Its outcome provides an heuristic to make choices at next step. This approach has been referred to as `decimation, with reference to analogous procedures in statistical physics. The behavior of decimation procedures is poorly understood. Here we consider a simple randomized decimation algorithm based on belief propagation (BP), and analyze its behavior on random k-satisfiability formulae. In particular, we propose a tree model for its analysis and we conjecture that it provides asymptotically exact predictions in the limit of large instances. This conjecture is confirmed by numerical simulations.
General conservation equations are derived for 2D dense granular flows from the Euler equation within the Boussinesq approximation. In steady flows, the 2D fields of granular temperature, vorticity and stream function are shown to be encoded in two s
calar functions only. We checked such prediction on steady surface flows in a rotating drum simulated through the Non-Smooth Contact Dynamics method. This result is non trivial because granular flows are dissipative and therefore not necessarily compatible with Euler equation. Finally, we briefly discuss some possible ways to predict theoretically these two functions using statistical mechanics.
We consider single particle Schrodinger operators with a gap in the en ergy spectrum. We construct a complete, orthonormal basis function set for the inv ariant space corresponding to the spectrum below the spectral gap, which are exponentially local
ized a round a set of closed surfaces of monotonically increasing sizes. Estimates on the exponential dec ay rate and a discussion of the geometry of these surfaces is included.
Disordered biopolymer gels have striking mechanical properties including strong nonlinearities. In the case of athermal gels (such as collagen-I) the nonlinearity has long been associated with a crossover from a bending dominated to a stretching domi
nated regime of elasticity. The physics of this crossover is related to the existence of a central-force isostatic point and to the fact that for most gels the bending modulus is small. This crossover induces scaling behavior for the elastic moduli. In particular, for linear elasticity such a scaling law has been demonstrated [Broedersz et al. Nature Physics, 2011 7, 983]. In this work we generalize the scaling to the nonlinear regime with a two-parameter scaling law involving three critical exponents. We test the scaling law numerically for two disordered lattice models, and find a good scaling collapse for the shear modulus in both the linear and nonlinear regimes. We compute all the critical exponents for the two lattice models and discuss the applicability of our results to real systems.
The motion of self-propelled particles is modeled as a persistent random walk. An analytical framework is developed that allows the derivation of exact expressions for the time evolution of arbitrary moments of the persistent walks displacement. It i
s shown that the interplay of step length and turning angle distributions and self-propulsion produces various signs of anomalous diffusion at short time scales and asymptotically a normal diffusion behavior with a broad range of diffusion coefficients. The crossover from the anomalous short time behavior to the asymptotic diffusion regime is studied and the parameter dependencies of the crossover time are discussed. Higher moments of the displacement distribution are calculated and analytical expressions for the time evolution of the skewness and the kurtosis of the distribution are presented.
We describe several results concerning global quantum quenches from states with short-range correlations to quantum critical points whose low-energy properties are described by a 1+1-dimensional conformal field theory (CFT), extending the work of Cal
abrese and Cardy (2006): (a) for the special class of initial states discussed in that paper we show that, once a finite region falls inside the horizon, its reduced density matrix is exponentially close in $L_2$ norm to that of a thermal Gibbs state; (b) small deformations of this initial state in general lead to a (non-Abelian) generalized Gibbs distribution (GGE) with, however, the possibility of parafermionic conserved charges; (c) small deformations of the CFT, corresponding to curvature of the dispersion relation and (non-integrable) left-right scattering, lead to a dependence of the speed of propagation on the initial state, as well as diffusive broadening of the horizon.
The secular evolution of an infinitely thin tepid isolated galactic disc made of a finite number of particles is investigated using the inhomogeneous Balescu-Lenard equation expressed in terms of angle-action variables. The matrix method is implement
ed numerically in order to model the induced gravitational polarization. Special care is taken to account for the amplification of potential fluctuations of mutually resonant orbits and the unwinding of the induced swing amplified transients. Quantitative comparisons with ${N-}$body simulations yield consistent scalings with the number of particles and with the self-gravity of the disc: the fewer particles and the colder the disc, the faster the secular evolution. Secular evolution is driven by resonances, but does not depend on the initial phases of the disc. For a Mestel disc with ${Q sim 1.5}$, the polarization cloud around each star boosts up its secular effect by a factor of the order of a thousand or more, promoting accordingly the dynamical relevance of self-induced collisional secular evolution. The position and shape of the induced resonant ridge are found to be in very good agreement with the prediction of the Balescu-Lenard equation, which scales with the square of the susceptibility of the disc. In astrophysics, the inhomogeneous Balescu-Lenard equation may describe the secular diffusion of giant molecular clouds in galactic discs, the secular migration and segregation of planetesimals in proto-planetary discs, or even the long-term evolution of population of stars within the Galactic centre. It could be used as a valuable check of the accuracy of ${N-}$body integrators over secular timescales.
This work presents new parallelizable numerical schemes for the integration of Dissipative Particle Dynamics with Energy conservation (DPDE). So far, no numerical scheme introduced in the literature is able to correctly preserve the energy over long
times and give rise to small errors on average properties for moderately small timesteps, while being straightforwardly parallelizable. We present in this article two new methods, both straightforwardly parallelizable, allowing to correctly preserve the total energy of the system. We illustrate the accuracy and performance of these new schemes both on equilibrium and nonequilibrium parallel simulations.
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion, as they s
how multi-scaling, high Hurst exponents and sharp price movements. We use the generalized Hurst exponent (GHE, $H(q)$) to show that although these time-series have strong cyclical components, the fluctuations exhibit persistent behaviour, i.e., $H(q)>0.5$. We investigate the effectiveness of the GHE as a predictive tool in a simple linear forecasting model, and study the forecast error as a function of $H(q)$, with $q=1$ and $q=2$. Our results suggest that the GHE can be used as prediction tool for these time series when the Hurst exponent is dynamically evaluated on rolling time windows of size $approx 50 - 100$ hours. These results are also compared to the case in which the cyclical components have been subtracted from the time series, showing the importance of cyclicality in the prediction power of the Hurst exponent.
