Search results for "Condensed Matter - Statistical Mechanics"
showing 10 items of 508 documents
On the origin of power law tails in price fluctuations
2003
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the response of prices to transactions. They argue that the average market impact function follows a square root law, which gives power law tails for prices with exponent roughly -3. We demonstrate that the long-memory nature of order flow invalidates their statistical analysis of market impact, and present a more careful analysis that properly takes this into account. This makes i…
Using the Scaling Analysis to Characterize Financial Markets
2003
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets.
Ensemble properties of securities traded in the NASDAQ market
2001
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained for the NYSE market, we find that the second moment is a long-range correlated variable. We compare time-averaged and ensemble-averaged price returns and we show that the two averaging procedures lead to different statistical results.
Levels of complexity in financial markets
2001
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.
Orbital Rotations induced by Charges of Polarons and Defects in Doped Vanadates
2020
We explore the competiton of doped holes and defects that leads to the loss of orbital order in vanadate perovskites. In compounds such as La$_{1-{\sf x}}$Ca$_{\,\sf x}$VO$_3$ spin and orbital order result from super-exchange interactions described by an extended three-orbital degenerate Hubbard-Hund model for the vanadium $t_{2g}$ electrons. Long-range Coulomb potentials of charged Ca$^{2+}$ defects and $e$-$e$ interactions control the emergence of defect states inside the Mott gap. The quadrupolar components of the Coulomb fields of doped holes induce anisotropic orbital rotations of degenerate orbitals. These rotations modify the spin-orbital polaron clouds and compete with orbital rotat…
Faraday patterns in bose-Einstein condensates.
2002
Temporal periodic modulation of the interatomic s-wave scattering length in Bose-Einstein condensates is shown to excite subharmonic patterns of atom density through a parametric resonance. The dominating wavelength of the spatial structures is shown to be primarily selected by the excitation frequency but also affected by the depth of the spatial modulation via a nonlinear resonance. These phenomena represent macroscopic quantum analogues of the Faraday waves excited in vertically shaken liquids.
Defects, Disorder, and Strong Electron Correlations in Orbital Degenerate, Doped Mott Insulators.
2015
We elucidate the effects of defect disorder and $e$-$e$ interaction on the spectral density of the defect states emerging in the Mott-Hubbard gap of doped transition-metal oxides, such as Y$_{1-x}$Ca$_{x}$VO$_{3}$. A soft gap of kinetic origin develops in the defect band and survives defect disorder for $e$-$e$ interaction strengths comparable to the defect potential and hopping integral values above a doping dependent threshold, otherwise only a pseudogap persists. These two regimes naturally emerge in the statistical distribution of gaps among different defect realizations, which turns out to be of Weibull type. Its shape parameter $k$ determines the exponent of the power-law dependence o…
Universal aspects in the behavior of the entanglement spectrum in one dimension: Scaling transition at the factorization point and ordered entangled …
2013
We investigate the scaling of the entanglement spectrum and of the R\'enyi block entropies and determine its universal aspects in the ground state of critical and noncritical one-dimensional quantum spin models. In all cases, the scaling exhibits an oscillatory behavior that terminates at the factorization point and whose frequency is universal. Parity effects in the scaling of the R\'enyi entropies for gapless models at zero field are thus shown to be a particular case of such universal behavior. Likewise, the absence of oscillations for the Ising chain in transverse field is due to the vanishing value of the factorizing field for this particular model. In general, the transition occurring…
Pairing gap and in-gap excitations in trapped fermionic superfluids
2004
We consider trapped atomic Fermi gases with Feshbach-resonance enhanced interactions in pseudogap and superfluid temperatures. We calculate the spectrum of RF(or laser)-excitations for transitions that transfer atoms out of the superfluid state. The spectrum displays the pairing gap and also the contribution of unpaired atoms, i.e. in-gap excitations. The results support the conclusion that a superfluid, where pairing is a many-body effect, was observed in recent experiments on RF spectroscopy of the pairing gap.
How markets slowly digest changes in supply and demand
2008
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. We review a body of theory that makes detailed quantitative pr…