Search results for "Statistical Mechanic"
showing 10 items of 707 documents
Thermodynamics and Structure of Plate-Like Particle Dispersions
2012
A considerable amount of mineral particles are found to have a plate-like shape. The work in this thesis concerns theoretical investigations, using a Monte Carlo method, of the properties of such particles in aqueous solutions. The objectives were first to create a model that could capture the essential physics of clay suspensions and also to understand the role of thermodynamics in certain chemical processes. For all investigations, the results are related to experimental studies. The acid-base behavior of clays have been studied, using the primitive model, and an excellent agreement between simulated and experimental results was found. The formation of gel phases as a function of the char…
Topology of correlation-based minimal spanning trees in real and model markets
2003
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the one-factor model.
Suppression of the speckle noise in solid polymer samples: a light scattering study
1994
The speckle effect disturbs the measurement of spatial correlation functions in solid polymer samples by light scattering. To be able to extract the desired correlations from the measurements, the speckle noise must be suppressed. This is possible by moving the sample during the measurement. In this paper we demonstrate that a sufficient reduction of speckle contrast can be achieved even in samples of restricted dimensions or with a preferential direction.
Performance potential for simulating spin models on GPU
2012
Graphics processing units (GPUs) are recently being used to an increasing degree for general computational purposes. This development is motivated by their theoretical peak performance, which significantly exceeds that of broadly available CPUs. For practical purposes, however, it is far from clear how much of this theoretical performance can be realized in actual scientific applications. As is discussed here for the case of studying classical spin models of statistical mechanics by Monte Carlo simulations, only an explicit tailoring of the involved algorithms to the specific architecture under consideration allows to harvest the computational power of GPU systems. A number of examples, ran…
Non-Equilibrium Markov State Modeling of the Globule-Stretch Transition
2016
We describe a systematic approach to construct coarse-grained Markov state models from molecular dynamics data of systems driven into a nonequilibrium steady state. We apply this method to study the globule-stretch transition of a single tethered model polymer in shear flow. The folding and unfolding rates of the coarse-grained model agree with the original detailed model. We demonstrate that the folding and unfolding proceeds through the same narrow region of configuration space but along different cycles.
Statistical correlation of fractional oscillator response by complex spectral moments and state variable expansion
2016
Abstract The statistical characterization of the oscillator response with non-integer order damping under Gaussian noise represents an important challenge in the modern stochastic mechanics. In fact, this kind of problem appears in several issues of different type (wave propagation in viscoelastic media, Brownian motion, fluid dynamics, RLC circuit, etc.). The aim of this paper is to provide a stochastic characterization of the stationary response of linear fractional oscillator forced by normal white noise. In particular, this paper shows a new method to obtain the correlation function by exact complex spectral moments. These complex quantities contain all the information to describe the r…
Networks of equities in financial markets
2004
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Hierarchical Structure in Financial Markets
1998
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of sto…
Taxonomy of stock market indices
2000
We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of returns and by using a reference currency we find a meaningful taxonomy. The detection of such a taxonomy proves that interpretable information can be stored in a set of nonsynchronously recorded time series.
Power-law relaxation in a complex system: Omori law after a financial market crash
2003
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected threshold (a behavior known as the Omori law in geophysics) is consistent with the simultaneous occurrence of (i) a return probability density function characterized by a power law asymptotic behavior and (ii) a power law relaxation decay of its typical scale. Our empirical observation cannot be explained within the framework of simple and widespread stochastic volatility models.