Search results for "Statistical physics"
showing 10 items of 1402 documents
Diffusive behavior and the modeling of characteristic times in limit order executions
2007
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution …
Mean Escape Time in a System with Stochastic Volatility
2007
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We investigate the statistical properties of the escape time of the returns, from a given interval, as a function of the three parameters of the model. We find that the noise can have a stabilizing effect on the system, as long as the global noise is not too high with respect to the effective potential barr…
From Continuous to Discontinuous Transitions in Social Diffusion
2018
Models of social diffusion reflect processes of how new products, ideas or behaviors are adopted in a population. These models typically lead to a continuous or a discontinuous phase transition of the number of adopters as a function of a control parameter. We explore a simple model of social adoption where the agents can be in two states, either adopters or non-adopters, and can switch between these two states interacting with other agents through a network. The probability of an agent to switch from non-adopter to adopter depends on the number of adopters in her network neighborhood, the adoption threshold $T$ and the adoption coefficient $a$, two parameters defining a Hill function. In c…
A Diffusive Strategic Dynamics for Social Systems
2010
We propose a model for the dynamics of a social system, which includes diffusive effects and a biased rule for spin-flips, reproducing the effect of strategic choices. This model is able to mimic some phenomena taking place during marketing or political campaigns. Using a cost function based on the Ising model defined on the typical quenched interaction environments for social systems (Erdos-Renyi graph, small-world and scale-free networks), we find, by numerical simulations, that a stable stationary state is reached, and we compare the final state to the one obtained with standard dynamics, by means of total magnetization and magnetic susceptibility. Our results show that the diffusive str…
A Phenomenological Operator Description of Dynamics of Crowds: Escape Strategies
2015
Abstract We adopt an operatorial method, based on creation, annihilation and number operators, to describe one or two populations mutually interacting and moving in a two-dimensional region. In particular, we discuss how the two populations, contained in a certain two-dimensional region with a non-trivial topology, react when some alarm occurs. We consider the cases of both low and high densities of the populations, and discuss what is changing as the strength of the interaction increases. We also analyze what happens when the region has either a single exit or two ways out.
Lorentzian-geometry-based analysis of airplane boarding policies highlights "slow passengers first" as better.
2019
We study airplane boarding in the limit of large number of passengers using geometric optics in a Lorentzian metric. The airplane boarding problem is naturally embedded in a 1+1 dimensional space-time with a flat Lorentzian metric. The duration of the boarding process can be calculated based on a representation of the one-dimensional queue of passengers attempting to reach their seats, into a two-dimensional space-time diagram. The ability of a passenger to delay other passengers depends on their queue positions and row designations. This is equivalent to the causal relationship between two events in space-time, whereas two passengers are time-like separated if one is blocking the other, an…
A new discretization for the polarizable continuum model within the domain decomposition paradigm
2016
International audience; We present a new algorithm to solve the polarizable continuum model equation in a framework compatible with the strategy previously developed by us for the conductor-like screening model based on Schwarz’s domain decomposition method (ddCOSMO). The new discretization is systematically improvable and is fully consistent with ddCOSMO so that it reproduces ddCOSMO results for large dielectric constants.
Temperature dependence of single chain properties in a binary polymer blend
1996
The temperature dependence of the correlation length of composition fluctuations and single chain statics and dynamics is studied in a symmetric, binary polymer blend. Our Monte Carlo simulation reveals a pronounced shrinking of the chain in the minority phase at low temperatures. However, only a weak temperature dependence of the single chain properties is found above criticality. Especially there is only a weak coupling between the correlation length of composition fluctuations and the relaxation of the internal chain structure. The coherent dynamic structure factor does not show any signs of a spatial restricted motion for our chain length N = 16, which is far below the entanglement leng…
Inter-Chain Structure Factors of Flexible Polymers in Solutions: A Monte Carlo Investigation
1997
Off-lattice Monte Carlo simulations of both the single chain structure factor h(q) and the inter-chain structure factor HD(q) of flexible polymers in solutions are presented over a wide range of both wavenumber q and concentration c from the dilute to the concentrated regime, for chain lengths up to N = 256. The single chain properties $\{$gyration radius 〈Rg2〉, $h(q)\}$ are in reasonable agreement with the expected theoretical behavior, showing a crossover from swollen chains $\{\langle R_{\rm g}^2\rangle \propto N^{2\nu} ,~ h(q) \propto q^{-1/\nu}\}$ to Gaussian chains, and the data comply with a scaling description, with a correlation length ξ∝c-ν/(3ν-1). However, the inter-chain structu…
$\texttt{HEPfit}$: a Code for the Combination of Indirect and Direct Constraints on High Energy Physics Models
2020
The European physical journal / C Particles and fields C80(5), 456 (2020). doi:10.1140/epjc/s10052-020-7904-z