Search results for "statistical [methods]"
showing 10 items of 1664 documents
Ab initioquality neural-network potential for sodium
2010
An interatomic potential for high-pressure high-temperature (HPHT) crystalline and liquid phases of sodium is created using a neural-network (NN) representation of the ab initio potential energy surface. It is demonstrated that the NN potential provides an ab initio quality description of multiple properties of liquid sodium and bcc, fcc, cI16 crystal phases in the P-T region up to 120 GPa and 1200 K. The unique combination of computational efficiency of the NN potential and its ability to reproduce quantitatively experimental properties of sodium in the wide P-T range enables molecular dynamics simulations of physicochemical processes in HPHT sodium of unprecedented quality.
A tool for filtering information in complex systems
2005
We introduce a technique to filter out complex data-sets by extracting a subgraph of representative links. Such a filtering can be tuned up to any desired level by controlling the genus of the resulting graph. We show that this technique is especially suitable for correlation based graphs giving filtered graphs which preserve the hierarchical organization of the minimum spanning tree but containing a larger amount of information in their internal structure. In particular in the case of planar filtered graphs (genus equal to 0) triangular loops and 4 element cliques are formed. The application of this filtering procedure to 100 stocks in the USA equity markets shows that such loops and cliqu…
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
2011
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…
Scaling and data collapse for the mean exit time of asset prices
2005
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …
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…
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…
The Boltzmann Probability as a Unifying Approach to Different Phenomena
2010
We discuss a pedagogical approach to the role of the Boltzmann probability in describing the temperature dependence of three simple experimental situations. The approach has been experimented in an introductory course on statistical mechanics for undergraduate engineering students at University of Palermo.
Problems of Clustering of Radiogalaxies
2012
We present the preliminary analysis of clustering of a sample of 1157 radio-identified galaxies from Machalski & Condon (1999). We found that for separations $2-15 h^{-1}$Mpc their redshift space autocorrelation function $\xi(s)$ can be approximated by the power law with the correlation length $\sim 3.75h^{-1}$Mpc and slope $\gamma \sim 1.8$. The correlation length for radiogalaxies is found to be lower and the slope steeper than the corresponding parameters of the control sample of optically observed galaxies. Analysis the projected correlation function $\Xi(r)$ displays possible differences in the clustering properties between active galactic nuclei (AGN) and starburst (SB) galaxies.
Excitation levels and magic numbers of small parahydrogen clusters (N⩽40)
2008
The excitation energies of parahydrogen clusters have been systematically calculated by the diffusion Monte Carlo technique in steps of one molecule from 3 to 40 molecules. These clusters possess a very rich spectra, with angular momentum excitations arriving up to L=13 for the heavier ones. No regular pattern can be guessed in terms of the angular momenta and the size of the cluster. Clusters with N=13 and 36 are characterized by a peak in the chemical potential and a large energy gap of the first excited level, which indicate the magical character of these clusters. From the calculated excitation energies the partition function has been obtained, thus allowing for an estimate of thermal e…
Investigation of the orientation of galaxies in clusters: the importance, methods and results of research
2018
Various models of structure formation can account for various aspects of the galaxy formation process on different scales, as well as for various observational features of structures. Thus, the investigation of galaxies orientation constitute a standard test of galaxies formation scenarios since observed variations in angular momentum represent fundamental constraints for any model of galaxy formation. We have improved the method of analysis of the alignment of galaxies in clusters. Now, the method allowed analysis both position angles of galaxy major axes and two angles describing the spatial orientation of galaxies. The distributions of analyzed angles were tested for isotropy by applying…