Search results for "statistical"
showing 10 items of 4960 documents
New insights into electron spin dynamics in the presence of correlated noise
2011
The changes of the spin depolarization length in zinc-blende semiconductors when an external component of correlated noise is added to a static driving electric field are analyzed for different values of field strength, noise amplitude and correlation time. Electron dynamics is simulated by a Monte Carlo procedure which keeps into account all the possible scattering phenomena of the hot electrons in the medium and includes the evolution of spin polarization. Spin depolarization is studied by examinating the decay of the initial spin polarization of the conduction electrons through the D'yakonov-Perel process, the only relevant relaxation mechanism in III-V crystals. Our results show that, f…
Relaxation of the order-parameter statistics and dynamical confinement
2020
We study the relaxation of the local ferromagnetic order in the quantum Ising chain in a slant field with both longitudinal and transverse components. After preparing the system in a fully polarised state, we analyse the time evolution of the entire probability distribution function (PDF) of the magnetisation within a block of $\ell$ spins. We first analyse the effect of confinement on the gaussification of the PDF for large $\ell$, showing that the melting of initial order is suppressed when the longitudinal field is aligned to initial magnetisation while it is sped up when it is in the opposite direction. Then we study the thermalisation dynamics. In the paramagnetic region, the PDF quick…
Seismically induced, non-stationary hydrodynamic pressure in a dam-reservoir system
2003
Stochastic seismic analysis of hydrodynamic pressure in a dam-reservoir system is presented in this paper. The analysis is conducted assuming infinite reservoir compressible fluid and modeling seismic acceleration as a normal zero-mean stochastic process obtained by Penzien filter. The non-homogeneous boundary conditions associated to the problem have been incorporated into the equation of pressure wave scattering in the form of a forcing function turning the non-homogeneous boundary value problem into an homogeneous one. Solution obtained via modal analysis in time-domain is coupled with the use of classical Ito stochastic differential calculus to characterize the stochastic hydrodynamic p…
The Bohm-Aharonov effect: A seven-dimensional structural group
1996
We realize a nonfaithful representation of a seven-dimensional Lie algebra, the extension of which to its universal enveloping algebra contains most of the observables of the scattering Aharonov-Bohm effect, as essentially self-adjoint operators: the scattering Hamiltonian, the total and kinetic angular momenta, the positions and the kinetic momenta. By restriction, we obtain the model introduced in Lett. Math. Phys.1 (1976), 155–163.
Empirical Analyses of Networks in Finance
2018
Abstract The recent global financial crisis has triggered a huge interest in the use of network concepts and network tools to better understand how instabilities can propagate through the financial system. The literature is today quite vast, covering both theoretical and empirical aspects. This review concentrates on empirical work, and associated methodologies, concerned with the evaluation of the fragility and resilience of financial and credit markets. The first part of the review examines the literature on systemic risk that arise from banks mutual exposures. These exposures stem primarily from interbank lending and derivative positions, but also, indirectly, from common holdings of oth…
Modeling the Dynamics of a Financial Index after a Crash
2004
Supply and demand are perhaps the most fundamental concepts in economics. In a financial market they reflects the orders of the agents to buy or sell a given asset. In turn the fluctuations of supply and demand influence the dynamics of the price of an asset, as, for example, a stock or a financial index. Therefore the dynamics of the price of an asset is affected by the actions and of the beliefs of the agents. It is known that the dynamics of the price of an asset is far from simple, Several stylized facts has been empirically discovered such as, for example, the fat tails in the return distribution and the clustered volatility. These stylized facts has been detected by considering long t…
Sustainable and Conventional Banking in Europe
2020
At the end of the 20th century a new banking model, the so-called ethical banking, emerged becoming the maximum exponent of a socially responsible investment. The financial crisis in 2008 led to a distrust of the conventional financial system and consequently investors began to look with interest this new banking, which only invests in ethical activities and products, with social and environmental criteria, total transparency and a democratic management. The aim of this article is to analyze the economic structure of ethical banking, compared to that of conventional banking, by paying attention to its liquidity, coverage and solvency. Specifically, We compare the financial statements of Tri…
Market Impact and Trading Profile of Hidden Orders in Stock Markets
2009
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power law; after the order is finished, it reverts to a level of about 0.5-0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less m…
Repetition times for Gibbsian sources
1999
In this paper we consider the class of stochastic stationary sources induced by one-dimensional Gibbs states, with Holder continuous potentials. We show that the time elapsed before the source repeats its first n symbols, when suitably renormalized, converges in law either to a log-normal distribution or to a finite mixture of exponential random variables. In the first case we also prove a large deviation result.
Linear Response Theory with finite-range interactions
2021
International audience; This review focuses on the calculation of infinite nuclear matter response functions using phenomenological finite-range interactions, equipped or not with tensor terms. These include Gogny and Nakada families, which are commonly used in the literature. Because of the finite-range, the main technical difficulty stems from the exchange terms of the particle–hole interaction. We first present results based on the so-called Landau and Landau-like approximations of the particle–hole interaction. Then, we review two methods which in principle provide numerically exact response functions. The first one is based on a multipolar expansion of both the particle–hole interactio…