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  • Electronic Resource  (4)
  • E-Resource
  • 2000-2004  (4)
  • 2004
  • 2003  (4)
  • PACS. 71.10.-w Theories and models of many-electron systems – 73.21.La Quantum dots – 73.20.Qt Electron solids  (2)
  • PACS. 89.65.Gh Economics, business, and financial markets  (2)
  • 1
    Electronic Resource
    Electronic Resource
    Modeling and asset allocation for financial markets based on a discrete time microstructure model (2003)
    Springer
    The European physical journal 31 (2003), S. 285-293 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 89.65.Gh Economics, business, and financial markets
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: On the basis of the market microstructure theory and the continuous time stochastic volatility-style microstructure model, a discrete time stochastic volatility microstructure model with state-observability is proposed for describing the dynamics of financial markets. From the discrete time microstructure model proposed, estimates of two immeasurable state variables representing the market excess demand and liquidity respectively may be obtained. A simple trading strategy for dynamic asset allocation, based on the indirectly obtained excess demand information instead of the prediction for price, is presented. An approach to the estimation of the discrete time microstructure model using the extended Kalman filter and the maximum likelihood method is also presented. Case studies on financial market modeling and the estimated model-based asset dynamic allocation control for the JPY/USD (Japanese Yen/US Dollar) exchange rate and Japan TOPIX (TOkyo stock Price IndeX) show satisfactory modeling precision and control performance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00033-7
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  • 2
    Electronic Resource
    Electronic Resource
    Andreev-Lifshitz supersolid revisited for a few electrons on a square lattice. I (2003)
    Springer
    The European physical journal 31 (2003), S. 401-412 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 71.10.-w Theories and models of many-electron systems – 73.21.La Quantum dots – 73.20.Qt Electron solids
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: In 1969, Andreev and Lifshitz have conjectured the existence of a supersolid phase taking place at zero temperature between the quantum liquid and the solid. In this and a succeeding paper, we re-visit this issue for a few polarized electrons (spinless fermions) interacting via a U/r Coulomb repulsion on a two dimensional L×L square lattice with periodic boundary conditions and nearest neighbor hopping t. This paper is restricted to the magic number of particles N = 4 for which a square Wigner molecule is formed when U increases and to the size L = 6 suitable for exact numerical diagonalizations. When the Coulomb energy to kinetic energy ratio r s = UL/(2t ) reaches a value r s F ≈ 10, there is a level crossing between ground states of different momenta. Above r s F, the mesoscopic crystallization proceeds through an intermediate regime ( r s F 〈 r s 〈 r s W ≈ 28) where unpaired fermions with a reduced Fermi energy co-exist with a strongly paired, nearly solid assembly. We suggest that this is the mesoscopic trace of the supersolid proposed by Andreev and Lifshitz. When a random substrate is included, the level crossing at r s F is avoided and gives rise to a lower threshold r s F(W) 〈 r s F where two usual approximations break down: the Wigner surmise for the distribution of the first energy excitation and the Hartree-Fock approximation for the ground state.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00048-0
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  • 3
    Electronic Resource
    Electronic Resource
    Bubbles, crashes and intermittency in agent based market models (2003)
    Springer
    The European physical journal 31 (2003), S. 421-437 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 89.65.Gh Economics, business, and financial markets
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the possibility of not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly accounted for. Only two parameters play a significant role: one describes the impact of trading on the price, and the other describes the propensity of agents to be trend following or contrarian. We observe three different regimes, depending on the value of these two parameters: an oscillating phase with bubbles and crashes, an intermittent phase and a stable `rational' market phase. The statistics of price changes in the intermittent phase resembles that of real price changes, with small linear correlations, fat tails and long range volatility clustering. We discuss how the time dependence of these two parameters spontaneously drives the system in the intermittent region. We analyze quantitatively the temporal correlation of activity in the intermittent phase, and show that the `random time strategy shift' mechanism that we proposed earlier allows one to understand the observed long ranged correlations. Other mechanisms leading to long ranged correlations are also reviewed. We discuss several other issues, such as the formation of bubbles and crashes, the influence of transaction costs and the distribution of agents wealth.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00050-6
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  • 4
    Electronic Resource
    Electronic Resource
    Andreev-Lifshitz supersolid revisited for a few electrons on a square lattice II (2003)
    Springer
    The European physical journal 33 (2003), S. 87-101 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 71.10.-w Theories and models of many-electron systems – 73.21.La Quantum dots – 73.20.Qt Electron solids
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: In this second paper, using N = 3 polarized electrons (spinless fermions) interacting via a U/r Coulomb repulsion on a two dimensional L×L square lattice with periodic boundary conditions and nearest neighbor hopping t, we show that a single unpaired fermion can co-exist with a correlated two particle Wigner molecule for intermediate values of the Coulomb energy to kinetic energy ratio r s = UL/(2t ). This supports in an ultimate mesoscopic limit a possibility proposed by Andreev and Lifshitz for the thermodynamic limit: a quantum crystal may have delocalized defects without melting, the number of sites of the crystalline array being smaller than the total number of particles. When L = 6, the ground state exhibits four regimes as rs increases: a Hartree-Fock regime, a first supersolid regime where a correlated pair co-exists with a third fully delocalized particle, a second supersolid regime where the third particle is partly delocalized, and eventually a correlated lattice regime.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00145-0
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