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  • 2020-2024
  • 2000-2004  (4)
  • 1970-1974
  • 1920-1924
  • 1840-1849
  • 2001  (4)
  • 1840
  • PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics  (2)
  • PACS. 75.10.Nr Spin-glass and other random models  (2)
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Materialart
Erscheinungszeitraum
  • 2020-2024
  • 2000-2004  (4)
  • 1970-1974
  • 1920-1924
  • 1840-1849
Jahr
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    The Bethe lattice spin glass revisited (2001)
    Springer
    The European physical journal 20 (2001), S. 217-233 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 75.10.Nr Spin-glass and other random models
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: So far the problem of a spin glass on a Bethe lattice has been solved only at the replica symmetric level, which is wrong in the spin glass phase. Because of some technical difficulties, attempts at deriving a replica symmetry breaking solution have been confined to some perturbative regimes, high connectivity lattices or temperature close to the critical temperature. Using the cavity method, we propose a general non perturbative solution of the Bethe lattice spin glass problem at a level of approximation which is equivalent to a one step replica symmetry breaking solution. The results compare well with numerical simulations. The method can be used for many finite connectivity problems appearing in combinatorial optimization.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011099
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Empirical properties of the variety of a financial portfolio and the single-index model (2001)
    Springer
    The European physical journal 20 (2001), S. 503-509 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain the theoretical relation between the square variety and the mean return of the ensemble return distribution predicted by the single-index model. The single-index model is able to mimic the average behavior of the square variety but fails in describing quantitatively the relation between the square variety and the mean return of the ensemble distribution. The difference between empirical data and theoretical description is more pronounced for large positive values of the mean return of the ensemble distribution. Other significant deviations are also observed for extreme negative values of the mean return.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170229
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 3
    Digitale Medien
    Digitale Medien
    Langevin dynamics of financial systems: A second-order analysis (2001)
    Springer
    The European physical journal 22 (2001), S. 123-127 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that Cq can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011127
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 4
    Digitale Medien
    Digitale Medien
    The ± J spin glass in Migdal-Kadanoff approximation (2001)
    Springer
    The European physical journal 21 (2001), S. 589-594 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 75.10.Nr Spin-glass and other random models
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We study the low-temperature phase of the three-dimensional ± J Ising spin glass in Migdal-Kadanoff approximation. At zero temperature, T = 0, the properties of the spin glass result from the ground-state degeneracy and can be elucidated using scaling arguments based on entropy. The approach to the asymptotic scaling regime is very slow, and the correct exponents are only visible beyond system sizes around 64. At T 〉 0, a crossover from the zero-temperature behaviour to the behaviour expected from the droplet picture occurs at length scales proportional to T -2/ds where ds is the fractal dimension of a domain wall. Canonical droplet behaviour is not visible at any temperature for systems whose linear dimension is smaller than 16 lattice spacings, because the data are either affected by the zero-temperature behaviour or the critical point behaviour.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170169
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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