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  • 2000-2004  (4)
  • 1985-1989
  • 1975-1979
  • 2001  (4)
  • 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. 03.75.Be Atom and neutron optics – 42.25.Fx Diffraction and scattering  (2)
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  • 2000-2004  (4)
  • 1985-1989
  • 1975-1979
Year
  • 2001  (4)
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  • 1
    Electronic Resource
    Electronic Resource
    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
    Keywords: 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
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100510170229
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Langevin dynamics of financial systems: A second-order analysis (2001)
    Springer
    The European physical journal 22 (2001), S. 123-127 
    Details
    ISSN: 1434-6036
    Keywords: 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
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/PL00011127
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Modelling the diffraction of laser-cooled atoms from magnetic gratings (2001)
    Springer
    The European physical journal 14 (2001), S. 111-118 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 03.75.Be Atom and neutron optics – 42.25.Fx Diffraction and scattering
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: The diffraction of laser-cooled atoms from a spatially-periodic potential is modelled using rigorous coupled-wave analysis. This numerical technique, normally applied to light-diffraction, is adapted for use with atomic de Broglie waves incident on a reflecting diffraction grating. The technique approximates the potential by a large number of constant layers and successively solves the complex eigenvalue problem in each layer, propagating the solution up to the surface of the grating. The method enables the diffraction efficiencies to be calculated for any periodic potential. The results from the numerical model are compared with the thin phase-grating approximation formulae for evanescent light-wave diffraction gratings and idealised magnetic diffraction gratings. The model is applied to the problem of diffracting Rb atoms from a grating made from an array of permanent magnets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170242
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Atom diffraction from magnetic gratings in the thin phase-grating approximation (2001)
    Springer
    The European physical journal 14 (2001), S. 289-297 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 03.75.Be Atom and neutron optics – 42.25.Fx Diffraction and scattering
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: The problem of atom diffraction from a reflecting magnetic diffraction grating is solved in the thin phase-grating approximation. The general problem for scalar diffraction is modelled using a semi-classical method in which the grating potential is separated into a reflecting term and a diffracting term. The trajectory of the atom in the reflecting potential is solved classically and the atom wave function in the diffracting potential found by integrating the phase change along the classical trajectory. The diffraction orders are obtained after Fourier transforming the result. This can be done independently of the grating potential resulting in a general formula for the diffraction efficiencies. The general result is applied to the problem of atom diffraction from a magnetic grating. Several approximations are required to reduce the problem to a form amenable to analytic solution. The results are compared with an accurate numerical method.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170195
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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