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  • 2000-2004  (4)
  • 1965-1969
  • 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.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping  (2)
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  • 2000-2004  (4)
  • 1965-1969
Year
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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)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Coherent control of the self-trapping transition (2001)
    Springer
    The European physical journal 20 (2001), S. 451-467 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 03.75.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We discuss the dynamics of two weakly coupled Bose-Einstein condensates in a double-well potential, contrasting the mean-field picture to the exact N-particle evolution. On the mean-field level, a self-trapping transition occurs when the scaled interaction strength exceeds a critical value; this transition essentially persists in small condensates comprising about 1000 atoms. When the double-well is modulated periodically in time, Floquet-type solutions to the nonlinear Schrödinger equation take over the role of the stationary mean-field states. These nonlinear Floquet states can be classified as “unbalanced” or “balanced”, depending on whether or not they entail long-time confinement of most particles to one well. Since the emergence of unbalanced Floquet states depends on the amplitude and frequency of the modulating force, we predict that the onset of self-trapping can efficiently be controlled by varying these parameters. This prediction is verified numerically by both mean-field and N-particle calculations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/PL00011106
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Instanton approach to Josephson tunneling between trapped condensates (2001)
    Springer
    The European physical journal 17 (2001), S. 351-363 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 03.75.Fi Phase coherent atomic ensembles; quantum condensation phenomena – 05.30.Jp Boson systems – 32.80.Pj Optical cooling of atoms; trapping
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: An instanton method is proposed to investigate the quantum tunneling between two weakly-linked Bose-Einstein condensates confined in double-well potential traps. We point out some intrinsic pathologies in the earlier treatments of other authors and make an effort to go beyond these very simple zero order models. The tunneling amplitude may be calculated in the Thomas-Fermi approximation and beyond it; we find it depends on the number of the trapped atoms, through the chemical potential. Some suggestions are given for the observation of the Josephson oscillation and the MQST.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170010
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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