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Physica
North-Holland
Physica

North-Holland

0378-4371

Physica/Journal Physica
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    A q-spin Potts model of markets: Gain-loss asymmetry in stock indices as an emergent phenomenon

    Bornholdt, Stefan
    7页
    查看更多>>摘要:Spin models of markets inspired by physics models of magnetism, as the Ising model, allow for the study of the collective dynamics of interacting agents in a market. The number of possible states has been mostly limited to two (buy or sell) or three options. However, herding effects of competing stocks and the collective dynamics of a whole market may escape our reach in the simplest models. Here I study a q-spin Potts model version of a simple Ising market model to represent the dynamics of a stock market index in a spin model. As a result, a self-organized gain-loss asymmetry in the time series of an index variable composed of stocks in this market is observed. (C) 2021 Elsevier B.V. All rights reserved.

    Log-growth rates of CO2: An empirical analysis

    Puente-Ajovin, MiguelRamos, ArturoSanz-Gracia, FernandoPena, Guillermo...
    15页
    查看更多>>摘要:We study the parametric distribution of log-growth rates of CO2 and CO2 per capita emissions for 207 countries and territories taking data from 1994 to 2010. We define the log-growth rates for different duration periods, from one year apart to fifteen years apart. The considered probability distributions have been the following: the normal (N), the asymmetric double Laplace normal (adLN), the exponential tails normal (ETN) and a mixture of two normal (2N) or three normal (3N) distributions. The main result is that the best one is different depending on the period considered, in such a way that there is not a systematically dominant distribution. Thus, the behavior may change from one year to the next one, and possibly this is influenced by policy measures such as the Kyoto protocol or the Clean Development Mechanism. Moreover, a policy measure that can be derived from this paper is that some countries can still reduce their emissions of CO2 compared with others, as seen by the non-uniformity of the preferred probability distribution for each period. We also model a stochastic differential equation whose associated Fokker-Planck equation has as a solution the observed time-dependent probability density function. (C) 2021 Elsevier B.V. All rights reserved.

    Super- and subdiffusive positions in fractional Klein-Kramers equations

    He, YueKawai, Reiichiro
    14页
    查看更多>>摘要:The Ornstein-Uhlenbeck process is a Gaussian process with applications in various fields, originally as a model for the velocity of a Brownian particle subject to friction force. Its cumulative integral over time thus describes the position of the particle, which however remains overly regular, for instance, concerning Gaussianity and linear mean square displacement. Doubts cast on such over-regularity has led to two generalizations through time-expanding transformation: one with the velocity occasionally paused resulting in superdiffusive positions, the other one with the position trapped once in a while causing subdiffusive positions. The aim of the present work is to systematically derive and present various results to contrast those two similar yet different generalizations. In the framework of the Klein-Kramers equation, those two time-changing mechanisms make only a slight difference in what part of the operator the fractional derivative acts on, whereas by taking the probabilistic approach, we reveal that they are definitively distinct models through a variety of new findings in the theory of the super and subdiffusive positions. We expect our findings to provide an effective means for illustrative comparisons on the relevance of those modeling frameworks. (C) 2021 Elsevier B.V. All rights reserved.

    COVID-19 spreading under containment actions

    Cornes, F. E.Frank, G. A.Dorso, C. O.
    18页
    查看更多>>摘要:We propose an epidemiological model that explores the effect of human mobility on the spatio-temporal dynamics of the COVID-19 outbreak, in the spirit to those considered in Refs. Barmak et al. (2011, 2016) and Medus and Dorso (2011) [1]. We assume that people move around in a city of 120 x 120 blocks with 300 inhabitants in each block. The mobility pattern is associated to a complex network in which nodes represent blocks while the links represent the traveling path of the individuals (see below). We implemented three confinement strategies in order to mitigate the disease spreading: (1) global confinement, (2) partial restriction to mobility, and (3) localized confinement. In the first case, it was observed that a global isolation policy prevents the massive outbreak of the disease. In the second case, a partial restriction to mobility could lead to a massive contagion if this was not complemented with sanitary measures such as the use of masks and social distancing. Finally, a local isolation policy was proposed, conditioned to the health status of each block. It was observed that this mitigation strategy was able to contain and even reduce the outbreak of the disease by intervening in specific regions of the city according to their level of contagion. It was also observed that this strategy is capable of controlling the epidemic in the case that a certain proportion of those infected are asymptomatic. (C) 2021 Elsevier B.V. All rights reserved.

    Determination of the three-dimensional diffusion optimal path

    Wang, JingWang, ChunyangXiao, LidongMa, Haijun...
    9页
    查看更多>>摘要:The diffusion of passing over the saddle point of a three-dimensional quadric potential energy surface was studied by analytically solving a set of coupled generalized Langevin equations. An accurate expression of the passing probability was obtained. The effect of the coupling between different degrees of freedom which is represented by the off diagonal elements of the inertia, friction and potential-curvature tensors was analyzed in detail. It is found that some of the coupling have great influence on the diffusion process, while others not. The combination of them results in an optimal injecting direction of the diffusing particles, revealing an optimal three-dimensional diffusion path. (C) 2021 Elsevier B.V. All rights reserved.

    Emergence of extended Newtonian gravity from thermodynamics

    Van, PeterAbe, Sumiyoshi
    7页
    查看更多>>摘要:Discovery of a novel thermodynamic aspect of nonrelativistic gravity is reported. Here, initially, an unspecified scalar field potential is considered and treated not as an externally applied field but as a thermodynamic variable on an equal footing with the fluid variables. It is shown that the second law of thermodynamics imposes a stringent constraint on the field, and, quite remarkably, the allowable field turns out to be only of gravity. The resulting field equation for the gravitational potential derived from the analysis of the entropy production rate contains a dissipative term due to irreversibility. It is found that the system relaxes to the conventional theory of Newtonian gravity up to a certain spatial scale, whereas on the larger scale there emerges non-Newtonian gravity described by a nonlinear field equation containing a single coefficient. A comment is made on an estimation of the coefficient that has its origin in the thermodynamic property of the system. (C) 2021 The Author(s). Published by Elsevier B.V.