47 resultados para Non-linear time series


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The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

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We propose a modification of standard linear electrodynamics in four dimensions, where effective non-trivial interactions of the electromagnetic field with itself and with matter fields induce Lorentz violating Chern-Simons terms. This yields two consequences: it provides a more realistic and general scenario for the breakdown of Lorentz symmetry in electromagnetism and it may explain the effective behavior of the electromagnetic field in certain planar phenomena (for instance, Hall effect). A number of proposals for non-linear electrodynamics is discussed along the paper. Important physical implications of the breaking of Lorentz symmetry, such as optical birefringence and the possibility of having conductance in the vacuum are commented on.

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Some dynamical properties of a classical particle confined inside a closed region with an oval-shaped boundary are studied. We have considered both the static and time-dependent boundaries. For the static case, the condition that destroys the invariant spanning curves in the phase space was obtained. For the time-dependent perturbation, two situations were considered: (i) non-dissipative and (ii) dissipative. For the non-dissipative case, our results show that Fermi acceleration is observed. When dissipation, via inelastic collisions, is introduced Fermi acceleration is suppressed. The behaviour of the average velocity for both the dissipative as well as the non-dissipative dynamics is described using the scaling approach. (C) 2009 Elsevier B.V. All rights reserved.

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Some dynamical properties for a dissipative time-dependent oval-shaped billiard are studied. The system is described in terms of a four-dimensional nonlinear mapping. Dissipation is introduced via inelastic collisions of the particle with the boundary, thus implying that the particle has a fractional loss of energy upon collision. The dissipation causes profound modifications in the dynamics of the particle as well as in the phase space of the non-dissipative system. In particular, inelastic collisions can be assumed as an efficient mechanism to suppress Fermi acceleration of the particle. The dissipation also creates attractors in the system, including chaotic. We show that a slightly modification of the intensity of the damping coefficient yields a drastic and sudden destruction of the chaotic attractor, thus leading the system to experience a boundary crisis. We have characterized such a boundary crisis via a collision of the chaotic attractor with its own basin of attraction and confirmed that inelastic collisions do indeed suppress Fermi acceleration in two-dimensional time-dependent billiards. (C) 2010 Elsevier B.V. All rights reserved.

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A non-linear model is presented which optimizes the lay-out, as well as the design and management of trickle irrigation systems, to achieve maximum net benefit. The model consists of an objective function that maximizes profit at the farm level, subject to appropriate geometric and hydraulic constraints. It can be applied to rectangular shaped fields, with uniform or zero slope. The software used is the Gams-Minos package. The basic inputs are the crop-water-production function, the cost function and cost of system components, and design variables. The main outputs are the annual net benefit and pipe diameters and lengths. To illustrate the capability of the model, a sensitivity analysis of the annual net benefit for a citrus field is evaluated with respect to irrigated area, ground slope, micro-sprinkler discharge and shape of the field. The sensitivity analysis suggests that the greatest benefit is obtained with the smallest microsprinkler discharge, the greatest area, a square field and zero ground slope. The costs of the investment and energy are the components of the objective function that had the greatest effect in the 120 situations evaluated. (C) 1996 Academic Press Limited

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The Fitzhugh-Nagumo (fn) mathematical model characterizes the action potential of the membrane. The dynamics of the Fitzhugh-Nagumo model have been extensively studied both with a view to their biological implications and as a test bed for numerical methods, which can be applied to more complex models. This paper deals with the dynamics in the (FH) model. Here, the dynamics are analyzed, qualitatively, through the stability diagrams to the action potential of the membrane. Furthermore, we also analyze quantitatively the problem through the evaluation of Floquet multipliers. Finally, the nonlinear periodic problem is controlled, based on the Chebyshev polynomial expansion, the Picard iterative method and on Lyapunov-Floquet transformation (L-F transformation).

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(1) C6H2N3O7- center dot C5H12NO2+, Mr = 346.26, P2(1)/c, a = 7.2356(6), b = 10.5765(9), c = 19.593(2) angstrom, 3 beta=95.101(6)degrees, V = 1493.5(2) angstrom(3), Z = 4, R-1 = 0.0414; (2) C6H2N3O7- center dot C6H8NO+, Mr = 38.24, P2(1)/n, a = 7.8713(5), b = 6.1979(7), c = 28.697(3) angstrom, beta = 90.028(7)degrees, V = 1400.0(2) angstrom(3), Z = 4, R-1 = 0.0416. The packing units in both compounds consist of hydrogen bonded cation-anion pairs. The (hyper)polarizabilities have been calculated for the crystallographic and optimized molecules, by AM1 and at the DFT/B3LYP(6-31G**) level.