97 resultados para Statistical Mechanics
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.
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Universe evolution, as described by Friedmann's equations, is determined by source terms fixed by the choice of pressure x energy density equations of state p(p). The usual approach in cosmology considers equations of state accounting only for kinematic terms, ignoring the contribution from the interactions between the particles constituting the source fluid. In this work the importance of these neglected terms is emphasized. A systematic method, based on the statistical mechanics of real fluids, is proposed to include them. A toy model is presented which shows how such interaction terms could be applied to engender significant cosmological effects.
Langevin simulation of scalar fields: Additive and multiplicative noises and lattice renormalization
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Some scaling properties of the regular dynamics for a dissipative version of the one-dimensional Fermi accelerator model are studied. The dynamics of the model is given in terms of a two-dimensional nonlinear area contracting map. Our results show that the velocities of saddle fixed points (saddle velocities) can be described using scaling arguments for different values of the control parameter. (c) 2007 Elsevier B.V. All rights reserved.
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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 classical particle confined in an infinitely deep box of potential containing a periodically oscillating square well are studied. The dynamics of the system is described by using a two-dimensional non-linear area-preserving map for the variables energy and time. The phase space is mixed and the chaotic sea is described using scaling arguments. Scaling exponents are obtained as a function of all the control parameters, extending the previous results obtained in the literature. (c) 2012 Elsevier B.V. All rights reserved.
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)