Computer simulation of the Cont-Bouchaud percolation model of financial markets

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Equilibrium properties of disordered spin models with two-scale interactions

Methods for understanding classical disordered spin systems with interactions conforming to some idealized graphical structure are well developed. The equilibrium properties of the Sherrington-Kirkpatrick model, which has a densely connected structure, have become well understood. Many features generalize to sparse Erdös- Rényi graph structures above the percolation threshold and to Bethe lattices when appropriate boundary conditions apply. In this paper, we consider spin states subject to a combination of sparse strong interactions with weak dense interactions, which we term a composite model. The equilibrium properties are examined through the replica method, with exact analysis of the high-temperature paramagnetic, spin-glass, and ferromagnetic phases by perturbative schemes. We present results of replica symmetric variational approximations, where perturbative approaches fail at lower temperature. Results demonstrate re-entrant behaviors from spin glass to ferromagnetic phases as temperature is lowered, including transitions from replica symmetry broken to replica symmetric phases. The nature of high-temperature transitions is found to be sensitive to the connectivity profile in the sparse subgraph, with regular connectivity a discontinuous transition from the paramagnetic to ferromagnetic phases is apparent.

Preparation and electrical properties of graphene nanosheet/Al2O3 composites

Fully dense graphene nanosheet(GNS)/Al2O3 composites with homogeneously distributed GNSs of thicknesses ranging from 2.5 to 20 nm have been fabricated from ball milled expanded graphite and Al2O3 by spark plasma sintering. The percolation threshold of electrical conductivity of the as-prepared GNS/Al2O3 composites is around 3 vol.%, and this new composite outperforms most of carbon nanotube/Al2O3 composites in electrical conductivity. The temperature dependence of electrical conductivity indicated that the as-prepared composites behaved as a semimetal in a temperature range from 2 to 300 K.

Isotropic compression of mixtures of hard and soft spheres

The compaction behaviour of powders with soft and hard components is of particular interest to the paint processing industry. Unfortunately, at the present time, very little is known about the internal mechanisms within such systems and therefore suitable tests are required to help in the interpretative process. The TRUBAL, Distinct Element Method (D.E.M.) program was the method of investigation used in this study. Steel (hard) and rubber (soft) particles were used in the randomly-generated, binary assemblies because they provided a sharp contrast in physical properties. For reasons of simplicity, isotropic compression of two-dimensional assemblies was also initially considered. The assemblies were first subject to quasi-static compaction, in order to define their behaviour under equilibrium conditions. The stress-strain behaviour of the assemblies under such conditions was found to be adequately described by a second-order polynomial expansion. The structural evolution of the simulation assemblies was also similar to that observed for real powder systems. Further simulation tests were carried out to investigate the effects of particle size on the compaction behaviour of the two-dimensional, binary assemblies. Later work focused on the quasi-static compaction behaviour of three-dimensional assemblies, because they represented more realistic particle systems. The compaction behaviour of the assemblies during the simulation experiments was considered in terms of percolation theory concepts, as well as more familiar macroscopic and microstructural parameters. Percolation theory, which is based on ideas from statistical physics, has been found to be useful in the interpretation of the mechanical behaviour of simple, elastic lattices. However, from the evidence of this study, percolation theory is also able to offer a useful insight into the compaction behaviour of more realistic particle assemblies.

The behaviour of granular material in pure shear, direct shear and simple shear

In biaxial compression tests, the stress calculations based on boundary information underestimate the principal stresses leading to a significant overestimation of the shear strength. In direct shear tests, the shear strain becomes highly concentrated in the mid-plane of the sample during the test. Although the stress distribution within the specimen is heterogeneous, the evolution of the stress ratio inside the shear band is similar to that inferred from the boundary force calculations. It is also demonstrated that the dilatancy in the shear band significantly exceeds that implied from the boundary displacements. In simple shear tests, the stresses acting on the wall boundaries do not reflect the internal state of stress but merely provide information about the average mobilised wall friction. It is demonstrated that the results are sensitive to the initial stress state defined by K0 = sh/sv. For all cases, non-coaxiality of the principal stress and strain-rate directions is examined and the corresponding flow rule is identified. Periodic cell simulations have been used to examine biaxial compression for a wide range of initial packing densities. Both constant volume and constant mean stress tests have been simulated. The characteristic behaviour at both the macroscopic and microscopic scales is determined by whether or not the system percolates (enduring connectivity is established in all directions). The transition from non-percolating to percolating systems is characterised by transitional behaviour of internal variables and corresponds to an elastic percolation threshold, which correlates well with the establishment of a mechanical coordination number of ca. 3.0. Strong correlations are found between macroscopic and internal variables at the critical state.

Testing for financial crashes using the Log Periodic Power Law model

Many papers claim that a Log Periodic Power Law (LPPL) model fitted to financial market bubbles that precede large market falls or 'crashes', contains parameters that are confined within certain ranges. Further, it is claimed that the underlying model is based on influence percolation and a martingale condition. This paper examines these claims and their validity for capturing large price falls in the Hang Seng stock market index over the period 1970 to 2008. The fitted LPPLs have parameter values within the ranges specified post hoc by Johansen and Sornette (2001) for only seven of these 11 crashes. Interestingly, the LPPL fit could have predicted the substantial fall in the Hang Seng index during the recent global downturn. Overall, the mechanism posited as underlying the LPPL model does not do so, and the data used to support the fit of the LPPL model to bubbles does so only partially. © 2013.

Dynamics of linear polymers in random media

We study phenomenological scaling theories of the polymer dynamics in random media, employing the existing scaling theories of polymer chains and the percolation statistics. We investigate both the Rouse and the Zimm model for Brownian dynamics and estimate the diffusion constant of the center-of-mass of the chain in such disordered media. For internal dynamics of the chain, we estimate the dynamic exponents. We propose similar scaling theory for the reptation dynamics of the chain in the framework of Flory theory for the disordered medium. The modifications in the case of correlated disorders are also discussed. .