Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

Cellular automaton model for molecular traffic jams

We consider the time evolution of an exactly solvable cellular automaton with random initial conditions both in the large-scale hydrodynamic limit and on the microscopic level. This model is a version of the totally asymmetric simple exclusion process with sublattice parallel update and thus may serve as a model for studying traffic jams in systems of self-driven particles. We study the emergence of shocks from the microscopic dynamics of the model. In particular, we introduce shock measures whose time evolution we can compute explicitly, both in the thermodynamic limit and for open boundaries where a boundary-induced phase transition driven by the motion of a shock occurs. The motion of the shock, which results from the collective dynamics of the exclusion particles, is a random walk with an internal degree of freedom that determines the jump direction. This type of hopping dynamics is reminiscent of some transport phenomena in biological systems.

Formação de caudas maxwellianas no Contexto da rotação estelar

In this Thesis, we analyzed the formation of maxwellian tails of the distributions of the rotational velocity in the context of the out of equilibrium Boltzmann Gibbs statistical mechanics. We start from a unified model for the angular momentum loss rate which made possible the construction of a general theory for the rotational decay in the which, finally, through the compilation between standard Maxwellian and the relation of rotational decay, we defined the (_, _) Maxwellian distributions. The results reveal that the out of equilibrium Boltzmann Gibbs statistics supplies us results as good as the one of the Tsallis and Kaniadakis generalized statistics, besides allowing fittings controlled by physical properties extracted of the own theory of stellar rotation. In addition, our results point out that these generalized statistics converge to the one of Boltzmann Gibbs when we inserted, in your respective functions of distributions, a rotational velocity defined as a distribution

Estudo de sistemas complexos com interações de longo alcance : percolação, redes e tráfego

In this thesis we investigate physical problems which present a high degree of complexity using tools and models of Statistical Mechanics. We give a special attention to systems with long-range interactions, such as one-dimensional long-range bondpercolation, complex networks without metric and vehicular traffic. The flux in linear chain (percolation) with bond between first neighbor only happens if pc = 1, but when we consider long-range interactions , the situation is completely different, i.e., the transitions between the percolating phase and non-percolating phase happens for pc < 1. This kind of transition happens even when the system is diluted ( dilution of sites ). Some of these effects are investigated in this work, for example, the extensivity of the system, the relation between critical properties and the dilution, etc. In particular we show that the dilution does not change the universality of the system. In another work, we analyze the implications of using a power law quality distribution for vertices in the growth dynamics of a network studied by Bianconi and Barabási. It incorporates in the preferential attachment the different ability (fitness) of the nodes to compete for links. Finally, we study the vehicular traffic on road networks when it is submitted to an increasing flux of cars. In this way, we develop two models which enable the analysis of the total flux on each road as well as the flux leaving the system and the behavior of the total number of congested roads

Conceitos e técnicas da mecânica estatística e termodinâmica aplicados ao estudo dos grafos aleatórios

This dissertation briefly presents the random graphs and the main quantities calculated from them. At the same time, basic thermodynamics quantities such as energy and temperature are associated with some of their characteristics. Approaches commonly used in Statistical Mechanics are employed and rules that describe a time evolution for the graphs are proposed in order to study their ergodicity and a possible thermal equilibrium between them

Aplicações da q-Álgebra em física da matéria condensada

We address the generalization of thermodynamic quantity q-deformed by q-algebra that describes a general algebra for bosons and fermions . The motivation for our study stems from an interest to strengthen our initial ideas, and a possible experimental application. On our journey, we met a generalization of the recently proposed formalism of the q-calculus, which is the application of a generalized sequence described by two parameters deformation positive real independent and q1 and q2, known for Fibonacci oscillators . We apply the wellknown problem of Landau diamagnetism immersed in a space D-dimensional, which still generates good discussions by its nature, and dependence with the number of dimensions D, enables us future extend its application to systems extra-dimensional, such as Modern Cosmology, Particle Physics and String Theory. We compare our results with some experimentally obtained performing major equity. We also use the formalism of the oscillators to Einstein and Debye solid, strengthening the interpretation of the q-deformation acting as a factor of disturbance or impurity in a given system, modifying the properties of the same. Our results show that the insertion of two parameters of disorder, allowed a wider range of adjustment , i.e., enabling change only the desired property, e.g., the thermal conductivity of a same element without the waste essence

Fundamentação cinética da estatística não gaussiana : efeitos em politrópicas

Considering a non-relativistic ideal gas, the standard foundations of kinetic theory are investigated in the context of non-gaussian statistical mechanics introduced by Kaniadakis. The new formalism is based on the generalization of the Boltzmann H-theorem and the deduction of Maxwells statistical distribution. The calculated power law distribution is parameterized through a parameter measuring the degree of non-gaussianity. In the limit = 0, the theory of gaussian Maxwell-Boltzmann distribution is recovered. Two physical applications of the non-gaussian effects have been considered. The first one, the -Doppler broadening of spectral lines from an excited gas is obtained from analytical expressions. The second one, a mathematical relationship between the entropic index and the stellar polytropic index is shown by using the thermodynamic formulation for self-gravitational systems

Termoestatística quântica: uma abordagem via estatísticas não-gaussianas

Considering a quantum gas, the foundations of standard thermostatistics are investigated in the context of non-Gaussian statistical mechanics introduced by Tsallis and Kaniadakis. The new formalism is based on the following generalizations: i) Maxwell- Boltzmann-Gibbs entropy and ii) deduction of H-theorem. Based on this investigation, we calculate a new entropy using a generalization of combinatorial analysis based on two different methods of counting. The basic ingredients used in the H-theorem were: a generalized quantum entropy and a generalization of collisional term of Boltzmann equation. The power law distributions are parameterized by parameters q;, measuring the degree of non-Gaussianity of quantum gas. In the limit q

In silico network topology-based prediction of gene essentiality

The identification of genes essential for survival is important for the understanding of the minimal requirements for cellular life and for drug design. As experimental studies with the purpose of building a catalog of essential genes for a given organism are time-consuming and laborious, a computational approach which could predict gene essentiality with high accuracy would be of great value. We present here a novel computational approach, called NTPGE (Network Topology-based Prediction of Gene Essentiality), that relies on the network topology features of a gene to estimate its essentiality. The first step of NTPGE is to construct the integrated molecular network for a given organism comprising protein physical, metabolic and transcriptional regulation interactions. The second step consists in training a decision-tree-based machine-learning algorithm on known essential and non-essential genes of the organism of interest, considering as learning attributes the network topology information for each of these genes. Finally, the decision-tree classifier generated is applied to the set of genes of this organism to estimate essentiality for each gene. We applied the NTPGE approach for discovering the essential genes in Escherichia coli and then assessed its performance. (C) 2007 Elsevier B.V. All rights reserved.

Thermodynamics of a Peyrard-Bishop One-Dimensional Lattice with On-site Hump Potential

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Variational supersymmetric approach to evaluate Fokker-Planck probability

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Time series analysis for minority game simulations of financial markets

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.

Quantum description of spin tunneling in magnetic molecules

Starting from a phenomenological Hamiltonian originally written in terms of angular momentum operators we derive a new quantum angle-based Hamiltonian that allows for a discussion on the quantum spin tunneling. The study of the applicability of the present approach, carried out in calculations with a soluble quasi-spin model, shows that we are allowed to use our method in the description of physical systems such as the Mn12-acetate molecule, as well as the octanuclear iron cluster, Fe8, in a reliable way. With the present description the interpretation of the spin tunneling is seen to be direct, the spectra and energy barriers of those systems are obtained, and it is shown that they agree with the experimental ones. (c) 2006 Elsevier B.V. All rights reserved.

Electromagnetic field at finite temperature: A first order approach

In this work we study the electromagnetic field at finite temperature via the massless DKP formalism. The constraint analysis is performed and the partition function for the theory is constructed and computed. When it is specialized to the spin 1 sector we obtain the well-known result for the thermodynamic equilibrium of the electromagnetic field. (c) 2006 Elsevier B.V. All rights reserved.

Cosmological term and fundamental physics

A nonvanishing cosmological term in Einstein's equations implies a nonvanishing spacetime curvature even in the absence of any kind of matter. It would, in consequence, affect many of the underlying kinematic tenets of physical theory. The usual commutative spacetime translations of the Poincare group would be replaced by the mixed conformal translations of the de Sitter group, leading to obvious alterations in elementary concepts such as time, energy and momentum. Although negligible at small scales, such modifications may come to have important consequences both in the large and for the inflationary picture of the early Universe. A qualitative discussion is presented, which suggests deep changes in Hamiltonian, Quantum and Statistical Mechanics. In the primeval universe as described by the standard cosmological model, in particular, the equations of state of the matter sources could be quite different from those usually introduced.