Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

Dichtefunktionaltheorie für eine Flüssigkeit harter Scheiben auf Grafikkarten

Zweidimensionale Flüssigkeiten harter Scheiben sind in der Regel einfach zu simulieren, jedoch überraschend schwer theoretisch zu beschreiben. Trotz ihrer hohen Relevanz bleiben die meisten theoretischen Ansätze qualitativ. Hier wird eine Dichtefunktionaltheorie (DFT) vorgestellt, die erstmalig die Struktur solcher Flüssigkeiten bei hohen Dichten korrekt beschreibt und den Ansatz des Gefrierübergangs abbildet.rnEs wird gezeigt, dass der Ansatz der Fundamentalmaßtheorie zu einem solchen Funktional führt. Dabei werden sowohl Dichteverteilungen um ein Testteilchen als auch Zweiteilchen-Korrelationsfunktionen untersucht.rnGrafikkarten bieten sehr hohe Recheneffizienz und ihr Einsatz in der Wissenschaft nimmt stetig zu. In dieser Arbeit werden die Vor- und Nachteile der Grafikkarte für wissenschaftliche Berechnungen erörtert und es wird gezeigt, dass die Berechnung der DFT auf Grafikkarten effizient ausgeführt werden kann. Es wird ein Programm entwickelt, dass dies umsetzt. Dabei wird gezeigt, dass die Ergebnisse einfacher (bekannter) Funktionale mit denen von CPU-Berechnungen übereinstimmen, so dass durch die Nutzung der Grafikkarte keine systematischen Fehler zu erwarten sind.

Predicting asthma control and exacerbations: chronic asthma as a complex dynamic model

PURPOSE OF REVIEW: Predicting asthma episodes is notoriously difficult but has potentially significant consequences for the individual, as well as for healthcare services. The purpose of this review is to describe recent insights into the prediction of acute asthma episodes in relation to classical clinical, functional or inflammatory variables, as well as present a new concept for evaluating asthma as a dynamically regulated homeokinetic system. RECENT FINDINGS: Risk prediction for asthma episodes or relapse has been attempted using clinical scoring systems, considerations of environmental factors and lung function, as well as inflammatory and immunological markers in induced sputum or exhaled air, and these are summarized here. We have recently proposed that newer mathematical methods derived from statistical physics may be used to understand the complexity of asthma as a homeokinetic, dynamic system consisting of a network comprising multiple components, and also to assess the risk for future asthma episodes based on fluctuation analysis of long time series of lung function. SUMMARY: Apart from the classical analysis of risk factor and functional parameters, this new approach may be used to assess asthma control and treatment effects in the individual as well as in future research trials.

Complexity of chronic asthma and chronic obstructive pulmonary disease: implications for risk assessment, and disease progression and control

Although assessment of asthma control is important to guide treatment, it is difficult since the temporal pattern and risk of exacerbations are often unpredictable. In this Review, we summarise the classic methods to assess control with unidimensional and multidimensional approaches. Next, we show how ideas from the science of complexity can explain the seemingly unpredictable nature of bronchial asthma and emphysema, with implications for chronic obstructive pulmonary disease. We show that fluctuation analysis, a method used in statistical physics, can be used to gain insight into asthma as a dynamic disease of the respiratory system, viewed as a set of interacting subsystems (eg, inflammatory, immunological, and mechanical). The basis of the fluctuation analysis methods is the quantification of the long-term temporal history of lung function parameters. We summarise how this analysis can be used to assess the risk of future asthma episodes, with implications for asthma severity and control both in children and adults.

Gibbs point process approximation: Total variation bounds using Stein's method

We obtain upper bounds for the total variation distance between the distributions of two Gibbs point processes in a very general setting. Applications are provided to various well-known processes and settings from spatial statistics and statistical physics, including the comparison of two Lennard-Jones processes, hard core approximation of an area interaction process and the approximation of lattice processes by a continuous Gibbs process. Our proof of the main results is based on Stein's method. We construct an explicit coupling between two spatial birth-death processes to obtain Stein factors, and employ the Georgii-Nguyen-Zessin equation for the total bound.

Critical point and scale setting in SU(3) plasma: An update

We explore a method developed in statistical physics which has been argued to have exponentially small finite-volume effects, in order to determine the critical temperature Tc of pure SU(3) gauge theory close to the continuum limit. The method allows us to estimate the critical coupling βc of the Wilson action for temporal extents up to Nτ∼20 with ≲0.1% uncertainties. Making use of the scale setting parameters r0 and t0−−√ in the same range of β-values, these results lead to the independent continuum extrapolations Tcr0=0.7457(45) and Tct0−−√=0.2489(14), with the latter originating from a more convincing fit. Inserting a conversion of r0 from literature (unfortunately with much larger errors) yields Tc/ΛMS¯¯¯¯¯=1.24(10).

Refined second law of thermodynamics for fast random processes

We establish a refined version of the Second Law of Thermodynamics for Langevin stochastic processes describing mesoscopic systems driven by conservative or non-conservative forces and interacting with thermal noise. The refinement is based on the Monge-Kantorovich optimal mass transport and becomes relevant for processes far from quasi-stationary regime. General discussion is illustrated by numerical analysis of the optimal memory erasure protocol for a model for micron-size particle manipulated by optical tweezers.

A derivation of thermodynamic principles

A detailed macroscopic description as in continuum mechanics, and just the concept of microstate,have been used to derive thermodynamics from mechanics. In opposition to statistical physics, the derivation lays emphasis on a definite prescription for macrostates (and non-equilibrium entropy), and uses basic features of the macrostate concept: complementary descriptions, involving either conservative and additive quantities or densities;scale-free character; reference to finite velocities and regions distant in space, thus introducing time indirectly. On the other hand, the derivation keeps the particle substratum (limit of number of particles N taken at fixed densities), and makes no ergodic-type considerations.

Phase transitions in number theory: from the birthday problem to Sidon sets

In this work, we show how number theoretical problems can be fruitfully approached with the tools of statistical physics. We focus on g-Sidon sets, which describe sequences of integers whose pairwise sums are different, and propose a random decision problem which addresses the probability of a random set of k integers to be g-Sidon. First, we provide numerical evidence showing that there is a crossover between satisfiable and unsatisfiable phases which converts to an abrupt phase transition in a properly defined thermodynamic limit. Initially assuming independence, we then develop a mean-field theory for the g-Sidon decision problem. We further improve the mean-field theory, which is only qualitatively correct, by incorporating deviations from independence, yielding results in good quantitative agreement with the numerics for both finite systems and in the thermodynamic limit. Connections between the generalized birthday problem in probability theory, the number theory of Sidon sets and the properties of q-Potts models in condensed matter physics are briefly discussed

Fluorescence correlation spectroscopy: Diagnostics for sparse molecules

The robust glow of molecular fluorescence renders even sparse molecules detectable and susceptible to analysis for concentration, mobility, chemistry, and photophysics. Correlation spectroscopy, a statistical-physics-based tool, gleans quantitative information from the spontaneously fluctuating fluorescence signals obtained from small molecular ensembles. This analytical power is available for studying molecules present at minuscule concentrations in liquid solutions (less than one nanomolar), or even on the surfaces of living cells at less than one macromolecule per square micrometer. Indeed, routines are becoming common to detect, locate, and examine individual molecules under favorable conditions.

The constitution of delta-phase alloys of the system uranium-zirconium-titanium /

"March 22, 1955."

Calculation of the microcanonical temperature for the classical Bose field

The ergodic hypothesis asserts that a classical mechanical system will in time visit every available configuration in phase space. Thus, for an ergodic system, an ensemble average of a thermodynamic quantity can equally well be calculated by a time average over a sufficiently long period of dynamical evolution. In this paper, we describe in detail how to calculate the temperature and chemical potential from the dynamics of a microcanonical classical field, using the particular example of the classical modes of a Bose-condensed gas. The accurate determination of these thermodynamics quantities is essential in measuring the shift of the critical temperature of a Bose gas due to nonperturbative many-body effects.

Finite connectivity systems as error-correcting codes

We investigate the performance of parity check codes using the mapping onto spin glasses proposed by Sourlas. We study codes where each parity check comprises products of K bits selected from the original digital message with exactly C parity checks per message bit. We show, using the replica method, that these codes saturate Shannon's coding bound for K?8 when the code rate K/C is finite. We then examine the finite temperature case to asses the use of simulated annealing methods for decoding, study the performance of the finite K case and extend the analysis to accommodate different types of noisy channels. The analogy between statistical physics methods and decoding by belief propagation is also discussed.

Advanced mean field methods:theory and practice

A major problem in modern probabilistic modeling is the huge computational complexity involved in typical calculations with multivariate probability distributions when the number of random variables is large. Because exact computations are infeasible in such cases and Monte Carlo sampling techniques may reach their limits, there is a need for methods that allow for efficient approximate computations. One of the simplest approximations is based on the mean field method, which has a long history in statistical physics. The method is widely used, particularly in the growing field of graphical models. Researchers from disciplines such as statistical physics, computer science, and mathematical statistics are studying ways to improve this and related methods and are exploring novel application areas. Leading approaches include the variational approach, which goes beyond factorizable distributions to achieve systematic improvements; the TAP (Thouless-Anderson-Palmer) approach, which incorporates correlations by including effective reaction terms in the mean field theory; and the more general methods of graphical models. Bringing together ideas and techniques from these diverse disciplines, this book covers the theoretical foundations of advanced mean field methods, explores the relation between the different approaches, examines the quality of the approximation obtained, and demonstrates their application to various areas of probabilistic modeling.