Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Class of correlated random networks with hidden variables

We study a class of models of correlated random networks in which vertices are characterized by hidden variables controlling the establishment of edges between pairs of vertices. We find analytical expressions for the main topological properties of these models as a function of the distribution of hidden variables and the probability of connecting vertices. The expressions obtained are checked by means of numerical simulations in a particular example. The general model is extended to describe a practical algorithm to generate random networks with an a priori specified correlation structure. We also present an extension of the class, to map nonequilibrium growing networks to networks with hidden variables that represent the time at which each vertex was introduced in the system.

Exact long-time behavior of a network of oscillators under random fields

We present an exact solution for the order parameters that characterize the stationary behavior of a population of Kuramotos phase oscillators under random external fields [Y. Kuramoto, in International Symposium on Mathematical Problems in Theoretical Physics, Lecture Notes in Physics, Vol. 39 (Springer, Berlin, 1975), p. 420]. From these results it is possible to generate the phase diagram of models with an arbitrary distribution of random frequencies and random fields.

Generalization of the persistent random walk to dimensions greater than 1

We propose a generalization of the persistent random walk for dimensions greater than 1. Based on a cubic lattice, the model is suitable for an arbitrary dimension d. We study the continuum limit and obtain the equation satisfied by the probability density function for the position of the random walker. An exact solution is obtained for the projected motion along an axis. This solution, which is written in terms of the free-space solution of the one-dimensional telegraphers equation, may open a new way to address the problem of light propagation through thin slabs.

Non independent continuous-time random walks

The usual development of the continuous-time random walk (CTRW) assumes that jumps and time intervals are a two-dimensional set of independent and identically distributed random variables. In this paper, we address the theoretical setting of nonindependent CTRWs where consecutive jumps and/or time intervals are correlated. An exact solution to the problem is obtained for the special but relevant case in which the correlation solely depends on the signs of consecutive jumps. Even in this simple case, some interesting features arise, such as transitions from unimodal to bimodal distributions due to correlation. We also develop the necessary analytical techniques and approximations to handle more general situations that can appear in practice.

Random mixtures with orientational order, and the anisotropic resistivity tensor of high Tc superconductors

By generalizing effective-medium theory to the case of orientationally ordered but positionally disordered two component mixtures, it is shown that the anisotropic dielectric tensor of oxide superconductors can be extracted from microwave measurements on oriented crystallites of YBa2Cu3O7¿x embedded in epoxy. Surprisingly, this technique appears to be the only one which can access the resistivity perpendicular to the copper¿oxide planes in crystallites that are too small for depositing electrodes. This possibility arises in part because the real part of the dielectric constant of oxide superconductors has a large magnitude. The validity of the effective-medium approach for orientationally ordered mixtures is corroborated by simulations on two¿dimensional anisotropic random resistor networks. Analysis of the experimental data suggests that the zero-temperature limit of the finite frequency resistivity does not vanish along the c axis, a result which would simply the existence of states at the Fermi surface, even in the superconducting state

Parrondo-like behavior in continuous-time random walks with memory

The continuous-time random walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this paper we will show how the random combination of two different unbiased CTRWs can give rise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as noise, the effect can be thought of as a kind of stochastic resonance. The ultimate origin of this phenomenon is the same as that of the Parrondo paradox in game theory.

Quantum relaxation in random magnets

We present a comprehensive study of the low-temperature magnetic relaxation in random magnets. The first part of the paper contains theoretical analysis of the expected features of the relaxation, based upon current theories of quantum tunneling of magnetization. Models of tunneling, dissipation, the crossover from the thermal to the quantum regime, and the effect of barrier distribution on the relaxation rate are discussed. It is argued that relaxation-type experiments are ideally suited for the observation of magnetic tunneling, since they automatically provide the condition of very low barriers. The second part of the paper contains experimental results on transition-metal¿rare-earth amorphous magnets. Structural and magnetic characterization of materials is presented. The temperature and field dependence of the magnetic relaxation is studied. Our key observation is a nonthermal character of the relaxation below a few kelvin. The observed features are in agreement with theoretical suggestions on quantum tunneling of magnetization.

Structural disorder in two-dimensional random magnets: Very thin films of rare earths and transition metals

The low-temperature isothermal magnetization curves, M(H), of SmCo4 and Fe3Tb thin films are studied according to the two-dimensional correlated spin-glass model of Chudnovsky. We have calculated the magnetization law in approach to saturation and shown that the M(H) data fit well the theory at high and low fields. In our fit procedure we have used three different correlation functions. The Gaussian decay correlation function fits well the experimental data for both samples.

Non-random autosome segregation: a stepping stone for the evolution of sex chromosome complexes?

A new study in Caenorhabditis elegans shows that homologous autosomes segregate non-randomly with the sex chromosome in the heterogametic sex. Segregation occurs according to size, small autosomes segregating with, and large autosomes segregating away from the X-chromosome. Such sex-biased transmission of autosomes could facilitate the spread of sexually antagonistic alleles whose effects favor the fitness of one sex at the expense of the other. This may provide a first step toward the evolution of new sex determination systems.

Escherichia coli RuvBL268S: a mutant RuvB protein that exhibits wild-type activities in vitro but confers a UV-sensitive ruv phenotype in vivo.

The RuvABC proteins of Escherichia coli process recombination intermediates during genetic recombination and DNA repair. RuvA and RuvB promote branch migration of Holliday junctions, a process that extends heteroduplex DNA. Together with RuvC, they form a RuvABC complex capable of Holliday junction resolution. Branch migration by RuvAB is mediated by RuvB, a hexameric ring protein that acts as an ATP-driven molecular pump. To gain insight into the mechanism of branch migration, random mutations were introduced into the ruvB gene by PCR and a collection of mutant alleles were obtained. Mutation of leucine 268 to serine resulted in a severe UV-sensitive phenotype, characteristic of a ruv defect. Here, we report a biochemical analysis of the mutant protein RuvBL268S. Unexpectedly, the purified protein is fully active in vitro with regard to its ATPase, DNA binding and DNA unwinding activities. It also promotes efficient branch migration in combination with RuvA, and forms functional RuvABC-Holliday junction resolvase complexes. These results indicate that RuvB may perform some additional, and as yet undefined, function that is necessary for cell survival after UV-irradiation.

Stochastic differential equations with random coefficients

In this paper we establish the existence and uniqueness of a solution for different types of stochastic differential equation with random initial conditions and random coefficients. The stochastic integral is interpreted as a generalized Stratonovich integral, and the techniques used to derive these results are mainly based on the path properties of the Brownian motion, and the definition of the Stratonovich integral.