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.

Scaling in few-body nuclear physics

The nuclear matter calculations with realistic nucleon-nucleon potentials present a general scaling between the nucleon-nucleus binding energy, the corresponding saturation density, and the triton binding energy. The Thomas-Efimov three-body effect implies in correlations among low-energy few-body and many-body observables. It is also well known that, by varying the short-range repulsion, keeping the two-nucleon information (deuteron and scattering) fixed, the four-nucleon and three-nucleon binding energies lie on a very narrow band known as a Tjon line. By looking for a universal scaling function connecting the proper scales of the few-body system with those of the many-body system, we suggest that the general nucleus-nucleon scaling mechanism is a manifestation of a universal few-body effect.

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.

Operator ordering in quantum radiative processes

In this work we reexamine quantum electrodynamics of atomic electrons in the Coulomb gauge in the dipole approximation and calculate the shift of atomic energy levels in the context of Dalibard, Dupont-Roc and Cohen-Tannoudji formalism by considering the variation rates of physical observable. We then analyze the physical interpretation of the ordering of operators in the dipole approximation interaction Hamiltonian in terms of field fluctuations and self-reaction of atomic electrons, discussing the arbitrariness in the statistical functions in second-order bound-state perturbation theory. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Ploidy, sex and crossing over in an evolutionary aging model

Nowadays, many forms of reproduction coexist in nature: Asexual, Sexual, apomictic and meiotic parthenogenesis, hermaphroditism and parasex. The mechanisms of their evolution and what made them successful reproductive alternatives are very challenging and debated questions. Here, using a simple evolutionary aging model, we give I possible scenario. By studying the performance of Populations where individuals may have diverse characteristics-different ploidies, sex with or without crossing over, as well as the absence of sex-we find all evolution sequence that may explain why there are actually two major or leading groups: Sexual and asexual. We also investigate the dependence of these characteristics on different conditions of fertility and deleterious mutations. Finally, if the primeval organisms oil Earth were, in fact, asexual individuals we conjecture that the sexual form of reproduction could have more easily been set and found its niche during a period of low-intensity mutations. (c) 2005 Elsevier B.V. All rights reserved.

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Langevin simulation of scalar fields: Additive and multiplicative noises and lattice renormalization

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Population persistence in weakly-coupled sinks

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Dynamics of two planets in the 3/2 mean-motion resonance: Application to the planetary system of the pulsar PSR B1257+12

This paper considers the dynamics of two planets, as the planets B and C of the pulsar PSR B1257+12, near a 3/2 mean-motion resonance. A two-degrees-of-freedom model, in the framework of the general three-body planar problem, is used and the solutions are analyzed through surfaces of section and Fourier techniques in the full phase space of the system.

Non-uniform drag force on the Fermi accelerator model

Some dynamical properties of a particle suffering the action of a generic drag force are obtained for a dissipative Fermi Acceleration model. The dissipation is introduced via a viscous drag force, like a gas, and is assumed to be proportional to a power of the velocity: F alpha -nu(gamma). The dynamics is described by a two-dimensional nonlinear area-contracting mapping obtained via the solution of Newton's second law of motion. We prove analytically that the decay of high energy is given by a continued fraction which recovers the following expressions: (i) linear for gamma = 1; (ii) exponential for gamma = 2; and (iii) second-degree polynomial type for gamma = 1.5. Our results are discussed for both the complete version and the simplified version. The procedure used in the present paper can be extended to many different kinds of system, including a class of billiards problems.

Gradually truncated log-normal in USA publicly traded firm size distribution

We study the statistical distribution of firm size for USA and Brazilian publicly traded firms through the Zipf plot technique. Sale size is used to measure firm size. The Brazilian firm size distribution is given by a log-normal distribution without any adjustable parameter. However, we also need to consider different parameters of log-normal distribution for the largest firms in the distribution, which are mostly foreign firms. The log-normal distribution has to be gradually truncated after a certain critical value for USA firms. Therefore, the original hypothesis of proportional effect proposed by Gibrat is valid with some modification for very large firms. We also consider the possible mechanisms behind this distribution. (c) 2006 Published by Elsevier B.V.

Finns growth dynamics, competition and power-law scaling

We study the growth dynamics of the size of manufacturing firms considering competition and normal distribution of competency. We start with the fact that all components of the system struggle with each other for growth as happened in real competitive business world. The detailed quantitative agreement of the theory with empirical results of firms growth based on a large economic database spanning over 20 years is good with a single set of the parameters for all the curves. Further, the empirical data of the variation of the standard deviation of the growth rate with the size of the firm are in accordance with the present theory rather than a simple power law. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Tsallis statistics and gradually truncated Levy flight - distribution of an economical index

Tsallis postulated a generalized form for entropy and give rise to a new statistics now known as Tsallis statistics. In the present work, we compare the Tsallis statistics with the gradually truncated Levy flight, and discuss the distribution of an economical index-the Standard and Poor's 500-using the values of standard deviation as calculated by our model. We find that both statistics give almost the same distribution. Thus we feel that gradual truncation of Levy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Levy flight is based on physical considerations and bring a better physical picture of the dynamics of the whole system. Tsallis statistics gives a theoretical support. Both statistics together can be utilized for the development of a more exact portfolio theory or to understand better the complexities in human and financial behaviors. A comparison of both statistics is made. (C) 2002 Published by Elsevier B.V. B.V.

The defocusing mechanism of isochronous resonances

We present a numerical study concerning the defocusing mechanism of isochronous resonance island chains in the presence of two permanent robust tori. The process is initialized and concluded through bifurcations of fixed points located on the robust tori. Our approach is based on a Hamiltonian system derived from the resonant normal form. Choosing a convenient parameter in this system, we are able to depict a comprehensive analysis of the dynamics of the problem. (c) 2004 Elsevier B.V. All rights reserved.

Size limiting in Tsallis statistics

Power law scaling is observed in many physical, biological and socio-economical complex systems and is now considered an important property of these systems. In general, power law exists in the central part of the distribution. It has deviations from power law for very small and very large variable sizes. Tsallis, through non-extensive thermodynamics, explained power law distribution in many cases including deviation from the power law. In case of very large steps, the used the heuristic crossover approach. In the present we present an alternative model in which we consider that the entropy factor 9 decreases with variable size due to the softening of long range interactions or memory. We apply this model for distribution of citation index of scientists and examination scores and are able to explain the distribution for entire variable range. In the present model, we can have very sharp cut-off without interfering with power law in its central part as observed in many cases. (C) 2008 Elsevier B.V. All rights reserved.