Power law analysis of financial index dynamics

Power law PL and fractional calculus are two faces of phenomena with long memory behavior. This paper applies PL description to analyze different periods of the business cycle. With such purpose the evolution of ten important stock market indices DAX, Dow Jones, NASDAQ, Nikkei, NYSE, S&P500, SSEC, HSI, TWII, and BSE over time is studied. An evolutionary algorithm is used for the fitting of the PL parameters. It is observed that the PL curve fitting constitutes a good tool for revealing the signal main characteristics leading to the emergence of the global financial dynamic evolution.

Fractional discrete-time signal processing: scale conversion and linear prediction

Nonlinear Dynamics, Vol. 29

Discrete fractional order system vibrations

A theory of free vibrations of discrete fractional order (FO) systems with a finite number of degrees of freedom (dof) is developed. A FO system with a finite number of dof is defined by means of three matrices: mass inertia, system rigidity and FO elements. By adopting a matrix formulation, a mathematical description of FO discrete system free vibrations is determined in the form of coupled fractional order differential equations (FODE). The corresponding solutions in analytical form, for the special case of the matrix of FO properties elements, are determined and expressed as a polynomial series along time. For the eigen characteristic numbers, the system eigen main coordinates and the independent eigen FO modes are determined. A generalized function of visoelastic creep FO dissipation of energy and generalized forces of system with no ideal visoelastic creep FO dissipation of energy for generalized coordinates are formulated. Extended Lagrange FODE of second kind, for FO system dynamics, are also introduced. Two examples of FO chain systems are analyzed and the corresponding eigen characteristic numbers determined. It is shown that the oscillatory phenomena of a FO mechanical chain have analogies to electrical FO circuits. A FO electrical resistor is introduced and its constitutive voltage–current is formulated. Also a function of thermal energy FO dissipation of a FO electrical relation is discussed.

Bilinear models for spatio-temporal point distribution analysis: application to extrapolation of left ventricular, biventricular and whole heart cardiac dynamics

In this work we describe the usage of bilinear statistical models as a means of factoring the shape variability into two components attributed to inter-subject variation and to the intrinsic dynamics of the human heart. We show that it is feasible to reconstruct the shape of the heart at discrete points in the cardiac cycle. Provided we are given a small number of shape instances representing the same heart atdifferent points in the same cycle, we can use the bilinearmodel to establish this. Using a temporal and a spatial alignment step in the preprocessing of the shapes, around half of the reconstruction errors were on the order of the axial image resolution of 2 mm, and over 90% was within 3.5 mm. From this, weconclude that the dynamics were indeed separated from theinter-subject variability in our dataset.

On the use of spatially discrete data to compute energy and mass balance

In many practical applications the state of field soils is monitored by recording the evolution of temperature and soil moisture at discrete depths. We theoretically investigate the systematic errors that arise when mass and energy balances are computed directly from these measurements. We show that, even with no measurement or model errors, large residuals might result when finite difference approximations are used to compute fluxes and storage term. To calculate the limits set by the use of spatially discrete measurements on the accuracy of balance closure, we derive an analytical solution to estimate the residual on the basis of the two key parameters: the penetration depth and the distance between the measurements. When the thickness of the control layer for which the balance is computed is comparable to the penetration depth of the forcing (which depends on the thermal diffusivity and on the forcing period) large residuals arise. The residual is also very sensitive to the distance between the measurements, which requires accurately controlling the position of the sensors in field experiments. We also demonstrate that, for the same experimental setup, mass residuals are sensitively larger than the energy residuals due to the nonlinearity of the moisture transport equation. Our analysis suggests that a careful assessment of the systematic mass error introduced by the use of spatially discrete data is required before using fluxes and residuals computed directly from field measurements.

Interaction of a discrete breather with a lattice junction

We study the scattering of a moving discrete breather (DB) on a junction in a Fermi-Pasta-Ulam chain consisting of two segments with different masses of the particles. We consider four distinct cases: (i) a light-heavy (abrupt) junction in which the DB impinges on the junction from the segment with lighter mass, (ii) a heavy-light junction, (iii) an up mass ramp in which the mass in the heavier segment increases continuously as one moves away from the junction point, and (iv) a down mass ramp. Depending on the mass difference and DB characteristics (frequency and velocity), the DB can either reflect from, or transmit through, or get trapped at the junction or on the ramp. For the heavy-light junction, the DB can even split at the junction into a reflected and a transmitted DB. The latter is found to subsequently split into two or more DBs. For the down mass ramp the DB gets accelerated in several stages, with accompanying radiation (phonons). These results are rationalized by calculating the Peierls-Nabarro barrier for the various cases. We also point out implications of our results in realistic situations such as electron-phonon coupled chains.

Confinement of discrete breathers in inhomogeneously profiled nonlinear chains

We investigate numerically the scattering of a moving discrete breather on a pair of junctions in a Fermi-Pasta-Ulam chain. These junctions delimit an extended region with different masses of the particles. We consider (i) a rectangular trap, (ii) a wedge shaped trap, and (iii) a smoothly varying convex or concave mass profile. All three cases lead to DB confinement, with the ease of trapping depending on the profile of the trap. We also study the collision and trapping of two DBs within the profile as a function of trap width, shape, and approach time at the two junctions. The latter controls whether one or both DBs are trapped.

Analysis of a finite volume method for a cross-diffusion model in population dynamics

The main goal of this paper is to propose a convergent finite volume method for a reactionâeuro"diffusion system with cross-diffusion. First, we sketch an existence proof for a class of cross-diffusion systems. Then the standard two-point finite volume fluxes are used in combination with a nonlinear positivity-preserving approximation of the cross-diffusion coefficients. Existence and uniqueness of the approximate solution are addressed, and it is also shown that the scheme converges to the corresponding weak solution for the studied model. Furthermore, we provide a stability analysis to study pattern-formation phenomena, and we perform two-dimensional numerical examples which exhibit formation of nonuniform spatial patterns. From the simulations it is also found that experimental rates of convergence are slightly below second order. The convergence proof uses two ingredients of interest for various applications, namely the discrete Sobolev embedding inequalities with general boundary conditions and a space-time $L^1$ compactness argument that mimics the compactness lemma due to Kruzhkov. The proofs of these results are given in the Appendix.

Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data.

Artificial evolution on network structures : how time and space influence dynamics

Abstract The main objective of this work is to show how the choice of the temporal dimension and of the spatial structure of the population influences an artificial evolutionary process. In the field of Artificial Evolution we can observe a common trend in synchronously evolv¬ing panmictic populations, i.e., populations in which any individual can be recombined with any other individual. Already in the '90s, the works of Spiessens and Manderick, Sarma and De Jong, and Gorges-Schleuter have pointed out that, if a population is struc¬tured according to a mono- or bi-dimensional regular lattice, the evolutionary process shows a different dynamic with respect to the panmictic case. In particular, Sarma and De Jong have studied the selection pressure (i.e., the diffusion of a best individual when the only selection operator is active) induced by a regular bi-dimensional structure of the population, proposing a logistic modeling of the selection pressure curves. This model supposes that the diffusion of a best individual in a population follows an exponential law. We show that such a model is inadequate to describe the process, since the growth speed must be quadratic or sub-quadratic in the case of a bi-dimensional regular lattice. New linear and sub-quadratic models are proposed for modeling the selection pressure curves in, respectively, mono- and bi-dimensional regu¬lar structures. These models are extended to describe the process when asynchronous evolutions are employed. Different dynamics of the populations imply different search strategies of the resulting algorithm, when the evolutionary process is used to solve optimisation problems. A benchmark of both discrete and continuous test problems is used to study the search characteristics of the different topologies and updates of the populations. In the last decade, the pioneering studies of Watts and Strogatz have shown that most real networks, both in the biological and sociological worlds as well as in man-made structures, have mathematical properties that set them apart from regular and random structures. In particular, they introduced the concepts of small-world graphs, and they showed that this new family of structures has interesting computing capabilities. Populations structured according to these new topologies are proposed, and their evolutionary dynamics are studied and modeled. We also propose asynchronous evolutions for these structures, and the resulting evolutionary behaviors are investigated. Many man-made networks have grown, and are still growing incrementally, and explanations have been proposed for their actual shape, such as Albert and Barabasi's preferential attachment growth rule. However, many actual networks seem to have undergone some kind of Darwinian variation and selection. Thus, how these networks might have come to be selected is an interesting yet unanswered question. In the last part of this work, we show how a simple evolutionary algorithm can enable the emrgence o these kinds of structures for two prototypical problems of the automata networks world, the majority classification and the synchronisation problems. Synopsis L'objectif principal de ce travail est de montrer l'influence du choix de la dimension temporelle et de la structure spatiale d'une population sur un processus évolutionnaire artificiel. Dans le domaine de l'Evolution Artificielle on peut observer une tendence à évoluer d'une façon synchrone des populations panmictiques, où chaque individu peut être récombiné avec tout autre individu dans la population. Déjà dans les année '90, Spiessens et Manderick, Sarma et De Jong, et Gorges-Schleuter ont observé que, si une population possède une structure régulière mono- ou bi-dimensionnelle, le processus évolutionnaire montre une dynamique différente de celle d'une population panmictique. En particulier, Sarma et De Jong ont étudié la pression de sélection (c-à-d la diffusion d'un individu optimal quand seul l'opérateur de sélection est actif) induite par une structure régulière bi-dimensionnelle de la population, proposant une modélisation logistique des courbes de pression de sélection. Ce modèle suppose que la diffusion d'un individu optimal suit une loi exponentielle. On montre que ce modèle est inadéquat pour décrire ce phénomène, étant donné que la vitesse de croissance doit obéir à une loi quadratique ou sous-quadratique dans le cas d'une structure régulière bi-dimensionnelle. De nouveaux modèles linéaires et sous-quadratique sont proposés pour des structures mono- et bi-dimensionnelles. Ces modèles sont étendus pour décrire des processus évolutionnaires asynchrones. Différentes dynamiques de la population impliquent strategies différentes de recherche de l'algorithme résultant lorsque le processus évolutionnaire est utilisé pour résoudre des problèmes d'optimisation. Un ensemble de problèmes discrets et continus est utilisé pour étudier les charactéristiques de recherche des différentes topologies et mises à jour des populations. Ces dernières années, les études de Watts et Strogatz ont montré que beaucoup de réseaux, aussi bien dans les mondes biologiques et sociologiques que dans les structures produites par l'homme, ont des propriétés mathématiques qui les séparent à la fois des structures régulières et des structures aléatoires. En particulier, ils ont introduit la notion de graphe sm,all-world et ont montré que cette nouvelle famille de structures possède des intéressantes propriétés dynamiques. Des populations ayant ces nouvelles topologies sont proposés, et leurs dynamiques évolutionnaires sont étudiées et modélisées. Pour des populations ayant ces structures, des méthodes d'évolution asynchrone sont proposées, et la dynamique résultante est étudiée. Beaucoup de réseaux produits par l'homme se sont formés d'une façon incrémentale, et des explications pour leur forme actuelle ont été proposées, comme le preferential attachment de Albert et Barabàsi. Toutefois, beaucoup de réseaux existants doivent être le produit d'un processus de variation et sélection darwiniennes. Ainsi, la façon dont ces structures ont pu être sélectionnées est une question intéressante restée sans réponse. Dans la dernière partie de ce travail, on montre comment un simple processus évolutif artificiel permet à ce type de topologies d'émerger dans le cas de deux problèmes prototypiques des réseaux d'automates, les tâches de densité et de synchronisation.

Three essays on short-term macroeconomics : business fluctuations, large devaluations and inflation dynamics

Résumé: At least since the Great Depression, explaining why there are business fluctuations has been one of the biggest challenges that the science of economics has had to face. The hope is that if we could better understand recessions, then we could also be more successful in overcoming them. This dissertation consists of three papers that are part of the general endeavor of economists to understand these fluctuations. The first paper discusses, for a particular model, whether a result related to fluctuations would still hold if time were modeled as continuous rather than discrete. The two other papers focus on price stickiness. The second paper discusses why, after a large devaluation, prices of non-tradables may change by only a small amount in comparison to the magnitude of the devaluation. The third paper examines price adjustment in a model in which information is imperfect and it is costly to change prices.

Evolutionary dynamics of collective action in spatially structured populations.

Many models proposed to study the evolution of collective action rely on a formalism that represents social interactions as n-player games between individuals adopting discrete actions such as cooperate and defect. Despite the importance of spatial structure in biological collective action, the analysis of n-player games games in spatially structured populations has so far proved elusive. We address this problem by considering mixed strategies and by integrating discrete-action n-player games into the direct fitness approach of social evolution theory. This allows to conveniently identify convergence stable strategies and to capture the effect of population structure by a single structure coefficient, namely, the pairwise (scaled) relatedness among interacting individuals. As an application, we use our mathematical framework to investigate collective action problems associated with the provision of three different kinds of collective goods, paradigmatic of a vast array of helping traits in nature: "public goods" (both providers and shirkers can use the good, e.g., alarm calls), "club goods" (only providers can use the good, e.g., participation in collective hunting), and "charity goods" (only shirkers can use the good, e.g., altruistic sacrifice). We show that relatedness promotes the evolution of collective action in different ways depending on the kind of collective good and its economies of scale. Our findings highlight the importance of explicitly accounting for relatedness, the kind of collective good, and the economies of scale in theoretical and empirical studies of the evolution of collective action.

Chaotic dynamics of electric-field domains in periodically driven superlattices

Self-sustained time-dependent current oscillations under dc voltage bias have been observed in recent experiments on n-doped semiconductor superlattices with sequential resonant tunneling. The current oscillations are caused by the motion and recycling of the domain wall separating low- and high-electric-field regions of the superlattice, as the analysis of a discrete drift model shows and experimental evidence supports. Numerical simulation shows that different nonlinear dynamical regimes of the domain wall appear when an external microwave signal is superimposed on the dc bias and its driving frequency and driving amplitude vary. On the frequency-amplitude parameter plane, there are regions of entrainment and quasiperiodicity forming Arnold tongues. Chaos is demonstrated to appear at the boundaries of the tongues and in the regions where they overlap. Coexistence of up to four electric-field domains randomly nucleated in space is detected under ac+dc driving.

Investigations on the Dynamics of Combination Maps and the Analysis of Bifurcation in a Discontinuous Logistic Map

This thesis is a study of discrete nonlinear systems represented by one dimensional mappings.As one dimensional interative maps represent Poincarre sections of higher dimensional flows,they offer a convenient means to understand the dynamical evolution of many physical systems.It highlighting the basic ideas of deterministic chaos.Qualitative and quantitative measures for the detection and characterization of chaos in nonlinear systems are discussed.Some simple mathematical models exhibiting chaos are presented.The bifurcation scenario and the possible routes to chaos are explained.It present the results of the numerical computational of the Lyapunov exponents (λ) of one dimensional maps.This thesis focuses on the results obtained by our investigations on combinations maps,scaling behaviour of the Lyapunov characteristic exponents of one dimensional maps and the nature of bifurcations in a discontinous logistic map.It gives a review of the major routes to chaos in dissipative systems,namely, Period-doubling ,Intermittency and Crises.This study gives a theoretical understanding of the route to chaos in discontinous systems.A detailed analysis of the dynamics of a discontinous logistic map is carried out, both analytically and numerically ,to understand the route it follows to chaos.The present analysis deals only with the case of the discontinuity parameter applied to the right half of the interval of mapping.A detailed analysis for the n –furcations of various periodicities can be made and a more general theory for the map with discontinuities applied at different positions can be on a similar footing

Mathematical Modelling of the Dynamics of Granular Materials in a Rotating Cylinder

The current study is aimed at the development of a theoretical simulation tool based on Discrete Element Method (DEM) to 'interpret granular dynamics of solid bed in the cross section of the horizontal rotating cylinder at the microscopic level and subsequently apply this model to establish the transition behaviour, mixing and segregation.The simulation of the granular motion developed in this work is based on solving Newton's equation of motion for each particle in the granular bed subjected to the collisional forces, external forces and boundary forces. At every instant of time, the forces are tracked and the positions velocities and accelarations of each partcle is The software code for this simulation is written in VISUAL FORTRAN 90 After checking the validity of the code with special tests, it is used to investigate the transition behaviour of granular solids motion in the cross section of a rotating cylinder for various rotational speeds and fill fraction.This work is hence directed towards a theoretical investigation based on Discrete Element Method (DEM) of the motion of granular solids in the radial direction of the horizontal cylinder to elucidate the relationship between the operating parameters of the rotating cylinder geometry and physical properties ofthe granular solid.The operating parameters of the rotating cylinder include the various rotational velocities of the cylinder and volumetric fill. The physical properties of the granular solids include particle sizes, densities, stiffness coefficients, and coefficient of friction Further the work highlights the fundamental basis for the important phenomena of the system namely; (i) the different modes of solids motion observed in a transverse crosssection of the rotating cylinder for various rotational speeds, (ii) the radial mixing of the granular solid in terms of active layer depth (iii) rate coefficient of mixing as well as the transition behaviour in terms of the bed turnover time and rotational speed and (iv) the segregation mechanisms resulting from differences in the size and density of particles.The transition behaviour involving its six different modes of motion of the granular solid bed is quantified in terms of Froude number and the results obtained are validated with experimental and theoretical results reported in the literature The transition from slumping to rolling mode is quantified using the bed turnover time and a linear relationship is established between the bed turn over time and the inverse of the rotational speed of the cylinder as predicted by Davidson et al. [2000]. The effect of the rotational speed, fill fraction and coefficient of friction on the dynamic angle of repose are presented and discussed. The variation of active layer depth with respect to fill fraction and rotational speed have been investigated. The results obtained through simulation are compared with the experimental results reported by Van Puyvelde et. at. [2000] and Ding et at. [2002].The theoretical model has been further extended, to study the rmxmg and segregation in the transverse direction for different particle sizes and their size ratios. The effect of fill fraction and rotational speed on the transverse mixing behaviour is presented in the form of a mixing index and mixing kinetics curve. The segregation pattern obtained by the simulation of the granular solid bed with respect to the rotational speed of the cylinder is presented both in graphical and numerical forms. The segregation behaviour of the granular solid bed with respect to particle size, density and volume fraction of particle size has been investigated. Several important macro parameters characterising segregation such as mixing index, percolation index and segregation index have been derived from the simulation tool based on first principles developed in this work.