Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

The small x behavior of the gluon strucutre function from total cross-sections

Within a QCD-based eikonal model with a dynamical infrared gluon mass scale we discuss how the small x behavior of the gluon distribution function at moderate Q(2) is directly related to the rise of total hadronic cross-sections. In this model the rise of total cross-sections is driven by gluon-gluon semihard scattering processes, where the behavior of the small x gluon distribtuion function exhibits the power law xg(x, Q(2)) = h(Q(2))x(-epsilon). Assuming that the Q(2) scale is proportional to the dynamical gluon mass one, we show that the values of h(Q(2)) obtained in this model are compatible with an earlier result based on a specific nonperturbative Pomeron model. We discuss the implications of this picture for the behavior of input valence-like gluon distributions at low resolution scales.

Towards a hybrid compactification with a scalar-tensor global cosmic string

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effective nonlinear Schrodinger equations for cigar-shaped and disc-shaped Fermi superfluids at unitarity

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Boundary crisis and transient in a dissipative relativistic standard map

Some dynamical properties for a problem concerning the acceleration of particles in a wave packet are studied. The model is described in terms of a two-dimensional nonlinear map obtained from a Hamiltonian which describes the motion of a relativistic standard map. The phase space is mixed in the sense that there are regular and chaotic regions coexisting. When dissipation is introduced, the property of area preservation is broken and attractors emerge. We have shown that a tiny increase of the dissipation causes a change in the phase space. A chaotic attractor as well as its basin of attraction are destroyed thereby leading the system to experience a boundary crisis. We have characterized such a boundary crisis via a collision of the chaotic attractor with the stable manifold of a saddle fixed point. Once the chaotic attractor is destroyed, a chaotic transient described by a power law with exponent 1 is observed. (C) 2011 Elsevier B.V. All rights reserved.

Dynamical properties of a particle in a wave packet: Scaling invariance and boundary crisis

Some dynamical properties present in a problem concerning the acceleration of particles in a wave packet are studied. The dynamics of the model is described in terms of a two-dimensional area preserving map. We show that the phase space is mixed in the sense that there are regular and chaotic regions coexisting. We use a connection with the standard map in order to find the position of the first invariant spanning curve which borders the chaotic sea. We find that the position of the first invariant spanning curve increases as a power of the control parameter with the exponent 2/3. The standard deviation of the kinetic energy of an ensemble of initial conditions obeys a power law as a function of time, and saturates after some crossover. Scaling formalism is used in order to characterise the chaotic region close to the transition from integrability to nonintegrability and a relationship between the power law exponents is derived. The formalism can be applied in many different systems with mixed phase space. Then, dissipation is introduced into the model and therefore the property of area preservation is broken, and consequently attractors are observed. We show that after a small change of the dissipation, the chaotic attractor as well as its basin of attraction are destroyed, thus leading the system to experience a boundary crisis. The transient after the crisis follows a power law with exponent -2. (C) 2011 Elsevier Ltd. All rights reserved.

Recurrence of particles in static and time varying oval billiards

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The aggregation process in tetraethoxysilane-derived sonogels as an analogy to the critical phenomenon

The structural evolution in silica sols prepared from tetraethoxysilane (TEOS) sonohydrolysis was studied 'in situ' using small-angle x-ray scattering (SAXS). The structure of the gelling system can be reasonably well described by a correlation function given by gamma(r) similar to (1/R(2))(1/r) exp(- r/xi), where xi is the structure correlation length and R is a chain persistence length, as an analogy to the Ornstein-Zernike theory in describing critical phenomenon. This approach is also expected for the scattering from some linear and branched molecules as polydisperse coils of linear chains and random f-functional branched polycondensates. The characteristic length. grows following an approximate power law with time t as xi similar to t(1) (with the exponent quite close to 1) while R remains undetermined but with a constant value, except at the beginning of the process in which the growth of. is slower and R increases by only about 15% with respect to the value of the initial sol. The structural evolution with time is compatible with an aggregation process by a phase separation by coarsening. The mechanism of growth seems to be faster than those typically observed for pure diffusion controlled cluster-cluster aggregation. This suggests that physical forces (hydrothermal forces) could be actuating together with diffusion in the gelling process of this system. The data apparently do not support a spinodal decomposition mechanism, at least when starting from the initial stable acid sol studied here.

Structure and Growth Kinetics of 3-Glycidoxypropyltrimethoxysilane-Derived Organic/Silica Hybrids at Different Temperatures

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Dynamic Scaling and Growth Kinetics of 3-Glycidoxypropyltrimethoxysilane-Derived Organic/Silica Hybrids

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Modifications in the correlation function in poly(vinyl alcohol)/silica hybrid wet gels

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Effects of poly(vinyl alcohol) additions on the structure of silica xerogels

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Persistence Length, Mass Fractal, and Branching in the Aggregating of Vinyltriethoxysilane-Derived Organic/Silica Hybrids

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Dynamical scaling in fractal structures in the aggregation of tetraethoxysilane-derived sonogels

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Scaling investigation for the dynamics of charged particles in an electric field accelerator

Some dynamical properties of an ensemble of trajectories of individual (non-interacting) classical particles of mass m and charge q interacting with a time-dependent electric field and suffering the action of a constant magnetic field are studied. Depending on both the amplitude of oscillation of the electric field and the intensity of the magnetic field, the phase space of the model can either exhibit: (i) regular behavior or (ii) a mixed structure, with periodic islands of regular motion, chaotic seas characterized by positive Lyapunov exponents, and invariant Kolmogorov-Arnold-Moser curves preventing the particle to reach unbounded energy. We define an escape window in the chaotic sea and study the transport properties for chaotic orbits along the phase space by the use of scaling formalism. Our results show that the escape distribution and the survival probability obey homogeneous functions characterized by critical exponents and present universal behavior under appropriate scaling transformations. We show the survival probability decays exponentially for small iterations changing to a slower power law decay for large time, therefore, characterizing clearly the effects of stickiness of the islands and invariant tori. For the range of parameters used, our results show that the crossover from fast to slow decay obeys a power law and the behavior of survival orbits is scaling invariant. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4772997]