Scaling and data collapse for the mean exit time of asset prices

We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.

Integrated random processes exhibiting long tails, finite moments, and power-law spectra

A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling assumption, takes on a form that is the basis of the results derived in the rest of the paper. One of these is an expansion for the cumulants, which are all finite, subject to mild conditions on the functions defining the process. This is in contrast with the Lévy distribution¿which can be obtained from our model in certain limits¿which has no finite moments. The evaluation of the spectral density and the form of the probability density function in the tails of the distribution shows that the model exhibits a power-law spectrum and long tails in a natural way. A careful analysis of the characteristic function shows that it may be separated into a part representing a Lévy process together with another part representing the deviation of our model from the Lévy process. This

Difussion in a titled periodic potential: Enhancement, universality, and scaling

An exact analytical expression for the effective diffusion coefficient of an overdamped Brownian particle in a tilted periodic potential is derived for arbitrary potentials and arbitrary strengths of the thermal noise. Near the critical tilt (threshold of deterministic running solutions) a scaling behavior for weak thermal noise is revealed and various universality classes are identified. In comparison with the bare (potential-free) thermal diffusion, the effective diffusion coefficient in a critically tilted periodic potential may be, in principle, arbitrarily enhanced. For a realistic experimental setup, an enhancement by 14 orders of magnitude is predicted so that thermal diffusion should be observable on a macroscopic scale at room temperature.

Magnetic field scaling of relaxation curves in small particle systems

We study the effects of the magnetic field on the relaxation of the magnetization of smallmonodomain noninteracting particles with random orientations and distribution of anisotropyconstants. Starting from a master equation, we build up an expression for the time dependence of themagnetization which takes into account thermal activation only over barriers separating energyminima, which, in our model, can be computed exactly from analytical expressions. Numericalcalculations of the relaxation curves for different distribution widths, and under different magneticfields H and temperatures T, have been performed. We show how a T ln(t/t0) scaling of the curves,at different T and for a given H, can be carried out after proper normalization of the data to theequilibrium magnetization. The resulting master curves are shown to be closely related to what wecall effective energy barrier distributions, which, in our model, can be computed exactly fromanalytical expressions. The concept of effective distribution serves us as a basis for finding a scalingvariable to scale relaxation curves at different H and a given T, thus showing that the fielddependence of energy barriers can be also extracted from relaxation measurements.

Vortex state and effect of anisotropy in sub-100 nm magnetic nanodots

Magnetic properties of Fe nanodots are simulated using a scaling technique and Monte Carlo method, in good agreement with experimental results. For the 20-nm-thick dots with diameters larger than 60¿nm, the magnetization reversal via vortex state is observed. The role of magnetic interaction between dots in arrays in the reversal process is studied as a function of nanometric center-to-center distance. When this distance is more than twice the dot diameter, the interaction can be neglected and the magnetic properties of the entire array are determined by the magnetic configuration of the individual dots. The effect of crystalline anisotropy on the vortex state is investigated. For arrays of noninteracting dots, the anisotropy strongly affects the vortex nucleation field and coercivity, and only slightly affects the vortex annihilation field

Exact temporal evolution for some non-linear diffusion process

Exact solutions to FokkerPlanck equations with nonlinear drift are considered. Applications of these exact solutions for concrete models are studied. We arrive at the conclusion that for certain drifts we obtain divergent moments (and infinite relaxation time) if the diffusion process can be extended without any obstacle to the whole space. But if we introduce a potential barrier that limits the diffusion process, moments converge with a finite relaxation time.

Finite-size scaling investigation of the liquid-liquid critical point in ST2 water and its stability with respect to crystallization.

The liquid-liquid critical point scenario of water hypothesizes the existence of two metastable liq- uid phases low-density liquid (LDL) and high-density liquid (HDL) deep within the supercooled region. The hypothesis originates from computer simulations of the ST2 water model, but the stabil- ity of the LDL phase with respect to the crystal is still being debated. We simulate supercooled ST2 water at constant pressure, constant temperature, and constant number of molecules N for N ≤ 729 and times up to 1 μs. We observe clear differences between the two liquids, both structural and dynamical. Using several methods, including finite-size scaling, we confirm the presence of a liquid-liquid phase transition ending in a critical point. We find that the LDL is stable with respect to the crystal in 98% of our runs (we perform 372 runs for LDL or LDL-like states), and in 100% of our runs for the two largest system sizes (N = 512 and 729, for which we perform 136 runs for LDL or LDL-like states). In all these runs, tiny crystallites grow and then melt within 1 μs. Only for N ≤ 343 we observe six events (over 236 runs for LDL or LDL-like states) of spontaneous crystal- lization after crystallites reach an estimated critical size of about 70 ± 10 molecules.

HR-243 Production and Evaluation of Calcium Magnesium Acetate, Febrauray 19, 2001

Calcium magnesium acetate (CMA) has been identified by Bjorksten Research Laboratories as an environmentally harmless alternative to sodium or calcium chloride for deicing highways. Their study found CMA to be noncorrosive to steel, aluminum and zinc with little or no anticipated environmental impact. When used, it degrades into elements found in abundance in nature. The deicing capabilities were found to be similar to sodium chloride. The neutralized CMA they produced did cause scaling of PC concrete, but they did not expect mildly alkaline CMA to have this effect. In the initial investigation of CMA at the Iowa DOT laboratory, it was found that CMA produced from hydrated lime and acetic acid was a light, fluffy material. It was recognized that a deicer in this form would be difficult to effectively distribute on highways without considerable wind loss. A process was developed to produce CMA in the presence of sand to increase particle weight. In this report the product of this process, which consists of sand particles coated with CMA, is referred to as "CMA deicer". The mixture of salts, calcium magnesium acetate, is referred to as "CMA". The major problems with CMA for deicing are: (1) it is not commercially available, (2) it is expensive with present production methods and (3) there is very little known about how it performs on highways under actual deicing conditions. In view of the potential benefits this material offers, it is highly desirable to find solutions or answers to these problems. This study provides information to advance that effort.