Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

O Modelo de Ising inomogêneo: uma interrupção contínua entre as redes quadrada e triangular.

The ferromagnetic and antiferromagnetic Ising model on a two dimensional inhomogeneous lattice characterized by two exchange constants (J1 and J2) is investigated. The lattice allows, in a continuous manner, the interpolation between the uniforme square (J2 = 0) and triangular (J2 = J1) lattices. By performing Monte Carlo simulation using the sequential Metropolis algorithm, we calculate the magnetization and the magnetic susceptibility on lattices of differents sizes. Applying the finite size scaling method through a data colappse, we obtained the critical temperatures as well as the critical exponents of the model for several values of the parameter α = J2 J1 in the [0, 1] range. The ferromagnetic case shows a linear increasing behavior of the critical temperature Tc for increasing values of α. Inwhich concerns the antiferromagnetic system, we observe a linear (decreasing) behavior of Tc, only for small values of α; in the range [0.6, 1], where frustrations effects are more pronunciated, the critical temperature Tc decays more quickly, possibly in a non-linear way, to the limiting value Tc = 0, cor-responding to the homogeneous fully frustrated antiferromagnetic triangular case.

Simulações de Monte Carlo para os modelos Ising e Blume-Capel em redes complexa

We studied the Ising model ferromagnetic as spin-1/2 and the Blume-Capel model as spin-1, > 0 on small world network, using computer simulation through the Metropolis algorithm. We calculated macroscopic quantities of the system, such as internal energy, magnetization, specific heat, magnetic susceptibility and Binder cumulant. We found for the Ising model the same result obtained by Koreans H. Hong, Beom Jun Kim and M. Y. Choi [6] and critical behavior similar Blume-Capel model

The Yang-Lee zeros of the 1D Blume-Capel model on connected and non-connected rings

We carry out a numerical and analytic analysis of the Yang-Lee zeros of the ID Blume-Capel model with periodic boundary conditions and its generalization on Feynman diagrams for which we include sums over all connected and nonconnected rings for a given number of spins. In both cases, for a specific range of the parameters, the zeros originally on the unit circle are shown to depart from it as we increase the temperature beyond some limit. The curve of zeros can bifurcate- and become two disjoint arcs as in the 2D case. We also show that in the thermodynamic limit the zeros of both Blume-Capel models on the static (connected ring) and on the dynamical (Feynman diagrams) lattice tend to overlap. In the special case of the 1D Ising model on Feynman diagrams we can prove for arbitrary number of spins that the Yang-Lee zeros must be on the unit circle. The proof is based on a property of the zeros of Legendre polynomials.

Propriedades magnéticas do modelo de Ising bidimensional em uma rede bipartida de spins 1/2 e 1: um estudo de ferrimagnetismo com vacâncias

Pós-graduação em Ciência e Tecnologia de Materiais - FC

Estudo de percolação de clusters de Monte Carlo para o modelo de Ising bidimensional

Pós-graduação em Física - IFT

Yang-Lee zeros of the two- and three-state Potts model defined on π3 Feynman diagrams

We present both analytical and numerical results on the position of partition function zeros on the complex magnetic field plane of the q=2 state (Ising) and the q=3 state Potts model defined on phi(3) Feynman diagrams (thin random graphs). Our analytic results are based on the ideas of destructive interference of coexisting phases and low temperature expansions. For the case of the Ising model, an argument based on a symmetry of the saddle point equations leads us to a nonperturbative proof that the Yang-Lee zeros are located on the unit circle, although no circle theorem is known in this case of random graphs. For the q=3 state Potts model, our perturbative results indicate that the Yang-Lee zeros lie outside the unit circle. Both analytic results are confirmed by finite lattice numerical calculations.

Numerical test of the Cardy-Jacobsen conjecture in the site-diluted Potts model in three dimensions

We present a microcanonical Monte Carlo simulation of the site-diluted Potts model in three dimensions with eight internal states, partly carried out on the citizen supercomputer Ibercivis. Upon dilution, the pure model’s first-order transition becomes of the second order at a tricritical point. We compute accurately the critical exponents at the tricritical point. As expected from the Cardy-Jacobsen conjecture, they are compatible with their random field Ising model counterpart. The conclusion is further reinforced by comparison with older data for the Potts model with four states.

Critical behavior in the site-diluted three-dimensional three-state Potts model

We have studied numerically the effect of quenched site dilution on a weak first-order phase transition in three dimensions. We have simulated the site diluted three-states Potts model studying in detail the secondorder region of its phase diagram. We have found that the n exponent is compatible with the one of the three-dimensional diluted Ising model, whereas the h exponent is definitely different.

Probability currents and entropy production in nonequilibrium lattice systems

The structure of probability currents is studied for the dynamical network after consecutive contraction on two-state, nonequilibrium lattice systems. This procedure allows us to investigate the transition rates between configurations on small clusters and highlights some relevant effects of lattice symmetries on the elementary transitions that are responsible for entropy production. A method is suggested to estimate the entropy production for different levels of approximations (cluster sizes) as demonstrated in the two-dimensional contact process with mutation.

Nonuniversal behavior for aperiodic interactions within a mean-field approximation

We study the spin-1/2 Ising model on a Bethe lattice in the mean-field limit, with the interaction constants following one of two deterministic aperiodic sequences, the Fibonacci or period-doubling one. New algorithms of sequence generation were implemented, which were fundamental in obtaining long sequences and, therefore, precise results. We calculate the exact critical temperature for both sequences, as well as the critical exponents beta, gamma, and delta. For the Fibonacci sequence, the exponents are classical, while for the period-doubling one they depend on the ratio between the two exchange constants. The usual relations between critical exponents are satisfied, within error bars, for the period-doubling sequence. Therefore, we show that mean-field-like procedures may lead to nonclassical critical exponents.

Orbital multicriticality in spin-gapped quasi-one-dimensional antiferromagnets

Motivated by the quasi-one-dimensional antiferromagnet CaV(2)O(4), we explore spin-orbital systems in which the spin modes are gapped but orbitals are near a macroscopically degenerate classical transition. Within a simplified model we show that gapless orbital liquid phases possessing power-law correlations may occur without the strict condition of a continuous orbital symmetry. For the model proposed for CaV(2)O(4), we find that an orbital phase with coexisting order parameters emerges from a multicritical point. The effective orbital model consists of zigzag-coupled transverse field Ising chains. The corresponding global phase diagram is constructed using field theory methods and analyzed near the multicritical point with the aid of an exact solution of a zigzag XXZ model.

An oracle approach for interaction neighborhood estimation in random fields

We consider the problem of interaction neighborhood estimation from the partial observation of a finite number of realizations of a random field. We introduce a model selection rule to choose estimators of conditional probabilities among natural candidates. Our main result is an oracle inequality satisfied by the resulting estimator. We use then this selection rule in a two-step procedure to evaluate the interacting neighborhoods. The selection rule selects a small prior set of possible interacting points and a cutting step remove from this prior set the irrelevant points. We also prove that the Ising models satisfy the assumptions of the main theorems, without restrictions on the temperature, on the structure of the interacting graph or on the range of the interactions. It provides therefore a large class of applications for our results. We give a computationally efficient procedure in these models. We finally show the practical efficiency of our approach in a simulation study.

Entanglement in a simple quantum phase transition

What entanglement is present in naturally occurring physical systems at thermal equilibrium? Most such systems are intractable and it is desirable to study simple but realistic systems that can be solved. An example of such a system is the one-dimensional infinite-lattice anisotropic XY model. This model is exactly solvable using the Jordan-Wigner transform, and it is possible to calculate the two-site reduced density matrix for all pairs of sites. Using the two-site density matrix, the entanglement of formation between any two sites is calculated for all parameter values and temperatures. We also study the entanglement in the transverse Ising model, a special case of the XY model, which exhibits a quantum phase transition. It is found that the next-nearest-neighbor entanglement (though not the nearest-neighbor entanglement) is a maximum at the critical point. Furthermore, we show that the critical point in the transverse Ising model corresponds to a transition in the behavior of the entanglement between a single site and the remainder of the lattice.

Spin-glass dynamics

Spin glasses are magnetic systems with conflicting and random interactions between the individual spins. The dynamics of spin glasses, as of structural glasses, reflect their complexity. Both in experimental and numerical work the relaxation below the freezing temperature depends strongly on the annealing conditions (aging) and, above the freezing point, relaxation in equilibrium is slow and non-exponential, In this Forum, observed characteristics of the dynamics were summarized and the physical models proposed to explain them were outlined. (C) 1998 Elsevier Science B.V. All rights reserved.