Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

Describing function of two masses with backlash

This paper analyzes the dynamical properties of systems with backlash and impact phenomena based on the describing function method. It is shown that this type of nonlinearity can be analyzed in the perspective of the fractional calculus theory. The fractional dynamics is compared with that of standard models.

Fractional order modelling of dynamic backlash

This paper studies the dynamical properties of systems with backlash and impact phenomena. This type of non-linearity can be tackled in the perspective of the fractional calculus theory. Fractional and integer order models are compared and their influence upon the emerging dynamics is analysed. It is demonstrated that fractional models can memorize dynamical effects due to multiple micro-collisions.

Analysis of Systems with Backlash and Impacts through the Describing Function

This paper analyses the dynamical properties of systems with backlash and impact phenomena based on the describing function method. The dynamics is illustrated using the Nyquist and Bode plots and the results are compared with those of standard models.

Giving SBML support to ByoDyn

Report for the scientific stay at the California Institute of Technology during the summer of 2005. ByoDyn is a tool for simulating the dynamical expression of gene regulatory networks (GRNs) and for parameter estimation in uni- and multicellular models. A software support was carried out describing GRNs in the Systems Biology Markup Language (SBML). This one is a computer format for representing and storing computational models of biochemical pathways in software tools and databases. Supporting this format gives ByoDyn a wide range of possibilities to study the dynamical properties of multiple regulatory pathways.

Synchronous versus asynchronous modeling of gene regulatory networks.

MOTIVATION: In silico modeling of gene regulatory networks has gained some momentum recently due to increased interest in analyzing the dynamics of biological systems. This has been further facilitated by the increasing availability of experimental data on gene-gene, protein-protein and gene-protein interactions. The two dynamical properties that are often experimentally testable are perturbations and stable steady states. Although a lot of work has been done on the identification of steady states, not much work has been reported on in silico modeling of cellular differentiation processes. RESULTS: In this manuscript, we provide algorithms based on reduced ordered binary decision diagrams (ROBDDs) for Boolean modeling of gene regulatory networks. Algorithms for synchronous and asynchronous transition models have been proposed and their corresponding computational properties have been analyzed. These algorithms allow users to compute cyclic attractors of large networks that are currently not feasible using existing software. Hereby we provide a framework to analyze the effect of multiple gene perturbation protocols, and their effect on cell differentiation processes. These algorithms were validated on the T-helper model showing the correct steady state identification and Th1-Th2 cellular differentiation process. AVAILABILITY: The software binaries for Windows and Linux platforms can be downloaded from http://si2.epfl.ch/~garg/genysis.html.

Probing vortices in 4He nanodroplets

We present static and dynamical properties of linear vortices in 4He droplets obtained from density functional calculations. By comparing the adsorption properties of different atomic impurities embedded in pure droplets and in droplets where a quantized vortex has been created, we suggest that Ca atoms should be the dopant of choice to detect vortices by means of spectroscopic experiments.

Intrinsic noise-induced phase transitions: Beyond the noise interpretation

We discuss intrinsic noise effects in stochastic multiplicative-noise partial differential equations, which are qualitatively independent of the noise interpretation (Itô vs Stratonovich), in particular in the context of noise-induced ordering phase transitions. We study a model which, contrary to all cases known so far, exhibits such ordering transitions when the noise is interpreted not only according to Stratonovich, but also to Itô. The main feature of this model is the absence of a linear instability at the transition point. The dynamical properties of the resulting noise-induced growth processes are studied and compared in the two interpretations and with a reference Ginzburg-Landau-type model. A detailed discussion of a different numerical algorithm valid for both interpretations is also presented.

Modelization of surface diffusion of a molecular dimer

A simple model for a dimer molecular diffusion on a crystalline surface, as a function of temperature, is presented. The dimer is formed by two particles coupled by a quadratic potential. The dimer diffusion is modeled by an overdamped Langevin equation in the presence of a two-dimensional periodic potential. Numerical simulation¿s results exhibit some dynamical properties observed, for example, in Si2 diffusion on a silicon [100] surface. They can be used to predict the value of the effective friction parameter. Comparison between our model and experimental measurements is presented.

Static structure and dynamics of the liquid Li-Na and Li-Mg alloys

We present calculations for the static structure and ordering properties of two lithium-based s-p bonded liquid alloys, Li-Na and Li-Mg. Our theoretical approach is based on the neutral pseudoatom method to derive the interatomic pair potentials, and on the modified-hypernetted-chain theory of liquids to obtain the liquid static structure, leading to a whole combination that is free of adjustable parameters. The study is complemented by performing molecular dynamics simulations which, besides checking the theoretical static structural results, also allow a calculation of some dynamical properties. The obtained results are compared with the available experimental data.

Percolation transition and the onset of nonexponential relaxation in fully frustrated models

We numerically study the dynamical properties of fully frustrated models in two and three dimensions. The results obtained support the hypothesis that the percolation transition of the Kasteleyn-Fortuin clusters corresponds to the onset of stretched exponential autocorrelation functions in systems without disorder. This dynamical behavior may be due to the large scale effects of frustration, present below the percolation threshold. Moreover, these results are consistent with the picture suggested by Campbell et al. [J. Phys. C 20, L47 (1987)] in the space of configurations.

Computer simulation study of liquid lithium at 470 and 843 K

Both structural and dynamical properties of 7Li at 470 and 843 K are studied by molecular dynamics simulation and the results are comapred with the available experimental data. Two effective interatomic potentials are used, i.e., a potential derived from the Ashcroft pseudopotential [Phys. Lett. 23, 48 (1966)] and a recently proposed potential deduced from the neutral pseudoatom method [J. Phys.: Condens. Matter 5, 4283 (1993)]. Although the shape of the two potential functions is very different, the majority of the properties calculated from them are very similar. The differences among the results using the two interaction models are carefully discussed.

Invaded cluster dynamics for frustrated models

The invaded cluster (IC) dynamics introduced by Machta et al. [Phys. Rev. Lett. 75, 2792 (1995)] is extended to the fully frustrated Ising model on a square lattice. The properties of the dynamics that exhibits numerical evidence of self-organized criticality are studied. The fluctuations in the IC dynamics are shown to be intrinsic of the algorithm and the fluctuation-dissipation theorem is no longer valid. The relaxation time is found to be very short and does not present a critical size dependence.

Local optima networks of hard combinatorial landscapes

Combinatorial optimization involves finding an optimal solution in a finite set of options; many everyday life problems are of this kind. However, the number of options grows exponentially with the size of the problem, such that an exhaustive search for the best solution is practically infeasible beyond a certain problem size. When efficient algorithms are not available, a practical approach to obtain an approximate solution to the problem at hand, is to start with an educated guess and gradually refine it until we have a good-enough solution. Roughly speaking, this is how local search heuristics work. These stochastic algorithms navigate the problem search space by iteratively turning the current solution into new candidate solutions, guiding the search towards better solutions. The search performance, therefore, depends on structural aspects of the search space, which in turn depend on the move operator being used to modify solutions. A common way to characterize the search space of a problem is through the study of its fitness landscape, a mathematical object comprising the space of all possible solutions, their value with respect to the optimization objective, and a relationship of neighborhood defined by the move operator. The landscape metaphor is used to explain the search dynamics as a sort of potential function. The concept is indeed similar to that of potential energy surfaces in physical chemistry. Borrowing ideas from that field, we propose to extend to combinatorial landscapes the notion of the inherent network formed by energy minima in energy landscapes. In our case, energy minima are the local optima of the combinatorial problem, and we explore several definitions for the network edges. At first, we perform an exhaustive sampling of local optima basins of attraction, and define weighted transitions between basins by accounting for all the possible ways of crossing the basins frontier via one random move. Then, we reduce the computational burden by only counting the chances of escaping a given basin via random kick moves that start at the local optimum. Finally, we approximate network edges from the search trajectory of simple search heuristics, mining the frequency and inter-arrival time with which the heuristic visits local optima. Through these methodologies, we build a weighted directed graph that provides a synthetic view of the whole landscape, and that we can characterize using the tools of complex networks science. We argue that the network characterization can advance our understanding of the structural and dynamical properties of hard combinatorial landscapes. We apply our approach to prototypical problems such as the Quadratic Assignment Problem, the NK model of rugged landscapes, and the Permutation Flow-shop Scheduling Problem. We show that some network metrics can differentiate problem classes, correlate with problem non-linearity, and predict problem hardness as measured from the performances of trajectory-based local search heuristics.

Laivan voimalaitoksen ja jännitevälipiirillisen ruoripotkurikäytön vuorovaikutusten mallintaminen

Diplomityössä on tutkittu sähköisellä potkurijärjestelmällä varustetun laivan voimalaitoksen ja jännitevälipiirillisen propulsiokäytön vuorovaikutusta laivan hätäpysäytyksen aikana. Työssä on kehitetty simulointimalleja jännitevälipiirillisten sähkökäyttöjen simuloimiseksi Saber -simulontiohjelmistolla.Työn alkuosassa esitetään lyhyt yhteenveto laivan sähköisestä potkurijärjestelmästä komponentteineen, käsitellään laivan hätäpysäytyksen teoriaa sekä simuloinneissa huomioonotettavia laivan ja potkurin hydrodynaamisia ominaisuuksia. Työssä käytettävän simulointiohjelmiston toimintaa selvitetään lyhyesti. Jännitevälipiirillisellä propulsiokäytöllä varustetun laivan hätäpysäytyksen simulointimalli esitellään kokonaisuudessaan ja käsitellään simulointimallin sisältämien osakokonaisuuksien teoriaa ja toimintaa. Kehitetyn simulointimallin toimintaa on tarkasteltu vertaamalla tuloksia vastaavansyklokonvertterikäytöllä varustetun laivan simulointituloksiin sekä vertaamallasimulointituloksia laivan merikoeajon yhteydessä tehtyihin mittauksiin. Simulointitulokset vastasivat teoriaa sekä mittaustuloksia varsin hyvin. Voimalaitoksenosalta ei mittaustuloksia ollut käytettävissä, mutta simulointitulokset ovat teorian mukaisia.