Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Lorentz-violating dilatations in momentum space and some extensions on nonlinear actions of Lorentz-algebra-preserving systems

We work on some general extensions of the formalism for theories which preserve the relativity of inertial frames with a nonlinear action of the Lorentz transformations on momentum space. Relativistic particle models invariant under the corresponding deformed symmetries are presented with particular emphasis on deformed dilatation transformations. The algebraic transformations relating the deformed symmetries with the usual (undeformed) ones are provided in order to preserve the Lorentz algebra. Two distinct cases are considered: a deformed dilatation transformation with a spacelike preferred direction and a very special relativity embedding with a lightlike preferred direction. In both analysis we consider the possibility of introducing quantum deformations of the corresponding symmetries such that the spacetime coordinates can be reconstructed and the particular form of the real space-momentum commutator remains covariant. Eventually feasible experiments, for which the nonlinear Lorentz dilatation effects here pointed out may be detectable, are suggested.

Symmetry analysis of an integrable reaction-diffusion equation

In this paper, we investigate the invariance and integrability properties of an integrable two-component reaction-diffusion equation. We perform Painleve analysis for both the reaction-diffusion equation modelled by a coupled nonlinear partial differential equations and its general similarity reduced ordinary differential equation and confirm its integrability. Further, we perform Lie symmetry analysis for this model. Interestingly our investigations reveals a rich variety of particular solutions, which have not been reported in the literature, for this model. (C) 2000 Elsevier B.V. Ltd. All rights reserved.

The nonlinear essence of gravitational waves

A critical review of gravitational wave theory is made. It is pointed out that the usual linear approach to the gravitational wave theory is neither conceptually consistent nor mathematically justified. Relying upon that analysis it is argued that-analogously to a Yang-Mills propagating field, which must be nonlinear to carry its gauge charge-a gravitational wave must necessarily be nonlinear to transport its own charge-that is, energy-momentum.

Integrable NLS equation with time-dependent nonlinear coefficient and self-similar attractive BEC

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

On Nonlinear Dynamics and an Optimal Control Design to a Longitudinal Flight

In this work, we analyzed a bifurcational behavior of a longitudinal flight nonlinear dynamics, taking as an example the F-8 aircraft Crusader. We deal with an analysis of high angles of attack in order to stabilize the oscillations; those were close to the critical angle of the aircraft, in the flight conditions, established. We proposed a linear optimal control design applied to the considered nonlinear aircraft model below angle of stall, taking into account regions of Hopf and saddled noddle bifurcations.

Analytical study of the nonlinear behavior of a shape memory oscillator: Part II-resonance secondary

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A family of stadium-like billiards with parabolic boundaries under scaling analysis

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

Phase-Locked loops lock-in range in Frequency Modulated-Atomic Force Microscope nonlinear control system

Since the mid 1980s the Atomic Force Microscope is one the most powerful tools to perform surface investigation, and since 1995 Non-Contact AFM achieved true atomic resolution. The Frequency-Modulated Atomic Force Microscope (FM-AFM) operates in the dynamic mode, which means that the control system of the FM-AFM must force the micro-cantilever to oscillate with constant amplitude and frequency. However, tip-sample interaction forces cause modulations in the microcantilever motion. A Phase-Locked loop (PLL) is used to demodulate the tip-sample interaction forces from the microcantilever motion. The demodulated signal is used as the feedback signal to the control system, and to generate both topographic and dissipation images. As a consequence, a proper design of the PLL is vital to the FM-AFM performance. In this work, using bifurcation analysis, the lock-in range of the PLL is determined as a function of the frequency shift (Q) of the microcantilever and of the other design parameters, providing a technique to properly design the PLL in the FM-AFM system. (C) 2011 Elsevier B.V. All rights reserved.

Comments on a nonlinear and nonideal electromechanical damping vibration absorber, Sommerfeld effect and energy transfer

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

Analytical study of the nonlinear behavior of a shape memory oscillator: Part I-primary resonance and free response at low temperatures

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

VERY RAPIDLY VARYING BOUNDARIES IN EQUATIONS WITH NONLINEAR BOUNDARY CONDITIONS. THE CASE of A NON UNIFORMLY LIPSCHITZ DEFORMATION

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

Three-parameter soil-water transient equations in horizontal water-transport analysis

For data obtained from horizontal soil column experiments, the determination of soil-water transport characteristics and functions would be aided by a single-form equation capable of objectively describing water content theta vs. time t at given position x(f). Our study was conducted to evaluate two such possible equations, one having the form of the Weibull frequency distribution, and the other being called a bipower form. Each equation contained three parameters, and was fitted by nonlinear least squares to the experimental data from three separate columns of a single soil. Across the theta range containing the measured data points obtained by gamma-ray attenuation, the two equations were in close agreement. The resulting family of theta(x(f),t) transients, as obtained from either equation, enabled the evaluation of exponent n in the t(n) dependence of the positional advance of a given theta. Not only was n found to be <0.5 at low theta values, but it also increased with theta and tended toward 0.5 as theta approached its sated (near-saturated) value. Some quantitative uncertainty in n(theta) does arise due to the reduced number of data points available at the higher water contents. Without claiming non-Boltzmann behavior (n < 0.5) as necessarily representative of all soils, we nonetheless consider n(theta) to be worthy of further study for evaluating its significance and implications.

Nonlinear Dynamics and Control of an Ideal/Nonideal Load Transportation System With Periodic Coefficients

In this paper, a loads transportation system in platforms or suspended by cables is considered. It is a monorail device and is modeled as an inverted pendulum built on a car driven by a dc motor the governing equations of motion were derived via Lagrange's equations. In the mathematical model we consider the interaction between the dc motor and the dynamical system, that is, we have a so called nonideal periodic problem. The problem is analyzed, qualitatively, through the comparison of the stability diagrams, numerically obtained, for several motor torque constants. Furthermore, we also analyze the problem quantitatively using the Floquet multipliers technique. Finally, we devise a control for the studied nonideal problem. The method that was used for analysis and control of this nonideal periodic system is based on the Chebyshev polynomial exponsion, the Picard iterative method, and the Lyapunov-Floquet transformation (L-F transformation). We call it Sinha's theory.

Patterns in parabolic problems with nonlinear boundary conditions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)