Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

A dynamic renormalization group study of active nematics

We carry out a systematic construction of the coarse-grained dynamical equation of motion for the orientational order parameter for a two-dimensional active nematic, that is a nonequilibrium steady state with uniaxial, apolar orientational order. Using the dynamical renormalization group, we show that the leading nonlinearities in this equation are marginally irrelevant. We discover a special limit of parameters in which the equation of motion for the angle field bears a close relation to the 2d stochastic Burgers equation. We find nevertheless that, unlike for the Burgers problem, the nonlinearity is marginally irrelevant even in this special limit, as a result of a hidden fluctuation-dissipation relation. 2d active nematics therefore have quasi-long-range order, just like their equilibrium counterparts.

Polymer drift in a solvent by force acting on one polymer end

We investigate the effect of hydrodynamic interactions on the non-equilibrium drift dynamics of an ideal flexible polymer pulled by a constant force applied at one polymer end using the perturbation theory and the renormalization group method. For moderate force, if the polymer elongation is small, the hydrodynamic interactions are not screened and the velocity and the longitudinal elongation of the polymer are computed using the renormalization group method. Both the velocity and elongation are nonlinear functions of the driving force in this regime. For large elongation we found two regimes. For large force but finite chain length L the hydrodynamic interactions are screened. For large chain lengths and a finite force the hydrodynamic interactions are only partially screened, which in three dimensions results in unusual logarithmic corrections to the velocity and the longitudinal elongation.

Monte Carlo Simulations of Molecular Clusters in Nucleation

A better understanding of the limiting step in a first order phase transition, the nucleation process, is of major importance to a variety of scientific fields ranging from atmospheric sciences to nanotechnology and even to cosmology. This is due to the fact that in most phase transitions the new phase is separated from the mother phase by a free energy barrier. This barrier is crossed in a process called nucleation. Nowadays it is considered that a significant fraction of all atmospheric particles is produced by vapor-to liquid nucleation. In atmospheric sciences, as well as in other scientific fields, the theoretical treatment of nucleation is mostly based on a theory known as the Classical Nucleation Theory. However, the Classical Nucleation Theory is known to have only a limited success in predicting the rate at which vapor-to-liquid nucleation takes place at given conditions. This thesis studies the unary homogeneous vapor-to-liquid nucleation from a statistical mechanics viewpoint. We apply Monte Carlo simulations of molecular clusters to calculate the free energy barrier separating the vapor and liquid phases and compare our results against the laboratory measurements and Classical Nucleation Theory predictions. According to our results, the work of adding a monomer to a cluster in equilibrium vapour is accurately described by the liquid drop model applied by the Classical Nucleation Theory, once the clusters are larger than some threshold size. The threshold cluster sizes contain only a few or some tens of molecules depending on the interaction potential and temperature. However, the error made in modeling the smallest of clusters as liquid drops results in an erroneous absolute value for the cluster work of formation throughout the size range, as predicted by the McGraw-Laaksonen scaling law. By calculating correction factors to Classical Nucleation Theory predictions for the nucleation barriers of argon and water, we show that the corrected predictions produce nucleation rates that are in good comparison with experiments. For the smallest clusters, the deviation between the simulation results and the liquid drop values are accurately modelled by the low order virial coefficients at modest temperatures and vapour densities, or in other words, in the validity range of the non-interacting cluster theory by Frenkel, Band and Bilj. Our results do not indicate a need for a size dependent replacement free energy correction. The results also indicate that Classical Nucleation Theory predicts the size of the critical cluster correctly. We also presents a new method for the calculation of the equilibrium vapour density, surface tension size dependence and planar surface tension directly from cluster simulations. We also show how the size dependence of the cluster surface tension in equimolar surface is a function of virial coefficients, a result confirmed by our cluster simulations.

Applications of dimensional reduction to electroweak and QCD matter

When heated to high temperatures, the behavior of matter changes dramatically. The standard model fields go through phase transitions, where the strongly interacting quarks and gluons are liberated from their confinement to hadrons, and the Higgs field condensate melts, restoring the electroweak symmetry. The theoretical framework for describing matter at these extreme conditions is thermal field theory, combining relativistic field theory and quantum statistical mechanics. For static observables the physics is simplified at very high temperatures, and an effective three-dimensional theory can be used instead of the full four-dimensional one via a method called dimensional reduction. In this thesis dimensional reduction is applied to two distinct problems, the pressure of electroweak theory and the screening masses of mesonic operators in quantum chromodynamics (QCD). The introductory part contains a brief review of finite-temperature field theory, dimensional reduction and the central results, while the details of the computations are contained in the original research papers. The electroweak pressure is shown to converge well to a value slightly below the ideal gas result, whereas the pressure of the full standard model is dominated by the QCD pressure with worse convergence properties. For the mesonic screening masses a small positive perturbative correction is found, and the interpretation of dimensional reduction on the fermionic sector is discussed.

Conformal Field Theory Methods for Variants of Schramm-Loewner Evolutions

This thesis consists of an introduction, four research articles and an appendix. The thesis studies relations between two different approaches to continuum limit of models of two dimensional statistical mechanics at criticality. The approach of conformal field theory (CFT) could be thought of as the algebraic classification of some basic objects in these models. It has been succesfully used by physicists since 1980's. The other approach, Schramm-Loewner evolutions (SLEs), is a recently introduced set of mathematical methods to study random curves or interfaces occurring in the continuum limit of the models. The first and second included articles argue on basis of statistical mechanics what would be a plausible relation between SLEs and conformal field theory. The first article studies multiple SLEs, several random curves simultaneously in a domain. The proposed definition is compatible with a natural commutation requirement suggested by Dubédat. The curves of multiple SLE may form different topological configurations, ``pure geometries''. We conjecture a relation between the topological configurations and CFT concepts of conformal blocks and operator product expansions. Example applications of multiple SLEs include crossing probabilities for percolation and Ising model. The second article studies SLE variants that represent models with boundary conditions implemented by primary fields. The most well known of these, SLE(kappa, rho), is shown to be simple in terms of the Coulomb gas formalism of CFT. In the third article the space of local martingales for variants of SLE is shown to carry a representation of Virasoro algebra. Finding this structure is guided by the relation of SLEs and CFTs in general, but the result is established in a straightforward fashion. This article, too, emphasizes multiple SLEs and proposes a possible way of treating pure geometries in terms of Coulomb gas. The fourth article states results of applications of the Virasoro structure to the open questions of SLE reversibility and duality. Proofs of the stated results are provided in the appendix. The objective is an indirect computation of certain polynomial expected values. Provided that these expected values exist, in generic cases they are shown to possess the desired properties, thus giving support for both reversibility and duality.

Monte Carlo simulations of molecular clusters in nucleation

A better understanding of the limiting step in a first order phase transition, the nucleation process, is of major importance to a variety of scientific fields ranging from atmospheric sciences to nanotechnology and even to cosmology. This is due to the fact that in most phase transitions the new phase is separated from the mother phase by a free energy barrier. This barrier is crossed in a process called nucleation. Nowadays it is considered that a significant fraction of all atmospheric particles is produced by vapor-to liquid nucleation. In atmospheric sciences, as well as in other scientific fields, the theoretical treatment of nucleation is mostly based on a theory known as the Classical Nucleation Theory. However, the Classical Nucleation Theory is known to have only a limited success in predicting the rate at which vapor-to-liquid nucleation takes place at given conditions. This thesis studies the unary homogeneous vapor-to-liquid nucleation from a statistical mechanics viewpoint. We apply Monte Carlo simulations of molecular clusters to calculate the free energy barrier separating the vapor and liquid phases and compare our results against the laboratory measurements and Classical Nucleation Theory predictions. According to our results, the work of adding a monomer to a cluster in equilibrium vapour is accurately described by the liquid drop model applied by the Classical Nucleation Theory, once the clusters are larger than some threshold size. The threshold cluster sizes contain only a few or some tens of molecules depending on the interaction potential and temperature. However, the error made in modeling the smallest of clusters as liquid drops results in an erroneous absolute value for the cluster work of formation throughout the size range, as predicted by the McGraw-Laaksonen scaling law. By calculating correction factors to Classical Nucleation Theory predictions for the nucleation barriers of argon and water, we show that the corrected predictions produce nucleation rates that are in good comparison with experiments. For the smallest clusters, the deviation between the simulation results and the liquid drop values are accurately modelled by the low order virial coefficients at modest temperatures and vapour densities, or in other words, in the validity range of the non-interacting cluster theory by Frenkel, Band and Bilj. Our results do not indicate a need for a size dependent replacement free energy correction. The results also indicate that Classical Nucleation Theory predicts the size of the critical cluster correctly. We also presents a new method for the calculation of the equilibrium vapour density, surface tension size dependence and planar surface tension directly from cluster simulations. We also show how the size dependence of the cluster surface tension in equimolar surface is a function of virial coefficients, a result confirmed by our cluster simulations.

Anomalous behavior of hydrodynamic modes in the two dimensional shear flow of a granular material

The growth rates of the hydrodynamic modes in the homogeneous sheared state of a granular material are determined by solving the Boltzmann equation. The steady velocity distribution is considered to be the product of the Maxwell Boltzmann distribution and a Hermite polynomial expansion in the velocity components; this form is inserted into them Boltzmann equation and solved to obtain the coeificients of the terms in the expansion. The solution is obtained using an expansion in the parameter epsilon =(1 - e)(1/2), and terms correct to epsilon(4) are retained to obtain an approximate solution; the error due to the neglect of higher terms is estimated at about 5% for e = 0.7. A small perturbation is placed on the distribution function in the form of a Hermite polynomial expansion for the velocity variations and a Fourier expansion in the spatial coordinates: this is inserted into the Boltzmann equation and the growth rate of the Fourier modes is determined. It is found that in the hydrodynamic limit, the growth rates of the hydrodynamic modes in the flow direction have unusual characteristics. The growth rate of the momentum diffusion mode is positive, indicating that density variations are unstable in the limit k--> 0, and the growth rate increases proportional to kslash} k kslash}(2/3) in the limit k --> 0 (in contrast to the k(2) increase in elastic systems), where k is the wave vector in the flow direction. The real and imaginary parts of the growth rate corresponding to the propagating also increase proportional to kslash k kslash(2/3) (in contrast to the k(2) and k increase in elastic systems). The energy mode is damped due to inelastic collisions between particles. The scaling of the growth rates of the hydrodynamic modes with the wave vector I in the gradient direction is similar to that in elastic systems. (C) 2000 Elsevier Science B.V. All rights reserved.

Nonclassical rotational inertia in a two-dimensional bosonic solid containing grain boundaries

We study the occurrence of nonclassical rotational inertia (NCRI) arising from superfluidity along grain boundaries in a two-dimensionalbosonic system. We make use of a standard mapping between the zero-temperature properties of this system and the statistical mechanics of interacting vortex lines in the mixed phase of a type-II superconductor. In the mapping, the liquid phase of the vortex system corresponds to the superfluid bosonic phase. We consider numerically obtained polycrystalline configurations of the vortex lines in which the microcrystals are separated by liquidlike grain-boundary regions which widen as the vortex system temperature increases. The NCRI of the corresponding zero-temperature bosonic systems can then be numerically evaluated by solving the equations of superfluid hydrodynamics in the channels near the grain boundaries. We find that the NCRI increases very abruptly as the liquid regions in the vortex system (equivalently, superfluid regions in the bosonic system) form a connected, system-spanning structure with one or more closed loops. The implications of these results for experimentally observed supersolid phenomena are discussed.

Hysteresis in model spin system

The aim of this paper is to construct a nonequilibrium statistical‐mechanics theory to study hysteresis in ferromagnetic systems. We study the hysteretic response of model spin systems to periodic magnetic fields H(t) as a function of the amplitude H0 and frequency Ω. At fixed H0, we find conventional, squarelike hysteresis loops at low Ω, and rounded, roughly elliptical loops at high Ω, in agreement with experiments. For the O(N→∞), d=3, (Φ2)2 model with Langevin dynamics, we find a novel scaling behavior for the area A of the hysteresis loop, of the form A∝H0.660Ω0.33. We carry out a Monte Carlo simulation of the hysteretic response of the two‐dimensional, nearest‐neighbor, ferromagnetic Ising model. These results agree qualitatively with the results obtained for the O(N) model.

Barrier crossing in one and three dimensions by a long chain

We consider the Kramers problem for a long chain polymer trapped in a biased double-well potential. Initially the polymer is in the less stable well and it can escape from this well to the other well by the motion of its N beads across the barrier to attain the configuration having lower free energy. In one dimension we simulate the crossing and show that the results are in agreement with the kink mechanism suggested earlier. In three dimensions, it has not been possible to get an analytical `kink solution' for an arbitrary potential; however, one can assume the form of the solution of the nonlinear equation as a kink solution and then find a double-well potential in three dimensions. To verify the kink mechanism, simulations of the dynamics of a discrete Rouse polymer model in a double well in three dimensions are carried out. We find that the time of crossing is proportional to the chain length, which is in agreement with the results for the kink mechanism. The shape of the kink solution is also in agreement with the analytical solution in both one and three dimensions.

Correlations, quantum entanglement and interference in nanoscopic systems

Several of the most interesting quantum effects can or could be observed in nanoscopic systems. For example, the effect of strong correlations between electrons and of quantum interference can be measured in transport experiments through quantum dots, wires, individual molecules and rings formed by large molecules or arrays of quantum dots. In addition, quantum coherence and entanglement can be clearly observed in quantum corrals. In this paper we present calculations of transport properties through Aharonov-Bohm strongly correlated rings where the characteristic phenomenon of charge-spin separation is clearly observed. Additionally quantum interference effects show up in transport through pi-conjugated annulene molecules producing important effects on the conductance for different source-drain configurations, leading to the possibility of an interesting switching effect. Finally, elliptic quantum corrals offer an ideal system to study quantum entanglement due to their focalizing properties. Because of an enhanced interaction between impurities localized at the foci, these systems also show interesting quantum dynamical behaviour and offer a challenging scenario for quantum information experiments.

Single-molecule thermodynamics: the heat distribution function of a charged particle in a static magnetic field

Interest in the applicability of fluctuation theorems to the thermodynamics of single molecules in external potentials has recently led to calculations of the work and total entropy distributions of Brownian oscillators in static and time-dependent electromagnetic fields. These calculations, which are based on solutions to a Smoluchowski equation, are not easily extended to a consideration of the other thermodynamic quantity of interest in such systems-the heat exchanges of the particle alone-because of the nonlinear dependence of the heat on a particle's stochastic trajectory. In this paper, we show that a path integral approach provides an exact expression for the distribution of the heat fluctuations of a charged Brownian oscillator in a static magnetic field. This approach is an extension of a similar path integral approach applied earlier by our group to the calculation of the heat distribution function of a trapped Brownian particle, which was found, in the limit of long times, to be consistent with experimental data on the thermal interactions of single micron-sized colloids in a viscous solvent.

Gas-liquid nucleation at large metastability: unusual features and a new formalism

Nucleation at large metastability is still largely an unsolved problem, even though it is a problem of tremendous current interest, with wide-ranging practical value, from atmospheric research to materials science. It is now well accepted that the classical nucleation theory (CNT) fails to provide a qualitative picture and gives incorrect quantitative values for such quantities as activation-free energy barrier and supersaturation dependence of nucleation rate, especially at large metastability. In this paper, we present an alternative formalism to treat nucleation at large supersaturation by introducing an extended set of order parameters in terms of the kth largest liquid-like clusters, where k = 1 is the largest cluster in the system, k = 2 is the second largest cluster and so on. At low supersaturation, the size of the largest liquid-like cluster acts as a suitable order parameter. At large supersaturation, the free energy barrier for the largest liquid-like cluster disappears. We identify this supersaturation as the one at the onset of kinetic spinodal. The kinetic spinodal is system-size-dependent. Beyond kinetic spinodal many clusters grow simultaneously and competitively and hence the nucleation and growth become collective. In order to describe collective growth, we need to consider the full set of order parameters. We derive an analytic expression for the free energy of formation of the kth largest cluster. The expression predicts that, at large metastability (beyond kinetic spinodal), the barrier of growth for several largest liquid-like clusters disappears, and all these clusters grow simultaneously. The approach to the critical size occurs by barrierless diffusion in the cluster size space. The expression for the rate of barrier crossing predicts weaker supersaturation dependence than what is predicted by CNT at large metastability. Such a crossover behavior has indeed been observed in recent experiments (but eluded an explanation till now). In order to understand the large numerical discrepancy between simulation predictions and experimental results, we carried out a study of the dependence on the range of intermolecular interactions of both the surface tension of an equilibrium planar gas-liquid interface and the free energy barrier of nucleation. Both are found to depend significantly on the range of interaction for the Lennard-Jones potential, both in two and three dimensions. The value of surface tension and also the free energy difference between the gas and the liquid phase increase significantly and converge only when the range of interaction is extended beyond 6-7 molecular diameters. We find, with the full range of interaction potential, that the surface tension shows only a weak dependence on supersaturation, so the reason for the breakdown of CNT (with simulated values of surface tension and free energy gap) cannot be attributed to the supersaturation dependence of surface tension. This remains an unsettled issue at present because of the use of the value of surface tension obtained at coexistence.

Multifractal analysis, a method to investigate the morphology of materials

Using the multifractal formalism, we discuss the results obtained to characterized the morphology of polymer alloys and granular discontinuous metallic thin films. In the first case we have found a correlation between the multifractality and the mechanical properties of the alloys. In the second case, we have found that it is possible to measure the differences between the morphology of thin films induced by a growth process on a subtrate and that of percolation clusters of the classical theory of percolation.