Absorbing boundary conditions for inertial processos

A recent paper by J. Heinrichs [Phys. Rev. E 48, 2397 (1993)] presents analytic expressions for the first-passage times and the survival probability for a particle moving in a field of random correlated forces. We believe that the analysis there is flawed due to an improper use of boundary conditions. We compare that result, in the white noise limit, with the known exact expression of the mean exit time.

Intramolecular coupling as a mechanism for a liquid-liquid phase transition

We study a model for water with a tunable intramolecular interaction Js, using mean-field theory and off-lattice Monte Carlo simulations. For all Js>~0, the model displays a temperature of maximum density. For a finite intramolecular interaction Js>0, our calculations support the presence of a liquid-liquid phase transition with a possible liquid-liquid critical point for water, likely preempted by inevitable freezing. For J=0, the liquid-liquid critical point disappears at T=0.

Precursor phenomena in frustrated systems

To understand the origin of the dynamical transition, between high-temperature exponential relaxation and low-temperature nonexponential relaxation, that occurs well above the static transition in glassy systems, a frustrated spin model, with and without disorder, is considered. The model has two phase transitions, the lower being a standard spin glass transition (in the presence of disorder) or fully frustrated Ising (in the absence of disorder), and the higher being a Potts transition. Monte Carlo results clarify that in the model with (or without) disorder the precursor phenomena are related to the Griffiths (or Potts) transition. The Griffiths transition is a vanishing transition which occurs above the Potts transition and is present only when disorder is present, while the Potts transition which signals the effect due to frustration is always present. These results suggest that precursor phenomena in frustrated systems are due either to disorder and/or to frustration, giving a consistent interpretation also for the limiting cases of Ising spin glass and of Ising fully frustrated model, where also the Potts transition is vanishing. This interpretation could play a relevant role in glassy systems beyond the spin systems case.

Continuous phase transition in a spin-glass model without time-reversal symmetry

We investigate the phase transition in a strongly disordered short-range three-spin interaction model characterized by the absence of time-reversal symmetry in the Hamiltonian. In the mean-field limit the model is well described by the Adam-Gibbs-DiMarzio scenario for the glass transition; however, in the short-range case this picture turns out to be modified. The model presents a finite temperature continuous phase transition characterized by a divergent spin-glass susceptibility and a negative specific-heat exponent. We expect the nature of the transition in this three-spin model to be the same as the transition in the Edwards-Anderson model in a magnetic field, with the advantage that the strong crossover effects present in the latter case are absent.

Telegrapher's equation with variable propagation speeds

All derivations of the one-dimensional telegraphers equation, based on the persistent random walk model, assume a constant speed of signal propagation. We generalize here the model to allow for a variable propagation speed and study several limiting cases in detail. We also show the connections of this model with anomalous diffusion behavior and with inertial dichotomous processes.

Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

Metastable liquid-liquid phase transition in a single-component system with only one crystal phase and no density anomaly

We investigate the phase behavior of a single-component system in three dimensions with spherically-symmetric, pairwise-additive, soft-core interactions with an attractive well at a long distance, a repulsive soft-core shoulder at an intermediate distance, and a hard-core repulsion at a short distance, similar to potentials used to describe liquid systems such as colloids, protein solutions, or liquid metals. We showed [Nature (London) 409, 692 (2001)] that, even with no evidence of the density anomaly, the phase diagram has two first-order fluid-fluid phase transitions, one ending in a gas¿low-density-liquid (LDL) critical point, and the other in a gas¿high-density-liquid (HDL) critical point, with a LDL-HDL phase transition at low temperatures. Here we use integral equation calculations to explore the three-parameter space of the soft-core potential and perform molecular dynamics simulations in the interesting region of parameters. For the equilibrium phase diagram, we analyze the structure of the crystal phase and find that, within the considered range of densities, the structure is independent of the density. Then, we analyze in detail the fluid metastable phases and, by explicit thermodynamic calculation in the supercooled phase, we show the absence of the density anomaly. We suggest that this absence is related to the presence of only one stable crystal structure.

Self-organized evolution in a socio-economic environment

We propose a general scenario to analyze technological changes in socio-economic environments. We illustrate the ideas with a model that incorporating the main trends is simple enough to extract analytical results and, at the same time, sufficiently complex to display a rich dynamic behavior. Our study shows that there exists a macroscopic observable that is maximized in a regime where the system is critical, in the sense that the distribution of events follow power laws. Computer simulations show that, in addition, the system always self-organizes to achieve the optimal performance in the stationary state.

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.

Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Exact solution to the exit-time problem for an undamped free particle driven by Gaussian white noise

In a recent paper [Phys. Rev. Lett. 75, 189 (1995)] we have presented the exact analytical expression for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise out of a region (0,L) in space. In this paper we give a detailed account of the method employed and present results on asymptotic properties and averages of T(x,v).

Extreme times for volatility processes

Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.

Non independent continuous-time random walks

The usual development of the continuous-time random walk (CTRW) assumes that jumps and time intervals are a two-dimensional set of independent and identically distributed random variables. In this paper, we address the theoretical setting of nonindependent CTRWs where consecutive jumps and/or time intervals are correlated. An exact solution to the problem is obtained for the special but relevant case in which the correlation solely depends on the signs of consecutive jumps. Even in this simple case, some interesting features arise, such as transitions from unimodal to bimodal distributions due to correlation. We also develop the necessary analytical techniques and approximations to handle more general situations that can appear in practice.

BEYOND THE “LEAST LIMITING WATER RANGE”: RETHINKING SOIL PHYSICS RESEARCH IN BRAZIL

As opposed to objective definitions in soil physics, the subjective term “soil physical quality” is increasingly found in publications in the soil physics area. A supposed indicator of soil physical quality that has been the focus of attention, especially in the Brazilian literature, is the Least Limiting Water Range (RLL), translated in Portuguese as "Intervalo Hídrico Ótimo" or IHO. In this paper the four limiting water contents that define RLLare discussed in the light of objectively determinable soil physical properties, pointing to inconsistencies in the RLLdefinition and calculation. It also discusses the interpretation of RLL as an indicator of crop productivity or soil physical quality, showing its inability to consider common phenological and pedological boundary conditions. It is shown that so-called “critical densities” found by the RLL through a commonly applied calculation method are questionable. Considering the availability of robust models for agronomy, ecology, hydrology, meteorology and other related areas, the attractiveness of RLL as an indicator to Brazilian soil physicists is not related to its (never proven) effectiveness, but rather to the simplicity with which it is dealt. Determining the respective limiting contents in a simplified manner, relegating the study or concern on the actual functioning of the system to a lower priority, goes against scientific construction and systemic understanding. This study suggests a realignment of the research in soil physics in Brazil with scientific precepts, towards mechanistic soil physics, to replace the currently predominant search for empirical correlations below the state of the art of soil physics.