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.

Mean-field model for Josephson oscillation in a Bose-Einstein condensate on an one-dimensional optical trap

Using the axially-symmetric time-dependent Gross-Pitaevskii equation we study the phase coherence in a repulsive Bose-Einstein condensate (BEC) trapped by a harmonic and an one-dimensional optical lattice potential to describe the experiment by Cataliotti et al. on atomic Josephson oscillation [Science 293, 843 (2001)]. The phase coherence is maintained after the BEC is set into oscillation by a small displacement of the magnetic trap along the optical lattice. The phase coherence in the presence of oscillating neutral current across an array of Josephson junctions manifests in an interference pattern formed upon free expansion of the BEC. The numerical response of the system to a large displacement of the magnetic trap is a classical transition from a coherent superfluid to an insulator regime and a subsequent destruction of the interference pattern in agreement With the more recent experiment by Cataliotti et al. [New J. Phys. 5, 71 (2003)].

Black soliton in a quasi-one-dimensional trapped fermion-fermion mixture

Employing a time dependent mean-field-hydrodynamic model we study the generation of black solitons in a degenerate fermion-fermion mixture in a cigar-shaped geometry using variational and numerical solutions. The black soliton is found to be the first stationary vibrational excitation of the system and is considered to be a nonlinear continuation of the vibrational excitation of the harmonic oscillator state. We illustrate the stationary nature of the black soliton, by studying different perturbations on it after its formation.

Dissipation-managed soliton in a quasi-one-dimensional Bose-Einstein condensate

We use the time-dependent mean-field Cross-Pitaevskii equation to study the formation of a dynamically-stabilized dissipation managed bright soliton in a quasi-one dimensional Bose-Einstein condensate (BEC). Because of three-body recombination of bosonic atoms to molecules, atoms are lost (dissipated) from a BEC. Such dissipation leads to the decay of a BEC soliton. We demonstrate by a perturbation procedure that an alimentation of atoms from an external source to the BEC may compensate for the dissipation loss and lead to a dynamically-stabilized soliton. The result of the analytical perturbation method is in excellent agreement with mean-field numerics. It seems possible to obtain such a dynamically stabilized BEC soliton without dissipation in laboratory.