Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account the market price and the perceived fundamental value of the asset. The resulting excess demand is coupled to the market price. Rigorous analysis reveals that this feedback may lead to price oscillations, a single bounce, or monotonic price behaviour. The model is a rare example of an analytically tractable interacting-agent model which allows LIS to deduce in detail the origin of these different collective patterns. For a natural choice of initial distribution, the results are independent of the graph structure that models the peer network of agents whose decisions influence each other. (C) 2009 Elsevier B.V. All rights reserved.

Two-component Abelian sandpile models

In one-component Abelian sandpile models, the toppling probabilities are independent quantities. This is not the case in multicomponent models. The condition of associativity of the underlying Abelian algebras imposes nonlinear relations among the toppling probabilities. These relations are derived for the case of two-component quadratic Abelian algebras. We show that Abelian sandpile models with two conservation laws have only trivial avalanches.

Directed Abelian algebras and their application to stochastic models

With each directed acyclic graph (this includes some D-dimensional lattices) one can associate some Abelian algebras that we call directed Abelian algebras (DAAs). On each site of the graph one attaches a generator of the algebra. These algebras depend on several parameters and are semisimple. Using any DAA, one can define a family of Hamiltonians which give the continuous time evolution of a stochastic process. The calculation of the spectra and ground-state wave functions (stationary state probability distributions) is an easy algebraic exercise. If one considers D-dimensional lattices and chooses Hamiltonians linear in the generators, in finite-size scaling the Hamiltonian spectrum is gapless with a critical dynamic exponent z=D. One possible application of the DAA is to sandpile models. In the paper we present this application, considering one- and two-dimensional lattices. In the one-dimensional case, when the DAA conserves the number of particles, the avalanches belong to the random walker universality class (critical exponent sigma(tau)=3/2). We study the local density of particles inside large avalanches, showing a depletion of particles at the source of the avalanche and an enrichment at its end. In two dimensions we did extensive Monte-Carlo simulations and found sigma(tau)=1.780 +/- 0.005.

Eight-state supersymmetric U model of strongly correlated fermions

An integrable eight-state supersymmetric U model is proposed, which is a fermion model with correlated single-particle and pair hoppings as well as uncorrelated triple-particle hopping. It has a gl(3/1) supersymmetry and contains one symmetry-preserving free parameter. The model is solved and the Bethe ansatz equations are obtained. [S0163-1829(98)00616-X].

Integrable open-boundary conditions for the q-deformed supersymmetric U model of strongly correlated electrons

A general graded reflection equation algebra is proposed and the corresponding boundary quantum inverse scattering method is formulated. The formalism is applicable to all boundary lattice systems where an invertible R-matrix exists. As an application, the integrable open-boundary conditions for the q-deformed supersymmetric U model of strongly correlated electrons are investigated. The diagonal boundary K-matrices are found and a class of integrable boundary terms are determined. The boundary system is solved by means of the coordinate space Bethe ansatz technique and the Bethe ansatz equations are derived. As a sideline, it is shown that all R-matrices associated with a quantum affine superalgebra enjoy the crossing-unitarity property. (C) 1998 Elsevier Science B.V.

Exact solution for the Bariev model with boundary fields

The Bariev model with open boundary conditions is introduced and analysed in detail in the framework of the Quantum Inverse Scattering Method. Two classes of independent boundary reflecting K-matrices leading to four different types of boundary fields are obtained by solving the reflection equations. The models are exactly solved by means of the algebraic nested Bethe ansatz method and the four sets or Bethe ansatz equations as well as their corresponding energy expressions are derived. (C) 2001 Elsevier Science B.V. All rights reserved.

Integrable open boundary conditions for the Bariev model of three coupled X Y spin chains

The integrable open-boundary conditions for the Bariev model of three coupled one-dimensional XY spin chains are studied in the framework of the boundary quantum inverse scattering method. Three kinds of diagonal boundary K-matrices leading to nine classes of possible choices of boundary fields are found and the corresponding integrable boundary terms are presented explicitly. The boundary Hamiltonian is solved by using the coordinate Bethe ansatz technique and the Bethe ansatz equations are derived. (C) 2001 Elsevier Science B.V. All rights reserved.

Glassiness in a model without energy barriers

We propose a microscopic model without energy barriers in order to explain some generic features observed in structural glasses. The statics can be exactly solved while the dynamics has been clarified using Monte Carlo calculations. Although the model has no thermodynamic transition, it captures some of the essential features of real glasses, i.e., extremely slow relaxation, time dependent hysteresis effects, anomalous increase of the relaxation time, and aging. This suggests that the effect of entropy barriers can be an important ingredient to account for the behavior observed in real glasses.

A linear optimization approach to the combined production planning model

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

A linear optimization approach to the combined production planning model

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Can model Hamiltonians describe the electron–electron interaction in π-conjugated systems?: PAH and graphene

Model Hamiltonians have been, and still are, a valuable tool for investigating the electronic structure of systems for which mean field theories work poorly. This review will concentrate on the application of Pariser–Parr–Pople (PPP) and Hubbard Hamiltonians to investigate some relevant properties of polycyclic aromatic hydrocarbons (PAH) and graphene. When presenting these two Hamiltonians we will resort to second quantisation which, although not the way chosen in its original proposal of the former, is much clearer. We will not attempt to be comprehensive, but rather our objective will be to try to provide the reader with information on what kinds of problems they will encounter and what tools they will need to solve them. One of the key issues concerning model Hamiltonians that will be treated in detail is the choice of model parameters. Although model Hamiltonians reduce the complexity of the original Hamiltonian, they cannot be solved in most cases exactly. So, we shall first consider the Hartree–Fock approximation, still the only tool for handling large systems, besides density functional theory (DFT) approaches. We proceed by discussing to what extent one may exactly solve model Hamiltonians and the Lanczos approach. We shall describe the configuration interaction (CI) method, a common technology in quantum chemistry but one rarely used to solve model Hamiltonians. In particular, we propose a variant of the Lanczos method, inspired by CI, that has the novelty of using as the seed of the Lanczos process a mean field (Hartree–Fock) determinant (the method will be named LCI). Two questions of interest related to model Hamiltonians will be discussed: (i) when including long-range interactions, how crucial is including in the Hamiltonian the electronic charge that compensates ion charges? (ii) Is it possible to reduce a Hamiltonian incorporating Coulomb interactions (PPP) to an 'effective' Hamiltonian including only on-site interactions (Hubbard)? The performance of CI will be checked on small molecules. The electronic structure of azulene and fused azulene will be used to illustrate several aspects of the method. As regards graphene, several questions will be considered: (i) paramagnetic versus antiferromagnetic solutions, (ii) forbidden gap versus dot size, (iii) graphene nano-ribbons, and (iv) optical properties.

Off-diagonal long-range order in a supersymmetric integrable model of correlated electrons

A new model for correlated electrons is presented which is integrable in one-dimension. The symmetry algebra of the model is the Lie superalgebra gl(2\1) which depends on a continuous free parameter. This symmetry algebra contains the eta pairing algebra as a subalgebra which is used to show that the model exhibits Off-Diagonal Long-Range Order in any number of dimensions.

Level-one highest weight representation of U-q[sl((N)over-cap vertical bar 1)] and Bosonization of the multicomponent Super t-J model

We study the level-one irreducible highest weight representations of the quantum affine superalgebra U-q[sl((N) over cap\1)], and calculate their characters and supercharacters. We obtain bosonized q-vertex operators acting on the irreducible U-q[sl((N) over cap\1)] modules and derive the exchange relations satisfied by the vertex operators. We give the bosonization of the multicomponent super t-J model by using the bosonized vertex operators. (C) 2000 American Institute of Physics. [S0022- 2488(00)00508-9].

The q-deformed supersymmetric t-J model with a boundary

The q-deformed supersymmetric t-J model on a semi-infinite lattice is diagonalized by using the level-one vertex operators of the quantum affine superalgebra U-q[sl(2\1)]. We. give the bosonization of the boundary states. We give an integral expression for the correlation functions of the boundary model, and derive the difference equations which they satisfy.

Algebraic Bethe ansatz for integrable one-dimensional extended Hubbard models with open boundary conditions

Nine classes of integrable open boundary conditions, further extending the one-dimensional U-q (gl (212)) extended Hubbard model, have been constructed previously by means of the boundary Z(2)-graded quantum inverse scattering method. The boundary systems are now solved by using the algebraic Bethe ansatz method, and the Bethe ansatz equations are obtained for all nine cases.