Testing for financial crashes using the Log Periodic Power Law model

Many papers claim that a Log Periodic Power Law (LPPL) model fitted to financial market bubbles that precede large market falls or 'crashes', contains parameters that are confined within certain ranges. Further, it is claimed that the underlying model is based on influence percolation and a martingale condition. This paper examines these claims and their validity for capturing large price falls in the Hang Seng stock market index over the period 1970 to 2008. The fitted LPPLs have parameter values within the ranges specified post hoc by Johansen and Sornette (2001) for only seven of these 11 crashes. Interestingly, the LPPL fit could have predicted the substantial fall in the Hang Seng index during the recent global downturn. Overall, the mechanism posited as underlying the LPPL model does not do so, and the data used to support the fit of the LPPL model to bubbles does so only partially. © 2013.

Friction losses in valves and fittings for power-law fluids

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

Power-law creep behavior of a semiflexible chain

Rheological properties of adherent cells are essential for their physiological functions, and microrheological measurements on living cells have shown that their viscoelastic responses follow a weak power law over a wide range of time scales. This power law is also influenced by mechanical prestress borne by the cytoskeleton, suggesting that cytoskeletal prestress determines the cell's viscoelasticity, but the biophysical origins of this behavior are largely unknown. We have recently developed a stochastic two-dimensional model of an elastically joined chain that links the power-law rheology to the prestress. Here we use a similar approach to study the creep response of a prestressed three-dimensional elastically jointed chain as a viscoelastic model of semiflexible polymers that comprise the prestressed cytoskeletal lattice. Using a Monte Carlo based algorithm, we show that numerical simulations of the chain's creep behavior closely correspond to the behavior observed experimentally in living cells. The power-law creep behavior results from a finite-speed propagation of free energy from the chain's end points toward the center of the chain in response to an externally applied stretching force. The property that links the power law to the prestress is the chain's stiffening with increasing prestress, which originates from entropic and enthalpic contributions. These results indicate that the essential features of cellular rheology can be explained by the viscoelastic behaviors of individual semiflexible polymers of the cytoskeleton.

Scaling of structures subject to impact loads when using a power law constitutive equation

It is well known that structures subjected to dynamic loads do not follow the usual similarity laws when the material is strain rate sensitive. As a consequence, it is not possible to use a scaled model to predict the prototype behaviour. In the present study, this problem is overcome by changing the impact velocity so that the model behaves exactly as the prototype. This exact solution is generated thanks to the use of an exponential constitutive law to infer the dynamic flow stress. Furthermore, it is shown that the adopted procedure does not rely on any previous knowledge of the structure response. Three analytical models are used to analyze the performance of the technique. It is shown that perfect similarity is achieved, regardless of the magnitude of the scaling factor. For the class of material used, the solution outlined has long been sought, inasmuch as it allows perfect similarity for strain rate sensitive structures subject to impact loads. (C) 2009 Elsevier Ltd. All rights reserved.

Bias-corrected Pearson estimating functions for Taylor`s power law applied to benthic macrofauna data

Estimation of Taylor`s power law for species abundance data may be performed by linear regression of the log empirical variances on the log means, but this method suffers from a problem of bias for sparse data. We show that the bias may be reduced by using a bias-corrected Pearson estimating function. Furthermore, we investigate a more general regression model allowing for site-specific covariates. This method may be efficiently implemented using a Newton scoring algorithm, with standard errors calculated from the inverse Godambe information matrix. The method is applied to a set of biomass data for benthic macrofauna from two Danish estuaries. (C) 2011 Elsevier B.V. All rights reserved.

Long-range automaton models of earthquakes: Power-law accelerations, correlation evolution, and mode-switching

We introduce a conceptual model for the in-plane physics of an earthquake fault. The model employs cellular automaton techniques to simulate tectonic loading, earthquake rupture, and strain redistribution. The impact of a hypothetical crustal elastodynamic Green's function is approximated by a long-range strain redistribution law with a r(-p) dependance. We investigate the influence of the effective elastodynamic interaction range upon the dynamical behaviour of the model by conducting experiments with different values of the exponent (p). The results indicate that this model has two distinct, stable modes of behaviour. The first mode produces a characteristic earthquake distribution with moderate to large events preceeded by an interval of time in which the rate of energy release accelerates. A correlation function analysis reveals that accelerating sequences are associated with a systematic, global evolution of strain energy correlations within the system. The second stable mode produces Gutenberg-Richter statistics, with near-linear energy release and no significant global correlation evolution. A model with effectively short-range interactions preferentially displays Gutenberg-Richter behaviour. However, models with long-range interactions appear to switch between the characteristic and GR modes. As the range of elastodynamic interactions is increased, characteristic behaviour begins to dominate GR behaviour. These models demonstrate that evolution of strain energy correlations may occur within systems with a fixed elastodynamic interaction range. Supposing that similar mode-switching dynamical behaviour occurs within earthquake faults then intermediate-term forecasting of large earthquakes may be feasible for some earthquakes but not for others, in alignment with certain empirical seismological observations. Further numerical investigation of dynamical models of this type may lead to advances in earthquake forecasting research and theoretical seismology.

Integrated random processes exhibiting long tails, finite moments, and power-law spectra

A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic function of the process is obtained, which, after a scaling assumption, takes on a form that is the basis of the results derived in the rest of the paper. One of these is an expansion for the cumulants, which are all finite, subject to mild conditions on the functions defining the process. This is in contrast with the Lévy distribution¿which can be obtained from our model in certain limits¿which has no finite moments. The evaluation of the spectral density and the form of the probability density function in the tails of the distribution shows that the model exhibits a power-law spectrum and long tails in a natural way. A careful analysis of the characteristic function shows that it may be separated into a part representing a Lévy process together with another part representing the deviation of our model from the Lévy process. This

Extension of Murray's law using a non-Newtonian model of blood flow.

BACKGROUND: So far, none of the existing methods on Murray's law deal with the non-Newtonian behavior of blood flow although the non-Newtonian approach for blood flow modelling looks more accurate. MODELING: In the present paper, Murray's law which is applicable to an arterial bifurcation, is generalized to a non-Newtonian blood flow model (power-law model). When the vessel size reaches the capillary limitation, blood can be modeled using a non-Newtonian constitutive equation. It is assumed two different constraints in addition to the pumping power: the volume constraint or the surface constraint (related to the internal surface of the vessel). For a seek of generality, the relationships are given for an arbitrary number of daughter vessels. It is shown that for a cost function including the volume constraint, classical Murray's law remains valid (i.e. SigmaR(c) = cste with c = 3 is verified and is independent of n, the dimensionless index in the viscosity equation; R being the radius of the vessel). On the contrary, for a cost function including the surface constraint, different values of c may be calculated depending on the value of n. RESULTS: We find that c varies for blood from 2.42 to 3 depending on the constraint and the fluid properties. For the Newtonian model, the surface constraint leads to c = 2.5. The cost function (based on the surface constraint) can be related to entropy generation, by dividing it by the temperature. CONCLUSION: It is demonstrated that the entropy generated in all the daughter vessels is greater than the entropy generated in the parent vessel. Furthermore, it is shown that the difference of entropy generation between the parent and daughter vessels is smaller for a non-Newtonian fluid than for a Newtonian fluid.

Steady-state global optimization of metabolic non-linear dynamic models through recasting into power-law canonical models

Background: Design of newly engineered microbial strains for biotechnological purposes would greatly benefit from the development of realistic mathematical models for the processes to be optimized. Such models can then be analyzed and, with the development and application of appropriate optimization techniques, one could identify the modifications that need to be made to the organism in order to achieve the desired biotechnological goal. As appropriate models to perform such an analysis are necessarily non-linear and typically non-convex, finding their global optimum is a challenging task. Canonical modeling techniques, such as Generalized Mass Action (GMA) models based on the power-law formalism, offer a possible solution to this problem because they have a mathematical structure that enables the development of specific algorithms for global optimization. Results: Based on the GMA canonical representation, we have developed in previous works a highly efficient optimization algorithm and a set of related strategies for understanding the evolution of adaptive responses in cellular metabolism. Here, we explore the possibility of recasting kinetic non-linear models into an equivalent GMA model, so that global optimization on the recast GMA model can be performed. With this technique, optimization is greatly facilitated and the results are transposable to the original non-linear problem. This procedure is straightforward for a particular class of non-linear models known as Saturable and Cooperative (SC) models that extend the power-law formalism to deal with saturation and cooperativity. Conclusions: Our results show that recasting non-linear kinetic models into GMA models is indeed an appropriate strategy that helps overcoming some of the numerical difficulties that arise during the global optimization task.

Power-law distribution in a learning process: competition, learning and natural selection

In the present work, we propose a model for the statistical distribution of people versus number of steps acquired by them in a learning process, based on competition, learning and natural selection. We consider that learning ability is normally distributed. We found that the number of people versus step acquired by them in a learning process is given through a power law. As competition, learning and selection is also at the core of all economical and social systems, we consider that power-law scaling is a quantitative description of this process in social systems. This gives an alternative thinking in holistic properties of complex systems. (C) 2004 Elsevier B.V. All rights reserved.

Analytical bearing capacity of strip footing in weightless materials with power-law failure criteria

Sokolovskii’s method of characteristics is extended to provide analytical solutions for the ultimate load at the moment of plastic failure under plane-strain conditions of shallow strip foundations on weightless rigid-plastic media with a noncohesive power-law failure envelope. The formulation is made parametrically in terms of the instantaneous friction angle, and the key idea to obtain the bearing capacity is that information can be transmitted from the free surface (where external loads are known) to the contact plane of the foundation. The methodology can consider foundations adjacent to a slope, external surcharges at the free surface, and inclined loads (both on the slope and on the foundation). Sensitivity analyses illustrate the influence on bearing capacity of changes in the different geometrical parameters involved. An application example is presented and design plots are provided, and model predictions are compared with results of bearing capacity tests under low gravity.

The XMM deep survey in the CDF-S. VI. Obscured AGN selected as infrared power-law galaxies

Context. Accretion onto supermassive black holes is believed to occur mostly in obscured active galactic nuclei (AGN). Such objects are proving rather elusive in surveys of distant galaxies, including those at X-ray energies. Aims. Our main goal is to determine whether the revised IRAC criteria of Donley et al. (2012, ApJ, 748, 142; objects with an infrared (IR) power-law spectral shape), are effective at selecting X-ray type-2 AGN (i.e., absorbed N_H > 10^22 cm^-2). Methods. We present the results from the X-ray spectral analysis of 147 AGN selected by cross-correlating the highest spectral quality ultra-deep XMM-Newton and the Spitzer/IRAC catalogues in the Chandra Deep Field South. Consequently it is biased towards sources with high S/N X-ray spectra. In order to measure the amount of intrinsic absorption in these sources, we adopt a simple X-ray spectral model that includes a power-law modified by intrinsic absorption at the redshift of each source and a possible soft X-ray component. Results. We find 21/147 sources to be heavily absorbed but the uncertainties in their obscuring column densities do not allow us to confirm their Compton-Thick nature without resorting to additional criteria. Although IR power-law galaxies are less numerous in our sample than IR non-power-law galaxies (60 versus 87 respectively), we find that the fraction of absorbed (N_H^intr > 10^22 cm^-2) AGN is significantly higher (at about 3 sigma level) for IR-power-law sources (similar to 2/3) than for those sources that do not meet this IR selection criteria (~1/2). This behaviour is particularly notable at low luminosities, but it appears to be present, although with a marginal significance, at all luminosities. Conclusions. We therefore conclude that the IR power-law method is efficient in finding X-ray-absorbed sources. We would then expect that the long-sought dominant population of absorbed AGN is abundant among IR power-law spectral shape sources not detected in X-rays.

Power law and entropy analysis of catastrophic phenomena

Catastrophic events, such as wars and terrorist attacks, tornadoes and hurricanes, earthquakes, tsunamis, floods and landslides, are always accompanied by a large number of casualties. The size distribution of these casualties has separately been shown to follow approximate power law (PL) distributions. In this paper, we analyze the statistical distributions of the number of victims of catastrophic phenomena, in particular, terrorism, and find double PL behavior. This means that the data sets are better approximated by two PLs instead of a single one. We plot the PL parameters, corresponding to several events, and observe an interesting pattern in the charts, where the lines that connect each pair of points defining the double PLs are almost parallel to each other. A complementary data analysis is performed by means of the computation of the entropy. The results reveal relationships hidden in the data that may trigger a future comprehensive explanation of this type of phenomena.