981 resultados para power-law distribution of returns


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We explored the origin of power law distribution observed in single-molecule conformational dynamics experiments. By establishing a kinetic master equation approach to study statistically the microscopic state dynamics, we show that the underlying landscape with exponentially distributed density of states leads to power law distribution of kinetics. The exponential density of states emerges when the system becomes glassy and landscape becomes rough with significant trapping.

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Isotope yield distributions in the multifragmentation regime were studied with high-quality isotope identification, focusing on the intermediate mass fragments (IMFs) produced in semiviolent collisions. The yields were analyzed within the framework of a modified Fisher model. Using the ratio of the mass-dependent symmetry energy coefficient relative to the temperature, a(sym)/T, extracted in previous work and that of the pairing term, a(p)/T, extracted from this work, and assuming that both reflect secondary decay processes, the experimentally observed isotope yields were corrected for these effects. For a given I = N - Z value, the corrected yields of isotopes relative to the yield of C-12 show a power law distribution Y (N, Z)/Y(C-12) similar to A(-tau) in the mass range 1 <= A <= 30, and the distributions are almost identical for the different reactions studied. The observed power law distributions change systematically when I of the isotopes changes and the extracted tau value decreases from 3.9 to 1.0 as I increases from -1 to 3. These observations are well reproduced by a simple deexcitation model, with which the power law distribution of the primary isotopes is determined to be tau(prim) = 2.4 +/- 0.2, suggesting that the disassembling system at the time of the fragment formation is indeed at, or very near, the critical point.

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We studied the statistical distribution of student's performance, which is measured through their marks, in university entrance examination (Vestibular) of UNESP (Universidade Estadual Paulista) with respect to (i) period of study - day versus night period (ii) teaching conditions - private versus public school (iii) economical conditions - high versus low family income. We observed long ubiquitous power law tails in physical and biological sciences in all cases. The mean value increases with better study conditions followed by better teaching and economical conditions. In humanities, the distribution is close to normal distribution with very small tail. This indicates that these power law tails in science subjects axe due to the nature of the subjects themselves. Further and better study, teaching and economical conditions axe more important for physical and biological sciences in comparison to humanities at this level of study. We explain these statistical distributions through Gradually Truncated Power law distributions. We discuss the possible reason for this peculiar behavior.

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In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

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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.

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We studied the statistical distribution of candidate's performance which is measured through their marks in university entrance examination (Vestibular) of UNESP (Universidade Estadual Paulista) for years 1998, 1999, and 2000. All students are divided in three groups: Physical, Biological and Humanities. We paid special attention to the examination of Portuguese language which is common for all and examinations for the particular area. We observed long ubiquitous power law tails in Physical and Biological sciences. This indicate the presence of strong positive feedback in sciences. We are able to explain completely these statistical distributions through Gradually Truncated Power law distributions which we developed recently to explain statistical behavior of financial market. The statistical distribution in case of Portuguese language and humanities is close to normal distribution. We discuss the possible reason for this peculiar behavior.

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In the region of self-organized criticality (SOC) interdependency between multi-agent system components exists and slight changes in near-neighbor interactions can break the balance of equally poised options leading to transitions in system order. In this region, frequency of events of differing magnitudes exhibits a power law distribution. The aim of this paper was to investigate whether a power law distribution characterized attacker-defender interactions in team sports. For this purpose we observed attacker and defender in a dyadic sub-phase of rugby union near the try line. Videogrammetry was used to capture players’ motion over time as player locations were digitized. Power laws were calculated for the rate of change of players’ relative position. Data revealed that three emergent patterns from dyadic system interactions (i.e., try; unsuccessful tackle; effective tackle) displayed a power law distribution. Results suggested that pattern forming dynamics dyads in rugby union exhibited SOC. It was concluded that rugby union dyads evolve in SOC regions suggesting that players’ decisions and actions are governed by local interactions rules.

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A long-held assumption in entrepreneurship research is that normal (i.e., Gaussian) distributions characterize variables of interest for both theory and practice. We challenge this assumption by examining more than 12,000 nascent, young, and hyper-growth firms. Results reveal that variables which play central roles in resource-, cognition-, action-, and environment-based entrepreneurship theories exhibit highly skewed power law distributions, where a few outliers account for a disproportionate amount of the distribution's total output. Our results call for the development of new theory to explain and predict the mechanisms that generate these distributions and the outliers therein. We offer a research agenda, including a description of non-traditional methodological approaches, to answer this call.

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We present results from SEPPCoN, an on-going Survey of the Ensemble Physical Properties of Cometary Nuclei. In this report we discuss mid-infrared measurements of the thermal emission from 89 nuclei of Jupiter-family comets (JFCs). All data were obtained in 2006 and 2007 using imaging capabilities of the Spitzer Space Telescope. The comets were typically 4-5 AU from the Sun when observed and most showed only a point-source with little or no extended emission from dust. For those comets showing dust, we used image processing to photometrically extract the nuclei. For all 89 comets, we present new effective radii, and for 57 comets we present beaming parameters. Thus our survey provides the largest compilation of radiometrically-derived physical properties of nuclei to date. We have six main conclusions: (a) The average beaming parameter of the JFC population is 1.03 ± 0.11, consistent with unity; coupled with the large distance of the nuclei from the Sun, this indicates that most nuclei have Tempel 1-like thermal inertia. Only two of the 57 nuclei had outlying values (in a statistical sense) of infrared beaming. (b) The known JFC population is not complete even at 3 km radius, and even for comets that approach to ˜2 AU from the Sun and so ought to be more discoverable. Several recently-discovered comets in our survey have small perihelia and large (above ˜2 km) radii. (c) With our radii, we derive an independent estimate of the JFC nuclear cumulative size distribution (CSD), and we find that it has a power-law slope of around -1.9, with the exact value depending on the bounds in radius. (d) This power-law is close to that derived by others from visible-wavelength observations that assume a fixed geometric albedo, suggesting that there is no strong dependence of geometric albedo with radius. (e) The observed CSD shows a hint of structure with an excess of comets with radii 3-6 km. (f) Our CSD is consistent with the idea that the intrinsic size distribution of the JFC population is not a simple power-law and lacks many sub-kilometer objects.

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The statistical distributions of different software properties have been thoroughly studied in the past, including software size, complexity and the number of defects. In the case of object-oriented systems, these distributions have been found to obey a power law, a common statistical distribution also found in many other fields. However, we have found that for some statistical properties, the behavior does not entirely follow a power law, but a mixture between a lognormal and a power law distribution. Our study is based on the Qualitas Corpus, a large compendium of diverse Java-based software projects. We have measured the Chidamber and Kemerer metrics suite for every file of every Java project in the corpus. Our results show that the range of high values for the different metrics follows a power law distribution, whereas the rest of the range follows a lognormal distribution. This is a pattern typical of so-called double Pareto distributions, also found in empirical studies for other software properties.

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In this paper we study the evolution of the kinetic features of the martensitic transition in a Cu-Al-Mn single crystal under thermal cycling. The use of several experimental techniques including optical microscopy, calorimetry, and acoustic emission, has enabled us to perform an analysis at multiple scales. In particular, we have focused on the analysis of avalanche events (associated with the nucleation and growth of martensitic domains), which occur during the transition. There are significant differences between the kinetics at large and small length scales. On the one hand, at small length scales, small avalanche events tend to sum to give new larger events in subsequent loops. On the other hand, at large length scales the large domains tend to split into smaller ones on thermal cycling. We suggest that such different behavior is the necessary ingredient that leads the system to the final critical state corresponding to a power-law distribution of avalanches.

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Locality to other nodes on a peer-to-peer overlay network can be established by means of a set of landmarks shared among the participating nodes. Each node independently collects a set of latency measures to landmark nodes, which are used as a multi-dimensional feature vector. Each peer node uses the feature vector to generate a unique scalar index which is correlated to its topological locality. A popular dimensionality reduction technique is the space filling Hilbert’s curve, as it possesses good locality preserving properties. However, there exists little comparison between Hilbert’s curve and other techniques for dimensionality reduction. This work carries out a quantitative analysis of their properties. Linear and non-linear techniques for scaling the landmark vectors to a single dimension are investigated. Hilbert’s curve, Sammon’s mapping and Principal Component Analysis have been used to generate a 1d space with locality preserving properties. This work provides empirical evidence to support the use of Hilbert’s curve in the context of locality preservation when generating peer identifiers by means of landmark vector analysis. A comparative analysis is carried out with an artificial 2d network model and with a realistic network topology model with a typical power-law distribution of node connectivity in the Internet. Nearest neighbour analysis confirms Hilbert’s curve to be very effective in both artificial and realistic network topologies. Nevertheless, the results in the realistic network model show that there is scope for improvements and better techniques to preserve locality information are required.

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The Sznajd model (SM) has been employed with success in the last years to describe opinion propagation in a community. In particular, it has been claimed that its transient is able to reproduce some scale properties observed in data of proportional elections, in different countries, if the community structure (the network) is scale-free. In this work, we investigate the properties of the transient of a particular version of the SM, introduced by Bernardes and co-authors in 2002. We studied the behavior of the model in networks of different topologies through the time evolution of an order parameter known as interface density, and concluded that regular lattices with high dimensionality also leads to a power-law distribution of the number of candidates with v votes. Also, we show that the particular absorbing state achieved in the stationary state (or else, the winner candidate), is related to a particular feature of the model, that may not be realistic in all situations.