arXiv subjects
Publications and source records attributed to Andrei Leonidov.
Polarization properties of turbulent stochastically inhomogeneous ultrarelativistic QED plasma are studied. It is shown that the sign of nonlinear turbulent Landau damping corresponds to an instability of the spacelike modes and, for sufficiently large turbulent fields, to an actual instability of a system. Modification of plasmon dispersion relations due to turbulent effects are studied.
Polarization properties of turbulent stochastically inhomogeneous ultrarelativistic QED plasma are studied. It is shown that the sign of nonlinear turbulent Landau damping corresponds to an instability of the spacelike modes and, for sufficiently large turbulent fields, to an actual instability of a system.
Full quantum calculation of Cherenkov gluon radiation by quark and gluon currents and a Cherenkov decay of a gluon into a pair of Cherenkov gluons in transparent media is performed. Energy losses due to Cherenkov gluon radiation in high energy nuclear collisions are calculated. The angular distribution of the energy flow due to the radiation of Cherenkov gluons is analyzed.
We derive equation describing distribution of energy losses of the particle propagating in fractal medium with quenched and dynamic heterogeneities. We show that in the case of the medium with fractal dimension $2<D<3$ the losses $Δ$ are characterized by the sublinear anomalous dependence $Δ\sim x^α$ with power-law dependence on the distance $x$ from the surface and exponent $α=D-2$.
Full quantum calculation of the in-medium Cherenkov gluon emission by gluon current in transparent media without dispersion is discussed.
We derive equation describing distribution of energy losses of the particle propagating in fractal medium with quenched and dynamic heterogeneities. We show that in the case of the medium with fractal dimension $2<D<3$ the losses of energy are described by the Mittag-Leffler renewal process. The average energy loss of the particle experiences anomalous drift $Δ\sim x^α$ with power-law dependence on the distance $x$ from the surface and exponent $α=D-2$.
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill asymmetries. We show that certain properties of the conditional dynamics at a single time scale such as a characteristic shape of an asymmetry generating component of the conditional probability distribution result in the "elementary" market mill pattern. This asymmetry generating component matches the empirical distribution obtained from the market data. We discuss these properties as a mixture of trend-preserving and contrarian strategies used by market agents. Three basic types of asymmetry patterns characterizing individual stocks are outlined. Multiple time scale considerations make the resulting "composite" mill similar to the empirical market mill patterns. Multiscale model also reflects a multi-agent nature of the market.
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the market mill asymmetries of P(x,y) and predictability due to nonzero z-shaped mean conditional response, that are of special importance. Main goal of the present paper is to put together a model reproducing both the z-shaped mean conditional response and the market mill asymmetry of P(x,y) with respect to the axis y=0. We develop a probabilistic model based on a multi-component ansatz for conditional distribution P(y|x) with push-dependent weights and means describing both properties. A relationship between the market mill asymmetry and predictability is discussed. A possible connection of the model to agent-based picture is outlined.
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on multivariate t-Student distribution shows that the observed effects are caused by colelctive non-gaussian dependence properties of financial time series.
This paper continues a series of studies of dependence patterns following from properties of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response). The paper focuses on individual differences of the P(x,y) for 2000 stocks using a methodology of identification of asymmetric market mill patterns developed in [1,2]. We show that individual asymmetry patterns (portraits) are remarkably stable over time and can be classified into three major groups - correlation, anticorrelation and market mill. We analyze the conditional dynamics resulting from the properties of P(x,y) for all groups and demonstrate that it is trend-following at small push magnitudes and contrarian at large ones
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry properties of P(x,y) such as Market Mill dependence patterns described in preceding paper [1], there are quite a few other interesting geometrical properties of this distribution discussed in the present paper, e.g. transformation of the shape of equiprobability lines upon growing distance from the origin of xy plane and approximate invariance of P(x,y) with respect to rotations at the multiples of $π/2$ around the origin of xy plane. The conditional probability distribution of response P(y|x) is found to be markedly non-gaussian at small magnitude of pushes and tending to more gauss-like behavior upon growing push magnitude. The volatility of P(y|,x) measured by the absolute value of the response shows linear dependence on the absolute value of the push, and the skewness of P(y|x) is shown to inherit a sign of the push. The conditional dynamics approach applied in this study is compared to regression models of AR-ARCH class.
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x, x=0 and y=-x. All four asymmetry patterns remarkably resemble a four-blade mill called market mill pattern. The four market mill patterns characterize different aspects of interdependence between past (push) and future (response) price increments. When analyzed in appropriate coordinates, each pattern corresponds to a particular nonlinear dependence between the push and conditional mean of response. Qualitative interpretation of each pattern is discussed. The market mill pattern is an evidence of complex dependence properties relating past and future price increments resulting in various types of nonlinear correlation and predictability.
The QCD partition function in the external stationary gluomagnetic field is computed in the third order in external field invariants in arbitrary dimension and arbitrary covariant gauge. The contributions proportional to third order invariants in gluon field strength are shown to be dependent on covariant quantum gauge fixing parameter α
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process generating times of the trades is an essentially non-markovian long-range memory one. Further evidence for the long-range memory nature of this point process is provided by the powerlike correlation between the intertrade time intervals. The data set includes all trades in EESR stock on the Moscow International Currency Exchange in January 2003 - September 2003 and in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002.
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades we show, that the underlying point process is essentially non-markovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period January 2003 - September 2003, including that of correlation between intertrade time intervals is presented. A power-law decay of the correlation provides an additional evidence of the long-memory nature of the series of times of trades. A data set including all trades in Siemens, Commerzbank and Karstadt stocks traded on the Xetra electronic stock exchange of Deutsche Boerse in October 2002 is also considered.
Theoretical and phenomenological aspects of high energy heavy ion collisions are reviewed. Main emphasis is on ideas related to Color Glass Condensate (CGC) physics.
In these lectures, we develop the theory of the Colour Glass Condensate. This is the matter made of gluons in the high density environment characteristic of deep inelastic scattering or hadron-hadron collisions at very high energy. The lectures are self contained and comprehensive. They start with a phenomenological introduction, develop the theory of classical gluon fields appropriate for the Colour Glass, and end with a derivation and discussion of the renormalization group equations which determine this effective theory.
We complete the construction of the renormalization group equation (RGE) for the Color Glass Condenstate begun in Paper I. This is the equation which governs the evolution with rapidity of the statistical weight function for the color glass field. The coefficients in this equation --- one-loop real and virtual contributions --- are computed explicitly, to all orders in the color glass field. The resulting RGE can be interpreted as the imaginary-time evolution equation, with rapidity as the ``imaginary time'', for a quantum field theory in two spatial dimensions. In the weak field limit it reduces to the BFKL equation. In the general non-linear case, it is equivalent to an equation by Weigert which summarizes in functional form the evolution equations for Wilson line operators previously derived by Balitsky and Kovchegov.