arXiv subjects

Dario Villamaina

Publications and source records attributed to Dario Villamaina.

17 recordsLinked to original sources

arXiv2024

Ponzi Funds

Many active funds hold concentrated portfolios. Flow-driven trading in these securities causes price pressure, which pushes up the funds' existing positions resulting in realized returns. We decompose fund returns into a price pressure (self-inflated) and a fundamental component and show that when allocating capital across funds, investors are unable to identify whether realized returns are self-inflated or fundamental. Because investors chase self-inflated fund returns at a high frequency, even short-lived impact meaningfully affects fund flows at longer time scales. The combination of price impact and return chasing causes an endogenous feedback loop and a reallocation of wealth to early fund investors, which unravels once the price pressure reverts. We find that flows chasing self-inflated returns predict bubbles in ETFs and their subsequent crashes, and lead to a daily wealth reallocation of 500 Million from ETFs alone. We provide a simple regulatory reporting measure -- fund illiquidity -- which captures a fund's potential for self-inflated returns.

q-fin.GN↗

arXiv2016

Microscopic origin of self-similarity in granular blast waves

The self-similar expansion of a blast wave, well-studied in air, has peculiar counterparts in dense and dissipative media such as granular gases. Recent results have shown that, while the traditional Taylor-von Neumann-Sedov (TvNS) derivation is not applicable to such granular blasts, they can nevertheless be well understood via a combination of microscopic and hydrodynamic insights. In this article, we provide a detailed analysis of these methods associating Molecular Dynamics simulations and continuum equations, which successfully predict hydrodynamic profiles, scaling properties and the instability of the self-similar solution. We also present new results for the energy conserving case, including the particle-level analysis of the classic TvNS solution and its breakdown at higher densities.

cond-mat.soft↗

arXiv2015

Estimating the principal components of correlation matrices from all their empirical eigenvectors

We consider the problem of estimating the principal components of a population correlation matrix from a limited number of measurement data. Using a combination of random matrix and information-theoretic tools, we show that all the eigenmodes of the sample correlation matrices are informative, and not only the top ones. We show how this information can be exploited when prior information about the principal component, such as whether it is localized or not, is available by mapping the estimation problem onto the search for the ground state of a spin-glass-like effective Hamiltonian encoding the prior. Results are illustrated numerically on the spiked covariance model.

cond-mat.stat-mech↗

arXiv2015

Blast dynamics in a dissipative gas

The blast caused by an intense explosion has been extensively studied in conservative fluids, where the Taylor-von Neumann-Sedov hydrodynamic solution is a prototypical example of self-similarity driven by conservation laws. In dissipative media however, energy conservation is violated, yet a distinctive self-similar solution appears. It hinges on the decoupling of random and coherent motion permitted by a broad class of dissipative mechanisms. This enforces a peculiar layered structure in the shock, for which we derive the full hydrodynamic solution, validated by a microscopic approach based on Molecular Dynamics simulations. We predict and evidence a succession of temporal regimes, as well as a long-time corrugation instability, also self-similar, which disrupts the blast boundary. These generic results may apply from astrophysical systems to granular gases, and invite further cross-fertilization between microscopic and hydrodynamic approaches of shockwaves.

cond-mat.stat-mech↗

arXiv2014

A singular-potential random matrix model arising in mean-field glassy systems

We consider an invariant random matrix model where the standard Gaussian potential is distorted by an additional single pole of order $m$. We compute the average or macroscopic spectral density in the limit of large matrix size, solving the loop equation with the additional constraint of vanishing trace on average. The density is generally supported on two disconnected intervals lying on the two sides of the pole. In the limit of having no pole, we recover the standard semicircle. Obtained in the planar limit, our results apply to matrices with orthogonal, unitary or symplectic symmetry alike. The orthogonal case with $m=2$ is motivated by an application to spin glass physics. In the Sherrington-Kirkpatrick mean-field model, in the paramagnetic phase and for sufficiently large systems the spin glass susceptibility is a random variable, depending on the realization of disorder. It is essentially given by a linear statistics on the eigenvalues of the coupling matrix. As such its large deviation function can be computed using standard Coulomb fluid techniques. The resulting free energy of the associated fluid precisely corresponds to the partition function of our random matrix model. Numerical simulations provide an excellent confirmation of our analytical results.

math-ph↗

arXiv2014

Thinking outside the box: fluctuations and finite size effects

The isothermal compressibility of an interacting or non interacting system may be extracted from the fluctuations of the number of particles in a well chosen control volume. Finite size effects are prevalent and should then be accounted for to obtain a meaningful, thermodynamic compressibility. In the traditional computational setup where a given simulation box is replicated with periodic boundary conditions, we study particle number fluctuations outside the box (i.e. when the control volume exceeds the box itself), which bear relevant thermodynamic information. We also investigate the related problem of extracting the compressibility from the structure factor in the small wave-vector limit ($k\to 0$). The calculation should be restricted to the discrete set of wave-vectors $k$ that are compatible with the periodicity of the system, and we assess the consequences of considering other $k$ values, a widespread error among beginners.

cond-mat.stat-mech↗

arXiv2013

Entanglement production in non-ideal cavities and optimal opacity

We compute analytically the distributions of concurrence $\bm{\mathcal{C}}$ and squared norm $\bm{\mathcal{N}}$ for the production of electronic entanglement in a chaotic quantum dot. The dot is connected to the external world via one ideal and one partially transparent lead, characterized by the opacity $γ$. The average concurrence increases with $γ$ while the average squared norm of the entangled state decreases, making it less likely to be detected. When a minimal detectable norm $\bm{\mathcal{N}}_0$ is required, the average concurrence is maximal for an optimal value of the opacity $γ^\star(\bm{\mathcal{N}}_0)$ which is explicitly computed as a function of $\bm{\mathcal{N}}_0$. If $\bm{\mathcal{N}}_0$ is larger than the critical value $\bm{\mathcal{N}}_0^\star\simeq 0.3693\dots$, the average entanglement production is maximal for the completely ideal case, a direct consequence of an interesting bifurcation effect.

cond-mat.stat-mech↗

arXiv2012

Large deviations of the top eigenvalue of large Cauchy random matrices

We compute analytically the probability density function (pdf) of the largest eigenvalue $λ_{\max}$ in rotationally invariant Cauchy ensembles of $N\times N$ matrices. We consider unitary ($β= 2$), orthogonal ($β=1$) and symplectic ($β=4$) ensembles of such heavy-tailed random matrices. We show that a central non-Gaussian regime for $λ_{\max} \sim \mathcal{O}(N)$ is flanked by large deviation tails on both sides which we compute here exactly for any value of $β$. By matching these tails with the central regime, we obtain the exact leading asymptotic behaviors of the pdf in the central regime, which generalizes the Tracy-Widom distribution known for Gaussian ensembles, both at small and large arguments and for any $β$. Our analytical results are confirmed by numerical simulations.

cond-mat.stat-mech↗

arXiv2012

Einstein relation in superdiffusive systems

We study the Einstein relation between diffusion and response to an external field in systems showing superdiffusion. In particular, we investigate a continuous time Levy walk where the velocity remains constant for a time τ, with distribution P(τ) τ^{-g}. At varying g the diffusion can be standard or anomalous; in spite of this, if in the unperturbed system a current is absent, the Einstein relation holds. In the case where a current is present the scenario is more complicated and the usual Einstein relation fails. This suggests that the main ingredient for the breaking of the Einstein relation is not the anomalous diffusion but the presence of a mean drift (current).

cond-mat.stat-mech↗

arXiv2012

Out-of-equilibrium generalized fluctuation-dissipation relations

We discuss fluctuation-dissipation relations valid under general conditions even out of equilibrium. The response function is expressed in terms of unperperturbed correlation functions, where contributions peculiar to non-equilibrium can appear. Such extra terms take into account the interaction among the relevant degrees of freedom in the system. We illustrate the general formalism with two examples: driven granular systems and anomalous diffusion on comb structures.

cond-mat.stat-mech↗

arXiv2012

Non-equilibrium and information: the role of cross-correlations

We discuss the relevance of information contained in cross-correlations among different degrees of freedom, which is crucial in non-equilibrium systems. In particular we consider a stochastic system where two degrees of freedom $X_1$ and $X_2$ - in contact with two different thermostats - are coupled together. The production of entropy and the violation of equilibrium fluctuation-dissipation theorem (FDT) are both related to the cross-correlation between $X_1$ and $X_2$. Information about such cross-correlation may be lost when single-variable reduced models, for $X_1$, are considered. Two different procedures are typically applied: (a) one totally ignores the coupling with $X_2$; (b) one models the effect of $X_2$ as an average memory effect, obtaining a generalized Langevin equation. In case (a) discrepancies between the system and the model appear both in entropy production and linear response; the latter can be exploited to define effective temperatures, but those are meaningful only when time-scales are well separated. In case (b) linear response of the model well reproduces that of the system; however the loss of information is reflected in a loss of entropy production. When only linear forces are present, such a reduction is dramatic and makes the average entropy production vanish, posing problems in interpreting FDT violations.

cond-mat.stat-mech↗

arXiv2011

Growing non-equilibrium length in granular fluids: from experiment to fluctuating hydrodynamics

Velocity correlations in a 2D granular fluid are studied in experiments and numerical simulations. The transverse component of the velocity structure factor reveals two well defined energy scales, associated with the external "bath temperature" $T_b$ and with the internal granular one, $T_g<T_b$, relevant at large and small wavelengths respectively. Experimental and numerical data are discussed within a fluctuating hydrodynamics model, which allows one to define and measure a non-equilibrium coherence length $ξ$, growing with density, that characterizes order in the velocity field.

cond-mat.stat-mech↗

arXiv2011

Fluctuating hydrodynamics and correlation lengths in a driven granular fluid

Static and dynamical structure factors for shear and longitudinal modes of the velocity and density fields are computed for a granular system fluidized by a stochastic bath with friction. Analytical expressions are obtained through fluctuating hydrodynamics and are successfully compared with numerical simulations up to a volume fraction $\sim 50%$. Hydrodynamic noise is the sum of external noise due to the bath and internal one due to collisions. Only the latter is assumed to satisfy the fluctuation-dissipation relation with the average granular temperature. Static velocity structure factors $S_\perp(k)$ and $S_\parallel(k)$ display a general non-constant behavior with two plateaux at large and small $k$, representing the granular temperature $T_g$ and the bath temperature $T_b>T_g$ respectively. From this behavior, two different velocity correlation lengths are measured, both increasing as the packing fraction is raised. This growth of spatial order is in agreement with the behaviour of dynamical structure factors, the decay of which becomes slower and slower at increasing density.

cond-mat.stat-mech↗

arXiv2010

The Ratchet effect in an ageing glass

We study the dynamics of an asymmetric intruder in a glass-former model. At equilibrium, the intruder diffuses with average zero velocity. After an abrupt quench to $T$ deeply under the mode-coupling temperature, a net average drift is observed, steady on a logarithmic time-scale. The phenomenon is well reproduced in an asymmetric version of the Sinai model. The subvelocity of the intruder grows with $T_{eff}/T$, where $T_{eff}$ is defined by the response-correlation ratio, corresponding to a general behavior of thermal ratchets when in contact with two thermal reservoirs.

cond-mat.dis-nn↗

arXiv2010

Irreversible dynamics of a massive intruder in dense granular fluids

A Generalized Langevin Equation with exponential memory is proposed for the dynamics of a massive intruder in a dense granular fluid. The model reproduces numerical correlation and response functions, violating the equilibrium Fluctuation Dissipation relations. The source of memory is identified in the coupling of the tracer velocity $V$ with a spontaneous local velocity field $U$ in the surrounding fluid. Such identification allows us to measure the intruder's fluctuating entropy production as a function of $V$ and $U$, obtaining a neat verification of the Fluctuation Relation.

cond-mat.stat-mech↗

arXiv2010

Granular Brownian motion

We study the stochastic motion of an intruder in a dilute driven granular gas. All particles are coupled to a thermostat, representing the external energy source, which is the sum of random forces and a viscous drag. The dynamics of the intruder, in the large mass limit, is well described by a linear Langevin equation, combining the effects of the external bath and of the "granular bath". The drag and diffusion coefficients are calculated under few assumptions, whose validity is well verified in numerical simulations. We also discuss the non-equilibrium properties of the intruder dynamics, as well as the corrections due to finite packing fraction or finite intruder mass.

cond-mat.stat-mech↗

arXiv2009

Irreversible effects of memory

The steady state of a Langevin equation with short ranged memory and coloured noise is analyzed. When the fluctuation-dissipation theorem of second kind is not satisfied, the dynamics is irreversible, i.e. detailed balance is violated. We show that the entropy production rate for this system should include the power injected by ``memory forces''. With this additional contribution, the Fluctuation Relation is fairly verified in simulations. Both dynamics with inertia and overdamped dynamics yield the same expression for this additional power. The role of ``memory forces'' within the fluctuation-dissipation relation of first kind is also discussed.

cond-mat.stat-mech↗