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Esteban Moro

Publications and source records attributed to Esteban Moro.

At least 73 records · Page 4Linked to original sources
arXiv2007

Scaling laws of strategic behaviour and size heterogeneity in agent dynamics

The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. The large size of some agents poses challenging problems to agents who want to control their impact, either by forcing the system in a given direction or by hiding their intentionality. Here we consider the financial market as a model system, and we study empirically how agents strategically adjust the properties of large orders in order to meet their preference and minimize their impact. We quantify this strategic behavior by detecting scaling relations of allometric nature between the variables characterizing the trading activity of different institutions. We observe power law distributions in the investment time horizon, in the number of transactions needed to execute a large order and in the traded value exchanged by large institutions and we show that heterogeneity of agents is a key ingredient for the emergence of some aggregate properties characterizing this complex system.

q-fin.ST↗
arXiv2006

Single tensionless transition in the Laplacian roughening model

We report large scale Monte Carlo simulations of the equilibrium discrete Laplacian roughening (dLr) model, originally introduced as the simplest one accommodating the hexatic phase in two-dimensional melting. The dLr model is also relevant to surface roughening in molecular beam epitaxy (MBE). Our data suggest a single phase transition, possibly of the Kosterlitz-Thouless type, between a flat low-temperature phase and a rough, tensionless, high-temperature phase. Thus, earlier conclusions on the order of the phase transition and on the existence of a hexatic phase are seen as due to finite size effects, the phase diagram of the dLr model being similar to that of a continuum analog previously formulated in the context of surface growth by MBE.

cond-mat.stat-mech↗
arXiv2005

Non-negativity preserving numerical algorithms for stochastic differential equations

Construction of splitting-step methods and properties of related non-negativity and boundary preserving numerical algorithms for solving stochastic differential equations (SDEs) of Ito-type are discussed. We present convergence proofs for a newly designed splitting-step algorithm and simulation studies for numerous numerical examples ranging from stochastic dynamics occurring in asset pricing theory in mathematical finance (SDEs of CIR and CEV models) to measure-valued diffusion and superBrownian motion (SPDEs) as met in biology and physics.

math.NA↗
arXiv2005

Spreading of thin films assisted by thermal fluctuations

We study the spreading of viscous drops on a solid substrate, taking into account the effects of thermal fluctuations in the fluid momentum. A nonlinear stochastic lubrication equation is derived, and studied using numerical simulations and scaling analysis. We show that asymptotically spreading drops admit self-similar shapes, whose average radii can increase at rates much faster than these predicted by Tanner's law. We discuss the physical realizability of our results for thin molecular and complex fluid films, and predict that such phenomenon can in principal be observed in various flow geometries.

cond-mat.stat-mech↗
arXiv2004

Numerical schemes for continuum models of reaction-diffusion systems subject to internal noise

We present new numerical schemes to integrate stochastic partial differential equations which describe the spatio-temporal dynamics of reaction-diffusion (RD) problems under the effect of internal fluctuations. The schemes conserve the nonnegativity of the solutions and incorporate the Poissonian nature of internal fluctuations at small densities, their performance being limited by the level of approximation of density fluctuations at small scales. We apply the new schemes to two different aspects of the Reggeon model namely, the study of its non-equilibrium phase transition and the dynamics of fluctuating pulled fronts. In the latter case, our approach allows to reproduce quantitatively for the first time microscopic properties within the continuum model.

cond-mat.stat-mech↗
arXiv2004

The Minority Game: an introductory guide

The Minority Game is a simple model for the collective behavior of agents in an idealized situation where they have to compete through adaptation for a finite resource. This review summarizes the statistical mechanics community efforts to clear up and understand the behavior of this model. Our emphasis is on trying to derive the underlying effective equations which govern the dynamics of the original Minority Game, and on making an interpretation of the results from the point of view of the statistical mechanics of disordered systems.

cond-mat.dis-nn↗
arXiv2004

Hybrid method for simulating front propagation in reaction-diffusion systems

We study the propagation of pulled fronts in the $A <-> \leftrightarrow A+A$ microscopic reaction-diffusion process using Monte Carlo (MC) simulations. In the mean field approximation the process is described by the deterministic Fisher-Kolmogorov-Petrovsky-Piscounov (FKPP) equation. In particular we concentrate on the corrections to the deterministic behavior due to the number of particles per site $Ω$. By means of a new hybrid simulation scheme, we manage to reach large macroscopic values of $Ω$ which allows us to show the importance in the dynamics of microscopic pulled fronts of the interplay of microscopic fluctuations and their macroscopic relaxation.

cond-mat.stat-mech↗
arXiv2003

Emergence of pulled fronts in fermionic microscopic particle models

We study the emergence and dynamics of pulled fronts described by the Fisher-Kolmogorov-Petrovsky-Piscounov (FKPP) equation in the microscopic reaction-diffusion process A + A <-> A$ on the lattice when only a particle is allowed per site. To this end we identify the parameter that controls the strength of internal fluctuations in this model, namely, the number of particles per correlated volume. When internal fluctuations are suppressed, we explictly see the matching between the deterministic FKPP description and the microscopic particle model.

cond-mat.stat-mech↗
arXiv2003

Defect formation in the Swift-Hohenberg equation

We study numerically and analytically the dynamics of defect formation during a finite-time quench of the two dimensional Swift-Hohenberg (SH) model of Rayleigh-Benard convection. We find that the Kibble-Zurek picture of defect formation can be applied to describe the density of defects produced during the quench. Our study reveals the relevance of two factors: the effect of local variations of the striped patterns within defect-free domains and the presence of both point-like and extended defects. Taking into account these two aspects we are able to identify the characteristic length scale selected during the quench and to relate it to the density of defects. We discuss possible consequences of our study for the analysis of the coarsening process of the SH model.

cond-mat.stat-mech↗
arXiv2002

A microscopic model for thin film spreading

A microscopic, driven lattice gas model is proposed for the dynamics and spatio-temporal fluctuations of the precursor film observed in spreading experiments. Matter is transported both by holes and particles, and the distribution of each can be described by driven diffusion with a moving boundary. This picture leads to a stochastic partial differential equation for the shape of the boundary, which agrees with the simulations of the lattice gas. Preliminary results for flow in a thermal gradient are discussed.

cond-mat.stat-mech↗
arXiv2001

Dynamic renormalization group study of a generalized continuum model of crystalline surfaces

We apply the Nozieres-Gallet dynamic renormalization group (RG) scheme to a continuum equilibrium model of a d-dimensional surface relaxing by linear surface tension and linear surface diffusion, and which is subject to a lattice potential favoring discrete values of the height variable. The model thus interpolates between the overdamped sine-Gordon model and a related continuum model of crystalline tensionless surfaces. The RG flow predicts the existence of an equilibrium roughening transition only for d = 2 dimensional surfaces, between a flat low-temperature phase and a rough high-temperature phase in the Edwards-Wilkinson (EW) universality class. The surface is always in the flat phase for any other substrate dimensions d > 2. For any value of d, the linear surface diffusion mechanism is an irrelevant perturbation of the linear surface tension mechanism, but may induce long crossovers within which the scaling properties of the linear molecular-beam epitaxy equation are observed, thus increasing the value of the sine-Gordon roughening temperature. This phenomenon originates in the non-linear lattice potential, and is seen to occur even in the absence of a bare surface tension term. An important consequence of this is that a crystalline tensionless surface is asymptotically described at high temperatures by the EW universality class.

cond-mat.stat-mech↗
arXiv2001

Internal Fluctuations Effects on Fisher Waves

We study the diffusion-limited reaction A + A <-> A in different spatial dimensions to observe the effect of internal fluctuations on the interface between stable and unstable phases. We find that, similar to what has been observed in d=1 dimensions, internal fluctuations modify the mean-field behavior predictions for this process, which is given by Fisher's reaction-diffusion equation. In d > 1 the front displays local fluctuations perpendicular to the direction of motion which, with a proper definition of the interface, can be fully described within the Kardar-Parisi-Zhang (KPZ) universality class. This clarifies the apparent discrepancies with KPZ predictions reported recently.

cond-mat.stat-mech↗
arXiv2000

Continuous time dynamics of the Thermal Minority Game

We study the continuous time dynamics of the Thermal Minority Game. We find that the dynamical equations of the model reduce to a set of stochastic differential equations for an interacting disordered system with non-trivial random diffusion. This is the simplest microscopic description which accounts for all the features of the system. Within this framework, we study the phase structure of the model and find that its macroscopic properties strongly depend on the initial conditions.

cond-mat.stat-mech↗
arXiv2000

Roughening and superroughening in the ordered and random two-dimensional sine-Gordon models

We present a comparative numerical study of the ordered and the random two-dimensional sine-Gordon models on a lattice. We analytically compute the main features of the expected high temperature phase of both models, described by the Edwards-Wilkinson equation. We then use those results to locate the transition temperatures of both models in our Langevin dynamics simulations. We show that our results reconcile previous contradictory numerical works concerning the superroughening transition in the random sine-Gordon model. We also find evidence supporting the existence of two different low temperature phases for the disordered model. We discuss our results in view of the different analytical predictions available and comment on the nature of these two putative phases.

cond-mat.stat-mech↗
arXiv1999

Analytical results for a continuum model of crystalline tensionless surfaces. I. Variational mean field study

We study analytically the equilibrium and near-equilibrium properties of a model of surfaces relaxing via linear surface diffusion and subject to a lattice potential. We employ the variational mean field formalism introduced by Saito for the study of the sine Gordon model. In equilibrium, our variational theory predicts a first order roughening transition between a flat low temperature phase and a rough high temperature phase with the properties of the linear molecular beam epitaxy equation. The study of a Gaussian approximation to the Langevin dynamics of the system indicates that the surface shows hysteresis when we continuously tune temperature. Out of equilibrium, this Langevin dynamics approach shows that the surface mobility can have different behaviours as a function of a driving flux. Some considerations are made regarding different dimensionalities and underlying lattices, and connections are drawn to related models or different approaches to the same model we study.

cond-mat.stat-mech↗
arXiv1999

Stochastic vortex dynamics in two-dimensional easy-plane ferromagnets: Multiplicative versus additive noise

We study how thermal fluctuations affect the dynamics of vortices in the two-dimensional classical, ferromagnetic, anisotropic Heisenberg model depending on their additive or multiplicative character. Using a collective coordinate theory, we analytically show that multiplicative noise, arising from fluctuations in the local field term of the Landau-Lifshitz equations, and Langevin-like additive noise both have the same effect on vortex dynamics (within a very plausible assumption consistent with the collective coordinate approach). This is a non-trivial result, as multiplicative and additive noises usually modify the dynamics quite differently. We also carry out numerical simulations of both versions of the model finding that they indeed give rise to very similar vortex dynamics.

cond-mat↗
arXiv1998

Dynamics of defect formation

A dynamic symmetry-breaking transition with noise and inertia is analyzed. Exact solution of the linearized equation that describes the critical region allows precise calculation (exponent and prefactor) of the number of defects produced as a function of the rate of increase of the critical parameter. The procedure is valid in both the overdamped and underdamped limits. In one space dimension, we perform quantitative comparison with numerical simulations of the nonlinear nonautonomous stochastic partial differential equation and report on signatures of underdamped dynamics.

cond-mat↗