arXiv subjects

Fernando F. Ferreira

Publications and source records attributed to Fernando F. Ferreira.

25 records · Page 2Linked to original sources

arXiv2008

Transition to complete synchronization in phase coupled oscillators with nearest neighbours coupling

We investigate synchronization in a Kuramoto-like model with nearest neighbour coupling. Upon analyzing the behaviour of individual oscillators at the onset of complete synchronization, we show that the time interval between bursts in the time dependence of the frequencies of the oscillators exhibits universal scaling and blows up at the critical coupling strength. We also bring out a key mechanism that leads to phase locking. Finally, we deduce forms for the phases and frequencies at the onset of complete synchronization.

nlin.CD↗

arXiv2007

Multifractal regime transition in a modified minority game model

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the Structure Function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (nonlinear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the Wavelet Transform Modulus Maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes.

q-fin.TR↗

arXiv2007

Analytical calculation of the transition to complete phase synchronization in coupled oscillators

Here we present a system of coupled phase oscillators with nearest neighbors coupling, which we study for different boundary conditions. We concentrate at the transition to total synchronization. We are able to develop exact solutions for the value of the coupling parameter when the system becomes completely synchronized, for the case of periodic boundary conditions as well as for an open chain with fixed ends. We compare the results with those calculated numerically.

nlin.CD↗

arXiv2007

Low dimensional behavior in three-dimensional coupled map lattices

The analysis of one-, two-, and three-dimensional coupled map lattices is here developed under a statistical and dynamical perspective. We show that the three-dimensional CML exhibits low dimensional behavior with long range correlation and the power spectrum follows $1/f$ noise. This approach leads to an integrated understanding of the most important properties of these universal models of spatiotemporal chaos. We perform a complete time series analysis of the model and investigate the dependence of the signal properties by change of dimension.

nlin.CD↗

arXiv2006

Multi-asset minority games

We study analytically and numerically Minority Games in which agents may invest in different assets (or markets), considering both the canonical and the grand-canonical versions. We find that the likelihood of agents trading in a given asset depends on the relative amount of information available in that market. More specifically, in the canonical game players play preferentially in the stock with less information. The same holds in the grand canonical game when agents have positive incentives to trade, whereas when agents payoff are solely related to their speculative ability they display a larger propensity to invest in the information-rich asset. Furthermore, in this model one finds a globally predictable phase with broken ergodicity.

physics.soc-ph↗

arXiv2002

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolut ion. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary.

physics.data-an↗

arXiv2000

Landscape statistics of the low autocorrelated binary string problem

The statistical properties of the energy landscape of the low autocorrelated binary string problem (LABSP) are studied numerically and compared with those of several classic disordered models. Using two global measures of landscape structure which have been introduced in the Simulated Annealing literature, namely, depth and difficulty, we find that the landscape of LABSP, except perhaps for a very large degeneracy of the local minima energies, is qualitatively similar to some well-known landscapes such as that of the mean-field 2-spin glass model. Furthermore, we consider a mean-field approximation to the pure model proposed by Bouchaud and Mezard (1994, J. Physique I France 4 1109) and show both analytically and numerically that it describes extremely well the statistical properties of LABSP.

cond-mat.stat-mech↗