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H. Eugene Stanley

Publications and source records attributed to H. Eugene Stanley.

At least 163 records · Page 9Linked to original sources
arXiv2008

Multifactor Analysis of Multiscaling in Volatility Return Intervals

We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $τ$, which are time intervals between volatilities above a given threshold $q$. We explore the probability density function of $τ$, $P_q(τ)$, assuming a stretched exponential function, $P_q(τ) \sim e^{-τ^γ}$. We find that the exponent $γ$ depends on the threshold in the range between $q=1$ and 6 standard deviations of the volatility. This finding supports the multiscaling nature of the return interval distribution. To better understand the multiscaling origin, we study how $γ$ depends on four essential factors, capitalization, risk, number of trades and return. We show that $γ$ depends on the capitalization, risk and return but almost does not depend on the number of trades. This suggests that $γ$ relates to the portfolio selection but not on the market activity. To further characterize the multiscaling of individual stocks, we fit the moments of $τ$, $μ_m \equiv <(τ/<τ>)^m>^{1/m}$, in the range of $10 < <τ> \le 100$ by a power-law, $μ_m \sim <τ>^δ$. The exponent $δ$ is found also to depend on the capitalization, risk and return but not on the number of trades, and its tendency is opposite to that of $γ$. Moreover, we show that $δ$ decreases with $γ$ approximately by a linear relation. The return intervals demonstrate the temporal structure of volatilities and our findings suggest that their multiscaling features may be helpful for portfolio optimization.

q-fin.ST↗
arXiv2008

Space-Time Correlations in the Orientational Order Parameter and the Orientational Entropy of Water

We introduce the spatial correlation function $C_Q(r)$ and temporal autocorrelation function $C_Q(t)$ of the local tetrahedral order parameter $Q\equiv Q(r,t)$. Using computer simulations of the TIP5P model of water, we investigate $C_Q(r)$ in a broad region of the phase diagram. First we show that $C_Q(r)$ displays anticorrelation at $r\approx 0.32$nm at high temperatures $T>T_W\approx 250$ K, which changes to positive correlation below the Widom line $T_W$. Further we find that at low temperatures $C_Q(t)$ exhibits a two-step temporal decay similar to the self intermediate scattering function, and that the corresponding correlation time $τ_Q$ displays a dynamic crossover from non-Arrhenius behavior for $T>T_W$ to Arrhenius behavior for $T<T_W$. Finally, we define an orientational entropy $S_Q$ associated with the {\it local} orientational order of water molecules, and show that $τ_Q$ can be extracted from $S_Q$ using an analog of the Adam-Gibbs relation.

cond-mat.soft↗
arXiv2008

On the distribution of career longevity and the evolution of home run prowess in professional baseball

Statistical analysis is a major aspect of baseball, from player averages to historical benchmarks and records. Much of baseball fanfare is based around players exceeding the norm, some in a single game and others over a long career. Career statistics serve as a metric for classifying players and establishing their historical legacy. However, the concept of records and benchmarks assumes that the level of competition in baseball is stationary in time. Here we show that power-law probability density functions, a hallmark of many complex systems that are driven by competition, govern career longevity in baseball. We also find similar power laws in the density functions of all major performance metrics for pitchers and batters. The use of performance-enhancing drugs has a dark history, emerging as a problem for both amateur and professional sports. We find statistical evidence consistent with performance-enhancing drugs in the analysis of home runs hit by players in the last 25 years. This is corroborated by the findings of the Mitchell Report [1], a two-year investigation into the use of illegal steroids in major league baseball, which recently revealed that over 5 percent of major league baseball players tested positive for performance-enhancing drugs in an anonymous 2003 survey.

physics.pop-ph↗
arXiv2008

Fractal Boundaries of Complex Networks

We introduce the concept of boundaries of a complex network as the set of nodes at distance larger than the mean distance from a given node in the network. We study the statistical properties of the boundaries nodes of complex networks. We find that for both Erdös-Rényi and scale-free model networks, as well as for several real networks, the boundaries have fractal properties. In particular, the number of boundaries nodes {\it B} follows a power-law probability density function which scales as $B^{-2}$. The clusters formed by the boundary nodes are fractals with a fractal dimension $d_{f} \approx 2$. We present analytical and numerical evidence supporting these results for a broad class of networks. Our findings imply potential applications for epidemic spreading.

math-ph↗
arXiv2007

Correspondence Between the Phase Diagrams of TIP5P Water and a Spherically Symmetric Repulsive Ramp Potential

We perform molecular dynamics simulations of a well-known water model (the TIP5P pair potential) and a simple liquid model (a two-scale repulsive ramp potential) to compare the regions of anomalous behavior in their phase diagrams. We select the parameters of the ramp potential by mapping it to an effective pair potential derived from the TIP5P model. We find that the regions of anomalous behavior in the phase diagrams of both systems can be mapped onto each other if (i) pressure $P$ and temperature $T$ are replaced by $T-T_{C}$ and $P-P_{C}$, respectively, where $(T_{C},P_{C})$ are the coordinates of the liquid-liquid critical point of the corresponding system; and (ii) a single ramp particle corresponds to two TIP5P molecules. We present heuristic arguments supporting point (ii). We also argue that the water-like anomalies in the ramp potential are due to the ability of the particles to reproduce, upon compression or heating, the migration of water molecules from the second shell to its first shell.

cond-mat.soft↗
arXiv2007

Absence of a Diffusion Anomaly in Water Perpendicular to Hydrophobic Nanoconfining Walls

We perform molecular dynamics simulations to investigate the diffusive motion of TIP5P water in the direction perpendicular to the two hydrophobic confining walls. To calculate the diffusion coefficient, we use the concept of the characteristic residence time which is calculated from the exponential decay of the residence time probability distribution function. We find that a diffusion anomaly of water, increase of diffusion upon compression, is absent in the direction perpendicular to the confining walls down to the lowest temperature we simulate, 220K, whereas there is a diffusion anomaly, similar to that in bulk water, in the direction parallel to the walls. The absence of a diffusion anomaly may arise mainly due to nanoconfinement, rather than due to the hydrophobic property of the confining walls.

cond-mat.soft↗
arXiv2007

Predictions of Dynamic Behavior Under Pressure for Two Scenarios to Explain Water Anomalies

Using Monte Carlo simulations and mean field calculations for a cell model of water we find a dynamic crossover in the orientational correlation time $τ$ from non-Arrhenius behavior at high temperatures to Arrhenius behavior at low temperatures. This dynamic crossover is independent of whether water at very low temperature is charaterized by a ``liquid-liquid critical point'' or by the ``singularity free'' scenario. We relate $τ$ to fluctuations of hydrogen bond network and show that the crossover found for $τ$ for both scenarios is a consequence of the sharp change in the average number of hydrogen bonds at the temperature of the specific heat maximum. We find that the effect of pressure on the dynamics is strikingly different in the two scenarios, offering a means to distinguish between them.

cond-mat.soft↗
arXiv2007

Influence of corruption on economic growth rate and foreign investments

In order to investigate whether government regulations against corruption can affect the economic growth of a country, we analyze the dependence between Gross Domestic Product (GDP) per capita growth rates and changes in the Corruption Perceptions Index (CPI). For the period 1999-2004 on average for all countries in the world, we find that an increase of CPI by one unit leads to an increase of the annual GDP per capita by 1.7 %. By regressing only European transition countries, we find that $Δ$CPI = 1 generates increase of the annual GDP per capita by 2.4 %. We also analyze the relation between foreign direct investments received by different countries and CPI, and we find a statistically significant power-law functional dependence between foreign direct investment per capita and the country corruption level measured by the CPI. We introduce a new measure to quantify the relative corruption between countries based on their respective wealth as measured by GDP per capita.

q-fin.GN↗
arXiv2007

Gravity model in the Korean highway

We investigate the traffic flows of the Korean highway system, which contains both public and private transportation information. We find that the traffic flow T(ij) between city i and j forms a gravity model, the metaphor of physical gravity as described in Newton's law of gravity, P(i)P(j)/r(ij)^2, where P(i) represents the population of city i and r(ij) the distance between cities i and j. It is also shown that the highway network has a heavy tail even though the road network is a rather uniform and homogeneous one. Compared to the highway network, air and public ground transportation establish inhomogeneous systems and have power-law behaviors.

physics.soc-ph↗
arXiv2007

Volatility return intervals analysis of the Japanese market

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval $τ$ and its mean $<τ>$. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.

q-fin.ST↗
arXiv2007

Modeling long-range cross-correlations in two-component ARFIMA and FIARCH processes

We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled fractal signals with long-range power-law correlations which are at the same time long-range cross-correlated. We study how the degree of cross-correlations between these signals depends on the scaling exponents characterizing the fractal correlations in each signal and on the coupling between the signals. Our findings have relevance when studying parallel outputs of multiple-component of physical, physiological and social systems.

q-fin.ST↗
arXiv2007

Thermal Conductivity Minimum: A New Water Anomaly

We report a new anomaly of water, a minimum in the thermal conductivity in the supercooled region. Our findings are consistent with the presence of a liquid-liquid phase transition in water

cond-mat.soft↗
arXiv2007

Dynamics of clustered opinions in complex networks

A simple model for simulating tug of war game as varying the player number in a team is discussed to identify the slow pace of fast change. This model shows that a large number of information sources leads slow change for the system. Also, we introduce an opinion diffusion model including the effect of a high degree of clustering. This model shows that the de facto standard and lock-in effect, well-known phenomena in economics and business management, can be explained by the network clusters.

physics.soc-ph↗
arXiv2007

Group dynamics of the Japanese market

We investigated the network structures of the Japanese stock market through the minimum spanning tree. We defined grouping coefficient to test the validity of conventional grouping by industrial categories, and found a decreasing in trend for the coefficient. This phenomenon supports the increasing external influences on the market due to the globalization. To reduce this influence, we used S&P500 index as the international market and removed its correlation with every stock. We found stronger grouping in this measurement, compared to the original analysis, which agrees with our assumption that the international market influences to the Japanese market.

q-fin.ST↗
arXiv2007

Indication of multiscaling in the volatility return intervals of stock markets

The distribution of the return intervals $τ$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined non-linear mechanism, we investigate intraday datasets of 500 stocks which consist of the Standard & Poor's 500 index. We show that the cumulative distribution of return intervals has systematic deviations from scaling. We support this finding by studying the m-th moment $μ_m \equiv <(τ/<τ>)^m>^{1/m}$, which show a certain trend with the mean interval $<τ>$. We generate surrogate records using the Schreiber method, and find that their cumulative distributions almost collapse to a single curve and moments are almost constant for most range of $<τ>$. Those substantial differences suggest that non-linear correlations in the original volatility sequence account for the deviations from a single scaling law. We also find that the original and surrogate records exhibit slight tendencies for short and long $<τ>$, due to the discreteness and finite size effects of the records respectively. To avoid as possible those effects for testing the multiscaling behavior, we investigate the moments in the range $10<<τ>\leq100$, and find the exponent $α$ from the power law fitting $μ_m\sim<τ>^α$ has a narrow distribution around $α\neq0$ which depend on m for the 500 stocks. The distribution of $α$ for the surrogate records are very narrow and centered around $α=0$. This suggests that the return interval distribution exhibit multiscaling behavior due to the non-linear correlations in the original volatility.

q-fin.ST↗
arXiv2007

Dynamical heterogeneities and the breakdown of the Stokes-Einstein and Stokes-Einstein-Debye relations in simulated water

We study the Stokes-Einstein (SE) and the Stokes-Einstein-Debye (SED) relations using molecular dynamics simulations of the extended simple point charge model of water. We find that both the SE and SED relations break down at low temperature. To explore the relationship between these breakdowns and dynamical heterogeneities (DH), we also calculate the SE and SED relations for subsets of the 7% ``fastest'' and 7% ``slowest'' molecules. We find that the SE and SED relations break down in both subsets, and that the breakdowns occur on all scales of mobility. Thus these breakdowns appear to be generalized phenomena, in contrast with the view where only the most mobile molecules are the origin of the breakdown of the SE and SED relations, embedded in an inactive background where these relations hold. At low temperature, the SE and SED relations in both subsets of molecules are replaced with ``fractional'' SE and SED relations, $D_t\sim(τ/T)^{-ξ_t}$ and $D_r\sim(τ/T)^{-ξ_r}$ where $ξ_t\approx0.84<1$ and $ξ_r\approx0.75<1$. We also find that there is a decoupling between rotational and translational motion, and that this decoupling occurs in both fastest and slowest subsets of molecules. We also find that when the decoupling increases, upon cooling, the probability of a molecule being classified as both translationally and rotationally fastest also increases. To study the effect of time scale for SE and SED breakdown and decoupling, we introduce a time-dependent version of the SE and SED relations, and a time-dependent function that measures the extent of decoupling. Our results suggest that both the decoupling and SE and SED breakdowns are originated at the time scale corresponding to the end of the cage regime, when diffusion starts. This is also the time scale when the DH are more relevant.

cond-mat.stat-mech↗
arXiv2007

Numerical evaluation of the upper critical dimension of percolation in scale-free networks

We propose a numerical method to evaluate the upper critical dimension $d_c$ of random percolation clusters in Erdős-Rényi networks and in scale-free networks with degree distribution ${\cal P}(k) \sim k^{-λ}$, where $k$ is the degree of a node and $λ$ is the broadness of the degree distribution. Our results report the theoretical prediction, $d_c = 2(λ- 1)/(λ- 3)$ for scale-free networks with $3 < λ< 4$ and $d_c = 6$ for Erdős-Rényi networks and scale-free networks with $λ> 4$. When the removal of nodes is not random but targeted on removing the highest degree nodes we obtain $d_c = 6$ for all $λ> 2$. Our method also yields a better numerical evaluation of the critical percolation threshold, $p_c$, for scale-free networks. Our results suggest that the finite size effects increases when $λ$ approaches 3 from above.

cond-mat.dis-nn↗