arXiv subjects

Ingve Simonsen

Publications and source records attributed to Ingve Simonsen.

At least 55 records · Page 3Linked to original sources

arXiv2005

Diffusion and networks: A powerful combination!

Over the last decade, an enormous interest and activity in complex networks have been witnessed within the physics community. On the other hand, diffusion and its theory, have equipped the toolbox of the physicist for decades. In this paper, we will demonstrate how to combine these two seemingly different topics in a fruitful manner. In particular, we will review and develop further, an auxiliary diffusive process on weighted networks that represents a powerful concept and tool for studying network (community) structures. The working principle of the method is the observation that the relaxation of the diffusive process towards the stationary state is {\em non-local} and fastest in the highly connected regions of the network. This can be used to acquire non-trivial information about the structure of clustered and non-clustered networks.

cond-mat.stat-mech↗

arXiv2005

Estimation of gloss from rough surface parameters

Gloss is a quantity used in the optical industry to quantify and categorize materials according to how well they scatter light specularly. With the aid of phase perturbation theory, we derive an approximate expression for this quantity for a one-dimensional randomly rough surface. It is demonstrated that gloss depends in an exponential way on two dimensionless quantities that are associated with the surface randomness: the root-mean-square roughness times the perpendicular momentum transfer for the specular direction, and a correlation function dependent factor times a lateral momentum variable associated with the collection angle. Rigorous Monte Carlo simulations are used to access the quality of this approximation, and good agreement is observed over large regions of parameter space.

cond-mat.mtrl-sci↗

arXiv2005

Investment horizons : A time-dependent measure of asset performance

We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the individual stocks that comprise the index. This difference may hint towards an synchronize of the draw downs of the stocks.

physics.soc-ph↗

arXiv2004

Electromagnetic wave scattering from conducting self-affine surfaces : An analytic and numerical study

We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that most of the results can be recovered via a scaling analysis. We identify the typical slope taken over one wavelength as the relevant parameter controlling the scattering process. We compare our predictions with direct numerical simulations performed on surfaces of varying roughness parameters and confirm the broad range of applicability of our description up to very large roughness. Finally we check that a non zero electrical resistivity provided small does not invalidate our results.

cond-mat.other↗

arXiv2004

A random walk through surface scattering phenomena: Theory and phenomenology

No surface is perfectly planar at all scales. The notion of flatness of a surface therefore depends on the size of the probe used to observe it. As a consequence rough interfaces are abundant in nature. Here the old, but still active field of rough surface scattering of electromagnetic waves is addressed. This topic has implications and practical applications in fields as diverse as observational astronomy and the electronics industry. This article reviews the theoretical and computational foundation and methods used in the study of rough surface scattering. Furthermore, it presents and explains the physical origin of a series of multiple scattering surface phenomena. In particular what is discussed are: the enhanced backscattering and satellite peak phenomena, coherent effects in angular intensity correlation functions and second harmonic generated light (a non-linear effect).

cond-mat.stat-mech↗

arXiv2003

Diffusion on Complex Networks : A way to probe their large scale topological structures

A diffusion process on complex networks is introduced in order to uncover their large scale topological structures. This is achieved by focusing on the slowest decaying diffusive modes of the network. The proposed procedure is applied to real-world networks like a friendship network of known modular structure, and an Internet routing network. For the friendship network, its known structure is well reproduced. In case of the Internet, where the structure is far less well-known, one indeed finds a modular structure, and modules can roughly be associated with individual countries. Quantitatively the modular structure of the Internet manifests itself in an approximately 10 times larger participation ratio of its slowest decaying modes as compared to the null model -- a random scale-free network. The extreme edges of the Internet are found to correspond to Russian and US military sites.

cond-mat.stat-mech↗

arXiv2003

Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets

We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is characterized by a Hurst exponent of $H\simeq 0.41$ over three orders of magnitude in time ranging from days to years. We argue that in order to see such a good scaling behavior, and to locate cross-overs, it is crucial that an analyzing technique is used that {\em decouples} scales. This is in our case achieved by utilizing a (multi-scale) wavelet approach. The shortcomings of methods that do not decouple scales are illustrated by applying, to the same dat a set, the classic $R/S$- and Fourier techniques, for which scaling regimes and/or positions of cross-overs are hard to define.

cond-mat.dis-nn↗

arXiv2002

Modularity and Extreme Edges of the Internet

We study the spectral properties of a diffusion process taking place on the Internet network focusing on the slowest decaying modes. These modes allow us to identify an underlying modular structure of the Internet roughly corresponding to individual countries. For instance in the slowest decaying mode the diffusion current flows from Russia towards US military sites. These two regions thus constitute the extreme edges of the Internet. Quantitatively the modular structure of the Internet manifests itself in approximately 10 times larger participation ratio of its slow decaying modes compared to the null model - a random scale-free network. We propose to use the fraction of nodes participating in slow decaying modes as a general measure of the modularity of a network. For the 100 slowest decaying modes of the Internet we measured this fraction to be around 30%. Finally we suggest, that the degree of isolation of an individual module can be assessed by comparing its participation in different diffusion modes. Using the proportionality of response as a criterion we find that the independent module approximation works well for the Internet.

cond-mat.stat-mech↗

arXiv2002

Inverse Statistics in Economics : The gain-loss asymmetry

Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes through a maximum at a time called the {\em optimal investment horizon}, $τ^*_ρ$, since this defines the most likely waiting time for obtaining a given return $ρ$. By considering equal positive and negative levels of return, we report on a quantitative gain-loss asymmetry most pronounced for short horizons. It is argued that this asymmetry reflects the market dynamics and we speculate over the origin of this asymmetry.

cond-mat.soft↗

arXiv2002

Optimal Investment Horizons

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $Δt$, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established that the distribution of returns exhibits ``fat tails'' indicating that large returns occur more frequently than what is expected from standard Gaussian stochastic processes (Mandelbrot-1967,Stanley1,Doyne). Instead of estimating this ``fat tail'' distribution of returns, we propose here an alternative approach, which is outlined by addressing the following question: What is the smallest time interval needed for an asset to cross a fixed return level of say 10%? For a particular asset, we refer to this time as the {\it investment horizon} and the corresponding distribution as the {\it investment horizon distribution}. This latter distribution complements that of returns and provides new and possibly crucial information for portfolio design and risk-management, as well as for pricing of more exotic options. By considering historical financial data, exemplified by the Dow Jones Industrial Average, we obtain a novel set of probability distributions for the investment horizons which can be used to estimate the optimal investment horizon for a stock or a future contract.

cond-mat.stat-mech↗

arXiv2001

Profit Profiles in Correlated Markets

We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.

cond-mat.stat-mech↗

arXiv2000

Light scattering from an amplifying medium bounded by a randomly rough surface: A numerical study

We study by numerical simulations the scattering of $s$-polarized light from a rough dielectric film deposited on the planar surface of a semi-infinite perfect conductor. The dielectric film is allowed to be either active or passive, situations that we model by assigning negative and positive values, respectively, to the imaginary part $ε_2$ of the dielectric constant of the film. We study the reflectance ${\cal R}$ and the total scattered energy ${\cal U}$ for the system as functions of both $ε_2$ and the angle of incidence of the light. Furthermore, the positions and widths of the enhanced backscattering and satellite peaks are discussed. It is found that these peaks become narrower and higher when the amplification of the system is increased, and that their widths scale linearly with $ε_2$. The positions of the backscattering peaks are found to be independent of $ε_2$, while we find a weak dependence on this quantity in the positions of the satellite peaks.

cond-mat.dis-nn↗

arXiv1999

The Angular Intensity Correlation Functions C^{(1)} and C^{(10)} for the Scattering of Light from Randomly Rough Dielectric and Metal Surfaces

We study the statistical properties of the scattering matrix S(q|k) for the problem of the scattering of light from a randomly rough one-dimensional surface, defined by the equation $x_3 = \zx$, where the surface profile function $\zx$ constitutes a zero-mean, stationary, Gaussian random process, through the effects of $S(q|k)$ on the angular intensity correlation function C(q,k|q',k'). The existence of both the C^{(1)} and C^{(10)} correlation functions is consistent with the amplitude of the scattered field obeying complex Gaussian statistics in the limit of a long surface. We show that the deviation of the statistics of the scattering matrix from circular Gaussian statistics and the C^{(10)} correlation function are determined by exactly the same statistical moment. As the random surface becomes rougher, the amplitude of the scattered field no longer obeys complex Gaussian statistics but obeys complex circular Gaussian statistics instead. In this case, the C^{(10)} correlation function should vanish. This result is confirmed by numerical simulation calculations.

cond-mat.dis-nn↗

arXiv1999

Asymptotic Distribution of Eigenvalues for a Self-Affine String

We consider a string with fixed endpoints where the mass density and/or the elastic coefficient vary in a self-affine way as function of position. It is demonstrated how the eigenvalues in the asymptotic limit are distributed. Scaling laws for the Weyl term of the asymptotic integrated density of states is established and confirmed numerically.

cond-mat.dis-nn↗

arXiv1999

A Fast Algorithm for Generating Long Self-Affine Profiles

We introduce a fast algorithm for generating long self-affine profiles. The algorithm, which is based on the fast wavelet transform, is faster than the conventional Fourier filtering algorithm. In addition to increased performance for large systems, the algorithm, named the wavelet filtering algorithm, a priori gives rise to profiles for which the long-range correlation extends throughout the entire system independently of the length scale.

cond-mat.dis-nn↗

arXiv1999

The Angular Intensity Correlation Functions $C^{(1)}$ and $C^{(10)}$ for the Scattering of S-Polarized Light from a One-Dimensional Randomly Rough Dielectric Surface

We calculate the short-range contributions $C^{(1)}$ and $C^{(10)}$ to the angular intensity correlation function for the scattering of s-polarized light from a one-dimensional random interface between two dielectric media. The calculations are carried out on the basis of a new approach that separates out explicitly the contributions $C^{(1)}$ a nd $C^{(10)}$ to the angular intensity correlation function. The contribution $C^{(1)}$ displays peaks associated with the memory effect and the reciprocal memory effect. In the case of a dielectric-dielectric interface, which does not support surface electromagnetic surface waves, these peaks arise from the co herent interference of multiply-scattered lateral waves supported by the in terface. The contribution $C^{(10)}$ is a structureless function of its arguments.

cond-mat.dis-nn↗

arXiv1999

Wave scattering from self-affine surfaces

Electromagnetic wave scattering from a perfectly reflecting self-affine surface is considered. Within the framework of the Kirchhoff approximation, we show that the scattering cross section can be exactly written as a function of the scattering angle via a centered symmetric Levy distribution for general roughness amplitude, Hurst exponent and wavelength of the incident wave. The amplitude of the specular peak, its width and its position are discussed as well as the power law decrease (with scattering angle) of the scattering cross section.

cond-mat.stat-mech↗

arXiv1999

Optical response of supported particles

The present work reports a general method for the calculation of t he polarizability of a truncated sphere on a substrate. A multipole ex pansion is used, where the multipoles are not necessarily localized in the center of the sphere but can freely move on the revolution axis. From the weak formulation of the boundary conditions, an infinite set of linear equations for the multipole coefficients is derived. To obta in this set, the interaction between the island and the substrate is t aken into account by the technique of image multipoles. For numerical implementation, this set is truncated at an arbitrary mu ltipole order. The accuracy of the method is jugded through the stabil ity of the truncated sphere polarizability and the the fulfilment of t he boundary conditions which are demonstrated to be satisfied in large regions of the parameter space. This method brings an improvement wit h respect to the Bedeaux's case \cite{Wind87a,Wind87b} where the multi poles are located in the center of the sphere.

cond-mat.mtrl-sci↗