arXiv subjects

J. Kertesz

Publications and source records attributed to J. Kertesz.

27 records · Page 2Linked to original sources

arXiv2002

Price Drops, Fluctuations, and Correlation in a Multi-Agent Model of Stock Markets

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and of changes due to external perturbations reflecting the absence of detailed balance, i.e., of the validity of the fluctuation-dissipation theorem. We found that fundamental price drops are followed by an overshoot with a rather robust characteristic time.

cond-mat.stat-mech↗

arXiv2001

Self-organized criticality in the Kardar-Parisi-Zhang-equation

Kardar-Parisi-Zhang interface depinning with quenched noise is studied in an ensemble that leads to self-organized criticality in the quenched Edwards-Wilkinson (QEW) universality class and related sandpile models. An interface is pinned at the boundaries, and a slowly increasing external drive is added to compensate for the pinning. The ensuing interface behavior describes the integrated toppling activity history of a QKPZ cellular automaton. The avalanche picture consists of several phases depending on the relative importance of the terms in the interface equation. The SOC state is more complicated than in the QEW case and it is not related to the properties of the bulk depinning transition.

cond-mat.dis-nn↗

arXiv2001

Election results and the Sznajd model on Barabasi network

The network of Barabasi and Albert, a preferential growth model where a new node is linked to the old ones with a probability proportional to their connectivity, is applied to Brazilian election results. The application of the Sznajd rule, that only agreeing pairs of people can convince their neighbours, gives a vote distribution in good agreement with reality.

cond-mat.stat-mech↗

arXiv2001

Preferential growth: Solution and application to modeling stock market

We consider a preferential growth model where particles are added one by one to the system consisting of clusters of particles. A new particle can either form a new cluster (with probability q) or join an already existing cluster with a probability proportional to the size thereof. We calculate exactly the probability P_i(k,t) that the size of the i-th cluster at time t is k. We applied our model as a background for a microscopic economic model.

cond-mat.stat-mech↗

arXiv2000

Preferencial growth: exact solution of the time dependent distributions

We consider a preferential growth model where particles are added one by one to the system consisting of clusters of particles. A new particle can either form a new cluster (with probability q) or join an already existing cluster with a probability proportional to the size thereof. We calculate exactly the probability $\Pm_i(k,t)$ that the size of the i-th cluster at time t is k. We analyze the asymptotics, the scaling properties of the size distribution and of the mean size as well as the relation of our system to recent network models.

cond-mat.stat-mech↗

arXiv2000

Stochastic boundary conditions in the deterministic Nagel-Schreckenberg traffic model

We consider open systems where cars move according to the deterministic Nagel-Schreckenberg rules and with maximum velocity ${v}_{max} > 1$, what is an extension of the Asymmetric Exclusion Process (ASEP). It turns out that the behaviour of the system is dominated by two features: a) the competition between the left and the right boundary b) the development of so-called "buffers" due to the hindrance an injected car feels from the front car at the beginning of the system. As a consequence, there is a first-order phase transition between the free flow and the congested phase accompanied by the collapse of the buffers and the phase diagram essentially differs from that of ${v}_{max} = 1$ (ASEP).

cond-mat.stat-mech↗

arXiv2000

The nondeterministic Nagel-Schreckenberg traffic model with open boundary conditions

We study the phases of the Nagel-Schreckenberg traffic model with open boundary conditions as a function of the randomization probability p > 0 and the maximum velocity ${v}_{max} > 1$. Due to the existence of "buffer sites" which enhance the free flow region, the behaviour is much richer than that of the related asymmetric exclusion process (ASEP, {v}_{max} = 1$). Such sites exist for ${v}_{max} \ge 3$ and p < ${p}_{c}$ where the phase diagram is qualitatively similar to the p = 0 case: there is a free flow and a jamming phase separated by a line of first-order phase transitions. For p > ${p}_{c}$ an additional maximum current phase occurs like for the ASEP. The density profile decays in the maximum current phase algebraically with an exponent $γ\approx 2/3$ for all ${v}_{max} \ge 2$ indicating that these models belong to another universality class than the ASEP where $γ= 1/2$.

cond-mat.stat-mech↗

arXiv2000

Instability of the symmetric Couette-flow in a granular gas: hydrodynamic field profiles and transport

We investigate the inelastic hard disk gas sheared by two parallel bumpy walls (Couette-flow). In our molecular dynamic simulations we found a sensitivity to the asymmetries of the initial condition of the particle places and velocities and an asymmetric stationary state, where the deviation from (anti)symmetric hydrodynamic fields is stronger as the normal restitution coefficient decreases. For the better understanding of this sensitivity we carried out a linear stability analysis of the former kinetic theoretical solution [Jenkins and Richman: J. Fluid. Mech. {\bf 171} (1986)] and found it to be unstable. The effect of this asymmetry on the self-diffusion coefficient is also discussed.

cond-mat.soft↗

arXiv2000

Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions

The clustering of companies within a specific stock market index is studied by means of super-paramagnetic transitions of an appropriate q-state Potts model where the spins correspond to companies and the interactions are functions of the correlation coefficients determined from the time dependence of the companies' individual stock prices. The method is a generalization of the clustering algorithm by Domany et. al. to the case of anti-ferromagnetic interactions corresponding to anti-correlations. For the Dow Jones Industrial Average where no anti-correlations were observed in the investigated time period, the previous results obtained by different tools were well reproduced. For the Standard & Poor's 500, where anti-correlations occur, repulsion between stocks modify the cluster structure.

cond-mat.stat-mech↗