arXiv subjects

Jean-Philippe Bouchaud

Publications and source records attributed to Jean-Philippe Bouchaud.

At least 199 records · Page 11Linked to original sources

arXiv2008

Quantum plasticity and dislocation-induced supersolidity

We suggest that below a certain temperature T_k, the free energy for the creation of kinks-antikinks pairs in the dislocation network of solid He4 becomes negative. The underlying physical mechanism is the related liberation of vacancies which initiate Feynman's permutation cycles in the bulk. Consequently, dislocations should wander and sweep an increasingly larger volume at low temperatures. This phenomenon should lead both to a stiffening of the solid below T_k and to the appearance of a non zero superfluid fraction at a second temperature T_c < T_k.

cond-mat.stat-mech↗

arXiv2008

Stock price jumps: news and volume play a minor role

In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and amplitude of price jumps. We find that the volatility patterns around jumps and around news are quite different: jumps are followed by increased volatility, whereas news tend on average to be followed by lower volatility levels. The shape of the volatility relaxation is also markedly different in the two cases. Finally, we provide direct evidence that large transaction volumes are_not_ responsible for large price jumps. We conjecture that most price jumps are induced by order flow fluctuations close to the point of vanishing liquidity.

q-fin.ST↗

arXiv2007

The Student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy

We study a new ensemble of random correlation matrices related to multivariate Student (or more generally elliptic) random variables. We establish the exact density of states of empirical correlation matrices that generalizes the Marcenko-Pastur result. The comparison between the theoretical density of states in the Student case and empirical financial data is surprisingly good, even if we are still able to detect systematic deviations. Finally, we compute explicitely the Kullback-Leibler entropies of empirical Student matrices, which are found to be independent of the true correlation matrix, as in the Gaussian case. We provide numerically exact values for these Kullback-Leibler entropies.

q-fin.ST↗

arXiv2007

Spatial correlations in the dynamics of glassforming liquids: Experimental determination of their temperature dependence

We use recently introduced three-point dynamic susceptibilities to obtain an experimental determination of the temperature evolution of the number of molecules, N_corr, that are dynamically correlated during the structural relaxation of supercooled liquids. We first discuss in detail the physical content of three-point functions that relate the sensitivity of the averaged two-time dynamics to external control parameters (such as temperature or density), as well as their connection to the more standard four-point dynamic susceptibility associated with dynamical heterogeneities. We then demonstrate that these functions can be experimentally determined with a good precision. We gather available data to obtain the temperature dependence of N_corr for a large number of supercooled liquids over a wide range of relaxation timescales from the glass transition up to the onset of slow dynamics. We find that N_corr systematically grows when approaching the glass transition. It does so in a modest manner close to the glass transition, which is consistent with an activation-based picture of the dynamics in glassforming materials. For higher temperatures, there appears to be a regime where N_corr behaves as a power-law of the relaxation time. Finally, we find that the dynamic response to density, while being smaller than the dynamic response to temperature, behaves similarly, in agreement with theoretical expectations.

cond-mat.stat-mech↗

arXiv2007

On an explicit construction of Parisi landscapes in finite dimensional Euclidean spaces

We construct a N-dimensional Gaussian landscape with multiscale, translation invariant, logarithmic correlations and investigate the statistical mechanics of a single particle in this environment. In the limit of high dimension N>>1 the free energy of the system in the thermodynamic limit coincides with the most general version of Derrida's Generalized Random Energy Model. The low-temperature behaviour depends essentially on the spectrum of length scales involved in the construction of the landscape. We argue that our construction is in fact valid in any finite spatial dimensions, starting from N=1.

cond-mat.dis-nn↗

arXiv2007

Anomalous relaxation in complex systems: from stretched to compressed exponentials

We attempt to give a bird's eye view of the physical mechanisms leading to anomalous relaxation, and the relation of this phenomenon with anomalous diffusion and transport. Whereas in some cases these two notions are indeed deeply related, this needs not to be the case. We review several models for stretched exponential relaxation (diffusion in traps, broad distribution of relaxation times, two-step relaxation) and insist on the physical interpretation to be given to the stretching exponent $β$. We then discuss compressed exponentials which have been recently observed in a variety of systems, from soft glassy materials to granular packs. We describe a model where slow rearrangement events occur randomly in space and create long ranged elastics strains, leading to $β=3/2$.

cond-mat.dis-nn↗

arXiv2007

Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets

We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at best marginally profitable, we obtain a linear relation between the bid-ask spread and the instantaneous impact of market orders, in good agreement with our empirical observations on electronic markets. We then use this relation to justify a strong, and hitherto unnoticed, empirical correlation between the spread and the volatility_per trade_, with R^2s exceeding 0.9. This correlation suggests both that the main determinant of the bid-ask spread is adverse selection, and that most of the volatilitycomes from trade impact. We argue that the role of the time-horizon appearing in the definition of costs is crucial and that long-range correlations in the order flow, overlooked in previous studies, must be carefully factored in. We find that the spread is significantly larger on the nyse, a liquid market with specialists, where monopoly rents appear to be present.

physics.data-an↗

arXiv2007

Spontaneous and induced dynamic fluctuations in glass-formers I: General results and dependence on ensemble and dynamics

We study theoretically and numerically a family of multi-point dynamic susceptibilities that quantify the strength and characteristic lengthscales of dynamic heterogeneities in glass-forming materials. We use general theoretical arguments (fluctuation-dissipation relations and symmetries of relevant dynamical field theories) to relate the sensitivity of averaged two-time correlators to temperature and density to spontaneous fluctuations of the local dynamics. Our theoretical results are then compared to molecular dynamics simulations of the Newtonian, Brownian and Monte-Carlo dynamics of two representative glass-forming liquids, a fragile binary Lennard-Jones mixture and a model for the strong glass-former silica. We justify in detail the claim made in [Science 310, 1797 (2005)], that the temperature dependence of correlation functions allows one to extract useful information on dynamic lengthscales in glassy systems. We also discuss some subtle issues associated to the choice of microscopic dynamics and of statistical ensemble through conserved quantities, which are found to play an important role in determining dynamic correlations.

cond-mat.stat-mech↗

arXiv2007

Spontaneous and induced dynamic correlations in glass-formers II: Model calculations and comparison to numerical simulations

We study in detail the predictions of various theoretical approaches, in particular mode-coupling theory (MCT) and kinetically constrained models (KCMs), concerning the time, temperature, and wavevector dependence of multi-point correlation functions that quantify the strength of both induced and spontaneous dynamical fluctuations. We also discuss the precise predictions of MCT concerning the statistical ensemble and microscopic dynamics dependence of these multi-point correlation functions. These predictions are compared to simulations of model fragile and strong glass-forming liquids. Overall, MCT fares quite well in the fragile case, in particular explaining the observed crucial role of the statistical ensemble and microscopic dynamics, while MCT predictions do not seem to hold in the strong case. KCMs provide a simplified framework for understanding how these multi-point correlation functions may encode dynamic correlations in glassy materials. However, our analysis highlights important unresolved questions concerning the application of KCMs to supercooled liquids.

cond-mat.stat-mech↗

arXiv2007

Extreme value problems in Random Matrix Theory and other disordered systems

We review some applications of central limit theorems and extreme values statistics in the context of disordered systems. We discuss several problems, in particular concerning Random Matrix Theory and the generalisation of the Tracy-Widom distribution when the disorder has ``fat tails''. We underline the relevance of power-law tails for Directed Polymers and mean-field Spin Glasses, and we point out various open problems and conjectures on these matters. We find that in many instances the assumption of Gaussian disorder cannot be taken for granted.

cond-mat.stat-mech↗

arXiv2006

Critical fluctuations and breakdown of Stokes-Einstein relation in the Mode-Coupling Theory of glasses

We argue that the critical dynamical fluctuations predicted by the mode-coupling theory (MCT) of glasses provide a natural mechanism to explain the breakdown of the Stokes-Einstein relation. This breakdown, observed numerically and experimentally in a region where MCT should hold, is one of the major difficulty of the theory, for which we propose a natural resolution based on the recent interpretation of the MCT transition as a bona fide critical point with a diverging length scale. We also show that the upper critical dimension of MCT is d_c=8.

cond-mat.stat-mech↗

arXiv2006

On the top eigenvalue of heavy-tailed random matrices

We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu > 4, lambda_max converges to 2 with Tracy-Widom fluctuations of order N^{-2/3}. When mu < 4, lambda_max is of order N^{2/mu-1/2} and is governed by Fréchet statistics. The marginal case mu=4 provides a new class of limiting distribution that we compute explicitely. We extend these results to sample covariance matrices, and show that extreme events may cause the largest eigenvalue to significantly exceed the Marcenko-Pastur edge. Connections with Directed Polymers are briefly discussed.

cond-mat.stat-mech↗

arXiv2006

Of Songs and Men: a Model for Multiple Choice with Herding

We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The model predicts a phase transition between a weak imitation phase and a strong imitation, `fashion' phase, where choices are driven by peer pressure and the ranking of individual preferences is strongly distorted at the aggregate level. The model can be calibrated to reproduce the main experimental results of Salganik et al. (Science, 311, pp. 854-856 (2006)); we show in particular that the value of the social influence parameter can be estimated from the data. In one of the experimental situation, this value is found to be close to the critical value of the model.

physics.data-an↗

arXiv2006

Inhomogeneous Mode-Coupling Theory and Growing Dynamic Length in Supercooled Liquids

We extend Mode-Coupling Theory (MCT) to inhomogeneous situations, relevant for supercooled liquid in pores, close to a surface, or in an external field. We compute the response of the dynamical structure factor to a static inhomogeneous external potential and provide the first direct evidence that the standard formulation of MCT is associated with a diverging length scale. We find in particular that the so called ``cages'' are in fact extended objects. Although close to the transition the dynamic length grows as |T-T_c|^-1/4 in _both_ the beta and alpha regimes, our results suggest that the fractal dimension of correlated clusters is larger in the alpha regime. We also derive inhomogeneous MCT equations valid to second order in gradients.

cond-mat.stat-mech↗

arXiv2006

Field theories and exact stochastic equations for interacting particle systems

We present a new approach to the dynamics of interacting particles with reaction and diffusion. Starting from the underlying discrete stochastic jump process we derive a general field theory describing the dynamics of the density field, which we relate to an exact stochastic equation on the density field. We show how our field theory maps onto the original Doi-Peliti formalism, allowing us to clarify further the issue of the 'imaginary' Langevin noise that appears in the context of reaction/diffusion processes. Our procedure applies to a wide class of problems and is related to large deviation functional techniques developed recently to describe fluctuations of non-equilibrium systems in the hydrodynamic limit.

cond-mat.stat-mech↗

arXiv2005

Direct experimental evidence of a growing length scale accompanying the glass transition

Understanding glass formation is a challenge because the existence of a true glass state, distinct from liquid and solid, remains elusive: Glasses are liquids that have become too viscous to flow. An old idea, as yet unproven experimentally, is that the dynamics becomes sluggish as the glass transition approaches because increasingly larger regions of the material have to move simultaneously to allow flow. We introduce new multipoint dynamical susceptibilities to estimate quantitatively the size of these regions and provide direct experimental evidence that the glass formation of molecular liquids and colloidal suspensions is accompanied by growing dynamic correlation length scales.

cond-mat.stat-mech↗

arXiv2005

Large dimension forecasting models and random singular value spectra

We present a general method to detect and extract from a finite time sample statistically meaningful correlations between input and output variables of large dimensionality. Our central result is derived from the theory of free random matrices, and gives an explicit expression for the interval where singular values are expected in the absence of any true correlations between the variables under study. Our result can be seen as the natural generalization of the Marcenko-Pastur distribution for the case of rectangular correlation matrices. We illustrate the interest of our method on a set of macroeconomic time series.

physics.data-an↗

arXiv2005

Disorder chaos in spin glasses

We investigate numerically disorder chaos in spin glasses, i.e. the sensitivity of the ground state to small changes of the random couplings. Our study focuses on the Edwards-Anderson model in d=1,2,3 and in mean-field. We find that in all cases, simple scaling laws, involving the size of the system and the strength of the perturbation, are obeyed. We characterize in detail the distribution of overlap between ground states and the geometrical properties of flipped spin clusters in both the weak and strong chaos regime. The possible relevance of these results to temperature chaos is discussed.

cond-mat.dis-nn↗