arXiv subjects

L. Pietronero

Publications and source records attributed to L. Pietronero.

At least 19 recordsLinked to original sources

arXiv2019

Zero point motion and direct/indirect bandgap crossover in layered transition-metal dichalcogenides

Two-dimensional transition-metal dichalcogendes $MX_2$ (es. MoS$_2$, WS$_2$, MoSe$_2$, \ldots) are among the most promising materials for bandgap engineering. Widely studied in these compounds, by means of ab-initio techniques, is the possibility of tuning the direct-indirect gap character by means of in-plane strain. In such kind of calculations however the lattice degrees of freedom are assumed to be classical and frozen. In this paper we investigate in details the dependence of the bandgap character (direct vs. indirect) on the out-of-plane distance $h$ between the two chalcogen planes in each $MX_2$ unit. Using DFT calculations, we show that the bandgap character is indeed highly sensitive on the parameter $h$, in monolayer as well as in bilayer and bulk compounds, permitting for instance the switching from indirect to direct gap and from indirect to direct gap in monolayer systems. This scenario is furthermore analyzed in the presence of quantum lattice fluctuation induced by the zero-point motion. On the basis of a quantum analysis, we argue that the direct-indirect bandgap transitions induced by the out-of-plane strain as well by the in-plane strain can be regarded more as continuous crossovers rather than as real sharp transitions. The consequences on the physical observables are discussed.

cond-mat.mes-hall↗

arXiv2015

High-temperature study of superconducting hydrogen and deuterium sulfide

Hydrogen-rich compounds are extensively explored as candidates for a high-temperature superconductors. Currently, the measured critical temperature of $203$ K in hydrogen sulfide (H$_3$S) is among the highest over all-known superconductors. In present paper, using the strong-coupling Eliashberg theory of superconductivity, we compared in detail the thermodynamic properties of two samples containing different hydrogen isotopes H$_3$S and D$_3$S at $150$ GPa. Our research indicates that it is possible to reproduce the measured values of critical temperature $203$ K and $147$ K for H$_3$S and D$_3$S by using a Coulomb pseudopotential of $0.123$ and $0.131$, respectively. However, we also discuss a scenario in which the isotope effect is independent of pressure and the Coulomb pseudopotential for D$_3$S is smaller than for H$_3$S. For both scenarios, the energy gap, specific heat, thermodynamic critical field and related dimensionless ratios are calculated and compared with other conventional superconductors. We shown that the existence of the strong-coupling and retardation effects in the systems analysed result in significant differences between values obtained within the framework of the Eliashberg formalism and the prediction of the Bardeen-Cooper-Schrieffer theory.

cond-mat.supr-con↗

arXiv2013

Inelastic electron tunneling spectroscopy at local defects in graphene

We address local inelastic scattering from vibrational impurity adsorbed onto graphene and the evolution of the local density of electron states near the impurity from weak to strong coupling regime. For weak coupling the local electronic structure is distorted by inelastic scattering developing peaks/dips and steps. These features should be detectable in the inelastic electron tunneling spectroscopy, $d^2I/dV^2$, using local probing techniques. Inelastic Friedel oscillations distort the spectral density at energies close to the inelastic mode. In the strong coupling limit, a local negative $U$-center forms in the atoms surrounding the impurity site. For those atoms, the Dirac cone structure is fully destroyed, that is, the linear energy dispersion as well as the V-shaped local density of electron states is completely destroyed. We further consider the effects of the negative $U$ formation and its evolution from weak to strong coupling. The negative $U$-site effectively acts as local impurity such that sharp resonances appear in the local electronic structure. The main resonances are caused by elastic scattering off the impurity site, and the features are dressed by the presence of vibrationally activated side resonances. Going from weak to strong coupling, changes the local electronic structure from being Dirac cone like including midgap states, to a fully destroyed Dirac cone with only the impurity resonances remaining.

cond-mat.mes-hall↗

arXiv2011

Critical Overview of Agent-Based Models for Economics

We present an overview of some representative Agent-Based Models in Economics. We discuss why and how agent-based models represent an important step in order to explain the dynamics and the statistical properties of financial markets beyond the Classical Theory of Economics. We perform a schematic analysis of several models with respect to some specific key categories such as agents' strategies, price evolution, number of agents, etc. In the conclusive part of this review we address some open questions and future perspectives and highlight the conceptual importance of some usually neglected topics, such as non-stationarity and the self-organization of financial markets.

q-fin.TR↗

arXiv2010

Asymmetric statistics of order books: The role of discreteness and evidence for strategic order placement

We show that the statistics of spreads in real order books is characterized by an intrinsic asymmetry due to discreteness effects for even or odd values of the spread. An analysis of data from the NYSE order book points out that traders' strategies contribute to this asymmetry. We also investigate this phenomenon in the framework of a microscopic model and, by introducing a non-uniform deposition mechanism for limit orders, we are able to quantitatively reproduce the asymmetry found in the experimental data. Simulations of our model also show a realistic dynamics with a sort of intermittent behavior characterized by long periods in which the order book is compact and liquid interrupted by volatile configurations. The order placement strategies produce a non-trivial behavior of the spread relaxation dynamics which is similar to the one observed in real markets.

q-fin.TR↗

arXiv2009

Liquidity Crisis, Granularity of the Order Book and Price Fluctuations

We introduce a microscopic model for the dynamics of the order book to study how the lack of liquidity influences price fluctuations. We use the average density of the stored orders (granularity $g$) as a proxy for liquidity. This leads to a Price Impact Surface which depends on both volume $ω$ and $g$. The dependence on the volume (averaged over the granularity) of the Price Impact Surface is found to be a concave power law function $<ϕ(ω,g)>_g\simω^δ$ with $δ\approx 0.59$. Instead the dependence on the granularity is $ϕ(ω,g|ω)\sim g^α$ with $α\approx-1$, showing a divergence of price fluctuations in the limit $g\to 0$. Moreover, even in intermediate situations of finite liquidity, this effect can be very large and it is a natural candidate for understanding the origin of large price fluctuations.

q-fin.TR↗

arXiv2009

Fermi surface shrinking and interband coupling in iron-based pnictides

Recent measurements of Fermi surface with de Haas-van Alphen oscillations in LaFePO showed a shrinking of the Fermi pockets with respect to first-principle LDA calculations, suggesting an energy shift of the hole and electrons bands with respect to LDA. We show that these shifts are a natural consequence of the strong particle-hole asymmetry of electronic bands in pnictides, and that they provide an indirect experimental evidence of a dominant interband scattering in these systems.

cond-mat.supr-con↗

arXiv2008

Mechanisms of Self-Organization and Finite Size Effects in a Minimal Agent Based Model

We present a detailed analysis of the self-organization phenomenon in which the stylized facts originate from finite size effects with respect to the number of agents considered and disappear in the limit of an infinite population. By introducing the possibility that agents can enter or leave the market depending on the behavior of the price, it is possible to show that the system self-organizes in a regime with a finite number of agents which corresponds to the stylized facts. The mechanism to enter or leave the market is based on the idea that a too stable market is unappealing for traders while the presence of price movements attracts agents to enter and speculate on the market. We show that this mechanism is also compatible with the idea that agents are scared by a noisy and risky market at shorter time scales. We also show that the mechanism for self-organization is robust with respect to variations of the exit/entry rules and that the attempt to trigger the system to self-organize in a region without stylized facts leads to an unrealistic dynamics. We study the self-organization in a specific agent based model but we believe that the basic ideas should be of general validity.

physics.soc-ph↗

arXiv2008

Finite size Berezinski-Kosterlitz-Thouless transition at grain boundaries in solid $^4$He and role of $^3$He impurities

We analyze the complex phenomenology of the Non-Classical Rotational Inertia (NCRI) observed at low temperature in solid $^4$He within the context of a two dimensional Berezinski-Kosterlitz-Thouless transition in a premelted $^4$He film at the grain boundaries. We show that both the temperature and $^3$He doping dependence of the NCRI fraction (NCRIF) can be ascribed to finite size effects induced by the finite grain size. We give an estimate of the average size of the grains which we argue to be limited by the isotopic $^3$He impurities and we provide a simple power-law relation between the NCRIF and the $^3$He concentration.

cond-mat.other↗

arXiv2008

Minimal Agent Based Model for Financial Markets I: Origin and Self-Organization of Stylized Facts

We introduce a minimal Agent Based Model for financial markets to understand the nature and Self-Organization of the Stylized Facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the main most important deviations of price time series from a Random Walk behavior. We focus on four essential ingredients: fundamentalist agents which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies; herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated by chartists, while fundamentalists provide a long time stability (on average). The Stylized Facts are shown to correspond to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite size effect which, however, can occur at different time scales. We propose a new mechanism for the Self-Organization of this state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price fluctuations and number of active agents represent a crucial element for this state of Self-Organized-Intermittency. The model can be easily generalized to consider more realistic variants.

q-fin.TR↗

arXiv2008

Minimal Agent Based Model for Financial Markets II: Statistical Properties of the Linear and Multiplicative Dynamics

We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the Stylized Facts and their Self-Organization. The key elements are fundamentalist agents, chartist agents, herding dynamics and price behavior. The first two elements correspond to the competition between stability and instability tendencies in the market. The herding behavior governs the possibility of the agents to change strategy and it is a crucial element of this class of models. The linear approximation permits a simple interpretation of the model dynamics and, for many properties, it is possible to derive analytical results. The generalized non linear dynamics results to be extremely more sensible to the parameter space and much more difficult to analyze and control. The main results for the nature and Self-Organization of the Stylized Facts are, however, very similar in the two cases. The main peculiarity of the non linear dynamics is an enhancement of the fluctuations and a more marked evidence of the Stylized Facts. We will also discuss some modifications of the model to introduce more realistic elements with respect to the real markets.

q-fin.TR↗

arXiv2008

Minimal Agent Based Model For The Origin And Self-Organization Of Stylized Facts In Financial Markets

We introduce a minimal Agent Based Model with two classes of agents, fundamentalists (stabilizing) and chartists (destabilizing) and we focus on the essential features which can generate the stylized facts. This leads to a detailed understanding of the origin of fat tails and volatility clustering and we propose a mechanism for the self-organization of the market dynamics in the quasi-critical state. The stylized facts are shown to correspond to finite size effects which, however, can be active at different time scales. This implies that universality cannot be expected in describing these properties in terms of effective critical exponents. The introduction of a threshold in the agents' action (small price fluctuations lead to no-action) triggers the self-organization towards the quasi-critical state. Non-stationarity in the number of active agents and in their action plays a fundamental role. The model can be easily generalized to more realistic variants in a systematic way.

q-fin.TR↗

arXiv2007

Surface instability and isotopic impurities in quantum solids

In this paper we employ a self-consistent harmonic approximation to investigate surface melting and local melting close to quantum impurities in quantum solids. We show that surface melting can occur at temperatures much lower than the critical temperature $T_c$ of the solid phase instability in the bulk. Similar effects are driven by the presence of an isotope substitution. In this latter case, we show that stronger local lattice fluctuations, induced by a lighter isotope atom, can induce local melting of the host bulk phase. Experimental consequences and the possible relevance in solid helium are discussed.

cond-mat.stat-mech↗

arXiv2006

Detecting the traders' strategies in Minority-Majority games and real stock-prices

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of reconstructing the prevailing traders' strategies in a given time interval. Then we also analyze real (NYSE) stock-prices dynamics and it is possible to derive an indication for the the ``sentiment'' of the market for time intervals of at least one day.

physics.soc-ph↗

arXiv2006

Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations

We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads to intrinsic finite size effects which alter the apparent Hurst (H) exponent. We show, by analytical methods, that finite size effects always lead to an enhancement of H. We then consider the effect of fat tails on the analysis of the roughness and show that the finite size effects are strongly enhanced by the fat tails. The non stationarity of the stock price dynamics also enhances the finite size effects which, in principle, can become important even in the asymptotic regime. We then compute the Hurst exponent for a set of stocks of the NYSE and argue that the interpretation of the value of H is highly ambiguous in view of the above results. Finally we propose an alternative determination of the roughness in terms of the fluctuations from moving averages with variable characteristic times. This permits to eliminate most of the previous problems and to characterize the roughness in useful way. In particular this approach corresponds to the automatic elimination of trends at any scale.

physics.soc-ph↗

arXiv2006

Hidden Forces and Fluctuations from Moving Averages: A Test Study

The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with respect to its own moving average. We consider a number of tests for various models which clarify the advantages and limitations of this new approach. The analysis leads to the identification of an effective potential with respect to the moving average. Its specific implementation requires a detailed consideration of various effects which can alter the statistical methods used. However, the study of various model systems shows that this approach is indeed suitable to detect hidden forces in the market which go beyond usual correlations and volatility clustering.

physics.soc-ph↗

arXiv2006

Exact Results for the Roughness of a Finite Size Random Walk

We consider the role of finite size effects on the value of the effective Hurst exponent H. This problem is motivated by the properties of the high frequency daily stock-prices. For a finite size random walk we derive some exact results based on Spitzer's identity. The conclusion is that finite size effects strongly enhance the value of H and the convergency to the asymptotic value (H=1/2) is rather slow. This result has a series of conceptual and practical implication which we discuss.

cond-mat.stat-mech↗

arXiv2005

Transport properties in correlated systems: An analytical model

Several studies have so far investigated transport properties of strongly correlated systems. Interesting features of these materials are the lack of resistivity saturation well beyond the Mott-Ioffe-Regel limit and the scaling of the resistivity with the hole density in underdoped cuprates. Due to the strongly correlated nature of these materials, mainly numerical techniques have been employed. A key role in this regards is thought to be played by the continuous transfer of spectral weight from coherent to incoherent states. In this paper we employ a simple analytical expression for the electronic Green's function to evaluate both quasi-particle and transport properties in correlated systems. Our analytical approach permits to enlighten the specific role of the spectral transfer due to the correlation on different features. In particular we investigate the dependence of both quasi-particle and transport scattering rate on the correlation degree and the criterion for resistivity saturation. systems.

cond-mat.str-el↗