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M. Ausloos

Publications and source records attributed to M. Ausloos.

At least 91 records · Page 5Linked to original sources

Strategy for investments from Zipf law(s)

We have applied the Zipf method to extract the $ζ'$ exponent for seven financial indices (DAX, FTSE; DJIA, NASDAQ, S&P500; Hang-Seng and Nikkei 225), after having translated the signals into a text based on two letters. We follow considerations based on the signal Hurst exponent and the notion of a time dependent Zipf law and exponent in order to implement two simple investment strategies for such indices. We show the time dependence of the returns.

cond-mat.stat-mech↗

Magnon-polaron and Spin-polaron Signatures in the Specific Heat and Electrical Resistivity of $La_{0.6}Y_{0.1}Ca_{0.3}MnO_3$ in Zero Magnetic Field, and the Effect of $Mn-O-Mn$ Bond Environment

$La_{0.6}Y_{0.1}Ca_{0.3}MnO_{3}$, an $ABO_{3}$ perovskite manganite oxide, exhibits a non trivial behavior in the vicinity of the sharp peak found in the resistivity $ρ$ as a function of temperature $T$ in zero magnetic field. The various features seen on $dρ/dT$ are discussed in terms of competing phase transitions. They are related to the $Mn-O-Mn$ bond environment depending on the content of the $A$ crystallographic site. A Ginzburg-Landau type theory is presented for incorporating concurrent phase transitions. The specific heat $C$ of such a compound is also examined from 50 till 200 K. A log-log analysis indicates different regimes. In the low temperature conducting ferromagnetic phase, a collective magnon signature ($C \simeq T^{3/2}$) is found as for what are called magnon-polaron excitations. A $C \simeq T^{2/3}$ law is found at high temperature and discussed in terms of the fractal dimension of the conducting network of the weakly conducting (so-called insulating) phase and Orbach estimate of the excitation spectral behaviors. The need of considering both independent spin scattering and collective spin scattering is thus emphasized. The report indicates a remarkable agreement for the Fisher-Langer formula, i.e. $C$ $\sim$ $dρ/dT$ at second order phase transitions. Within the Attfield model, we find an inverse square root relationship between the critical temperature(s) and the total local $Mn-O-Mn$ strain.

cond-mat↗

Generalized (m,k)-Zipf law for fractional Brownian motion-like time series with or without effect of an additional linear trend

We have translated fractional Brownian motion (FBM) signals into a text based on two ''letters'', as if the signal fluctuations correspond to a constant stepsize random walk. We have applied the Zipf method to extract the $ζ'$ exponent relating the word frequency and its rank on a log-log plot. We have studied the variation of the Zipf exponent(s) giving the relationship between the frequency of occurrence of words of length $m<8$ made of such two letters: $ζ'$ is varying as a power law in terms of $m$. We have also searched how the $ζ'$ exponent of the Zipf law is influenced by a linear trend and the resulting effect of its slope. We can distinguish finite size effects, and results depending whether the starting FBM is persistent or not, i.e. depending on the FBM Hurst exponent $H$. It seems then numerically proven that the Zipf exponent of a persistent signal is more influenced by the trend than that of an antipersistent signal. It appears that the conjectured law $ζ' = |2H-1|$ only holds near $H=0.5$. We have also introduced considerations based on the notion of a {\it time dependent Zipf law} along the signal.

cond-mat↗

Statistical Derivation of the Evolution Equation of Liquid Water Path Fluctuations in Clouds

How to distinguish and quantify deterministic and random influences on the statistics of turbulence data in meteorology cases is discussed from first principles. Liquid water path (LWP) changes in clouds, as retrieved from radio signals, upon different delay times, can be regarded as a stochastic Markov process. A detrended fluctuation analysis method indicates the existence of long range time correlations. The Fokker-Planck equation which models very precisely the LWP $fluctuation$ empirical probability distributions, in particular, their non-Gaussian heavy tails is explicitly derived and written in terms of a drift and a diffusion coefficient. Furthermore, Kramers-Moyal coefficients, as estimated from the empirical data, are found to be in good agreement with their first principle derivation. Finally, the equivalent Langevin equation is written for the LWP increments themselves. Thus rather than the existence of hierarchical structures, like an energy cascade process, {\it strong correlations} on different $time$ $scales$, from small to large ones, are considered to be proven as intrinsic ingredients of such cloud evolutions.

cond-mat↗

Influence of a low magnetic field on the thermal diffusivity of Bi-2212

The thermal diffusivity of a Bi-2212 polycrystalline sample has been measured under a 1T magnetic field applied perpendicularly to the heat flux. The magnetic contribution to the heat carrier mean free path has been extracted and is found to behave as a simple power law. This behavior can be attributed to a percolation process of electrons in the vortex lattice created by the magnetic field.

cond-mat↗

Mechanistic approach to generalized technical analysis of share prices and stock market indices

Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators lead the price trend, thus give signals before the price trend turns over. The classical technical analysis investment strategy is thereby sketched. Next, we present a generalization of these tricks drawing on physical principles, i.e. taking into account not only the price of a stock but also the volume of transactions. The latter becomes a time dependent generalized mass. The notion of pressure, acceleration and force are deduced. A generalized (kinetic) energy is easily defined. It is understood that the momentum indicators take into account the sign of the fluctuations, while the energy is geared toward the absolute value of the fluctuations. They have different patterns which are checked by searching for the crossing points of their respective moving averages. The case of IBM evolution over 1990-2000 is used for illustrations.

cond-mat↗

Multifractal nature of stock exchange prices

The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the $h(γ(q))$ curve indicate a hierarchy of power law exponents. This approach leads to characterizing the nonstationarity and intermittency pertinent to such financial signals, indicating differences with turbulence data. A list of results on turbulence and financial markets is presented for asserting the analogy.

cond-mat↗

A case study of stratus cloud base height multifractal fluctuations

The complex structure of a typical stratus cloud base height (or profile) time series is analyzed with respect to the variability of its fluctuations and their correlations at all experimentally observed temporal scales. Due to the underlying processes that create these time series, they are expected to have multiscaling properties. For obtaining reliable measures of these scaling properties, different methods of statistical analysis are used herein : power spectral density, detrended fluctuation analysis, and multifractal analysis. This broad set of diagnostic techniques is applied to a typical stratus cloud base height (CBH) data set; data were obtained from the Southern Great Plains site of the Atmospheric Radiation Measurement Program of the Department of Energy from a Belfort Laser Ceilometer. First, we demonstrate that this CBH time series is a nonstationary signal with stationary increments. Further, two scaling regimes are found, although the characteristic laws are quite similar ones. Next, the multi-affine scaling properties are confirmed. The scaling properties of the cloud base height profile of such a continental stratus are found to be similar to those of the marine cloud base height profiles studied by us previously. Some physical interpretation in terms of anomalous diffusion (or fractional random walk) is given for the continental case.

cond-mat↗

Time dependent correlations in marine stratocumulus cloud base height records

The scaling ranges of time correlations in the cloud base height records of marine boundary layer stratocumulus are studied applying the Detrended Fluctuation Analysis statistical method. We have found that time dependent variations in the evolution of the $α$ exponent reflect the diurnal dynamics of cloud base height fluctuations in the marine boundary layer. In general, a more stable structure of the boundary layer corresponds to a lower value of the $α$ - indicator, i.e. larger anti-persistence, thus a set of fluctuations tending to induce a greater stability of the stratocumulus. In contrast, during periods of higher instability in the marine boundary, less anti-persistent (more persistent like) behavior of the system drags it out of equilibrium, corresponding to larger $α$ values. From an analysis of the frequency spectrum, the stratocumulus base height evolution is found to be a non-stationary process with stationary increments. The occurrence of these statistics in cloud base height fluctuations suggests the usefulness of similar studies for the radiation transfer dynamics modeling.

cond-mat↗

Multifractality of Cloud Base Height Profiles

Cloud base height profiles measured with laser ceilometer are studied using multifractal approach. The irregular structure of the signals is a benchmark for nonlinear dynamical processes. A hierarchy of generalized dimensions determines the intermittency of the signal. The multi-affine properties are described by the $h(γ)$ function.

cond-mat↗

Quasiparticle contribution to heat carriers relaxation time in DyBa$_2$Cu$_3$O$_{7-x}$ from heat diffusivity measurements

It is shown that the controversy on phonons or electrons being the most influenced heat carriers below the critical temperature of high-T$_c$ superconductors can be resolved. Electrical and thermal properties of the same DyBa$_2$Cu$_3$O$_{7-x}$ monodomain have been measured for two highly different oxygenation levels. While the oxygenated sample DyBa$_2$Cu$_3$O$_{7}$ has very good superconducting properties ($T_c=90$ K), the DyBa$_2$Cu$_3$O$_{6.3}$ sample exhibits an insulator behavior. A careful comparison between measurements of the {\bf thermal diffusivity} of both samples allows us to extract the electronic contribution. This contribution to the relaxation time of heat carriers is shown to be large below $T_c$ and more sensitive to the superconducting state than the phonon contribution.

cond-mat.supr-con↗

Diffusive foam wetting process in microgravity

We report the experimental study of aqueous foam wetting in microgravity. The liquid fraction $\ell$ along the bubble edges is measured and is found to be a relevant dynamical parameter during the capillary process. The penetration of the liquid in the foam, the foam inflation, and the rigidity loss are shown all to obey strict diffusion processes.

cond-mat.stat-mech↗

Evaluating the quality of ground-based microwave radiometer measurements and retrievals using detrended fluctuation and spectral analysis methods

Time series both of microwave radiometer brightness temperature measurements at 23.8 and 31.4 GHz and of retrievals of water vapor and liquid water path from these brightness temperatures are evaluated using the detrended fluctuation analysis method. As quantified by the parameter $α$, this method (i) enables identification of the time scales over which noise dominates the time series and (ii) characterizes the temporal range of correlations in the time series. The more common spectral analysis method is also used to assess the data and its results are compared with those from detrended fluctuation analysis method. The assumption that measurements should have certain scaling properties allows the quality of the measurements to be characterized. The additional assumption that the scaling properties of the measurements of an atmospheric quantity are preserved in a useful retrieval provides a means for evaluating the retrieval itself. Applying these two assumptions to microwave radiometer measurements and retrievals demonstrates three points. First, the retrieved water vapor path during cloudy-sky periods can be dominated by noise on shorter than ~30~min time scales ($α$-exponent = 0.1) and exhibits no scaling behavior at longer time scales. However, correlations in the brightness temperatures and liquid water path retrievals are found to be consistent with a power-law behavior for time scales up to 3 hr with an $α$-exponent equal to approximately 0.3, as in other geophysical phenomena. Second, clear-sky, moist atmospheres show the expected scaling for both measurements and retrievals of the water vapor path. Third, during clear-sky, dry atmospheric days, instrument noise from the 31.4 GHz channel compromises the quality of the water vapor path retrieval.

physics.ao-ph↗

Some Statistical Physics Approaches for Trends and Predictions in Meteorology

Specific aspects of time series analysis are discussed. They are related to the analysis of atmospheric data that are pertinent to clouds. A brief introduction on some of the most interesting topics of current research on climate/weather predictions is given. Scaling properties of the liquid water path in stratus clouds are analyzed to demonstrate the application of several methods of statistical physics for analyzing data in atmospheric sciences, and more generally in geophysics. The breaking up of a stratus cloud is shown to be related to changes in the type of correlations in the fluctuations of the signal that represents the total vertical amount of liquid water in the stratus cloud. It is demonstrated that the correlations of the liquid water path fluctuations exist indeed in a more complex way than usually known through their multi-affine dependence.

cond-mat↗

Patterns, Trends and Predictions in stock market indices and foreign currency exchange rates

Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences in fluctuations of foreign exchange currency rates. A brief historical introduction to crashes is given, including recent observations on the DJIA and the S&P500. Daily data of the DAX index are specifically used for illustration. The method for visualizing the pattern thought to be the precursor signature of financial crashes is outlined. The log-periodicity of the pattern is investigated. Comparison of patterns before and after crash days is made through the power spectrum. The corresponding fractal dimension of the signal looks like that of a percolation backbone. Next the fluctuations of exchange rates (XR) of currencies forming $EUR$ with respect to $USD$ are analyzed. The XR power spectra are calculated before and after crashes. A detrended fluctuation analysis is performed. The characteristic exponents $β$ and $α$ respectively, are compared, including the time dependence of each $α$, found to be singular near crash dates.

cond-mat↗

Are EUR and GBP different words for the same currency ?

The British Pound (GBP) is not part of the Euro (EUR) monetary system. In order to find out arguments on whether GBP should join the EUR or not correlations are calculated between GBP and EUR, including a reconstructed EUR for the time interval from 1993 till June 30, 2000. The distribution of fluctuations of the exchange rates is Gaussian for the central part of the distribution, but has fat tails for the large size fluctuations. Within the Detrended Fluctuation Analysis (DFA) statistical method the power law behaviour describing the root-mean-square deviation of the exchange rate fluctuations is obtained as a function of time for the time interval of interest. The time-dependent exponent evolution of the exchange rate fluctuations is given. Statistical considerations imply that the GBP is already behaving as a true EUR.

cond-mat↗

Crashes : symptoms, diagnoses and remedies

A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is found in sand pile avalanches on Sierpinski gaskets. A discussion pertains to the after shock period with illustrations from the DAX index. The factual financial observations and the laboratory ones allow us some conjecture on symptoms and remedies for discussing financial crashes along econophysics lines.

cond-mat.stat-mech↗

Correlations Between Reconstructed EUR Exchange Rates vs. CHF, DKK, GBP, JPY and USD

On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange rate is artificially extrapolated back to 1993 by a linear superposition of the exchange rates of the 11 currencies composing $EUR$ with respect to several currencies not belonging to the $EUR$, i.e. Swiss Franc ($CHF$), Danish Kroner ($DKK$), British Pound ($GBP$), Japanese Yen ($JPY$) and U.S. Dollar ($USD$) of interest for reasons given in the text. The distribution of fluctuations of the exchange rates is shown to be Gaussian for the central part of the distribution, and having fat tails for the large size fluctuations. Within the {\it Detrended Fluctuation Analysis} ($DFA$) statistical method we have obtained the power law behavior describing the root-mean-square deviation of the exchange rate fluctuations as a function of time. For the period between Jan. 1995 and Jan. 1999 we have compared the time-dependent exponent of these exchange rate fluctuations for $EUR$ and that of the 11 currencies which form the $EUR$. The German Mark ($DEM$) and the French Franc ($FRF$) have been the currencies primarily leading the fluctuations of the exchange rates, while Italian Lira ($ITL$) and ($PTE$) Portuguese Escudo are the less relevant currencies from this point of view. Technical considerations for the $EUR$ implementation are given as conclusions. The cases of exchange rates with $DKK$ appear quite different from the other four major currencies.

cond-mat.stat-mech↗