arXiv subjects

Michael Benzaquen

Publications and source records attributed to Michael Benzaquen.

At least 91 records · Page 5Linked to original sources

arXiv2016

Unravelling the trading invariance hypothesis

We confirm and substantially extend the recent empirical result of Andersen et al. \cite{Andersen2015}, where it is shown that the amount of risk $W$ exchanged in the E-mini S\&P futures market (i.e. price times volume times volatility) scales like the 3/2 power of the number of trades $N$. We show that this 3/2-law holds very precisely across 12 futures contracts and 300 single US stocks, and across a wide range of time scales. However, we find that the "trading invariant" $I=W/N^{3/2}$ proposed by Kyle and Obizhaeva is in fact quite different for different contracts, in particular between futures and single stocks. Our analysis suggests $I/{\cal C}$ as a more natural candidate, where $\cal C$ is the average spread cost of a trade, defined as the average of the trade size times the bid-ask spread. We also establish two more complex scaling laws for the volatility $σ$ and the traded volume $V$ as a function of $N$, that reveal the existence of a characteristic number of trades $N_0$ above which the expected behaviour $σ\sim \sqrt{N}$ and $V \sim N$ hold, but below which strong deviations appear, induced by the size of the~tick.

q-fin.TR↗

arXiv2016

Capillary levelling of free-standing liquid nanofilms

We report on the capillary-driven levelling of a topographical perturbation at the surface of a free-standing liquid nanofilm. The width of a stepped surface profile is found to evolve as the square root of time. The hydrodynamic model is in excellent agreement with the experimental data. In addition to exhibiting an analogy with diffusive processes, this novel system serves as a precise nanoprobe for the rheology of liquids at interfaces in a configuration that avoids substrate effects.

cond-mat.soft↗

arXiv2016

Topological defects in cholesteric liquid crystal shells

We investigate experimentally and numerically the defect configurations emerging when a cholesteric liquid crystal is confined to a spherical shell. We uncover a rich scenario of defect configurations, some of them non-existent in nematic shells, where new types of defects are stabilized by the helical ordering of the liquid crystal. In contrast to nematic shells, here defects are not simple singular points or lines, but have a large structured core. Specifically, we observe five different types of cholesteric shells. We study the statistical distribution of the different types of shells as a function of the two relevant geometrical dimensionless parameters of the system. By playing with these parameters, we are able to induce transitions between different types of shells. These transitions involve interesting topological transformations in which the defects recombine to form new structures. Surprisingly, the defects do not approach each other by taking the shorter distance route (geodesic), but by following intricate paths.

cond-mat.soft↗

arXiv2016

Wake and wave resistance on viscous thin films

The effect of an external pressure disturbance, being displaced with a constant speed along the free surface of a viscous thin film, is studied theoretically in the lubrication approximation in one- and two-dimensional geometries. In the comoving frame, the imposed pressure field creates a stationary deformation of the interface - a wake - that spatially vanishes in the far region. The shape of the wake and the way it vanishes depend on both the speed and size of the external source and the properties of the film. The wave resistance, namely the force that has to be externally furnished in order to maintain the wake, is analysed in details. For finite-size pressure disturbances, it increases with the speed, up to a certain transition value above which a monotonic decrease occurs. The role of the horizontal extent of the pressure field is studied as well, revealing that for a smaller disturbance the latter transition occurs at higher speed. Eventually, for a Dirac pressure source, the wave resistance either saturates in a 1D geometry, or diverges in a 2D geometry.

physics.flu-dyn↗

arXiv2016

Slip-Mediated Dewetting of Polymer Microdroplets

Classical hydrodynamic models predict that infinite work is required to move a three-phase contact line, defined here as the line where a liquid/vapor interface intersects a solid surface. Assuming a slip boundary condition, in which the liquid slides against the solid, such an unphysical prediction is avoided. In this article, we present the results of experiments in which a contact line moves and where slip is a dominating and controllable factor. Spherical cap shaped polystyrene microdroplets, with non-equilibrium contact angle, are placed on solid self-assembled monolayer coatings from which they dewet. The relaxation is monitored using \textit{in situ} atomic force microscopy. We find that slip has a strong influence on the droplet evolutions, both on the transient non-spherical shapes and contact line dynamics. The observations are in agreement with scaling analysis and boundary element numerical integration of the governing Stokes equations, including a Navier slip boundary condition.

cond-mat.soft↗

arXiv2016

AFM study of hydrodynamics in boundary layers around micro- and nanofibers

The description of hydrodynamic interactions between a particle and the surrounding liquid, down to the nanometer scale, is of primary importance since confined liquids are ubiquitous in many natural and technological situations. In this paper, we combine three non-conventional atomic force microscopes to study hydrodynamics around micro- and nano-cylinders. These complementary methods allow the independent measurement of the added mass and friction terms over a large range of probe sizes, fluid viscosities and solicitation conditions. A theoretical model based on an analytical description of the velocity field around the probe shows that the friction force depends on a unique parameter, the ratio of the probe radius to the thickness of the viscous boundary layer. We demonstrate that the whole range of experimental data can be gathered in a master curve which is well reproduced by the model. This validates the use of these AFM modes for a quantitative study of nano-hydrodynamics, and opens the way to the investigation of other sources of dissipation in simple and complex fluids down to the nanometer scale.

physics.flu-dyn↗

arXiv2015

Waltzing route towards double-helix formation in cholesteric shells

We study cholesteric order in liquid crystal shells with planar degenerate anchoring. We observe that the bipolar and radial configurations intensively reported for bulk droplets have a higher degree of complexity when the liquid crystal is confined to a spherical shell. The bipolar configuration is replaced by a structure where the boojums are linked to a stack of disclination rings that spans the shell, while the radial configuration exhibits a double helix structure where two disclinations wind around each other. Our results confirm recent numerical simulations and highlight the complexity of the defect structures arising when cholesteric liquid crystals are confined to spherical geometries. We also show that the position of the boojums is only ruled by the shell geometry, independently of the cholesteric pitch. To understand quantitatively this behavior, we develop a simple yet insightful theoretical framework which captures the essence of the observed phenomenology. We also show that the transition between the two configurations is solely governed by the confinement ratio c = h/p, where h is the average shell thickness and p is the cholesteric pitch. Finally, we perform a dynamical study of this transition, and report a fascinating defect waltz due to a chemical Lehmann effect.

cond-mat.soft↗

arXiv2015

Shape and effective spring constant of liquid interfaces probed at the nanometer scale: finite size effects

We investigate the shape and mechanical properties of liquid interfaces down to nanometer scale by atomic force microscopy (AFM) and scanning electron microscopy (SEM) combined with in situ micromanipulation techniques. In both cases, the interface is probed with a cylindrical nanofiber with radius R of the order of 25-100 nm. The effective spring constant of the nanomeniscus oscillated around its equilibrium position is determined by static and frequency-modulation (FM) AFM modes. In the case of an unbounded meniscus, we find that the effective spring constant k is proportional to the surface tension γ of the liquid through k = (0.51 +- 0.06) γ, regardless of the excitation frequency from quasistatic up to 450 kHz. A model based on the equilibrium shape of the meniscus reproduces well the experimental data. Electron microscopy allowed to visualize the meniscus profile around the fiber with a lateral resolution of the order of 10 nm and confirmed its catenary shape. The influence of a lateral confinement of the interface is also investigated. We showed that the lateral extension L of the meniscus influences the effective spring constant following a logarithmic evolution k ~ 2πγ/ln(L/R) deduced from the model. This comprehensive study of liquid interface properties over more than four orders of magnitude in meniscus size, shows that advanced FM-AFM and SEM techniques are promising tools for the investigation of mechanical properties of liquids down to nanometer scale.

cond-mat.soft↗

arXiv2015

A direct quantitative measure of surface mobility in a glassy polymer

Thin polymer films have striking dynamical properties that differ from their bulk counterparts. With the simple geometry of a stepped polymer film on a substrate, we probe mobility above and below the glass transition temperature $T_{\textrm{g}}$. Above $T_{\textrm{g}}$ the entire film flows, while below $T_{\textrm{g}}$ only the near surface region responds to the excess interfacial energy. An analytical thin film model for flow limited to the free surface region shows excellent agreement with sub-$T_{\textrm{g}}$ data. The system transitions from whole film flow to surface localized flow over a narrow temperature region near the bulk $T_{\textrm{g}}$. The experiments and model provide a measure of surface mobility in a sample geometry where confinement and substrate effects are negligible. This fine control of the glassy rheology is of key interest to nanolithography among numerous other applications.

cond-mat.soft↗

arXiv2015

Universal contact-line dynamics at the nanoscale

The relaxation dynamics of the contact angle between a viscous liquid and a smooth substrate is studied at the nanoscale. Through atomic force microscopy measurements of polystyrene nanostripes we monitor simultaneously the temporal evolution of the liquid-air interface as well as the position of the contact line. The initial configuration exhibits high curvature gradients and a non-equilibrium contact angle that drive liquid flow. Both these conditions are relaxed to achieve the final state, leading to three successive regimes along time: i) stationary-contact-line levelling; ii) receding-contact-line dewetting; iii) collapse of the two fronts. For the first regime, we reveal the existence of a self-similar evolution of the liquid interface, which is in excellent agreement with numerical calculations from a lubrication model. For different liquid viscosities and film thicknesses we provide evidence for a transition to dewetting featuring a universal critical contact angle and dimensionless time.

cond-mat.soft↗

arXiv2015

Influence of Slip on the Plateau-Rayleigh Instability on a Fibre

The Plateau-Rayleigh instability of a liquid column underlies a variety of fascinating phenomena that can be observed in everyday life. In contrast to the case of a free liquid cylinder, describing the evolution of a liquid layer on a solid fibre requires consideration of the solid-liquid interface. In this article, we revisit the Plateau-Rayleigh Instability of a liquid coating a fibre by varying the hydrodynamic boundary condition at the fibre-liquid interface, from no-slip to slip. While the wavelength is not sensitive to the solid-liquid interface, we find that the growth rate of the undulations strongly depends on the hydrodynamic boundary condition. The experiments are in excellent agreement with a new thin film theory incorporating slip, thus providing an original, quantitative and robust tool to measure slip lengths.

physics.flu-dyn↗

arXiv2015

Symmetry Plays a Key Role in the Erasing of Patterned Surface Features

We report on how the relaxation of patterns prepared on a thin film can be controlled by manipu- lating the symmetry of the initial shape. The validity of a lubrication theory for the capillary-driven relaxation of surface profiles is verified by atomic force microscopy measurements, performed on films that were patterned using focused laser spike annealing. In particular, we observe that the shape of the surface profile at late times is entirely determined by the initial symmetry of the perturba- tion, in agreement with the theory. Moreover, in this regime the perturbation amplitude relaxes as a power-law in time, with an exponent that is also related to the initial symmetry. The results have relevance in the dynamical control of topographic perturbations for nanolithography and high density memory storage.

cond-mat.soft↗

arXiv2014

Two-phase flow in a chemically active porous medium

We study the problem of the transformation of a given reactant species into an immiscible product species, as they flow through a chemically active porous medium. We derive the equation governing the evolution of the volume fraction of the species -- in a one-dimensional macroscopic description --, identify the relevant dimensionless numbers, and provide simple models for capillary pressure and relative permeabilities, which are quantities of crucial importance when tackling multiphase flows in porous media. We set the domain of validity of our models and discuss the importance of viscous coupling terms in the extended Darcy's law. We investigate numerically the steady regime and demonstrate that the spatial transformation rate of the species along the reactor is non-monotonous, as testified by the existence of an inflection point in the volume fraction profiles. We obtain the scaling of the location of this inflection point with the dimensionless lengths of the problem. Eventually, we provide key elements for optimization of the reactor.

physics.flu-dyn↗

arXiv2014

Intermediate Asymptotics of the Capillary-Driven Thin Film Equation

We present an analytical and numerical study of the two-dimensional capillary-driven thin film equation. In particular, we focus on the intermediate asymptotics of its solutions. Linearising the equation enables us to derive the associated Green's function and therefore obtain a complete set of solutions. Moreover, we show that the rescaled solution for any summable initial profile uniformly converges in time towards a universal self-similar attractor that is precisely the rescaled Green's function. Finally, a numerical study on compact-support initial profiles enables us to conjecture the extension of our results to the nonlinear equation.

math.AP↗

arXiv2014

Approach to universal self-similar attractor for the levelling of thin liquid films

We compare the capillary levelling of a random surface perturbation on a thin polystyrene film with a theoretical study on the two-dimensional capillary-driven thin film equation. Using atomic force microscopy, we follow the time evolution of samples prepared with different initial perturbations of the free surface. In particular, we show that the surface profiles present long term self-similarity, and furthermore, that they converge to a universal self-similar attractor that only depends on the volume of the perturbation, consistent with the theory. Finally, we look at the convergence time for the different samples and find very good agreement with the analytical predictions.

cond-mat.soft↗

arXiv2014

Viscoelastic effects and anomalous transient levelling exponents in thin films

We study theoretically the profile evolution of a thin viscoelastic film supported onto a no-slip flat substrate. Due to the nonconstant initial curvature at the free surface, there is a flow driven by Laplace pressure and mediated by viscoelasticity. In the framework of lubrication theory, we derive a thin film equation that contains local viscoelastic stress through the Maxwell model. Then, considering a sufficiently regular small perturbation of the free surface, we linearise the equation and derive its general solution. We analyse and discuss in details the behaviour of this function. We then use it to study the viscoelastic evolution of a Gaussian initial perturbation through its transient levelling exponent. For initial widths of the profile that are smaller than a characteristic length scale involving both the film thickness and the elastocapillary length, this exponent is shown to reach anomalously high values at the elastic-to-viscous transition. This prediction should in particular be observed at sufficiently short times in experiments on thin polymer films.

cond-mat.soft↗

arXiv2014

Wake pattern and wave resistance for anisotropic moving objects

We present a theoretical study of gravity waves generated by an anisotropic moving disturbance. We model the moving object by an elliptical pressure field of given aspect ratio $\mathcal W$. We study the wake pattern as a function of $\mathcal W$ and the longitudinal hull Froude number $Fr = V/\sqrt{gL}$, where $V$ is the velocity, $g$ the acceleration of gravity and $L$ the size of the disturbance in the direction of motion. For large hull Froude numbers, we analytically show that the rescaled surface profiles for which $\sqrt{\mathcal W}/Fr$ is kept constant coincide. In particular, the angle outside which the surface is essentially flat remains constant and equal to the Kelvin angle, and the angle corresponding to the maximum amplitude of the waves scales as $\sqrt{\mathcal W}/Fr$, thus showing that previous work on the wake's angle for isotropic objects can be extended to anisotropic objects of given aspect ratio. We then focus on the wave resistance and discuss its properties in the case of an elliptical Gaussian pressure field. We derive an analytical expression for the wave resistance in the limit of very elongated objects, and show that the position of the speed corresponding to the maximum wave resistance scales as $\sqrt{gL}/\sqrt{\mathcal W}$.

physics.flu-dyn↗

arXiv2014

Kelvin wake pattern at large Froude numbers

Gravity waves generated by an object moving at constant speed at the water surface form a specific pattern commonly known as the Kelvin wake. It was proved by Lord Kelvin that such a wake is delimited by a constant angle $\simeq 19.47^\circ$. However a recent study by Rabaud and Moisy based on the observation of airborne images showed that the wake angle seems to decrease as the Froude number $Fr$ increases, scaling as $Fr^{-1}$ for large Froude numbers. To explain such observations the authors make the strong hypothesis that an object of size $b$ cannot generate wavelengths larger than $b$. With no need of such an assumption and modelling the moving object by an axisymmetric pressure field, we analytically show that the angle corresponding to the maximum amplitude of the waves scales as $Fr^{-1}$ for large Froude numbers, whereas the angle delimiting the wake region outside which the surface is essentially flat remains constant and equal to the Kelvin angle for all $Fr$.

physics.flu-dyn↗