arXiv subjects

Michele Caraglio

Publications and source records attributed to Michele Caraglio.

34 records · Page 2Linked to original sources

arXiv2020

Dynamic properties of quasi-confined colloidal hard-sphere liquids near the glass transition

The complex behavior of confined fluids arising due to a competition between layering and local packing can be disentangled by considering quasi-confined liquids, where periodic boundary conditions along the confining direction restore translational invariance. This system provides a means to investigate the interplay of the relevant length scales of the confinement and the local order. We provide a mode-coupling theory of the glass transition (MCT) for quasi-confined liquids and elaborate an efficient method for the numerical implementation. The nonergodicity parameters in MCT are compared to computer-simulation results for a hard-sphere fluid. We evaluate the nonequilibrium-state diagram and investigate the collective intermediate scattering function. For both methods, nonmonotonic behavior depending on the confinement length is observed.

cond-mat.soft↗

arXiv2020

An improved integration scheme for Mode-coupling-theory equations

Within the mode-coupling theory (MCT) of the glass transition, we reconsider the numerical schemes to evaluate the MCT functional. Here we propose nonuniform discretizations of the wave number, in contrast to the standard equidistant grid, in order to decrease the number of grid points without losing accuracy. We discuss in detail how the integration scheme on the new grids has to be modified from standard Riemann integration. We benchmark our approach by solving the MCT equations numerically for mono-disperse hard disks and hard spheres and by computing the critical packing fraction and the nonergodicity parameters. Our results show that significant improvements in performance can be obtained by employing a nonuniform grid.

cond-mat.soft↗

arXiv2020

Dynamical properties of densely packed confined hard-sphere fluids

Numerical solutions of the mode-coupling theory (MCT) equations for a hard-sphere fluid confined between two parallel hard walls are elaborated. The governing equations feature multiple parallel relaxation channels which significantly complicate their numerical integration. We investigate the intermediate scattering functions and the susceptibility spectra close to structural arrest and compare to an asymptotic analysis of the MCT equations. We corroborate that the data converge in the $β$-scaling regime to two asymptotic power laws, viz. the critical decay and the von Schweidler law. The numerical results reveal a non-monotonic dependence of the power-law exponents on the slab width and a non-trivial kink in the low-frequency susceptibility spectra. We also find qualitative agreement of these theoretical results to event-driven molecular-dynamics simulations of polydisperse hard-sphere system. In particular, the non-trivial dependence of the dynamical properties on the slab width is well reproduced.

cond-mat.soft↗

arXiv2020

Translocation of links through a pore: effects of link complexity and size

We have used Langevin dynamics to simulate the forced translocation of linked polymer rings through a narrow pore. For fixed size (i.e. fixed number of monomers) the translocation time depends on the link type and on whether the rings are knotted or unknotted. For links with two unknotted rings, the crossings between the rings can slow down the translocation and are responsible for a delay as the crossings pass through the pore. The results fall on a set of relatively smooth curves for different link families with the translocation time not always increasing with crossings number within the same family. When one ring is knotted the results depend on whether the link is prime or composite and, for the composite case, they depend on whether the knotted or unknotted ring enters the pore first. We find a similar situation for 3-component links where the results depend on whether the link is prime or composite. These results contribute to our understanding of how the entanglement complexity between filaments impacts their translocation dynamics and should be useful for extending nanopore-sensing techniques to probe the topological properties of these systems.

cond-mat.stat-mech↗

arXiv2019

Transition Path Times in Asymmetric Barriers

Biomolecular conformational transitions are usually modeled as barrier crossings in a free energy landscape. The transition paths connect two local free energy minima and transition path times (TPT) are the actual durations of the crossing events. The simplest model employed to analyze TPT and to fit empirical data is that of a stochastic particle crossing a parabolic barrier. Motivated by some disagreement between the value of the barrier height obtained from the TPT distributions as compared to the value obtained from kinetic and thermodynamic analyses, we investigate here TPT for barriers which deviate from the symmetric parabolic shape. We introduce a continuous set of potentials, that starting from a parabolic shape, can be made increasingly asymmetric by tuning a single parameter. The TPT distributions obtained in the asymmetric case are very well-fitted by distributions generated by parabolic barriers. The fits, however, provide values for the barrier heights and diffusion coefficients which deviate from the original input values. We show how these findings can be understood from the analysis of the eigenvalues spectrum of the Fokker-Planck equation and highlight connections with experimental results.

cond-mat.stat-mech↗

arXiv2019

Overtwisting induces polygonal shapes in bent DNA

By combining analytical results and simulations of various coarse-grained models we investigate the minimal energy shape of DNA minicircles which are torsionally constrained by an imposed over or undertwist. We show that twist-bend coupling, a cross interaction term discussed in the recent DNA literature, induces minimal energy shapes with a periodic alternance of parts with high and low curvature resembling rounded polygons. We briefly discuss the possible experimental relevance of these findings. We finally show that the twist and bending energies of minicircles are governed by renormalized stiffness constants, not the bare ones. This has important consequences for the analysis of experiments involving circular DNA meant to determine DNA elastic constants.

cond-mat.soft↗

arXiv2019

Plectoneme dynamics and statistics in braided polymers

Braids composed of two interwoven polymer chains exhibit a buckling transition whose origin has been explained through the onset of plectonemic structures. Here we study, by a combination of simulation and analytics, the dynamics of plectoneme formation and their statistics in steady state. The introduction of an order parameter, the plectonemic fraction, allows us to map out the phase boundary between the straight braid phase and the plectonemic one. We then monitor the formation and the growth of plectonemes, observing events typical of phase separation kinetics for liquid-gas systems (fusion, fission, 1D Ostwald ripening), but also of DNA supercoiling dynamics (plectonemic hopping). Finally, we propose a stochastic field theory for the coupled dynamics of twist and local writhe which explains the phenomenology found with Brownian dynamics simulations as well the power laws underlying the coarsening of plectonemes.

cond-mat.soft↗

arXiv2018

The influence of absorbing boundary conditions on the transition path times statistics

We derive an analytical expression for the transition path time (TPT) distribution for a one-dimensional particle crossing a parabolic barrier. The solution is expressed in terms of the eigenfunctions and eigenvalues of the associated Fokker-Planck equation. The particle performs an anomalous dynamics generated by a power-law memory kernel, which includes memoryless Markovian dynamics as a limiting case. Our result takes into account absorbing boundary conditions, extending existing results obtained for free boundaries. We show that TPT distributions obtained from numerical simulations are in excellent agreement with analytical results, while the typically employed free boundary conditions lead to a systematic overestimation of the barrier height. These findings may be useful in the analysis of experimental results on transition path times. A web tool to perform this analysis is freely available.

cond-mat.stat-mech↗

arXiv2017

How fast does the clock of Finance run? - A time-definition enforcing scale invariance and quantifying overnights

A symmetry-guided definition of time may enhance and simplify the analysis of historical series with recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of time definition in Finance. The essential structure of the stochastic process underlying the series can thus be analyzed within a most parsimonious symmetry scheme in which multiscaling is reduced in the quest of a time scale additive and independent of moment-order in the distribution of returns. At the same time, duration of periods in which markets remain inactive are properly quantified by the novel clock, and the corresponding (e.g., overnight) returns are consistently taken into account for financial applications.

q-fin.ST↗

arXiv2016

Export dynamics as an optimal growth problem in the network of global economy

We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various exports affect each other. This is pursued through a stochastic differential description, partly inspired by approaches used in population dynamics or directed polymers in random media. We outline a complex network of transfer rates which describes how resources are shifted between different product classes, and determines how casual favorable conditions for one export can spread to the other ones. A calibration procedure allows to fit four free model-parameters such that the dynamical evolution becomes consistent with the average growth, the fluctuations, and the ranking of the export values observed in real data. Growth crucially depends on the balance between maintaining and shifting resources to different exports, like in an explore-exploit problem. Remarkably, the calibrated parameters warrant a close-to-maximum growth rate under the transient conditions realized in the period covered by data, implying an optimal self organization of the global export. According to the model, major structural changes in the global economy take tens of years.

econ.GN↗

arXiv2014

Option pricing with non-Gaussian scaling and infinite-state switching volatility

Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on financial assets. Using a recent model for market dynamics which adequately captures the above stylized facts, we derive closed form equations for option pricing, obtaining the Black & Scholes as a special case. By applying our pricing equations to a major equity index option dataset, we show that inclusion of stylized features in financial modeling moves derivative prices about 30% closer to the market values without the need of calibrating models parameters on available derivative prices.

q-fin.PR↗

arXiv2013

Scaling symmetry, renormalization, and time series modeling

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous auto-regressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance in terms of obtaining closed formulas for derivative pricing. Further important features are: The possibility of making contact, in certain limits, with auto-regressive models widely used in finance; The possibility of partially resolving the long-memory and short-memory components of the volatility, with consistent results when applied to historical series.

q-fin.ST↗

arXiv2013

Ensemble properties of high frequency data and intraday trading rules

Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expectations of the S&P 500 high frequency data in the morning of each trading day. Then, a more general formulation of the above scaling properties allows to extend the model to the afternoon trading session. We finally outline an application in which conditioned forecasting is used to implement a trend-following trading strategy capable of exploiting linear correlations present in the S&P dataset and absent in the model. Trading signals are model-based and not derived from chartist criteria. In-sample and out-of-sample tests indicate that the model-based trading strategy performs better than a benchmark one established on an asymmetric GARCH process, and show the existence of small arbitrage opportunities. We remark that in the absence of linear correlations the trading profit would vanish and discuss why the trading strategy is potentially interesting to hedge volatility risk for S&P index-based products.

q-fin.TR↗

arXiv2012

Aftershock prediction for high-frequency financial markets' dynamics

The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predictive power in this phenomenological approach and present a stochastic model, based on the scaling symmetry of financial assets, which is potentially capable to predict aftershocks occurrence, given the main shock magnitude. Comparisons with S&P high-frequency data confirm this predictive potential.

q-fin.ST↗

arXiv2012

Effects of confinement on thermal stability and folding kinetics in a simple Ising-like model

In cellular environment, confinement and macromulecular crowding play an important role on thermal stability and folding kinetics of a protein. We have resorted to a generalized version of the Wako-Saito-Munoz-Eaton model for protein folding to study the behavior of six different protein structures confined between two walls. Changing the distance 2R between the walls, we found, in accordance with previous studies, two confinement regimes: starting from large R and decreasing R, confinement first enhances the stability of the folded state as long as this is compact and until a given value of R; then a further decrease of R leads to a decrease of folding temperature and folding rate. We found that in the low confinement regime both unfolding temperatures and logarithm of folding rates scale as R-γ where γ values lie in between 1.42 and 2.35.

physics.bio-ph↗

arXiv2008

Entanglement Entropy and Twist Fields

The entanglement entropy of a subsystem of a quantum system is expressed, in the replica approach, through analytic continuation with respect to n of the trace of the n-th power of the reduced density matrix. This trace can be thought of as the vacuum expectation value of a suitable observable in a system made with n independent copies of the original system. We use this property to numerically evaluate it in some two-dimensional critical systems, where it can be compared with the results of Calabrese and Cardy, who wrote the same quantity in terms of correlation functions of twist fields of a conformal field theory. Although the two calculations match perfectly even in finite systems when the analyzed subsystem consists of a single interval, they disagree whenever the subsystem is composed of more than one connected part. The reasons of this disagreement are explained.

hep-th↗