Searcharxiv⌕ Search

arXiv subjects

Sergei Maslov

Publications and source records attributed to Sergei Maslov.

64 records · Page 4Linked to original sources
arXiv1999

1/f Noise and Long Configuration Memory in Bak-Tang-Wiesenfeld Models on Narrow Stripes

We report our findings of an 1/f power spectrum for the total amount of sand in directed and undirected Bak-Tang-Wiesenfeld models confined on narrow stripes and driven locally. The underlying mechanism for the 1/f noise in these systems is an exponentially long configuration memory giving rise to a very broad distribution of time scales. Both models are solved analytically with the help of an operator algebra to explicitly show the appearance of the long configuration memory.

cond-mat.stat-mech↗
arXiv1998

Probability distribution of drawdowns in risky investments

We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the risk exposure is Kelly-optimal, the exponent of this power law has the borderline value of 2, i.e. the average drawdown is just about to diverge

cond-mat.stat-mech↗
arXiv1998

Critical exponents of the anisotropic Bak-Sneppen model

We analyze the behavior of spatially anisotropic Bak-Sneppen model. We demonstrate that a nontrivial relation between critical exponents tau and mu=d/D, recently derived for the isotropic Bak-Sneppen model, holds for its anisotropic version as well. For one-dimensional anisotropic Bak-Sneppen model we derive a novel exact equation for the distribution of avalanche spatial sizes, and extract the value gamma=2 for one of the critical exponents of the model. Other critical exponents are then determined from previously known exponent relations. Our results are in excellent agreement with Monte Carlo simulations of the model as well as with direct numerical integration of the new equation.

cond-mat.stat-mech↗
arXiv1998

Universal Behavior of One-Dimensional Gapped Antiferromagnets in Staggered Magnetic Field

We study the properties of one-dimensional gapped Heisenberg antiferromagnets in the presence of an arbitrary strong staggered magnetic field. For these systems we predict a universal form for the staggered magnetization curve. This function, as well as the effect the staggered field has on the energy gaps in longitudinal and transversal excitation spectra, are determined from the universal form of the effective potential in O(3)-symmetric 1+1--dimensional field theory. Our theoretical findings are in excellent agreement with recent neutron scattering data on R_2 Ba Ni O_5 (R = magnetic rare earth) linear-chain mixed spin antiferromagnets.

cond-mat.str-el↗
arXiv1998

Optimal Investment Strategy for Risky Assets

We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are no longer applicable.

cond-mat.stat-mech↗
arXiv1998

Dynamical Optimization Theory of a Diversified Portfolio

We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of our model naturally give rise to power law tails in the distribution of capital fractions invested in different stocks. The exponent of this scale free distribution is calculated in both discrete and continuous time formalism. It is demonstrated that the dynamical redistribution strategy results in a larger typical growth rate of the capital than a static ``buy-and-hold'' strategy. In the large N limit the typical growth rate is shown to asymptotically approach that of the expectation value of the stock price. The finite dimensional variant of the model is shown to describe the partition function of directed polymers in random media.

cond-mat.stat-mech↗
arXiv1997

Expansion Around the Mean-Field Solution of the Bak-Sneppen Model

We study a recently proposed equation for the avalanche distribution in the Bak-Sneppen model. We demonstrate that this equation indirectly relates $τ$,the exponent for the power law distribution of avalanche sizes, to $D$, the fractal dimension of an avalanche cluster.We compute this relation numerically and approximate it analytically up to the second order of expansion around the mean field exponents. Our results are consistent with Monte Carlo simulations of Bak-Sneppen model in one and two dimensions.

cond-mat.stat-mech↗
arXiv1996

Self-Organized Critical Directed Percolation

We introduce and study a dynamic transport model exhibiting Self-Organized Criticality. The novel concepts of our model are the probabilistic propagation of activity and unbiased random repartition of energy among the active site and its nearest neighbors. For space dimensionality $d\geq 2$ we argue that the model is related to $d+1$ dimensional directed percolation, with time interpreted as the preferred direction.

adap-org↗
arXiv1996

Infinite Hierarchy of Exact Equations in the Bak-Sneppen Model

We derive an infinite hierarchy of exact equations for the Bak-Sneppen model in arbitrary dimensions. These equations relate different moments of temporal duration and spatial size of avalanches. We prove that the exponents of the BS model are the same above and below the critical point and express the universal amplitude ratio of the avalanche spatial size in terms of the critical exponents. The equations uniquely determine the shape of the scaling function of the avalanche distribution. It is suggested that in the BS model there is only one independent critical exponent.

adap-org↗