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Thomas Guhr

Publications and source records attributed to Thomas Guhr.

At least 55 records · Page 3Linked to original sources

Identifying subdominant collective effects in a large motorway network

In a motorway network, correlations between parts or, more precisely, between the sections of (different) motorways, are of considerable interest. Knowledge of flows and velocities on individual motorways is not sufficient, rather, their correlations determine or reflect, respectively, the functionality of and the dynamics on the network. These correlations are time-dependent as the dynamics on the network is highly non-stationary. Apart from the conceptual importance, correlations are also indispensable to detect risks of failure in a traffic network. Here, we proceed with revealing a certain hierarchy of correlations in traffic networks that is due to the presence and to the extent of collectivity. In a previous study, we focused on the collectivity motion present in the entire traffic network, i.e. the collectivity of the system as a whole. Here, we manage to subtract this dominant effect from the data and identify the subdominant collectivities which affect different, large parts of the traffic network. To this end, we employ a spectral analysis of the correlation matrix for the whole system. We thereby extract information from the virtual network induced by the correlations and map it on the true topology, i.e. on the real motorway network. The uncovered subdominant collectivities provide a new characterization of the traffic network. We carry out our study for the large motorway network of North Rhine-Westphalia (NRW), Germany.

physics.soc-ph↗

Spatial Correlation Analysis of Traffic Flow on Parallel Motorways in Germany

With the widely used method of correlation matrix analysis, this study reveals the change of traffic states on parallel motorways in North Rhine-Westphalia, Germany. In terms of the time series of traffic flow and velocity, we carry out a quantitative analysis in correlations and reveal a high level of strongly positive traffic flow correlation and rich structural features in the corresponding correlation matrices. The strong correlation is mainly ascribed to the daily time evolution of traffic flow during the periods of rush hours and non-rush hours. In terms of free flow and congestion, the structural features are able to capture the average traffic situation we derive from our data. Furthermore, the structural features in correlation matrices for individual time periods corroborate our results from the correlation matrices regarding a whole day. The average correlations in traffic flows and velocities over all pairwise sections disclose the traffic behavior during each individual time period. Our contribution uncovers the potential application of correlation analysis on the study of traffic networks as a complex system.

physics.soc-ph↗

Collective behavior in the North Rhine-Westphalia motorway network

To understand the dynamics on complex networks, measurement of correlations is indispensable. In a motorway network, it is not sufficient to collect information on fluxes and velocities on all individual links, i.e. parts of the freeways between ramps and highway crosses. The interdependencies and mutual connections are also of considerable interest. We analyze correlations in the complete motorway network in North Rhine-Westphalia, the most populous state in Germany. We view the motorway network as a complex system consisting of road sections which interact via the motion of vehicles, implying structures in the corresponding correlation matrices. In particular, we focus on collective behavior, i.e. coherent motion in the whole network or in large parts of it. To this end, we study the eigenvalue and eigenvector statistics and identify significant sections in the motorway network. We find collective behavior in these significant sections and further explore its causes. We show that collectivity throughout the network cannot directly be related to the traffic states (free, synchronous and congested) in Kerner's three-phase theory. Hence, the degree of collectivity provides a new, complementary observable to characterize the motorway network.

physics.soc-ph↗

Winding Number Statistics of a Parametric Chiral Unitary Random Matrix Ensemble

The winding number is a concept in complex analysis which has, in the presence of chiral symmetry, a physics interpretation as the topological index belonging to gapped phases of fermions. We study statistical properties of this topological quantity. To this end, we set up a random matrix model for a chiral unitary system with a parametric dependence. We analytically calculate the discrete probability distribution of the winding numbers, as well as the parametric correlations functions of the winding number density. Moreover, we address aspects of universality for the two-point function of the winding number density by identifying a proper unfolding procedure. We conjecture the unfolded two-point function to be universal.

math-ph↗

A Mapping between the Spin and Fermion Algebra

We derive a formalism to express the spin algebra $\mathfrak{su}(2)$ in a spin $s$ representation in terms of the algebra of $L$ fermionic operators that obey the Canonical Anti-commutation Relations. We also give the reverse direction of expressing the fermionic operators as polynomials in the spin operators of a single spin. We extend here to further spin values the previous investigations by Dobrov [J.Phys.A: Math. Gen 36 L503, (2003)] who in turn clarified on an inconsistency within a similar formalism in the works of Batista and Ortiz [Phys.\ Rev.\ Lett. 86, 1082 (2001)]. We then consider a system of $L$ fermion flavors and apply our mapping in order to express it in terms of the spin algebra. Furthermore we investigate a possibility to simplify certain Hamiltonian operators by means of the mapping.

quant-ph↗

Foreign exchange markets: price response and spread impact

We carry out a detailed large-scale data analysis of price response functions in the spot foreign exchange market for different years and different time scales. Such response functions provide quantitative information on the deviation from Markovian behavior. The price response functions show an increase to a maximum followed by a slow decrease as the time lag grows, in trade time scale and in physical time scale, for all analyzed years. Furthermore, we use a price increment point (pip) bid-ask spread definition to group different foreign exchange pairs and analyze the impact of the spread in the price response functions. We find that large pip spreads have a stronger impact on the response. This is similar to what has been found in stock markets.

q-fin.ST↗

Generic Features in the Spectral Decomposition of Correlation Matrices

We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we derive lower bounds for the largest eigenvalue and the alignment of the corresponding eigenvector. We explain how and to which extent, a distinctly large eigenvalue and an approximately diagonal eigenvector generically occur for specific correlation matrices independently of the correlation matrix dimension.

math-ph↗

Correlated power time series of individual wind turbines: A data driven model approach

Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in this context today is the predictability of wind energy as an intermittent renewable resource with additional non-stationary nature. In this context, we analyze the power time series measured in an offshore wind farm for a total period of one year with a time resolution of 10 min. Applying detrended fluctuation analysis, we characterize the autocorrelation of power time series and find a Hurst exponent in the persistent regime with cross-over behavior. To enrich the modeling perspective of complex large wind energy systems, we develop a stochastic reduced-form model ofpower time series. The observed transitions between two dominating power generation phases are reflected by a bistable deterministic component, while correlated stochastic fluctuations account for the identified persistence. The model succeeds to qualitatively reproduce several empirical characteristics such as the autocorrelation function and the bimodal probability density function.

stat.AP↗

Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations

Complex systems are often non-stationary, typical indicators are continuously changing statistical properties of time series. In particular, the correlations between different time series fluctuate. Models that describe the multivariate amplitude distributions of such systems are of considerable interest. Extending previous work, we view a set of measured, non-stationary correlation matrices as an ensemble for which we set up a random matrix model. We use this ensemble to average the stationary multivariate amplitude distributions measured on short time scales and thus obtain for large time scales multivariate amplitude distributions which feature heavy tails. We explicitly work out four cases, combining Gaussian and algebraic distributions. The results are either of closed forms or single integrals. We thus provide, first, explicit multivariate distributions for such non-stationary systems and, second, a tool that quantitatively captures the degree of non-stationarity in the correlations.

cond-mat.dis-nn↗

Matrix Moments in a Real, Doubly Correlated Algebraic Generalization of the Wishart Model

The Wishart model of random covariance or correlation matrices continues to find ever more applications as the wealth of data on complex systems of all types grows. The heavy tails often encountered prompt generalizations of the Wishart model, involving algebraic distributions instead of a Gaussian. The mathematical properties pose new challenges, particularly for the doubly correlated versions. Here we investigate such a doubly correlated algebraic model for real covariance or correlation matrices. We focus on the matrix moments and explicitly calculate the first and the second one, the computation of the latter is non-trivial. We solve the problem by relating it to the Aomoto integral and by extending the recursive technique to calculate Ingham-Siegel integrals. We compare our results with the Gaussian case.

math-ph↗

Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example

Traffic systems are complex systems that exhibit non-stationary characteristics. Therefore, the identification of temporary traffic states is significant. In contrast to the usual correlations of time series, here we study those of position series, revealing structures in time, i.e. the rich non-Markovian features of traffic. Considering the traffic system of the Cologne orbital motorway as a whole, we identify five quasi-stationary states by clustering reduced rank correlation matrices of flows using the $k$-means method. The five quasi-stationary states with nontrivial features include one holiday state, three workday states and one mixed state of holidays and workdays. In particular, the workday states and the mixed state exhibit strongly correlated time groups shown as diagonal blocks in the correlation matrices. We map the five states onto reduced-rank correlation matrices of velocities and onto traffic states where free or congested states are revealed in both space and time. Our study opens a new perspective for studying traffic systems. This contribution is meant to provide a proof of concept and a basis for further study.

physics.soc-ph↗

Price response functions and spread impact in correlated financial markets

Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the same time, in particular trading costs and price correlations. How the price response is measured depends on data set and research focus. However, it is important to clarify, how the details of the price response definition modify the results. Here, we evaluate different price response implementations for the Trades and Quotes (TAQ) data set from the NASDAQ stock market and find that the results are qualitatively the same for two different definitions of time scale, but the response can vary by up to a factor of two. Further, we show the key importance of the order between trade signs and returns, displaying the changes in the signal strength. Moreover, we confirm the dominating contribution of immediate price response directly after a trade, as we find that delayed responses are suppressed. Finally, we test the impact of the spread in the price response, detecting that large spreads have stronger impact.

q-fin.ST↗

Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying clustering methods. They emerge, disappear or reemerge, but they are dominated by the collective motion of all stocks. In the jargon, one speaks of the market motion, it is always associated with the largest eigenvalue of the correlation matrices. Thus the question arises, if one can extract more refined information on the system by subtracting the dominating market motion in a proper way. To this end we introduce a new approach by clustering reduced-rank correlation matrices which are obtained by subtracting the dyadic matrix belonging to the largest eigenvalue from the standard correlation matrices. We analyze daily data of 262 companies of the S&P 500 index over a period of almost 15 years from 2002 to 2016. The resulting dynamics is remarkably different, and the corresponding market states are quasi-stationary over a long period of time. Our approach adds to the attempts to separate endogenous from exogenous effects.

q-fin.ST↗

Hilbert space average of transition probabilities

The typicality approach and the Hilbert space averaging method as its technical manifestation are important concepts of quantum statistical mechanics. Extensively used for expectation values we extend them in this paper to transition probabilities. In this context we also find that the transition probability of two random uniformly distributed states is connected to the spectral statistics of the considered operator. Furthermore, within our approach we are capable to consider distributions of matrix elements between states, that are not orthogonal. We will demonstrate our quite general result numerically for a kicked spin chain in the integrable resp. chaotic regime.

quant-ph↗

Transition from Quantum Chaos to Localization in Spin Chains

Recent years have seen an increasing interest in quantum chaos and related aspects of spatially extended systems, such as spin chains. However, the results are strongly system dependent, generic approaches suggest the presence of many-body localization while analytical calculations for certain system classes, here referred to as the ``self-dual case'', prove adherence to universal (chaotic) spectral behavior. We address these issues studying the level statistics in the vicinity of the latter case, thereby revealing transitions to many-body localization as well as the appearance of several non-standard random-matrix universality classes.

cond-mat.stat-mech↗

Exact local correlations in kicked chains at light cone edges

We show that local correlators in a wide class of kicked chains can be calculated exactly at light cone edges. Extending previous works on dual-unitary systems, the correlators between local operators are expressed through the expectation values of transfer matrices $T$ with small dimensions. Contrary to the previous studies, our results are not restricted to dual-unitary systems with spatial-temporal symmetry of the dynamics. They hold for a generic case without fine tuning of model parameters. The results are exemplified on the kicked Ising spin chain model, where we provide an explicit formula for two-point correlators near light cone edges beyond the dual-unitary regime.

cond-mat.stat-mech↗

Local correlations in dual-unitary kicked chains

We show that for dual-unitary kicked chains, built upon a pair of complex Hadamard matrices, correlators of strictly local, traceless operators vanish identically for sufficiently long chains. On the other hand, operators supported at pairs of adjacent chain sites, generically, exhibit nontrivial correlations along the light cone edges. In agreement with Bertini et. al. [Phys. Rev. Lett. 123, 210601 (2019)], they can be expressed through the expectation values of a transfer matrix $T$. Furthermore, we identify a remarkable family of dual-unitary models where an explicit information on the spectrum of $T$ is available. For this class of models we provide a closed analytical formula for the corresponding two-point correlators. This result, in turn, allows an evaluation of local correlators in the vicinity of the dual-unitary regime which is exemplified on the kicked Ising spin chain.

cond-mat.stat-mech↗

WKB-type-of approximation for rare event statistics in reacting systems

We calculate the probabilities to find systems of reacting particles in states which largely deviate from typical behavior. The rare event statistics is obtained from the master equation which describes the dynamics of the probability distribution of the particle number. We transform the master equation by means of a generating function into a time-dependent "Schrödinger equation". Its solution is provided by a separation ansatz and an approximation for the stationary part which is of Wentzel-Kramers-Brillouin (WKB) type employing a small parameter. The solutions of the "classical" equations of motions and a saddle point approximation yield the proper generating function. Our approach extends a method put forward in [V. Elgart and A. Kamenev, Phys. Rev. E 70, 041106 (2004)]. We calculate the rare event statistics for systems where the dynamics cannot be entirely analyzed in an analytical manner. We consider different examples.

cond-mat.stat-mech↗