Article
Operations Research & Management Science
Gurjeet Dhesi, Bilal Shakeel, Marcel Ausloos
Summary: This study introduces a new methodology using the irrational fractional Brownian motion model to forecast the numerical value of the fat tail(s) in asset returns distributions. By fitting parameter values to consecutive daily 2-year period returns of the S&P500 index over [1950-2016], optimal model parameter values are obtained, leading to 33-time series estimations. Through an econometric model and auto-regressive analysis, the kurtosis and returns distributions are modeled and forecasted, providing accurate measurements of return distribution shapes and Value at Risk.
ANNALS OF OPERATIONS RESEARCH
(2021)
Article
Mathematics, Interdisciplinary Applications
Marzio Di Vece, Diego Garlaschelli, Tiziano Squartini
Summary: This study combines econometric methods with statistical physics methods to construct two classes of maximum-entropy models for analyzing the World Trade Web. The models are tested on trade data and their strengths and weaknesses are discussed.
CHAOS SOLITONS & FRACTALS
(2023)
Article
Physics, Multidisciplinary
Sandhya Devi
Summary: Financial markets are complex and can be described with non-extensive Tsallis statistics or superstatistics. Stock returns can be fitted with q-Gaussian distributions, with the level of symmetric decreasing as time lag increases. The study suggests that asymmetric distributions provide better fits to data distributions than symmetric q-Gaussian distributions, and the behavior of q parameter differs between positive and negative returns.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2021)
Article
Mathematics, Applied
Lloyd L. Aromi, Yuri A. Katz, Josep Vives
Summary: Topological data analysis shows the dependency of mean values of functional p-norms on a uniform scaling of underlying multivariate distribution, and the decrease in average values of p-norms with increasing covariance in a system. The experimental results illustrate the complex dependency of topological features on changes in variance-covariance matrix.
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION
(2021)
Article
Multidisciplinary Sciences
A. L. Marques Muniz, F. O. Wu, P. S. Jung, M. Khajavikhan, D. N. Christodoulides, U. Peschel
Summary: Statistical mechanics states that a system with no upper bound on its internal energy should have a positive temperature. However, under certain conditions, it is possible to achieve negative temperatures, where higher-order energy states are favored. So far, observing thermodynamic processes in this regime has been challenging, but this study demonstrates isentropic expansion-compression and Joule expansion at negative optical temperatures using purely nonlinear photon-photon interactions. This photonic approach opens up possibilities for exploring all-optical thermal engines and could have implications for other bosonic systems beyond optics, such as cold atoms and optomechanics.
Article
Physics, Multidisciplinary
A. S. Parvan, T. Bhattacharyya
Summary: The study found discrepancies between the phenomenological Tsallis distributions derived from the Tsallis statistical mechanical formulation and the standard Tsallis statistics, leading to differences in the single-particle distribution functions in the factorization approximation.
JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL
(2021)
Article
Multidisciplinary Sciences
Eric B. Jones, Logan E. Hillberry, Matthew T. Jones, Mina Fasihi, Pedram Roushan, Zhang Jiang, Alan Ho, Charles Neill, Eric Ostby, Peter Graf, Eliot Kapit, Lincoln D. Carr
Summary: This study demonstrates the implementation of Quantum Cellular Automata (QCA) on a digital quantum processor, simulating a one-dimensional Goldilocks rule on chains of superconducting qubits. The results show the formation of small-world mutual information networks and provide measurements of population dynamics and complex network measures. These findings contribute to the understanding of complexity in quantum systems.
NATURE COMMUNICATIONS
(2022)
Article
Mathematics, Applied
Sam L. Polk, Bruce M. Boghosian
Summary: This study modified the affine wealth model of wealth distributions and showed that the exponential tail observed near the critical value is a special case of a broader class of slower-than-Gaussian decays. It was demonstrated that the functional form of the wealth distribution tail near criticality is not universal but entirely determined by specific public policy decisions.
SIAM JOURNAL ON APPLIED MATHEMATICS
(2021)
Article
Computer Science, Cybernetics
Michele Cedolin, Mujde Erol Genevois
Summary: This research aims to improve the computational efficiency of ATM cash demand forecasting by proposing a practical decision-making process using aggregated time series of a bank's ATM network. A comparative statistical forecasting approach is proposed, utilizing the NN5 competition data set to simplify the forecasting process for each ATM. The findings suggest that grouping ATMs with tolerable accuracy loss and forecasting them with a single model based on aggregated series can effectively reduce computational time and resources.
Article
Physics, Fluids & Plasmas
Giuseppe Torrisi, Alessia Annibale, Reimer Kuhn
Summary: The dynamic cavity method is efficient for evaluating probabilities of dynamic trajectories in systems of stochastic units with unidirectional sparse interactions, but faces challenges related to complexity barriers associated with in-degrees.
Article
Physics, Multidisciplinary
Raymond Ka-Kay Pang, Oscar M. Granados, Harsh Chhajer, Erika Fille T. Legara
Summary: The study found that the average correlation of sovereign bond yields decreased during the COVID-19 pandemic, and there were distinctive trends between filtering methods under multiple network centrality measures. The significance of economic and health variables towards filtered networks within the COVID-19 period was also analyzed.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
(2021)
Article
Computer Science, Interdisciplinary Applications
R. Bustos-Guajardo
Summary: This study investigates the distribution of traded goods value under the Harmonized System, revealing a power law decay and indicating complexity and self-organization in the nomenclature. The log-values of imported and exported goods for most countries fit well with three-parameter Weibull distributions, commonly observed in particle size distributions, suggesting a connection between fragmentation processes and international trade mechanisms. Analysis of fitting parameters from 1995 to 2018 shows a consistent linear relationship, allowing the distribution of log-values to be approximated by a single shape parameter beta for each country. The empirical findings suggest that specializing in a constant set of goods can prevent simultaneous growth or decrease in the values of all traded merchandises.
INTERNATIONAL JOURNAL OF MODERN PHYSICS C
(2022)
Article
Physics, Fluids & Plasmas
S. Ariosto, R. Pacelli, F. Ginelli, M. Gherardi, P. Rotondo
Summary: Modern deep neural networks pose a challenge for theorists. Despite the expectation of overfitting due to the large number of parameters, these networks do not exhibit overfitting in practice. By applying replica mean field theory, we compute the generalization gap of machine learning models in the teacher-student scenario and for regression problems. The results provide a stringent upper bound for the generalization gap of fully trained neural networks, improving upon existing bounds from statistical learning theory.
Article
Physics, Fluids & Plasmas
Benjamin Sorkin, Joshua Ricouvier, Haim Diamant, Gil Ariel
Summary: We propose a functional that calculates the entropy contribution of microscopic degrees of freedom based on their measurable pair correlations. This functional can be applied to systems in and out of equilibrium and determines the maximum entropy possible given a certain correlation function. By applying this method to different correlations, we can identify the degrees of freedom that govern a specific physical state, allowing us to capture dynamic transitions. This formalism is also applicable to systems with broken translational invariance and varying numbers of particles.
Article
Multidisciplinary Sciences
Shuai Xu, Zidi Zhou, Zishun Liu, Pradeep Sharma
Summary: In this study, we report a peculiar observation of concurrent stiffening and softening in hydrogels during the dehydration process. The scaling of mechanical behavior with water content, which is not captured by Flory's work, is observed in our experiments. Through coarse-grained molecular dynamics simulations, we elucidate the mechanisms underlying the odd softening-stiffening behavior during dehydration and propose a theoretical model to accurately represent the underlying physics and the divergence from Flory-based theories.
Article
Physics, Condensed Matter
Victor M. Yakovenko
PHYSICA B-CONDENSED MATTER
(2015)
Article
Materials Science, Multidisciplinary
Sergey S. Pershoguba, D. S. L. Abergel, Victor M. Yakovenko, A. V. Balatsky
Article
Physics, Multidisciplinary
Victor M. Yakovenko
EUROPEAN PHYSICAL JOURNAL-SPECIAL TOPICS
(2016)
Review
Multidisciplinary Sciences
Safa Motesharrei, Jorge Rivas, Eugenia Kalnay, Ghassem R. Asrar, Antonio J. Busalacchi, Robert F. Cahalan, Mark A. Cane, Rita R. Colwell, Kuishuang Feng, Rachel S. Franklin, Klaus Hubacek, Fernando Miralles-Wilhelm, Takemasa Miyoshi, Matthias Ruth, Roald Sagdeev, Adel Shirmohammadi, Jagadish Shukla, Jelena Srebric, Victor M. Yakovenko, Ning Zeng
NATIONAL SCIENCE REVIEW
(2016)
Article
Multidisciplinary Sciences
Xinxin Gong, Mehdi Kargarian, Alex Stern, Di Yue, Hexin Zhou, Xiaofeng Jin, Victor M. Galitski, Victor M. Yakovenko, Jing Xia
Article
Physics, Multidisciplinary
Lance Boyer, Victor M. Yakovenko
Correction
Physics, Multidisciplinary
Sergey S. Pershoguba, Kostyantyn Kechedzhi, Victor M. Yakovenko
PHYSICAL REVIEW LETTERS
(2014)
Article
Physics, Multidisciplinary
Morteza Kayyalha, Mehdi Kargarian, Aleksandr Kazakov, Ireneusz Miotkowski, Victor M. Galitski, Victor M. Yakovenko, Leonid P. Rokhinson, Yong P. Chen
PHYSICAL REVIEW LETTERS
(2019)
Article
Multidisciplinary Sciences
Seunghun Lee, Valentin Stanev, Xiaohang Zhang, Drew Stasak, Jack Flowers, Joshua S. Higgins, Sheng Dai, Thomas Blum, Xiaoqing Pan, Victor M. Yakovenko, Johnpierre Paglione, Richard L. Greene, Victor Galitski, Ichiro Takeuchi
Article
Physics, Multidisciplinary
P. M. R. Brydon, D. S. L. Abergel, D. F. Agterberg, Victor M. Yakovenko
Article
Green & Sustainable Science & Technology
Gregor Semieniuk, Victor M. Yakovenko
JOURNAL OF CLEANER PRODUCTION
(2020)
Article
Multidisciplinary Sciences
Danial Ludwig, Victor M. Yakovenko
Summary: The first part of the paper provides a survey of approaches to economic inequality based on ideas from statistical physics and kinetic theory, and discusses the origins of the exponential Boltzmann-Gibbs distribution and the Pareto power law. The second part of the paper analyzes income distribution data in the USA from 1983 to 2018, finding that the lower class is described by the exponential distribution and the upper class by the power law. The paper suggests that the significant growth of inequality during this time period may be due to the expansion of the upper-class population and income shares.
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
(2022)
Article
Materials Science, Multidisciplinary
Sergey S. Pershoguba, Victor M. Yakovenko
Summary: The research examines the interaction between Chern insulators and circularly polarized light, proposing an experimental protocol for switching topological memory based on orbital magnetization by circularly polarized light, and generating optically configurable domain walls carrying topologically protected chiral edge modes through two laser beams of opposite circular polarization.
Article
Economics
Yong Tao, Xiangjun Wu, Tao Zhou, Weibo Yan, Yanyuxiang Huang, Han Yu, Benedict Mondal, Victor M. Yakovenko
JOURNAL OF ECONOMIC INTERACTION AND COORDINATION
(2019)
Article
Materials Science, Multidisciplinary
Girish Sharma, Sumanta Tewari, Pallab Goswami, Victor M. Yakovenko, Sudip Chakravarty
