Double Power Law in the Japanese Financial Market

2019 ◽  
Vol 7 (1) ◽  
pp. 28-35
Author(s):  
Sudhir Jain ◽  
Takuya Yamano
Keyword(s):  
Time Dependence ◽  
Financial Market ◽  
Power Law ◽  
Power Laws ◽  
Recent Analysis ◽  
Short Term ◽  
Power Law Decay ◽  
Long Time ◽  
Ising Spins

The authors study the persistence phenomenon in the Japanese stock market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese financial market. By studying the time dependence of the spins, they find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ‘starting' values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. The authors estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5. Furthermore, they argue that the presence of a double power law in the decay of the persistence probability could be the signature of the presence of both speculative (short-term) and long-term traders in the market.

scholarly journals MODELING PULSAR TIME NOISE WITH LONG TERM POWER LAW DECAY MODULATED BY SHORT TERM OSCILLATIONS OF THE MAGNETIC FIELDS OF NEUTRON STARS

2013 ◽  
Vol 22 (11) ◽  
pp. 1360012 ◽  
Author(s):  
SHUANG-NAN ZHANG ◽  
YI XIE
Keyword(s):  
Magnetic Fields ◽  
Neutron Stars ◽  
Power Law ◽  
Initial Surface ◽  
Radio Pulsars ◽  
Short Term ◽  
Power Law Decay ◽  
Pulsar Timing ◽  
Model Predictions

We model the evolution of the magnetic fields of neutron stars as consisting of a long term power-law decay modulated by short term small amplitude oscillations. Our model predictions on the timing noise [Formula: see text] of neutron stars agree well with the observed statistical properties and correlations of normal radio pulsars. Fitting the model predictions to the observed data, we found that their initial parameter implies their initial surface magnetic dipole magnetic field strength B0 ~ 5 × 1014 G when t0 = 0.4 yr and that the oscillations have amplitude K ~ 10-8 to 10-5 and period T on the order of years. For individual pulsars our model can effectively reduce their timing residuals, thus offering the potential of more sensitive detections of gravitational waves with pulsar timing arrays. Finally our model can also re-produce their observed correlation and oscillations of [Formula: see text], as well as the "slow glitch" phenomenon.

Power-law correlations, related models for long-range dependence and their simulation

2000 ◽  
Vol 37 (04) ◽  
pp. 1104-1109 ◽  
Author(s):  
Tilmann Gneiting
Keyword(s):  
Long Range ◽  
Power Law ◽  
Long Memory ◽  
Stationary Time Series ◽  
Long Range Dependence ◽  
Short Term ◽  
Permissible Range ◽  
Simultaneous Fitting ◽  
Straightforward Proof

Martin and Walker ((1997) J. Appl. Prob. 34, 657–670) proposed the power-law ρ(v) = c|v|-β, |v| ≥ 1, as a correlation model for stationary time series with long-memory dependence. A straightforward proof of their conjecture on the permissible range of c is given, and various other models for long-range dependence are discussed. In particular, the Cauchy family ρ(v) = (1 + |v/c|α)-β/α allows for the simultaneous fitting of both the long-term and short-term correlation structure within a simple analytical model. The note closes with hints at the fast and exact simulation of fractional Gaussian noise and related processes.

scholarly journals Methods of long-term and short-term adaptation for biometric image of keystroke dynamics

2021 ◽  
Vol 7 (3D) ◽  
pp. 450-457
Author(s):  
Dmitry V. Pashchenko ◽  
Dmitry A. Trokoz ◽  
Alexey I. Martyshkin ◽  
Elena A. Balzannikova
Keyword(s):  
Working Capacity ◽  
Keystroke Dynamics ◽  
Short Term ◽  
User Identification ◽  
New Device ◽  
Short Term Adaptation ◽  
Long Time

This article discusses one of the main problems of user identification by keyboard handwriting - short-term changes in the keystroke dynamics of users in connection with its psychophysical state, as well as changes over a long time associated with the formation of keystroke dynamics by a new user or when switching to a new device. A method for determining the phase of working capacity by the time characteristics of the keystroke dynamics is proposed.

scholarly journals On The Critical Phenomena in The Dynamics of Asteroids

1999 ◽  
Vol 172 ◽  
pp. 383-386
Author(s):  
Ivan I. Shevchenko
Keyword(s):  
Phase Space ◽  
Critical Phenomena ◽  
Power Law ◽  
Anomalous Transport ◽  
Selection Effects ◽  
Recurrence Times ◽  
Statistical Selection ◽  
Power Law Decay ◽  
Statistical Effects

AbstractTwo statistical effects in the long-term chaotic asteroidal dynamics are considered, namely the power-law character of the dependence of recurrence times on local Lyapunov times and the power-law decay in the tails of the recurrence distributions. The dependences in both cases are shaped by effects of anomalous transport, due to the presence of the chaos border in phase space, and by statistical selection effects.

Simulation of Hydrogen Distribution due to In-Vessel Severe Accident in WWER-1000 NPP Containment: A Comparison of CONTAIN and MELCOR Codes Results

2018 ◽  
Author(s):  
Omid Noorikalkhoran ◽  
Massimiliano Gei
Keyword(s):  
Severe Accident ◽  
Second Step ◽  
Hydrogen Distribution ◽  
Short Term ◽  
Long Time ◽  
Design Basis Accident ◽  
Safety Features ◽  
Design Pressure ◽  
Good Agreement

During a severe accident or Beyond Design Basis Accident (BDBA), the reaction of water with zirconium alloy as fuel clad, radiolysis of water, molten corium-concrete interaction (MCCI) and post-accident corrosion can generate a source of hydrogen. In the present work, hydrogen distribution due to in-vessel reaction (between zircaloy and steam) has been simulated inside a WWER-1000 reactor containment. In the first step, the thermal hydraulic parameters of containment have been simulated for a DECL (Double Ended Cold Leg) accident (DBA phase) in both short and long time and the effects of spray as Engineering Safety Features (ESFs) on mitigating the parameters have been studied. In the second step, it has been assumed that the accident developed into an in-vessel core melting accident. While in pre-phase of core melting (severe accident phase), hydrogen will be produced as a result of zircaloy and steam reaction (BDBA phase), the hydrogen distribution has been simulated for 23 cells inside the reactor containment by using CONTAIN 2.0 (Best estimate code) and MELCOR 1.8.6 codes. Finally, the results have been compared to FSAR results. As it can be seen from the comparisons, both CONTAIN and MELCOR codes can predict the results in good agreement with FSAR (ANGAR code) results. CONTAIN shows peak pressure around 0.36 MPa in short-term and this amount is about 0.38 and 0.4 MPa for MELCOR and ANGAR (FSAR) results respectively. All these values are under design pressure that is around 0.46 MPa. Cell 20 has the maximum mole fraction of hydrogen in long-term about 9.5% while the maximum amount of hydrogen takes place in cell 22. The differences between the results of codes are because of different equations, Models, Numerical methods and assumptions that have been considered by the codes. The simulated Hydrogen Distribution Map (HDM) can be used for upgrading the location of HCAV systems and Hydrogen Mitigator features (like the recombiners and ignitors) inside the containment to reduce the risk of hydrogen explosion.

Height Extrapolation of Wind Data

1985 ◽  
Vol 107 (1) ◽  
pp. 10-14 ◽  
Author(s):  
A. S. Mikhail
Keyword(s):  
Wind Speed ◽  
Power Law ◽  
Wind Data ◽  
Power Law Model ◽  
Short Term ◽  
Shape Factors ◽  
Wind Speeds ◽  
Average Wind ◽  
Modified Power Law

Various models that are used for height extrapolation of short and long-term averaged wind speeds are discussed. Hourly averaged data from three tall meteorological towers (the NOAA Erie Tower in Colorado, the Battelle Goodnoe Hills Tower in Washington, and the WKY-TV Tower in Oklahoma), together with data from 17 candidate sites (selected for possible installation of large WECS), were used to analyze the variability of short-term average wind shear with atmospheric and surface parameters and the variability of the long-term Weibull distribution parameter with height. The exponents of a power-law model, fit to the wind speed profiles at the three meteorological towers, showed the same variability with anemometer level wind speed, stability, and surface roughness as the similarity law model. Of the four models representing short-term wind data extrapolation with height (1/7 power law, logarithmic law, power law, and modified power law), the modified power law gives the minimum rms for all candidate sites for short-term average wind speeds and the mean cube of the speed. The modified power-law model was also able to predict the upper-level scale factor for the WKY-TV and Goodnoe Hills Tower data with greater accuracy. All models were not successful in extrapolation of the Weibull shape factors.

A Canonical Microfunction for Learning Perceptual Invariances

Perception ◽  
1996 ◽  
Vol 25 (2) ◽  
pp. 207-220 ◽  
Author(s):  
James V Stone
Keyword(s):  
Model Neuron ◽  
Learning Rule ◽  
Image Sequences ◽  
Weight Changes ◽  
Short Term ◽  
Stereo Disparity ◽  
Random Dot Stereograms ◽  
Long Time ◽  
Generic Strategy

An unsupervised method is presented which permits a set of model neurons, or a microcircuit, to learn low-level vision tasks, such as the extraction of surface depth. Each microcircuit implements a simple, generic strategy which is based on a key assumption: perceptually salient visual invariances, such as surface depth, vary smoothly over time. In the process of learning to extract smoothly varying invariances, each microcircuit maximises a microfunction. This is achieved by means of a learning rule which maximises the long-term variance of the state of a model neuron and simultaneously minimises its short-term variance. The learning rule involves a linear combination of anti-Hebbian and Hebbian weight changes, over short and long time scales, respectively. The method is demonstrated on a hyperacuity task: estimating subpixel stereo disparity from a temporal sequence of random-dot stereograms. After learning, the microcircuit generalises, without additional learning, to previously unseen image sequences. It is proposed that the approach adopted here may be used to define a canonical microfunction, which can be used to learn many perceptually salient invariances.

Influence of Whipping on Long-term Vertical Bending Moment

2004 ◽  
Vol 48 (04) ◽  
pp. 261-272
Author(s):  
Gro Sagli Baarholm ◽  
Jørgen Juncher Jensen
Keyword(s):  
Nonlinear Response ◽  
Extreme Values ◽  
Bending Moment ◽  
Sea Waves ◽  
Short Term ◽  
Strip Theory ◽  
Long Time ◽  
Wave Induced ◽  
Vertical Bending Moment

This paper is concerned with estimating the response value corresponding to a long return period, say 20 years. Time domain simulation is required to obtain the nonlinear response, and long time series are required to limit the statistical uncertainty in the simulations. It is crucial to introduce ways to improve the efficiency in the calculation. A method to determine the long-term extremes by considering only a few short-term sea states is applied. Long-term extreme values are estimated using a set of sea states that have a certain probability of occurrence, known as the contour line approach. Effect of whipping is included by assuming that the whipping and wave-induced responses are independent, but the effect of correlation of the long-term extreme value is also studied. Numerical calculations are performed using a nonlinear, hydroelastic strip theory as suggested by Xia et al (1998). Results are presented for the S-175 containership (ITTC 1983) in head sea waves. The analysis shows that whipping increases the vertical bending moment and that the correlation is significant.

Short-term stress for long-lasting otolith morphology — brief embryological stress disturbance can reorient otolith ontogenetic trajectory

2018 ◽  
Vol 75 (10) ◽  
pp. 1713-1722 ◽  
Author(s):  
Matthias Vignon
Keyword(s):  
Environmental Conditions ◽  
Salmo Trutta ◽  
Short Term ◽  
Otolith Shape ◽  
Fisheries Resources ◽  
Otolith Morphology ◽  
Ontogenetic Trajectory ◽  
Brown Trout Salmo Trutta ◽  
Long Time

Long-term plasticity of otolith shape has become a unifying principle to use morphological differences as indicator of environmental conditions. Contrary to the longstanding paradigmatic view that otolith shape can only reflect residency in particular environmental conditions over long time periods, data emphasize that otolith ontogenetic trajectory may be reoriented in case of short-term episodes of environmental disturbance during early lifetime. Using geometric morphometrics, discrimination was posible in absence of growth-related differences between control and brown trout (Salmo trutta Linnaeus, 1758) that have experienced brief thermal stress prior to their emergence but have grown in similar conditions (i.e., cohabiting within the same aquarium) during 6 months. Data emphasize that brief stress during key developmental periods can durably influence ontogenetic trajectories, subsequent otolith development, and can consequently change otolith morphology in juveniles. Therefore, differences in shape between groups of fish may not be exclusively indicative of long-time residency in contrasted and (or) separated habitats as it is generally assumed. Moving beyond long-term assumptions is fundamental if otolith shape is to be used as an effective tool for management of fisheries resources in the future.

Technical Challenges Facing Regulators–Assessment of Long-Term Materials Performance

1987 ◽  
Vol 112 ◽  
Author(s):  
Kenneth W. Stephens
Keyword(s):  
Real Time ◽  
Waste Disposal ◽  
Time Frame ◽  
High Level Waste ◽  
Short Term ◽  
Long Time ◽  
Computer Codes ◽  
High Level ◽  
Term Data

AbstractFor a number of years, nuclear regulators have grappled with difficult questions such as: “How safe is safe enough?” Such issues take on new dimensions in the long time-frame of high-level waste disposal.Many of the challenges facing regulators involve assessment of long-term materials performance. Because real-time experiments cannot be conducted, it is necessary to rely extensively on modeling. This raises issues regarding the extent to which long-term extrapolations of short-term data are justified, the question of how closely models must represent reality to be trusted, and practical matters such as methods for validating unique computer codes.Issues such as these illustrate how regulators must make decisions in a climate of uncertainty. Methods used by non-technical disciplines to make decisions under uncertainty have been examined and offer solutions for regulators and licensees alike.

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