Search PubMed⌕ Search

Biomedical subjects

S Trimper

Publications and source records attributed to S Trimper.

11 recordsLinked to original sources
PubMed2006

Minority games with score-dependent and agent-dependent payoffs.

Score-dependent and agent-dependent payoffs of the strategies are introduced into the standard minority game. The intrinsic periodicity is consequently removed, and the stylized facts arise, such as long-range volatility correlations and "fat tails" in the distribution of the returns. The agent dependence of the payoffs is essential in producing the long-range volatility correlations. The new payoffs lead to a better performance in the dynamic behavior nonlocal in time, and can coexist with the inactive strategy. We also observe that the standard deviation sigma2/N is significantly reduced, thus the efficiency of the system is distinctly improved. Based on this observation, we give a qualitative explanation for the long-range volatility correlations.

Journal Article↗
PubMed2006

Return-volatility correlation in financial dynamics.

We investigate the return-volatility correlation both local and nonlocal in time with daily and minutely data of the German DAX and Chinese indices, and observe a leverage effect for the German DAX, while an antileverage effect for the Chinese indices. In the negative time direction, i.e., for the volatility-return correlation, an antileverage effect nonlocal in time is detected for both the German DAX and Chinese indices, although the duplicate local in time does not exist. A retarded volatility model may describe the asymmetric properties of the financial indices in the positive time direction.

Journal Article↗
PubMed2006

Computer simulations of two-dimensional melting with dipole-dipole interactions.

We perform molecular dynamics and Monte Carlo simulations of two-dimensional melting with dipole-dipole interactions. Both static and dynamic behaviors are examined. In the isotropic liquid phase, the bond orientational correlation length xi 6 and susceptibility chi 6 are measured, and the data are fitted to the theoretical ansatz. An algebraic decay is detected for both spatial and temporal bond orientational correlation functions in an intermediate temperature regime, and it provides an explicit evidence for the existence of the hexatic phase. From the finite-size scaling analysis of the global bond orientational order parameter, the disclination unbinding temperature Ti is estimated. In addition, from dynamic Monte Carlo simulations of the positional order parameter, we extract the critical exponents at the dislocation unbinding temperature Tm. All the results are in agreement with those from experiments and support the Kosterlitz-Thouless-Halperin-Nelson-Young (KTHNY) theory.

Journal Article↗
PubMed2005

Dynamic Monte Carlo simulations of the three-dimensional random-bond Potts model.

The effect of random bonds on the phase transitions of the three-dimensional three-state Potts model is investigated with extensive dynamic Monte Carlo simulations. In the weakly disordered regime, the phase diagram is obtained with a recently suggested nonequilibrium reweighting method. The tricritical point separating the first- and second-order transitions is determined, and the critical exponents of the continuous phase transition induced by quenched randomness are estimated.

Journal Article↗
PubMed2004

Critical behavior of the two-dimensional random-bond Potts model: a short-time dynamic approach.

The short-time critical dynamics of the two-dimensional eight-state random-bond Potts model is investigated with large-scale Monte Carlo simulations. Dynamic relaxation starting from a disordered and an ordered state is carefully analyzed. The continuous phase transition induced by disorder is studied, and both the dynamic and static critical exponents are estimated. The static exponent beta/nu shows little dependence on the disorder amplitude r, while the dynamic exponent z and static exponent 1/nu vary with the strength of disorder.

Journal Article↗
PubMed2001

Variations of the asset prices.

The empirical established non-Gaussian behavior of asset price fluctuations is studied using an analytical approach. The analysis is based on a nonlinear Fokker-Planck equation with a self-organized feedback-coupling term, devised as a fundamental model for price dynamics. The evidence, and the analytical form of the memory term, are discussed in the context of statistical physics. It will be suggested that the memory term in leading order offers a power law dependence with an exponent straight theta. The stationary solution of the probability density leads asymptotically to a truncated Lévy distribution, the characteristic exponent beta of which is related to the exponent straight theta by beta=3/theta-1. The empirical data can be reproduced by theta approximately 5/4.

Journal Article↗
PubMed2001

Corrections to scaling for the two-dimensional dynamic XY model.

With large-scale Monte Carlo simulations, we confirm that for the two-dimensional XY model, there is a logarithmic correction to scaling in the dynamic relaxation starting from a completely disordered state, while only an inverse power law correction in the case of starting from an ordered state. The dynamic exponent z is z=2.04(1).

Journal Article↗
PubMed2000

Collective diffusion and a random energy landscape

Starting from a master equation in a quantum Hamiltonian form and a coupling to a heat bath, we derive an evolution equation for a collective hopping process under the influence of a stochastic energy landscape. Different equations result for an arbitrary occupation number per lattice site or in a system under exclusion. Based on scaling arguments it will be demonstrated that both systems belong below the critical dimension d(c) to the same universality class, leading to anomalous diffusion in the long time limit. The dynamical exponent z can be calculated by an epsilon=d(c)-d expansion. Above the critical dimension we discuss the differences in the diffusion constant for sufficient high temperatures. For a random potential we find a higher mobility for systems with exclusion.

Journal Article↗
PubMed2000

Reaction-controlled diffusion

The dynamics of a coupled two-component nonequilibrium system is examined by means of continuum field theory representing the corresponding master equation. Particles of species A may perform hopping processes only when particles of different type B are present in their environment. Species B is subject to diffusion-limited reactions. If the density of B particles attains a finite asymptotic value (active state), the A species displays normal diffusion. On the other hand, if the B density decays algebraically approximately t(-alpha) at long times (inactive state), the effective attractive A-B interaction is weakened. The combination of B decay and activated A hopping processes gives rise to anomalous diffusion, with mean-square displacement (A)(t)(2)> approximately t(1-alpha) for alpha<1. Such algebraic subdiffusive behavior ensues for nth-order B annihilation reactions (nB-->) with n>/=3, and n=2 for d<2. The mean-square displacement of the A particles grows only logarithmically with time in the case of B pair annihilation (n=2) and d>/=2 dimensions. For radioactive B decay (n=1), the A particles remain localized. If the A particles may hop spontaneously as well, or if additional random forces are present, the A-B coupling becomes irrelevant, and conventional diffusion is recovered in the long-time limit.

Journal Article↗