Marcel Ausloos

Coherent and random sequences in financial fluctuations

The detrended fluctuation analysis (DFA) is used to sort out temporal correlations in financial data. Its usefulness for the investigations of long-range power-law correlations in economic sequences is shown. Our findings of persistent and antipersistent sequences are suprisingly similar to those for DNA sequences which appeared as a mosaic of coding and non-coding patches.

Collaborative tagging as a tripartite network

We describe online collaborative communities by tripartite networks, the nodes being persons, items and tags. We introduce projection methods in order to uncover the structures of the networks, i.e. communities of users, genre families... The structuring of the network is visualised by using a tree representation. The notion of diversity in the system is also discussed.

Application of the detrended fluctuation analysis (DFA) method for describing cloud breaking

A method to sort out correlations and decorrelations in stratus cloud formation, persistence and breakup is introduced. The detrended fluctuation analysis (DFA) statistical method is applied to microwave radiometer data. The existence of long-range power-law correlations in stratus cloud liquid water content fluctuations is demonstrated over a 2-h period. Moreover using a finite size (time) interval window, a change from Brownian to non-Brownian fluctuation regimes is clearly shown to define the cloud structure changes. Such findings are similar to those found in DNA and financial data sequences when mosaics of persistent and antipersistent patches are present. The occurrence of these statistics in stratus cloud liquid water content suggests the usefulness of similar studies on cloud-resolving model output and for better meteorological predictability.

Statistical physics in foreign exchange currency and stock markets

Problems in economy and finance have attracted the interest of statistical physicists all over the world. Fundamental problems pertain to the existence or not of long-, medium- or/and short-range power-law correlations in various economic systems, to the presence of financial cycles and on economic considerations, including economic policy. A method like the detrended fluctuation analysis is recalled emphasizing its value in sorting out correlation ranges, thereby leading to predictability at short horizon. The (m,k)-Zipf method is presented for sorting out short-range correlations in the sign and amplitude of the fluctuations. A well-known financial analysis technique, the so-called moving average, is shown to raise questions to physicists about fractional Brownian motion properties. Among spectacular results, the possibility of crash predictions has been demonstrated through the log-periodicity of financial index oscillations.

Market Fluctuations I: Scaling, Multiscaling, and Their Possible Origins

In this chapter, we provide a survey of research on scaling phenomena in financial data pursued by physicists and compare their methodology and results with the approach of economists dealing with the same topic. We also try to put this work into perspective by discussing in how far it is reconcilable with traditional models in finance (the efficient market hypothesis) or whether it leads to a new viewpoint on market interactions.

Charge- and spin-density waves in existing superconductors: competition between Cooper pairing and Peierls or excitonic instabilities

Abstract This review is an up-to-date snapshot of the current situation in studies of materials with competing electron spectrum instabilities, namely Cooper pairing, on the one hand, and charge-density waves (CDWs) or spin-density waves (SDWs), on the other. The CDW- or SDW-driven instabilities in electron spectra with reduced dimensionalities may result from either the Fermi surface (FS) nesting or the existence of the Van Hove saddle points and lead to the appearance of the Peierls (excitonic) gap on parts of the FS (partial gapping). CDW superconductors include layered dichalcogenides, NbSe3, some organic substances and compounds with A15 and C15 structures among others. A large body of data is presented which may be considered as an evidence that high-Tc oxides also belong to this class of materials. In particular, an interpretation is given for the pseudogap phenomena in cuprates as having the CDW origin. The SDW superconductors include heavy-fermion compounds URu 2 Si 2 , UNi 2 Al 3 and UPd2Al3, Cr–Re alloys and a number of organic superconductors. We discuss the experimental information on the existence of CDW and SDW instabilities in a wide range of different superconductors, and assess their contention with the Cooper pairing on the Fermi surface. The main emphasis is placed on the properties of the existing substances with the interplay between superconductivity and CDW- or SDW-waves rather than on theoretically analyzing the possibility of such mixed phases in the framework of idealized microscopic theoretical models. The problem of symmetry for relevant order parameters is also touched upon. The theoretical description of the partially gapped CDW and SDW superconductors is presented based mostly on the phenomenological Bilbro–McMillan model. Various thermodynamical and electrodynamical properties are analyzed in this framework. Much emphasis is given to the nonstationary Josephson effect in tunnel junctions involving CDW or SDW superconductors. A comparison is carried out with the experiment, with special attention paid to high-Tc oxides.

The crash of October 1987 seen as a phase transition: amplitude and universality

We analyze the evolution of several financial indices before the crash of October 1987. The amplitude of the crash varies from one index to another. However, assuming that the crash is similar to a phase transition and particularly to a specific heat jump, we find that the crash amplitude can be well estimated by assuming a simple background which differs from market to market. We show that the divergence near the crash event is logarithmic and extends between 2 weeks and 4 years before the october 1987 crash on both S&P500 and Dow Jones indices. The behavior is like that found for the d=2 Ising model specific heat. The latter result is in contrast to previous works which have considered a power law behavior of the index near the crash. Finally, we confirm the presence of log-periodic oscillations and discuss briefly their origin.

Applications of statistical physics to economic and financial topics

Problems in economy and finance have started to attract the interest of statistical physicists. Fundamental problems pertain to the existence or not of long-, medium-, short-range power-law correlations in economic systems as well as to the presence of financial cycles. Methods like the extended detrended fluctuation analysis, and the multi-affine analysis are recalled emphasizing their value in sorting out correlation ranges and predictability. Among spectacular results, the possibility of crash predictions is indicated. The well known financial analyst technique, the so-called moving average, is shown to raise questions about fractional Brownian motion properties. Finally, the (m,k)-Zipf method and the i-variability diagram technique are presented for sorting out short range correlations. Analogies with other fields of modern applied statistical physics are also presented in view of some universal openess.

Majority model on a network with communities.

We focus on the majority model in a topology consisting of two coupled fully connected networks, thereby mimicking the existence of communities in social networks. We show that a transition takes place at a value of the interconnectivity parameter. Above this value, only symmetric solutions prevail, where both communities agree with each other and reach consensus. Below this value, in contrast, the communities can reach opposite opinions and an asymmetric state is attained. The importance of the interface between the subnetworks is shown.

Charge- and spin-density-wave superconductors

This review deals with the properties of superconductors with competing electron spectrum instabilities, namely, charge-density waves (CDWs) and spin-density waves (SDWs). The underlying reasons of the electron spectrum instability may be either Fermi surface nesting or the existence of Van Hove saddle points for lower dimensionalities. CDW superconductors include layered dichalcogenides, NbSe3, and compounds with the A15 and C15 structures among others. There is much evidence to show that high-Tc oxides may also belong to this group of materials. The SDW superconductors include URu2Si2 and related heavy-fermion compounds, Cr-Re alloys and organic superconductors. We review the experimental evidence for CDW and SDW instabilities in a wide range of different superconductors, and assess the competition between these instabilities of the Fermi surface and the superconducting gap. Issues concerning the superconducting order parameter symmetry are also touched upon. The accent is put on establishing a universal framework for further theoretical discussions and experimental investigations based on an extensive list of available and up-to-date references.