Bulletin of the American Physical Society
APS March Meeting 2011
Volume 56, Number 1
Monday–Friday, March 21–25, 2011; Dallas, Texas
Session B14: Applications of Statistical and Nonlinear Physics to Social Systems and GSNP Student Speaker Award Talks |
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Sponsoring Units: GSNP Chair: Victor Yakovenko, University of Maryland Room: D227 |
Monday, March 21, 2011 11:15AM - 11:27AM |
B14.00001: Characterization of stock market regimes by data compression Eugenio E. Vogel, Gonzalo Saravia It has been shown that data compression can characterize magnetic phases (Physica A 388 (2009) 4075). In the introduction of this presentation we briefly review this result. We then go onto introducing a new data compressor (wlzip) developed by us to optimize recognition of meaningful patterns in the compressing procedure, yielding sharp transition curves at the magnetic critical temperatures. The advantages of the new compressor, such as better definition and tuning capabilities are presented. The rest of the talk consists of applying wlzip to the Chilean stock market along several months during 2010. The accumulated daily data allow to recognizing days with different types of activity. Moreover, the data recorded every minute allow to analyzing the ``present'' status of the stock market by applying wlzip to the data of the last hour or couple of hours. Possible extensions of the application of this technique to other fields are discussed. [Preview Abstract] |
Monday, March 21, 2011 11:27AM - 11:39AM |
B14.00002: Relativistic statistical arbitrage Alexander Wissner-Gross, Cameron Freer Recent advances in high-frequency financial trading have made light propagation delays between geographically separated exchanges relevant. Here we show that there exist optimal locations from which to coordinate the statistical arbitrage of pairs of spacelike separated securities, and calculate a representative map of such locations on Earth. Furthermore, trading local securities along chains of such intermediate locations results in a novel econophysical effect, in which the relativistic propagation of tradable information is effectively slowed or stopped by arbitrage. [Preview Abstract] |
Monday, March 21, 2011 11:39AM - 11:51AM |
B14.00003: The Impact of Competing Time Delays in Stochastic Coordination Problems G. Korniss, D. Hunt, B.K. Szymanski Coordinating, distributing, and balancing resources in coupled systems is a complex task as these operations are very sensitive to time delays. Delays are present in most real communication and information systems, including info-social and neuro-biological networks, and can be attributed to both non-zero transmission times between different units of the system and to non-zero times it takes to process the information and execute the desired action at the individual units. Here, we investigate the importance and impact of these two types of delays in a simple coordination (synchronization) problem in a noisy environment. We establish the scaling theory for the phase boundary of synchronization and for the steady-state fluctuations in the synchronizable regime\footnote{D. Hunt, G. Korniss, B.K. Szymanski, e-print arXiv:1011.2957 (2010).}. Further, we provide the asymptotic behavior near the boundary of the synchronizable regime. Our results also imply the potential for optimization and trade-offs in stochastic synchronization and coordination problems with time delays. [Preview Abstract] |
Monday, March 21, 2011 11:51AM - 12:03PM |
B14.00004: Statistical regularities in the rank-citation profile of individual scientists Alexander Petersen, H. Eugene Stanley, Sauro Succi Citation counts and paper tallies are ubiquitous in the achievement ratings of individual scientists. As a result, there have been many recent studies which propose measures for scientific impact (e.g. the $h$-index) and the distribution of impact measures among scientists. However, being just a single number, the $h$-index cannot account for the full impact information contained in an author's set of publications. Alternative ``single-number'' indices are also frequently proposed, but they too suffer from the shortfalls of not being comprehensive. In this talk I will discuss an alternative approach, which is to analyze the fundamental properties of the {\it entire} rank-citation profile (from which all single-value indices are derived). Using the complete publication careers of $200$ highly-cited physicists and $100$ Assistant professors, I will demonstrate remarkable statistical regularity in the functional form of the rank-citation profile $c_{i}(r)$ for each physicist $i=1...300$. We find that $c_{i}(r)$ can be approximated by a discrete generalized beta distribution over the entire range of ranks $r$, which allows for the characterization and comparison of $c_{i}(r)$ using a common framework. Since two scientists can have equivalent $h_{i}$ values while having different $c_{i}(r)$, our results demonstrate the utility of a scaling parameter, $\beta_{i}$, in conjunction with $h_{i}$, to quantify a scientist's publication impact. [Preview Abstract] |
Monday, March 21, 2011 12:03PM - 12:15PM |
B14.00005: Modeling the decline of religion Richard Wiener, Haley Yaple, Daniel Abrams People claiming no religious affiliation constitute the fastest growing ``religious'' minority in many countries throughout the world.\footnote{Zuckerman, P. ``Atheism: Contemporary rates and patterns,'' in Cambridge Companion to Atheism, University of Cambridge Press, 2007.} Here we use a minimal model of competition between social groups\footnote{Abrams, D. M. and Strogatz, S.H. Modelling the dynamics of language death. Nature 424(6951), 900 (2003).} to explain historical data on the growth of religious non-affiliation in 85 regions around the world. We also describe numerical experiments that support the validity of the model. According to the model, for societies in which the perceived utility of not adhering is greater than the utility of adhering, religion will be driven toward extinction. [Preview Abstract] |
Monday, March 21, 2011 12:15PM - 12:27PM |
B14.00006: Spontaneous Time Symmetry Breaking in System with Mixed Strategy Nash Equilibrium: Evidences in Experimental Economics Data Zhijian Wang, Bin Xu In social science, laboratory experiment with human subjects' interaction is a standard test-bed for studying social processes in micro level. Usually, as in physics, the processes near equilibrium are suggested as stochastic processes with time-reversal symmetry (TRS). To the best of our knowledge, near equilibrium, the breaking time symmetry, as well as the existence of robust time anti-symmetry processes, has not been reported clearly in experimental economics till now. By employing Markov transition method to analysis the data from human subject 2x2 Games with wide parameters and mixed Nash equilibrium, we study the time symmetry of the social interaction process near Nash equilibrium. We find that, the time symmetry is broken, and there exists a robust time anti-symmetry processes. We also report the weight of the time anti-symmetry processes in the total processes of each the games. Evidences in laboratory marketing experiments, at the same time, are provided as one-dimension cases. In these cases, time anti-symmetry cycles can also be captured. The proposition of time anti-symmetry processes is small, but the cycles are distinguishable. [Preview Abstract] |
Monday, March 21, 2011 12:27PM - 12:39PM |
B14.00007: The Sign Effect in Emerging Markets: the Inherent Instability of Bad News Joel Tenenbaum, Boris Podobnik, Davor Horvatic, Slavica Bajic, Beco Pehlivanovic, H. Eugene Stanley In developed economy market indices, the sign of a term in a series influences the volatility in an asymmetric fashion --- bad news results in larger subsequent fluctuations while good news results in smaller fluctuations. We study this phenomenon of volatility asymmetry using a stochastic process, exploring whether this asymmetry manifests in emerging markets, and if so, how such asymmetry changes over time as economies develop, mature, and react to crises such as the present one. We find that while both developed and emerging markets show distinctive behavior with respect to volatility asymmetry during times of economic tumult, they do so in ways that could be viewed either as universal or qualitatively different, posing interesting questions for further research. B. Podobnik et al., Phys. Rev. E \textbf{80}, 015101(R) (2009). J. Tenenbaum et al., Phys. Rev. E \textbf{82}, 046104 (2010). [Preview Abstract] |
Monday, March 21, 2011 12:39PM - 12:51PM |
B14.00008: Quantized expected returns in terms of dividend yield at the money Lamine Dieng We use the Bachelier (additive model) and the Black-Scholes (multiplicative model) as our models for the stock price movement for an investor who has entered into an America call option contract. We assume the investor to pay certain dividend yield on the expected rate of returns from buying stocks. In this work, we also assume the stock price to be initially in the out of the money state and eventually will move up through at the money state to the deep in the money state where the expected future payoffs and returns are positive for the stock holder. We call a singularity point at the money because the expected payoff vanishes at this point. Then, using martingale, supermartingale and Markov theories we obtain the Bachelier-type of the Black-Scholes and the Black-Scholes equations which we hedge in the limit where the change of the expected payoff of the call option is extremely small. Hence, by comparison we obtain the time-independent Schroedinger equation in Quantum Mechanics. We solve completely the time independent Schroedinger equation for both models to obtain the expected rate of returns and the expected payoffs for the stock holder at the money. We find the expected rate of returns to be quantized in terms of the dividend yield. [Preview Abstract] |
Monday, March 21, 2011 12:51PM - 1:03PM |
B14.00009: Competition in social systems: three and a half models Daniel Abrams, Haley Yaple, Richard Wiener When groups compete for members, the resulting dynamics of human social activity may be understandable with simple mathematical models. Here, we use techniques from dynamical systems and perturbation theory to analyze a theoretical framework for the growth and decline of competing social groups in three limits. We apply our analysis to an international data set tracking the growth of religious nonaffiliation, and find that data suggest a particular case of our general growth law, leading to clear predictions about possible future trends in society. [Preview Abstract] |
Monday, March 21, 2011 1:03PM - 1:15PM |
B14.00010: Extraordinary Elasticity of the Distorted Kagome Lattice Anton Souslov, Kai Sun, Xiaoming Mao, Tom Lubensky J. C. Maxwell discovered that a system of particles in $d$-dimensions will be marginally rigid, or \emph{isostatic}, if each particle interacts on average with $2 d$ of its neighbors. Isostatic models have been used to describe such diverse soft phenomena as the jamming transition and the elasticity in networks of semi-flexible polymer gels. We develop models based on the isostatic kagome lattice, which has a subextensive number of floppy phonon modes. We show that these can be extended into soft deformations by changing the particle configurations while keeping the bond lengths fixed. Thus, we create families of novel isostatic lattices, which exhibit highly tunable elastic properties as a consequence of isotropic linear elasticity with a zero bulk modulus. They have a negative Poisson ratio, or auxetic (anti-rubber) behavior. Further, we find no bulk soft phonons at large length scales due to conformal symmetry. We discuss the intimate relationship between various symmetries and soft response in these models as well as the relation of these models to other marginally rigid systems. [Preview Abstract] |
Monday, March 21, 2011 1:15PM - 1:27PM |
B14.00011: Theory of cooperation in a micro-organismal snow-drift game Zhenyu Wang, Nigel Goldenfeld We present a mean field model for the phase diagram of a community of micro-organisms, interacting through their metabolism so that they are, in effect, engaging in a cooperative social game. We show that as a function of the concentration of the nutrients glucose and histidine, the community undergoes a phase transition separating a state in which one strain is dominant to a state which is characterized by coexisting populations. Our results are in good agreement with recent experimental results, correctly predicting quantitative trends and the phase diagram. [Preview Abstract] |
Monday, March 21, 2011 1:27PM - 1:39PM |
B14.00012: Intrinsic noise in stochastic models of gene expression with molecular memory and bursting Tao Jia, Rahul V. Kulkarni Regulation of intrinsic noise in gene expression is essential for many cellular functions. Correspondingly, there is considerable interest in understanding how different molecular mechanisms of gene expression impact variations in protein levels across a population of cells. In this work, we analyze a stochastic model of bursty gene expression which considers general waiting-time distributions governing arrival and decay of proteins. By mapping the system to models analyzed in queueing theory, we derive analytical expressions for the noise in steady-state protein distributions. The derived results extend previous work by including the effects of arbitrary probability distributions representing the effects of molecular memory and bursting. The analytical expressions obtained provide insight into the role of transcriptional, post-transcriptional and post-translational mechanisms in controlling the noise in gene expression. [Preview Abstract] |
Monday, March 21, 2011 1:39PM - 1:51PM |
B14.00013: Search for Euler Singularity using Vortex Filaments Sahand Hormoz, Michael Brenner A promising mechanism for generating a finite-time singularity in the incompressible Euler equations is stretching of vortex filaments. An exhaustive search of all possible initial conditions involving filaments, however, is not practically feasible. In this talk, I will show that two interacting vortex filaments can not generate a singularity for any initial conditions, by analyzing the asymptotic self-similar limit of their collapse. Essentially, our approach entails a separation of the dynamics of the filament shape, from the shrinking of its core. We solve for the dynamics using a self-similar ansatz and show that the core does not shrink fast enough for a self-consistent collapse. The similarity solution allows for many different collapse geometries, consistent with the tireless effort in the past of investigating new initial conditions. Potential for a singularity at higher number of filaments is also discussed. [Preview Abstract] |
Monday, March 21, 2011 1:51PM - 2:03PM |
B14.00014: Vibrofluidized melting of geometrically cohesive granular media Nick Gravish, Geoffrey Russell, Scott V. Franklin, David Hu, Daniel I. Goldman Dry granular media composed of particles of special shapes (e.g. long rods or c-shaped particles) can display cohesive effects through particle geometry alone. We study the solid to gas transition in piles of c-shaped particles under vertical vibration as we vary acceleration and frequency. A cylindrical solid of particles is formed with wall angles near $90^\circ$ and is placed on a solid surface. For fixed frequency as acceleration increases, the pile undergoes two transitions. The first is from the solid-like state to a liquid-like state in which the wall angles relax but the mobile particles remain spatially localized. The second is from the liquid-like state to the gaseous state in which particles become separated (not entangled). Using video and accelerometer measurements, we record the temporal evolution of the spatial density and pile-plate collisional impulse. A critical energy scale, set by the particle geometry and gravitational potential energy, governs the liquid-gas transition. [Preview Abstract] |
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