Physica A: Statistical Mechanics and its Applications最新文献

{"title":"Causal wavelet analysis of the Bitcoin price dynamics","authors":"Jose Alvarez-Ramirez,&nbsp;Gilberto Espinosa-Paredes,&nbsp;E. Jaime Vernon-Carter","doi":"10.1016/j.physa.2024.130307","DOIUrl":"10.1016/j.physa.2024.130307","url":null,"abstract":"<div><div>This study employed wavelet analysis to investigate Bitcoin price dynamics from 2014 to 2024. Unlike existing research, which relies on bidirectional wavelet functions, our approach utilized causal wavelet analysis. This method ensures that wavelet basis functions only account for past values, reflecting the impact of past prices on present prices while maintaining causality. The complex Morlet wavelet revealed that market complexity varies over time and scale. Our results showed that regions of high wavelet power coincide with bearish market phases leading to historical price maxima. The phase scalogram indicated that price return dynamics are primarily dominated by even components, reflecting fluctuation patterns across a wide range of oscillation frequencies. In a secondary analysis, we modified the wavelet analysis by decoupling the oscillation scale and the modulation (memory) function scale. This allowed us to estimate the decaying memory characteristic time scale. The resulting scalograms exhibited sharper magnitude and phase patterns, suggesting that Bitcoin price return dynamics are influenced by long-run memory. Our findings conclude that incorporating causality and long-run memory into wavelet analysis provides a more accurate characterization of cryptocurrency price dynamics.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130307"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104759","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis","authors":"Werner Kristjanpoller ,&nbsp;Benjamin Miranda Tabak","doi":"10.1016/j.physa.2024.130306","DOIUrl":"10.1016/j.physa.2024.130306","url":null,"abstract":"<div><div>This article analyzes the calendar anomaly of the day of the week effect in the cryptocurrency market. Financial markets thrive on open marketplaces, faster communication and more information, making them more efficient. Higher efficiency would result in the disappearance of these calendar anomalies. We contribute by employing a novel asymmetric multifractal analysis of high-frequency returns during trading hours. Our findings revealed significant differences in the multifractal behavior of the hourly returns of the five leading cryptocurrencies. In particular, we observe a higher degree of multifractality on Thursdays. The Hurst exponent also showed statistically different values for the days of the week. Four of the five cryptocurrencies showed persistent behavior on Fridays and anti-persistent behavior on Tuesdays and Saturdays. These patterns offer potential for traders and investors to exploit, underscoring the practical value of this research.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130306"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimizing power and efficiency of a single spin heat engine","authors":"Rita Majumdar ,&nbsp;Monojit Chatterjee ,&nbsp;Rahul Marathe","doi":"10.1016/j.physa.2024.130278","DOIUrl":"10.1016/j.physa.2024.130278","url":null,"abstract":"<div><div>We study the behavior of a single spin in the presence of a time-varying magnetic field utilizing Glauber dynamics. We engineer the system to function as an engine by changing the magnetic field according to specific protocols. Subsequently, we analyze the engine’s performance using various protocols and stochastic thermodynamics to compute average values of crucial quantities for quantifying engine performance. In the longtime limit of the engine cycle, we derive exact analytical expressions for work, heat, and efficiency in terms of a generalized protocol. We then analyze the model in terms of optimization of efficiency and power. Additionally, we use different protocols and employ a gradient descent algorithm to best fit those to obtain optimal efficiency and then optimal power for a finite cycle time. All the protocols converge to the piece-wise constant protocol during efficiency optimization. We then explore a more general approach using the variational principle to determine the optimal protocols for optimizing power and efficiency. During the optimization process for both power and efficiency, the net entropy production decreases, which enhances the engine’s performance. This approach demonstrates the superior optimization of efficiency and power in this system compared to the gradient descent algorithm.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130278"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143104762","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Influence of density-dependent diffusion on pattern formation in a refuge","authors":"G.G. Piva ,&nbsp;C. Anteneodo","doi":"10.1016/j.physa.2024.130305","DOIUrl":"10.1016/j.physa.2024.130305","url":null,"abstract":"<div><div>We investigate a nonlocal generalization of the Fisher–KPP equation, which incorporates logistic growth and diffusion, for a single species population in a viable patch (refuge). In this framework, diffusion plays an homogenizing role, while nonlocal interactions can destabilize the spatially uniform state, leading to the emergence of spontaneous patterns. Notably, even when the uniform state is stable, spatial perturbations, such as the presence of a refuge, can still induce patterns. These phenomena are well known for environments with constant diffusivity. Our goal is to investigate how the formation of winkles in the population distribution is affected when the diffusivity is density-dependent. Then, we explore scenarios in which diffusivity is sensitive to either rarefaction or overcrowding. We find that state-dependent diffusivity affects the shape and stability of the patterns, potentially leading to either explosive growth or fragmentation of the population distribution, depending on how diffusion reacts to changes in density.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130305"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095355","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Empirical properties of volume dynamics in the limit order book","authors":"Roberto Mota Navarro,&nbsp;Francois Leyvraz,&nbsp;Hernán Larralde","doi":"10.1016/j.physa.2024.130234","DOIUrl":"10.1016/j.physa.2024.130234","url":null,"abstract":"<div><div>The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. The majority of studies have focused on the sizes of incoming orders or of realized transactions, the present work is a study of dynamical aspects of volume available at the best ask and best bid. The interest in these volumes stems from their capacity to limit or otherwise affect possible trades in the near future Using limit order book data from the Bitcoin/USDT market we study, among other things, the behavior of the distribution of volume changes as a function of the time scale at which the changes are measured, the autocorrelations of volume changes at each side of the book and the autocorrelations of volume imbalances between asks and bids. We find that several of these properties can be well approximated by power laws.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130234"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Generating complex networks through a vertex merging mechanism: Empirical and analytical analysis","authors":"Sergei Sidorov ,&nbsp;Sergei Mironov ,&nbsp;Timofei D. Emelianov","doi":"10.1016/j.physa.2024.130267","DOIUrl":"10.1016/j.physa.2024.130267","url":null,"abstract":"<div><div>One of the most well-known mechanisms contributing to the emergence of networks with a power-law degree distribution is preferential attachment. In this study, we examined a family of network evolution models based on the merging of two arbitrary vertices, which is shown to also lead to the creation of power-law distributed networks. These models simultaneously apply rules for both node addition and merging, which reflects that many real systems exhibit the processes of growth and shrink. At each iteration, when two vertices merge, the neighbors of one of the vertices become neighbors of the other, and the vertex itself is removed from the network. In addition, at each iteration, a new vertex appears that is attached to randomly selected nodes. As an enhancement, we incorporate a triadic closure mechanism into the evolution to increase the clustering coefficient, a key characteristic of real social networks. We show that in the process of evolution any initial network converges to a stationary state with a power law degree distribution, while the number of edges, the average degree, and the average clustering coefficient saturate to a certain limit values depending on the model parameters.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130267"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143135720","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Coupled vehicle-signal control based on Stackelberg Game Enabled Multi-agent Reinforcement Learning in mixed traffic environment","authors":"Xinshao Zhang ,&nbsp;Zhaocheng He ,&nbsp;Yiting Zhu ,&nbsp;Wei Huang","doi":"10.1016/j.physa.2024.130289","DOIUrl":"10.1016/j.physa.2024.130289","url":null,"abstract":"<div><div>Related studies on traffic control in partially connected environments either did not consider the collaboration of traffic signal control and vehicular control, or did not consider others’ responsive actions before decision-making in coupled vehicle-signal control. Thus, we propose a Stackelberg Game Enabled Multi-agent Reinforcement Learning (SGMRL) method for coupled vehicle-signal control at an intersection with mixed traffic flow of Connected and Automated Vehicles (CAVs)/Human Driven Vehicles (HDVs). A two-stage framework is applied in SGMRL to learn optimal signal control strategy and CAV platoon strategies in mixed flows of all entrance roads at an intersection. Stackelberg game theory is introduced in SGMRL to make an asynchronous decision-making mechanism. The signal controller is a leader that allocates green times to different phases based on predictions of vehicles’ responsive actions, and CAVs in different directions are followers that form platoons and adjust speeds to adapt to the signal lights decided by the leader. Moreover, CAV platoons in different directions are regarded as agents and form a multi-agent learning framework with the signal controller. Then, an improved Dueling Double Deep Q Network (ID3QN) algorithm is investigated to calculate the Stackelberg equilibrium for the control problem. Experimental results demonstrate that the proposed model effectively reduces the overall waiting time and queue length of all vehicles, in the mixed traffic environment with different CAV penetration rates.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130289"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stability analysis and delayed feedback control for platoon of connected automated vehicles with V2X and V2V infrastructure","authors":"Weihao Feng,&nbsp;Bohui Wang","doi":"10.1016/j.physa.2024.130258","DOIUrl":"10.1016/j.physa.2024.130258","url":null,"abstract":"<div><div>The dual processing paradigm is a powerful design structure for an autonomous vehicle, in which the driver can take over the vehicle control from an autonomous driving mode to a personal driving mode when the driver thinks the current environment is too complicated for autonomous driving. However, the perception of the motion of a preceding vehicle often affects a follower driver’s decision, which inevitably affects the cruising speed of a concerned platoon. With the advancement of information and communication technologies (ICT), the ability of drivers to perceive information can be significantly improved. This paper addresses the platoon control problem for connected automated vehicles (CAVs) with a car-following model and a reaction-time delay under different inter-vehicle communication environments (such as the vehicle-to-vehicle (<span><math><mrow><mi>V</mi><mn>2</mn><mi>V</mi></mrow></math></span>) mode with pairwise communications and vehicle-to-everything (<span><math><mrow><mi>V</mi><mn>2</mn><mi>X</mi></mrow></math></span>) mode with simultaneous broadcast). By modeling the reaction-time delay, a nonlinear integrated parameter model is introduced, in which the vehicles’ behavior is assumed to be affected by the “optimal velocity model” (OVM) and connected environments. To capture our daily experience that a driver typically immediately follows the speed change of the preceding vehicle, a combination of the integrated parameter model and velocity difference models is presented, and the string stability of traffic flow and the platoon dynamics for CAVs with a car-following model and the reaction-time delay under <span><math><mrow><mi>V</mi><mn>2</mn><mi>V</mi></mrow></math></span> and <span><math><mrow><mi>V</mi><mn>2</mn><mi>X</mi></mrow></math></span> modes are developed and analyzed, respectively. In addition, a delayed feedback design for platoon tracking is developed to improve the tolerable upper bound of reaction-time delay. Our analysis and simulation results show that when the leader vehicle slows down suddenly, <span><math><mrow><mo>(</mo><mn>1</mn><mo>)</mo></mrow></math></span> the tolerable upper bound of reaction-time delay of the CAVs in the <span><math><mrow><mi>V</mi><mn>2</mn><mi>X</mi></mrow></math></span> mode is significantly greater than that in the <span><math><mrow><mi>V</mi><mn>2</mn><mi>V</mi></mrow></math></span> mode; <span><math><mrow><mo>(</mo><mn>2</mn><mo>)</mo></mrow></math></span> increasing a small reaction-time delay may improve the traveling speed of some rear follower vehicles; and <span><math><mrow><mo>(</mo><mn>3</mn><mo>)</mo></mrow></math></span> the delayed feedback control can provide additional benefits in terms of traveling speed adjustment for the last few follower vehicles.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130258"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095435","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Localization and magnetic field effects in Heisenberg chains with generalized exponentially correlated disorder","authors":"M.S.S. Junior ,&nbsp;D.B. da Fonseca ,&nbsp;F. Moraes ,&nbsp;A.L.R. Barbosa ,&nbsp;G.M.A. Almeida ,&nbsp;F.A.B.F. de Moura","doi":"10.1016/j.physa.2024.130287","DOIUrl":"10.1016/j.physa.2024.130287","url":null,"abstract":"<div><div>We examine the properties of the one-magnon eigenstates in a Heisenberg chain with correlated disorder in the presence of a magnetic field that increases linearly along the chain. The disorder distribution is tailored to have intrinsic generalized exponential correlations. We further analyze the dynamic localization of an initial wave packet and discuss how it is influenced by the correlations and the strength of the magnetic field. We find that localized eigenstates are predominant when the correlated disorder is characterized by a slower dependence of the effective correlation length on the system size. In contrast, when the effective correlation length increases at least with the square root of the system size, low-energy eigenmodes undergo a transition to nearly delocalized modes. We go further to analyze the impact of a linearly varying magnetic field on the system dynamics. An initial Gaussian wave packet is shown to exhibit dynamic localization, characterized by an oscillatory behavior reminiscent of Bloch oscillations at specific correlation levels, before being damped in the long time limit. Our findings advances the understanding of localization and transport properties in the field of coherent magnonics as contributes to the design of correlated disordered media.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130287"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095352","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Synchronization of stochastic delayed dynamical networks with directed event-based couplings","authors":"Qiang Jia ,&nbsp;Zirong Liu ,&nbsp;Ticao Jiao ,&nbsp;Shuiming Cai","doi":"10.1016/j.physa.2024.130272","DOIUrl":"10.1016/j.physa.2024.130272","url":null,"abstract":"<div><div>This study investigates the synchronization issue for a network of delay nonlinear systems over a directed graph, where the systems suffer from certain stochastic noises, and their couplings follow a directed graph. By utilizing the pinning control technique, some effective protocol is developed with certain event-triggering mechanism, and the problem is recast into the stability of a delay differential equation with both stochastic noise and deterministic perturbation. In order to solve the problem, a novel Lyapunov–Krasovskii functional is designed, and a criterion is derived to guarantee synchronization in mean square sense. Zeno behaviors are also excluded with strict mathematical proof. A novel finding from the theoretical result is that given a fixed coupling strength, stochastic noise with large intensity may devastate synchronization even for an extremely large pinning effort. Besides, the well-known Braess’s paradox in traffic networks is also numerically observed herein, <em>i.e.</em>, adding some new edges may possibly impair synchronization. Finally, numerical examples are also given to validate the theoretical results and illustrate the performance of the proposed control scheme.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"658 ","pages":"Article 130272"},"PeriodicalIF":2.8,"publicationDate":"2025-01-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143095354","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}