統計物理学の新方向:経済物理学、生物情報学、パターン認識<br>New Directions in Statistical Physics : Econophysics, Bioinformatics, and Pattern Recognition (Springer Complexity) (2004. XVIII, 362 p. w. 134 figs. (8 col.). 24 cm)

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統計物理学の新方向:経済物理学、生物情報学、パターン認識
New Directions in Statistical Physics : Econophysics, Bioinformatics, and Pattern Recognition (Springer Complexity) (2004. XVIII, 362 p. w. 134 figs. (8 col.). 24 cm)

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基本説明

Contents: Fundamental Aspects.- Econophysics.- Biological Systems.- Clustering.- Other Applications.

Full Description


This book provides a unique insight into the latest breakthroughs in a consistent manner, at a level accessible to undergraduates, yet with enough attention to the theory and computation to satisfy the professional researcher Statistical physics addresses the study and understanding of systems with many degrees of freedom. As such it has a rich and varied history, with applications to thermodynamics, magnetic phase transitions, and order/disorder transformations, to name just a few. However, the tools of statistical physics can be profitably used to investigate any system with a large number of components. Thus, recent years have seen these methods applied in many unexpected directions, three of which are the main focus of this volume. These applications have been remarkably successful and have enriched the financial, biological, and engineering literature. Although reported in the physics literature, the results tend to be scattered and the underlying unity of the field overlooked.

Table of Contents

Part I Fundamental Aspects
Predicting the Direction of a Time Series
Dimitrios D. Thomakos 3 (14)
1 Introduction 3 (1)
2 Embedding in Direction Space 4 (3)
3 Predicting the Direction 7 (4)
4 Empirical Examples 11 (3)
5 Concluding Remarks 14 (1)
References 14 (3)
On the Variability of Timing in a Spatially
Continuous System with Heterogeneous
Connectivity
Viktor K. Jirsa 17 (14)
1 Introduction 17 (1)
2 Spatiotemporal Dynamics and Integral 18 (3)
Equations
3 Influence of Connectivity: A Two-Point 21 (2)
Connection
4 Variability of the Timing of Distant 23 (5)
Sites
4.1 Homogeneous Connectivity Only 25 (1)
4.2 Homogeneous Connectivity and 26 (1)
Projection from A to B
4.3 Homogeneous Connectivity and 26 (1)
Bilateral Pathway Between A and B
4.4 Heterogeneous Pathways Only 27 (1)
5 Conclusions 28 (1)
References 29 (2)
First Passage Time Problem: A Fokker-Planck
Approach
Mingzhou Ding and Govindan Rangarajan 31 (16)
1 Introduction 31 (1)
2 FPT Distribution for Brownian Motion 32 (6)
3 FTP Distribution for Continuous Time 38 (7)
Random Walks
4 Summary 45 (1)
References 45 (2)
First- and Last-Passage Algorithms in
Diffusion
Monte Carlo James A. Given, Chi-Ok Hwang, 47 (22)
and Michael Mascagni
1 Introduction 47 (5)
2 The Angle-Averaging Method 52 (1)
3 The Simulation-Tabulation (ST) Method 53 (3)
4 The Feynman-Kac Method 56 (2)
5 Last Passage Methods for Diffusion 58 (6)
Monte Carlo
6 Conclusions and Suggestions for Further 64 (1)
Study
References 65 (4)
Part II Econophysics
An Updated Review of the LLS Stock Market
Model: Complex Market Ecology, Power Laws in
Wealth Distribution and Market Returns
Sorin Solomon and Moshe Levy 69 (24)
1 Introduction to the Levy-Levy-Solomon 69 (2)
(LLS) Model
2 Crashes, Booms and Cycles 71 (2)
3 Predation, Competition and Symbiosis 73 (7)
Between Trader Species
3.1 Market Ecologies with Two Trader 73 (6)
Species
3.2 Three Investor Species 79 (1)
4 LLS with Many Species: Realistic 80 (2)
Dynamics of Market Returns
4.1 Return Autocorrelations: Momentum 80 (1)
and Mean-Reversion
4.2 Excess Volatility 81 (1)
4.3 Heavy Trading Volume 81 (1)
4.4 Volume is Positively Correlated 81 (1)
with Absolute Returns
5 The Emergence of Pareto's Law in LLS 82 (2)
6 Market Efficiency, Pareto Law and 84 (2)
Thermal Equilibrium
7 Leptokurtic Market Returns in LLS 86 (3)
8 Summary 89 (1)
References 89 (4)
Patterns, Trends and Predictions in Stock
Market Indices and Foreign Currency Exchange
Rates
Marcel Ausloos and Kristinka Ivanova 93 (22)
1 An Introduction with Some Historical 93 (5)
Notes as "Symptoms"
1.1 Tulipomania 95 (1)
1.2 Monopolymania 96 (1)
1.3 WallStreetmania 97 (1)
2 Econophysics of Stock Market Indices 98 (9)
2.1 Methodology and Data Analysis 101(3)
2.2 Aftershock Patterns 104(3)
3 Foreign Currency Exchange Rates 107(5)
3.1 DFA Analysis 107(1)
3.2 Data and Analysis 108(2)
3.3 Probing the Local Correlations 110(2)
4 Conclusions 112(1)
References 112(3)
Toward an Understanding of Financial Markets
Using Multi-agent Games
Neil F. Johnson, David Lamper, Paul 115(14)
Jefferies, and Michael L. Hart
1 Introduction 115(1)
2 The Basic MG 115(4)
3 Grand Canonical Minority Game 119(2)
4 Next Timestep Prediction 121(2)
5 Corridors for Future Price Movements 123(1)
6 Real-World Risk 124(2)
7 Conclusion 126(1)
References 127(2)
Towards Understanding the Predictability of
Stock Markets from the Perspective of
Computational Complexity
James Aspnes, David F. Fischer, Michael J. 129(24)
Fischer, Ming-Yang Kao, and Alok Kumar
1 Introduction 129(1)
2 A Basic Market Model 130(4)
2.1 Defining the DSMC Model 131(2)
2.2 Computer Simulation on the DSMC 133(1)
Model
3 A General Market Model 134(1)
4 Predicting the Market 135(14)
4.1 Markets as Systems of Linear 136(2)
Constraints
4.2 An Easy Case for Market Prediction: 138(3)
Many Traders but Few Strategies
4.3 A Hard Case for Market Prediction: 141(8)
Many Strategies
5 Future Research Directions 149(1)
References 150(3)
Patterns in Economic Phenomena
H.E. Stanley, P. Gopikrishnan, V. Plerou, 153(20)
and M.A. Salinger
1 Introduction to Patterns in Economics 153(3)
2 Classic Approaches to Finance Patterns 156(1)
3 Patterns in Finance Fluctuations 157(4)
4 Patterns Resembling "Diffusion in a 161(1)
Tsunami Wave"
5 Patterns Resembling Critical Point 162(2)
Phenomena
6 Cross-Correlations in Price 164(1)
Fluctuations of Different Stocks
7 Patterns in Firm Growth 164(1)
8 Universality of the Firm Growth Problem 165(1)
9 "Take-Home Message" 166(1)
References 167(6)
Part III Bioinformatics
New Algorithms and the Physics of Protein
Folding
Ulrich H.E. Hansmann 173(20)
1 Introduction 173(2)
2 The Generalized-Ensemble Approach 175(5)
2.1 Multicanonical Sampling 175(2)
2.2 1/k-Sampling 177(1)
2.3 Simulated Tempering 178(1)
2.4 Other Generalized Ensembles 178(1)
2.5 Parallel Tempering 179(1)
3 The Thermodynamics of Folding 180(8)
3.1 Helix-Coil Transitions in 180(5)
Homopolymers
3.2 Energy Landscape Analysis of 185(3)
Peptides
4 Structure Prediction of Proteins 188(2)
5 Conclusion 190(1)
References 190(3)
Sequence Alignment in Bioinformatics
Yi-Kuo Yu 193(20)
1 Introduction to Sequence Alignment 193(11)
1.1 The Holy Grail 194(1)
1.2 Alignment Algorithms 195(5)
1.3 Score Statistics 200(1)
1.4 Substitution (Scoring) Matrices 201(3)
2 Some Recent Developments 204(7)
2.1 Optimal Alignments 204(1)
2.2 Hybrid Alignment 205(3)
2.3 Open Problems 208(3)
References 211(2)
Resolution of Some Paradoxes in B-Cell
Binding and Activation: A Computer Study
Gyan Bhanot 213(12)
1 Introduction 213(1)
2 Brief Description of Human Immune System 214(3)
3 The Dintzis Experimental Results and 217(1)
the Immunon Theory
4 Modeling the B-Cell Receptor Binding to 217(2)
Antigen: Our Computer Experiment
5 Results 219(5)
References 224(1)
Proliferation and Competition in Discrete
Biological Systems
Yoram Louzoun and Sorin Solomon 225(18)
1 Introduction 225(2)
2 Dynamics of Discrete Proliferating 227(2)
Agents
3 How Well Do Different Methods Deal with 229(1)
Discreteness?
4 Single S Analysis 230(2)
5 RG Analysis 232(1)
6 Mechanisms Limiting Population Growth 233(6)
6.1 Local Competition 234(1)
6.2 Global Competition 235(3)
6.3 Emergence of Complexity 238(1)
7 Discussion 239(2)
7.1 Dimensionality 240(1)
7.2 Inter-Scale Information Flow 240(1)
References 241(2)
Privacy and Data Exchanges
Bernardo A. Huberman 243(10)
1 Introduction 243(2)
2 A Lightning Review of Cryptographic 245(1)
Techniques
3 Secret Matching of Data Sets 246(1)
4 Private Surveys in the Public Arena 247(3)
5 Conclusion 250(1)
References 250(3)
Part IV Pattern Recognition
Statistical Physics and the Clustering Problem
Sebastiano Stramaglia, Carmela Marangi, 253(20)
Luigi Nitti, and Mario Pellicoro
1 Introduction 253(2)
2 Hierarchical Clustering for Phylogeny 255(6)
Reconstruction
2.1 Coupled Map Clustering (CMC) 255(2)
Algorithm
2.2 Distance Measures 257(2)
2.3 Experiment 259(1)
2.4 Discussion 260(1)
3 The Auto-encoder Frame 261(10)
3.1 Cost Functions 261(3)
3.2 Deterministic Annealing 264(1)
3.3 Experiments 264(2)
3.4 Resampling Technique for 266(2)
Unsupervised Estimation of the Number
of Classes
3.5 Discussion 268(3)
4 Conclusions 271(1)
References 271(2)
The Challenges of Clustering High Dimensional
Data
Michael Steinbach, Levent Ert , and Vipin 273(40)
Kumar
1 Introduction 273(1)
2 Basic Concepts and Techniques of 274(10)
Cluster Analysis
2.1 What Cluster Analysis Is 274(1)
2.2 What Cluster Analysis Is Not 275(1)
2.3 The Data Matrix 275(1)
2.4 The Proximity Matrix 276(1)
2.5 The Proximity Graph 276(1)
2.6 Some Working Definitions of a 276(3)
Cluster
2.7 Measures (Indices) of Similarity 279(2)
and Dissimilarity
2.8 Hierarchical and Partitional 281(1)
Clustering
2.9 Specific Partitional Clustering 282(1)
Techniques: K-Means
2.10 Specific Hierarchical Clustering 283(1)
Techniques: MIN, MAX, Group Average
3 The "Curse of Dimensionality" 284(4)
4 Recent Work in Clustering High 288(19)
Dimensional Data
4.1 Clustering via Hypergraph 288(1)
Partitioning
4.2 Grid Based Clustering Approaches 289(7)
4.3 Noise Modeling in Wavelet Space 296(1)
4.4 A "Concept-Based" Approach to 297(10)
Clustering High Dimensional Data
5 Conclusions 307(1)
References 307(6)
Part V Other Applications
Some Statistical Physics Approaches for
Trends and Predictions in Meteorology
Kristinka Ivanova, Marcel Ausloos, Thomas 313(18)
Ackerman, Hampton Shirer, and Eugene
Clothiaux
1 Introduction 313(2)
1.1 Techniques of Time Series Analysis 315(1)
2 Experimental Techniques and Data 315(2)
Acquisition
3 Nonstationarity and Spectral Density 317(2)
4 Roughness and Detrended Fluctuation 319(3)
Analysis
5 Time Dependence of the Correlations 322(2)
6 Multi-affinity and Intermittency 324(2)
7 Conclusions 326(1)
Appendix 327(1)
References 328(3)
An Initial Look at Acceleration-Modulated
Thermal Convection
Jeffrey L. Rogers, Michael F. Schatz, 331(28)
Werner Pesch, and Oliver Brausch
1 Introduction 331(3)
2 Laboratory 334(1)
2.1 Experimental Apparatus 334(1)
2.2 Numerical Methods 336(1)
3 Onset, Time-Dependence, and Typical 337(1)
Patterns
3.1 Onset Measurements 337(1)
3.2 Confirmation of Time-Dependence 338(1)
3.3 Harmonic Patterns at Onset 339(1)
3.4 Harmonic Patterns away from Onset 340(1)
3.5 Subharmonic Patterns at Onset 343(1)
3.6 Subharmonic Patterns away from Onset 343(1)
4 Direct Harmonic-Subharmonic Transition 344(1)
4.1 Transition from Pure Harmonics to 345(1)
Coexistence
4.2 Transition from Pure Subharmonics 347(2)
to Coexistence
5 Superlattices 349(1)
5.1 Observations near Bicriticality 349(1)
5.2 Observations away from Bicriticality 351(1)
5.3 Resonant Tetrads 352(1)
5.4 Other Frequencies 354(2)
6 Discussion 356(1)
References 356(3)
Index 359