All issues

Financial mathematics is one of the most natural applications for the statistical analysis of time series. Financial time series reflect simultaneous activity of a large number of different economic agents. Consequently, one expects that methods of statistical physics and the theory of random processes can be applied to them.

In this paper, we provide a statistical analysis of time series of the FOREX currency market. Of particular interest is the comparison of the time series behavior depending on the way time is measured: physical time versus trading time measured in the number of elementary price changes (ticks). The experimentally observed statistics of the time series under consideration (euro–dollar for the first half of 2007 and for 2009 and British pound – dollar for 2007) radically differs depending on the choice of the method of time measurement. When measuring time in ticks, the distribution of price increments can be well described by the normal distribution already on a scale of the order of ten ticks. At the same time, when price increments are measured in real physical time, the distribution of increments continues to differ radically from the normal up to scales of the order of minutes and even hours.

To explain this phenomenon, we investigate the statistical properties of elementary increments in price and time. In particular, we show that the distribution of time between ticks for all three time series has a long (1-2 orders of magnitude) power-law tails with exponential cutoff at large times. We obtained approximate expressions for the distributions of waiting times for all three cases. Other statistical characteristics of the time series (the distribution of elementary price changes, pair correlation functions for price increments and for waiting times) demonstrate fairly simple behavior. Thus, it is the anomalously wide distribution of the waiting times that plays the most important role in the deviation of the distribution of increments from the normal. As a result, we discuss the possibility of applying a continuous time random walk (CTRW) model to describe the FOREX time series.

The temporal variability of exergy of short-wave and long-wave radiation and its relationships with sensible heat, water vapor (H₂O) and carbon dioxide (CO₂) fluxes on a recently clear-cut area in a mixed coniferous and small-leaved forest in the Tver region is discussed. On the basis of the analysis of radiation and exergy efficiency coefficients suggested by Yu.M. Svirezhev it was shown that during the first eight months after clearcutting the forest ecosystem functions as a "heat engine" i.e. the processes of energy dissipation dominated over processes of biomass production. To validate the findings the statistical analysis of temporary variability of meteorological parameters, as well as, daily fluxes of sensible heat, H₂O and CO₂ was provided using the trigonometrical polynomials. The statistical models that are linearly depended on an exergy of short-wave and long-wave radiation were obtained for mean daily values of CO₂ fluxes, gross primary production of regenerated vegetation and sensible heat fluxes. The analysis of these dependences is also confirmed the results obtained from processing the radiation and exergy efficiency coefficients. The splitting the time series into separate time intervals, e.g. “spring–summer” and “summer–autumn”, allowed revealing that the statistically significant relationships between atmospheric fluxes and exergy were amplified in summer months as the clear-cut area was overgrown by grassy and young woody vegetation. The analysis of linear relationships between time-series of latent heat fluxes and exergy showed their statistical insignificance. The linear relationships between latent heat fluxes and temperature were in turn statistically significant. The air temperature was a key factor improving the accuracy of the models, whereas effect of exergy was insignificant. The results indicated that at the time of active vegetation regeneration within the clear-cut area the seasonal variability of surface evaporation is mainly governed by temperature variation.

The biological structure is considered as an open nonequilibrium system which properties can be described on the basis of kinetic equations. New problems with nonequilibrium boundary conditions are introduced. The nonequilibrium distribution tends gradually to an equilibrium state. The region of spatial inhomogeneity has a scale depending on the rate of mass transfer in the open system and the characteristic time of metabolism. In the proposed approximation, the internal energy of the motion of molecules is much less than the energy of translational motion. Or in other terms we can state that the kinetic energy of the average blood velocity is substantially higher than the energy of chaotic motion of the same particles. We state that the relaxation problem models a living system. The flow of entropy to the system decreases in downstream, this corresponds to Shrödinger’s general ideas that the living system “feeds on” negentropy. We introduce a quantity that determines the complexity of the biosystem, more precisely, this is the difference between the nonequilibrium kinetic entropy and the equilibrium entropy at each spatial point integrated over the entire spatial region. Solutions to the problems of spatial relaxation allow us to estimate the size of biosystems as regions of nonequilibrium. The results are compared with empirical data, in particular, for mammals we conclude that the larger the size of animals, the smaller the specific energy of metabolism. This feature is reproduced in our model since the span of the nonequilibrium region is larger in the system where the reaction rate is shorter, or in terms of the kinetic approach, the longer the relaxation time of the interaction between the molecules. The approach is also used for estimation of a part of a living system, namely a green leaf. The problems of aging as degradation of an open nonequilibrium system are considered. The analogy is related to the structure, namely, for a closed system, the equilibrium of the structure is attained for the same molecules while in the open system, a transition occurs to the equilibrium of different particles, which change due to metabolism. Two essentially different time scales are distinguished, the ratio of which is approximately constant for various animal species. Under the assumption of the existence of these two time scales the kinetic equation splits in two equations, describing the metabolic (stationary) and “degradative” (nonstationary) parts of the process.

The method of balanced identification was used to describe the response of Net Ecosystem Exchange of CO₂ (NEE) to change of environmental factors, and to fill the gaps in continuous CO₂ flux measurements in a sphagnum peat bog in the Tver region. The measurements were provided in the peat bog by the eddy covariance method from August to November of 2017. Due to rainy weather conditions and recurrent periods with low atmospheric turbulence the gap proportion in measured CO₂ fluxes at our experimental site during the entire period of measurements exceeded 40%. The model developed for the gap filling in long-term experimental data considers the NEE as a difference between Ecosystem Respiration (RE) and Gross Primary Production (GPP), i.e. key processes of ecosystem functioning, and their dependence on incoming solar radiation (Q), soil temperature (T), water vapor pressure deficit (VPD) and ground water level (WL). Applied for this purpose the balanced identification method is based on the search for the optimal ratio between the model simplicity and the data fitting accuracy — the ratio providing the minimum of the modeling error estimated by the cross validation method. The obtained numerical solutions are characterized by minimum necessary nonlinearity (curvature) that provides sufficient interpolation and extrapolation characteristics of the developed models. It is particularly important to fill the missing values in NEE measurements. Reviewing the temporary variability of NEE and key environmental factors allowed to reveal a statistically significant dependence of GPP on Q, T, and VPD, and RE — on T and WL, respectively. At the same time, the inaccuracy of applied method for simulation of the mean daily NEE, was less than 10%, and the error in NEE estimates by the method was higher than by the REddyProc model considering the influence on NEE of fewer number of environmental parameters. Analyzing the gap-filled time series of NEE allowed to derive the diurnal and inter-daily variability of NEE and to obtain cumulative CO₂ fluxs in the peat bog for selected summer-autumn period. It was shown, that the rate of CO₂ fixation by peat bog vegetation in August was significantly higher than the rate of ecosystem respiration, while since September due to strong decrease of GPP the peat bog was turned into a consistent source of CO₂ for the atmosphere.

The work continues research on the ability of a person to improve the productivity of information processing, using parallel work or improving the performance of analyzers. A person receives a series of tasks, the solution of which requires the processing of a certain amount of information. The time and the validity of the decision are recorded. The dependence of the average solution time on the amount of information in the problem is determined by correctly solved problems. In accordance with the proposed method, the problems contain calculations of expressions in two algebras, one of which is associative and the other is nonassociative. To facilitate the work of the subjects in the experiment were used figurative graphic images of elements of algebra. Non-associative calculations were implemented in the form of the game “rock-paper-scissors”. It was necessary to determine the winning symbol in the long line of these figures, considering that they appear sequentially from left to right and play with the previous winner symbol. Associative calculations were based on the recognition of drawings from a finite set of simple images. It was necessary to determine which figure from this set in the line is not enough, or to state that all the pictures are present. In each problem there was no more than one picture. Computation in associative algebra allows the parallel counting, and in the absence of associativity only sequential computations are possible. Therefore, the analysis of the time for solving a series of problems reveals a consistent uniform, sequential accelerated and parallel computing strategy. In the experiments it was found that all subjects used a uniform sequential strategy to solve non-associative problems. For the associative task, all subjects used parallel computing, and some have used parallel computing acceleration of the growth of complexity of the task. A small part of the subjects with a high complexity, judging by the evolution of the solution time, supplemented the parallel account with a sequential stage of calculations (possibly to control the solution). We develop a special method for assessing the rate of processing of input information by a person. It allowed us to estimate the level of parallelism of the calculation in the associative task. Parallelism of level from two to three was registered. The characteristic speed of information processing in the sequential case (about one and a half characters per second) is twice less than the typical speed of human image recognition. Apparently the difference in processing time actually spent on the calculation process. For an associative problem in the case of a minimum amount of information, the solution time is near to the non-associativity case or less than twice. This is probably due to the fact that for a small number of characters recognition almost exhausts the calculations for the used non-associative problem.

This paper studies electromagnetic fields, frequencies of lasing, and emission thresholds of a drop-shaped microcavity laser. From the mathematical point of view, the original problem is a nonstandard two-parametric eigenvalue problem for the Helmholtz equation on the whole plane. The desired positive parameters are the lasing frequency and the threshold gain, the corresponding eigenfunctions are the amplitudes of the lasing modes. This problem is usually referred to as the lasing eigenvalue problem. In this study, spectral characteristics are calculated numerically, by solving the lasing eigenvalue problem on the basis of the set of Muller boundary integral equations, which is approximated by the Nystr¨om method. The Muller equations have weakly singular kernels, hence the corresponding operator is Fredholm with zero index. The Nyström method is a special modification of the polynomial quadrature method for boundary integral equations with weakly singular kernels. This algorithm is accurate for functions that are well approximated by trigonometric polynomials, for example, for eigenmodes of resonators with smooth boundaries. This approach leads to a characteristic equation for mode frequencies and lasing thresholds. It is a nonlinear algebraic eigenvalue problem, which is solved numerically by the residual inverse iteration method. In this paper, this technique is extended to the numerical modeling of microcavity lasers having a more complicated form. In contrast to the microcavity lasers with smooth contours, which were previously investigated by the Nyström method, the drop has a corner. We propose a special modification of the Nyström method for contours with corners, which takes also the symmetry of the resonator into account. The results of numerical experiments presented in the paper demonstrate the practical effectiveness of the proposed algorithm.

The paper analyzes the methods of studying the process of interaction of soil environments with the tillage tools of soil processing machines. The mathematical methods of numerical modeling are considered in detail, which make it possible to overcome the disadvantages of analytical and empirical approaches. A classification and overview of the possibilities the continuous (FEM — finite element method, CFD — computational fluid dynamics) and discrete (DEM — discrete element method, SPH — hydrodynamics of smoothed particles) numerical methods is presented. Based on the discrete element method, a mathematical model has been developed that represents the soil in the form of a set of interacting small spherical elements. The working surfaces of the tillage tool are presented in the framework of the finite element approximation in the form of a combination of many elementary triangles. The model calculates the movement of soil elements under the action of contact forces of soil elements with each other and with the working surfaces of the tillage tool (elastic forces, dry and viscous friction forces). This makes it possible to assess the influence of the geometric parameters of the tillage tools, technological parameters of the process and soil parameters on the geometric indicators of soil displacement, indicators of the self-installation of tools, power loads, quality indicators of loosening and spatial distribution of indicators. A total of 22 indicators were investigated (or the distribution of the indicator in space). This makes it possible to reproduce changes in the state of the system of elements of the soil (soil cultivation process) and determine the total mechanical effect of the elements on the moving tillage tools of the implement. A demonstration of the capabilities of the mathematical model is given by the example of a study of soil cultivation with a disk cultivator battery. In the computer experiment, a virtual soil channel of 5×1.4 m in size and a 3D model of a disk cultivator battery were used. The radius of the soil particles was taken to be 18 mm, the speed of the tillage tool was 1 m/s, the total simulation time was 5 s. The processing depth was 10 cm at angles of attack of 10, 15, 20, 25 and 30°. The verification of the reliability of the simulation results was carried out on a laboratory stand for volumetric dynamometry by examining a full-scale sample, made in full accordance with the investigated 3D-model. The control was carried out according to three components of the traction resistance vector: $F_x$, $F_y$ and $F_z$. Comparison of the data obtained experimentally with the simulation data showed that the discrepancy is not more than 22.2%, while in all cases the maximum discrepancy was observed at angles of attack of the disk battery of 30°. Good consistency of data on three key power parameters confirms the reliability of the whole complex of studied indicators.

In this work, we consider a special approximation of the general perturbation formula for the electromagnetic field by a set of electrically small inhomogeneities located in the domain of interest. The problem considered in this paper arises in many applications of technical electrodynamics, radar technologies and subsurface remote sensing. In the general case, it is formulated as follows: at some point in the perturbed domain, it is necessary to determine the amplitude of the electromagnetic field. The perturbation of electromagnetic waves is caused by a set of electrically small scatterers distributed in space. The source of electromagnetic waves is also located in perturbed domain. The problem is solved by introducing the far field approximation and through the formulation for the scatterer radar cross section value. This, in turn, allows one to significantly speed up the calculation process of the perturbed electromagnetic field by a set of a spherical inhomogeneities identical to each other with arbitrary electrophysical parameters. In this paper, we consider only the direct scattering problem; therefore, all parameters of the scatterers are known. In this context, it may be argued that the formulation corresponds to the well-posed problem and does not imply the solution of the integral equation in the generalized formula. One of the features of the proposed algorithm is the allocation of a characteristic plane at the domain boundary. All points of observation of the state of the system belong to this plane. Set of the scatterers is located inside the observation region, which is formed by this surface. The approximation is tested by comparing the results obtained with the solution of the general formula method for the perturbation of the electromagnetic field. This approach, among other things, allows one to remove a number of restrictions on the general perturbation formula for E-filed analysis.

In Russian medicine two radiopharmaceuticals are currently used for radionuclide therapy of bone metastases: ⁸⁹Sr-chloride and ¹⁵³Sm-oxabifor. The first one has many side effects, so its use is limited. The second one is available only in clinics, its transportation to which does not take much time. Currently, the third radiopharmaceutical ¹⁸⁸Re-solerene is undergoing clinical trials. Due to the generator method of obtaining ¹⁸⁸Re, this radiopharmaceutical should become available for use in many regions of our country. Therefore, there is a need for a comparative analysis of the characteristics of these radiopharmaceuticals, including on the basis of mathematical modeling.

The article discusses the features of mathematical modeling the kinetics of osteotropic radiopharmaceutical drugs in the human body with bone metastases. Based on the four-compartment model, a complex of modeling and calculation of pharmacokinetic and dosimetric characteristics of radiopharmaceuticals for radionuclide therapy of bone metastases was developed and tested. Using clinical data, the transport constants of the model were identified and the individual characteristics of Russian radiopharmaceuticals labeled ⁸⁹Sr, 153Sm and ¹⁸⁸Re were calculated (effective half-lives, maximum activity in the compartments and the times of their achievement, absorbed doses to bone tissue and metastases, endosteal bone layer, red bone marrow, blood, kidneys and bladder). The time activity dependencies for all compartments of the model are obtained and analyzed. A comparative analysis of the pharmacokinetics and dosimetry of three radiopharmaceuticals (⁸⁹Sr-chloride, ¹⁵³Sm-oxabiphore, ¹⁸⁸Re-solerene) was carried out.

From a comparative analysis of the pharmacokinetic and dosimetric characteristics of these radiopharmaceutical drugs, it follows that the best of them for widespread use in many regions of our country should be ¹⁸⁸Re-solerene, taking into account the generator method of obtaining ¹⁸⁸Re in a hospital.

The paper presents an analysis of the nonlinear equation of spin wave transport by the method of characteristics. The conclusion of a new mathematical model of spin wave propagation is presented for the solution of which the characteristic is applied. The behavior analysis of the behavior of the real and imaginary parts of the wave and its amplitude is performed. The phase portraits demonstrate the dependence of the desired function on the nonlinearity coefficient. It is established that the real and imaginary parts of the wave oscillate by studying the nature of the evolution of the initial wave profile by the phase plane method. The transition of trajectories from an unstable focus to a limiting cycle, which corresponds to the oscillation of the real and imaginary parts, is shown. For the amplitude of the wave, such a transition is characterized by its amplification or attenuation (depending on the nonlinearity coefficient and the chosen initial conditions) up to a certain threshold value. It is shown that the time of the transition process from amplification (attenuation) to stabilization of the amplitude also depends on the nonlinearity parameter. It was found out that at the interval of amplification of the amplitude of the spin wave, the time of the transition process decreases, and lower amplitude values correspond to higher parameters of nonlinearity.