Magdalena A. Zaluska-Kotur, Krzysztof Karpio, Arkadiusz Orlowski
Investment horizon approach has been used to analyze indexes of Polish stock market. Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain--loss curves is observed for WIG index, whereas gain and loss curves look similar for WIG20 and for most stocks of individual companies. The gain--loss asymmetry for these data, measured by a coefficient, that we postulated before [submitted to {ITALIC Physica A}], has opposite sign to this for WIG index.
Acta Phys. Polonica B Vol. 37, No. 11
Showing posts with label Arkadiusz Orłowski. Show all posts
Showing posts with label Arkadiusz Orłowski. Show all posts
Oct 8, 2006
Cellular automaton approach to electromagnetic wave propagation in dispersive media
M.W. Janowicz, J.M.A. Ashbourn, Arkadiusz Orłowski, Jan Mostowski
Extensions of Białynicki-Birula's cellular automaton are proposed for studies of the one-dimensional propagation of electromagnetic fields in Drude metals, as well as in both transparent, dispersive and lossy dielectrics. These extensions are obtained by representing the dielectrics with appropriate matter fields, such as polarization together with associated velocity fields. To obtain the different schemes for the integration of the resulting systems of linear partial differential equations, split-operator ideas are employed. Possible further extensions to two-dimensional propagation and for the study of left-handed materials are discussed. The stability properties of the cellular automaton treated as a difference scheme are analysed.
P. Roy. Soc. A - Math. Phy. vol. 462, 2927-2948 (2006) [3/4]
Extensions of Białynicki-Birula's cellular automaton are proposed for studies of the one-dimensional propagation of electromagnetic fields in Drude metals, as well as in both transparent, dispersive and lossy dielectrics. These extensions are obtained by representing the dielectrics with appropriate matter fields, such as polarization together with associated velocity fields. To obtain the different schemes for the integration of the resulting systems of linear partial differential equations, split-operator ideas are employed. Possible further extensions to two-dimensional propagation and for the study of left-handed materials are discussed. The stability properties of the cellular automaton treated as a difference scheme are analysed.
P. Roy. Soc. A - Math. Phy. vol. 462, 2927-2948 (2006) [3/4]
Mar 20, 2006
Decoherence of entangled states in two-mode cavities
Janowicz M., Orłowski A.
Decoherence of the Schrödinger-cat states in two-mode cavities are discussed. The cat states are assumed to be produced by the measurement of the energy of a three-level atom which have passed through the cavity. The evolution of the field density matrix is obtained from the Lindblad form of the dissipater at zero temperature. It is shown that the decoherence time of the two-mode cat states critically depends on the degree of entanglement. Implications for decoherence of entanglement in the macroscopic scales are discussed.
J. Phys. B vol. 39, 1763-1771 (2006) [2/2]
Decoherence of the Schrödinger-cat states in two-mode cavities are discussed. The cat states are assumed to be produced by the measurement of the energy of a three-level atom which have passed through the cavity. The evolution of the field density matrix is obtained from the Lindblad form of the dissipater at zero temperature. It is shown that the decoherence time of the two-mode cat states critically depends on the degree of entanglement. Implications for decoherence of entanglement in the macroscopic scales are discussed.
J. Phys. B vol. 39, 1763-1771 (2006) [2/2]
Jan 15, 2006
Anderson Localization of Electromagnetic Waves in Dielectric Media: Model Studies
Rusek M., Orłowski A.
Anderson localization of electromagnetic waves in random arrays of dielectric cylinders confined within a planar metallic waveguide is studied. The disordered dielectric medium is modeled by a system of randomly distributed 2D electric dipoles. An effective theoretical approach based on the method of images is developed. A clear distinction between isolated localized waves (which exist in finite media) and the band of localized waves (which appears only in the limit of the infinite medium) is presented. The Anderson transition emerging in the limit of an infinite medium is observed both in finite size scaling analysis of transmission and in the properties of the spectra of some random matrices. The sound physical interpretation of the obtained results suggests deeper insight into the existing experimental and theoretical work.
Acta Phys. Pol. A vol. 109 (1), 109-119 (2006) [KK, 2/2]
Anderson localization of electromagnetic waves in random arrays of dielectric cylinders confined within a planar metallic waveguide is studied. The disordered dielectric medium is modeled by a system of randomly distributed 2D electric dipoles. An effective theoretical approach based on the method of images is developed. A clear distinction between isolated localized waves (which exist in finite media) and the band of localized waves (which appears only in the limit of the infinite medium) is presented. The Anderson transition emerging in the limit of an infinite medium is observed both in finite size scaling analysis of transmission and in the properties of the spectra of some random matrices. The sound physical interpretation of the obtained results suggests deeper insight into the existing experimental and theoretical work.
Acta Phys. Pol. A vol. 109 (1), 109-119 (2006) [KK, 2/2]
Apr 14, 2005
Different mechanisms of cluster explosion within an unified time-dependent Thomas-Fermi approach: optical and short-wavelength regimes compared
Marian Rusek and Arkadiusz Orlowski
The dynamics of small (55 atoms) argon clusters ionized by an intense femtosecond laser pulse is studied using a time-dependent Thomas-Fermi model. The resulting Bloch-like hydrodynamic equations are solved numerically using the smooth particle hydrodynamics method without the necessity of grid simulations. As follows from recent experiments, absorption of radiation and subsequent ionization of clusters observed in the short-wavelength laser frequency regime (98 nm) differs considerably from that in the optical spectral range (800 nm). Our theoretical approach provides a unified framework for treating these very different frequency regimes and allows for a deeper understanding of the underlying cluster explosion mechanisms. The results of our analysis following from extensive numerical simulations presented in this paper are compared both with experimental findings and with predictions of other theoretical models.
Phys. Rev. A 71, 043202 (2005)
The dynamics of small (55 atoms) argon clusters ionized by an intense femtosecond laser pulse is studied using a time-dependent Thomas-Fermi model. The resulting Bloch-like hydrodynamic equations are solved numerically using the smooth particle hydrodynamics method without the necessity of grid simulations. As follows from recent experiments, absorption of radiation and subsequent ionization of clusters observed in the short-wavelength laser frequency regime (98 nm) differs considerably from that in the optical spectral range (800 nm). Our theoretical approach provides a unified framework for treating these very different frequency regimes and allows for a deeper understanding of the underlying cluster explosion mechanisms. The results of our analysis following from extensive numerical simulations presented in this paper are compared both with experimental findings and with predictions of other theoretical models.
Phys. Rev. A 71, 043202 (2005)
Feb 16, 2005
Free Electrons Generation in the Interaction of Intense Laser Pulses with Atomic Clusters
M. Rusek and A. Orłowski
Interaction of argon clusters with intense laser pulses is studied theoretically. Free electrons energy distribution is studied. Differences between infrared and vacuum ultraviolet frequency regimes are pointed out. Clear physical interpretation of the obtained results is given.
ACTA PHYS. POLONICA A Vol. 107 (2005)
Interaction of argon clusters with intense laser pulses is studied theoretically. Free electrons energy distribution is studied. Differences between infrared and vacuum ultraviolet frequency regimes are pointed out. Clear physical interpretation of the obtained results is given.
ACTA PHYS. POLONICA A Vol. 107 (2005)
Aug 23, 2004
Probabilistic models of income distributions.
Piotr Łukasiewicz and Arkadiusz Orłowski
The results showing relationships between distributions of individual incomes and incomes of two-earners households are presented. It is shown that individual incomes are very well described by Dagum's distributions. Income distributions in two quite different countries (USA and Poland) are studied for comparison. Obtained results show very striking and interesting differences.
Physica A Vol. 344, 1-2
The results showing relationships between distributions of individual incomes and incomes of two-earners households are presented. It is shown that individual incomes are very well described by Dagum's distributions. Income distributions in two quite different countries (USA and Poland) are studied for comparison. Obtained results show very striking and interesting differences.
Physica A Vol. 344, 1-2
Aug 20, 2004
Application of bootstrap to detecting chaos in financial time series
Katarzyna Brzozowska-Rup and Arkadiusz Orłowski
A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates of the US Dollar against the Polish Zloty. The problem if these financial time series exhibit chaotic behavior is undertaken. A possibility of detecting the presence of a positive Lyapunov exponent is studied.
Physica A. 344, 1-2
A moving blocks bootstrap procedure is used to investigate the dynamics of nominal exchange rates and the return rates of the US Dollar against the Polish Zloty. The problem if these financial time series exhibit chaotic behavior is undertaken. A possibility of detecting the presence of a positive Lyapunov exponent is studied.
Physica A. 344, 1-2
May 7, 2004
Dynamics of Argon Clusters in an Intense Laser Pulse: Bloch-Like Hydrodynamic Model
M. Rusek and A. Orłowski
The dynamics of small (≤55 atoms) argon clusters ionized by an intense, infrared, femtosecond laser pulse is studied using a Bloch-like hydrodynamic model. Evolution of both free electrons and ions formed in the cluster explosion process is examined. Oscillations of the electron cloud in a rare-gas atomic cluster are described as a motion of a fluid obeying Bloch-like hydrodynamic equations. Our theoretical approach includes all possible ionization mechanisms: tunnel (or field) ionization both by an external laser field, and by an internal field due to the space-charge distribution inside the cluster, as well as electron-impact (or collisional) ionization. The results of our simulations are compared both with experimental findings and with predictions of other theoretical models.
Acta Phys. Polonica A, Vol. 106 No 1
The dynamics of small (≤55 atoms) argon clusters ionized by an intense, infrared, femtosecond laser pulse is studied using a Bloch-like hydrodynamic model. Evolution of both free electrons and ions formed in the cluster explosion process is examined. Oscillations of the electron cloud in a rare-gas atomic cluster are described as a motion of a fluid obeying Bloch-like hydrodynamic equations. Our theoretical approach includes all possible ionization mechanisms: tunnel (or field) ionization both by an external laser field, and by an internal field due to the space-charge distribution inside the cluster, as well as electron-impact (or collisional) ionization. The results of our simulations are compared both with experimental findings and with predictions of other theoretical models.
Acta Phys. Polonica A, Vol. 106 No 1
Mar 30, 2004
Explosion of Atom Clusters in a Free-Electron Intense Laser Pulse
M. Rusek and A. Orłowski
The explosion of rare-gas atomic clusters induced by short, intense X-ray pulses generated by a free-electron laser is studied. A numerical approach for an explicitly time-dependent description of small to medium size clusters in 3D is developed within the Thomas--Fermi model. Such an approach, though strongly simplified in comparison to fully quantum-mechanical schemes, is nevertheless expected to yield a qualitatively correct description of the electronic and ionic dynamics of these systems, at a much lower computational cost.
Acta Phys. Polonica A, Vol.105 No. 5
The explosion of rare-gas atomic clusters induced by short, intense X-ray pulses generated by a free-electron laser is studied. A numerical approach for an explicitly time-dependent description of small to medium size clusters in 3D is developed within the Thomas--Fermi model. Such an approach, though strongly simplified in comparison to fully quantum-mechanical schemes, is nevertheless expected to yield a qualitatively correct description of the electronic and ionic dynamics of these systems, at a much lower computational cost.
Acta Phys. Polonica A, Vol.105 No. 5
Dec 26, 2003
Fluctuation dynamics of exchange rates on Polish financial market.
A. Orłowski, Z.R. Struzik, E. Syczewska and M.A. Załuska-Kotur
We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August 1997. We compare the type of the fluctuation behavior before and after this date.
Physica A. 344, Issues 1-2,
We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August 1997. We compare the type of the fluctuation behavior before and after this date.
Physica A. 344, Issues 1-2,
Dec 15, 2003
Application of the ultrametric distance to portfolio taxonomy. Critical approach and comparison with other methods
Urszula Skórnik-Pokarowska and Arkadiusz Orłowski
We calculate the ultrametric distance between the pairs of stocks that belong to the same portfolio. The ultrametric distance allows us to distinguish groups of shares that are related. In this way, we can construct a portfolio taxonomy that can be used for constructing an efficient portfolio. We also construct a portfolio taxonomy based not only on stock prices but also on economic indices such as liquidity ratio, debt ratio and sales profitability ratio. We show that a good investment strategy can be obtained by applying to the portfolio chosen by the taxonomy method the so-called Constant Rebalanced Portfolio.
Physica A. Vol. 344, Issues 1-2
We calculate the ultrametric distance between the pairs of stocks that belong to the same portfolio. The ultrametric distance allows us to distinguish groups of shares that are related. In this way, we can construct a portfolio taxonomy that can be used for constructing an efficient portfolio. We also construct a portfolio taxonomy based not only on stock prices but also on economic indices such as liquidity ratio, debt ratio and sales profitability ratio. We show that a good investment strategy can be obtained by applying to the portfolio chosen by the taxonomy method the so-called Constant Rebalanced Portfolio.
Physica A. Vol. 344, Issues 1-2
Nov 19, 2003
Two-photon Jaynes-Cummings model without rotating wave approximation
Maciej Janowicz and Arkadiusz Orłowski
The three-level atomic system interacting with one mode of the electromagnetic field in a Ξ-configuration is investigated. Effective Hamiltonians for two-photon processes without the rotating wave approximation are obtained by application of the perturbation method of multiple time scales. Some inaccuracies in the form of Hamiltonians of this type recently presented are pointed out and corrected.
A four-level Xi-system: Exact solvability and effective evolution operators via multiple scales
Properties of a four-level atomic system interacting with one and two modes of the electromagneticfield in a “Ξ”-configuration are investigated. By linearization of the Hamiltonians we show that the corresponding mathematical models are exactly solvable. To obtain simpler effective Hamiltonians the perturbative method of multiple scales is applied. The lowest-order corrections to the resulting effective evolution operators are also calculated.
Nov 5, 2003
Optimization of Directional Antennas in Two-Dimensional Artificial Dielectrics
M. Janowicz, M. Rusek and A. Orłowski
We investigate numerically the problem of optimization of directional characteristics of dipole antennas located inside, or in the vicinity of, photonic crystals or more general artificial dielectrics, made of very thin perfectly conducting wires. We concentrate on two-dimensional propagation. Simulated annealing is used to find the distribution of wires which optimizes the directional pattern. It is demonstrated that high directivity can be obtained for systems containing a very small number of elements provided that the size and shape of the unit cell as well as the position of the radiating source with respect to the crystal are optimized. Building up of the radiation pattern is also illustrated with the help of the wave-optical rays.
Acta Physica Polonica A Vol. 105 No. 3
We investigate numerically the problem of optimization of directional characteristics of dipole antennas located inside, or in the vicinity of, photonic crystals or more general artificial dielectrics, made of very thin perfectly conducting wires. We concentrate on two-dimensional propagation. Simulated annealing is used to find the distribution of wires which optimizes the directional pattern. It is demonstrated that high directivity can be obtained for systems containing a very small number of elements provided that the size and shape of the unit cell as well as the position of the radiating source with respect to the crystal are optimized. Building up of the radiation pattern is also illustrated with the help of the wave-optical rays.
Acta Physica Polonica A Vol. 105 No. 3
Jul 17, 2003
Probing Anderson localization of light via decay rate statistics
We have studied the distribution of resonance widths P(Γ) in one-, two-, and three-dimensional multiple light scattering systems. P(Γ) should follow a universal power law P(Γ)∼Γ-1 in the localized regime as confirmed by extensive numerical calculations. This behavior can be interpreted as an unambiguous signature of exponential Anderson localization of light in open systems.
Mar 22, 2003
Facts and Myths of Enigma: Breaking Stereotypes
Kris Gaj and Arkadiusz Orlowski
In spite of a relatively large number of publications about breakingEnigma by the Allies before and during the World War II, this subject remainsrelatively unknown not only to the general public, but also to peopleprofessionally involved in cryptological research. For example, the story ofEnigma is rarely a part of a modern textbook on cryptology or a modern courseon cryptography and network security. There exist multiple reasons for thissituation. First, there are still a few unresolved issues, resulting from conflictingreports, the lack of reliable sources, and a long period required for declassifyingdocuments related to any cryptological activity during the World War II.Secondly, the issue is highly political, and there is little consensus in weighingthe contribution of all involved countries. Thirdly, many contemporarycryptologists honestly believe that there is little to learn from the analysis of oldcryptosystems, because of the tremendous progress in theory and practice ofcryptography and a little similarity between old and modern ciphers. In thispaper we confront these opinions by presenting a look at the current state ofknowledge about cryptological methods and devices used to break Enigma. Weintroduce all major players involved in these activities, and we make an effortto weigh their original contributions. Finally, we show that the story of Enigmacan still provide contemporary cryptographers with many useful lessonsregarding the way of organizing and building any large-scale security system.
Lect. Notes Comput. Sci. vol. 2656, 106-122 (2003)
In spite of a relatively large number of publications about breakingEnigma by the Allies before and during the World War II, this subject remainsrelatively unknown not only to the general public, but also to peopleprofessionally involved in cryptological research. For example, the story ofEnigma is rarely a part of a modern textbook on cryptology or a modern courseon cryptography and network security. There exist multiple reasons for thissituation. First, there are still a few unresolved issues, resulting from conflictingreports, the lack of reliable sources, and a long period required for declassifyingdocuments related to any cryptological activity during the World War II.Secondly, the issue is highly political, and there is little consensus in weighingthe contribution of all involved countries. Thirdly, many contemporarycryptologists honestly believe that there is little to learn from the analysis of oldcryptosystems, because of the tremendous progress in theory and practice ofcryptography and a little similarity between old and modern ciphers. In thispaper we confront these opinions by presenting a look at the current state ofknowledge about cryptological methods and devices used to break Enigma. Weintroduce all major players involved in these activities, and we make an effortto weigh their original contributions. Finally, we show that the story of Enigmacan still provide contemporary cryptographers with many useful lessonsregarding the way of organizing and building any large-scale security system.
Lect. Notes Comput. Sci. vol. 2656, 106-122 (2003)
Oct 5, 2000
Correlations in financial time series: established versus emerging markets
Eur. Phys. J. B 20, 527 (2001)
M. Beben and A. Orłowski
Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.
M. Beben and A. Orłowski
Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are discovered and briefly discussed.
Apr 5, 2000
Novel quantum effects in light scattering from cold trapped atoms
A. Orlowski, M. Gajda, P. Krekora, R. J. Glauber and J. Mostowski
Both far off-resonance and resonant scattering of light from single atoms trapped by 3D harmonic potentials has thoroughly been studied. Novel effects are predicted for different physical regimes. We have shown that dynamics of the atomic center-of-mass strongly influences the scattering cross section. Possibility of using spectrum of the scattered light in far-off-resonance regime to nondestructively measure the temperature of ultracold atoms is advocated: off-resonance scattering can be used as an ‘optical thermometer’. The realistic Compton-like regime in resonant scattering has been investigated in detail. Another interesting quantum effect in resonant regime, which has not been discussed here due to the lack of space, is the time resolved scattering, showing up when the atom can remain in the excited state long enough to make many trips back and forth in the trap before emitting a photon. The possibility of the experimental observation of the predicted effects is now being scrutinized.
Quantum Communication, Computing, and Measurement 2
Both far off-resonance and resonant scattering of light from single atoms trapped by 3D harmonic potentials has thoroughly been studied. Novel effects are predicted for different physical regimes. We have shown that dynamics of the atomic center-of-mass strongly influences the scattering cross section. Possibility of using spectrum of the scattered light in far-off-resonance regime to nondestructively measure the temperature of ultracold atoms is advocated: off-resonance scattering can be used as an ‘optical thermometer’. The realistic Compton-like regime in resonant scattering has been investigated in detail. Another interesting quantum effect in resonant regime, which has not been discussed here due to the lack of space, is the time resolved scattering, showing up when the atom can remain in the excited state long enough to make many trips back and forth in the trap before emitting a photon. The possibility of the experimental observation of the predicted effects is now being scrutinized.
Quantum Communication, Computing, and Measurement 2
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