Simonsen, Ingve, Maradudin, Alexei A., Leskova, Tamara A.
By a computer simulation approach we study the scattering of $p$- or $s$-polarized light from a two-dimensional, randomly rough, perfectly conducting surface. The pair of coupled inhomogeneous...
Haze of surface random systems: An approximate analytic approach (2009)
Simonsen, Ingve, Larsen, Age, Andreassen, Erik, Ommundsen, Espen, Nord-Varhaug, Katrin
Approximate analytic expressions for haze (and gloss) of Gaussian randomly rough surfaces for various types of correlation functions are derived within phase-perturbation theory. The approximations...
Dynamic Effects Increasing Network Vulnerability to Cascading Failures (2007)
Simonsen, Ingve, Buzna, Lubos, Peters, Karsten, Bornholdt, Stefan, Helbing, Dirk
We study cascading failures in networks using a dynamical flow model based on simple conservation and distribution laws to investigate the impact of transient dynamics caused by the rebalancing of...
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion (2006)
Perello, Josep, Montero, Miquel, Palatella, Luigi, Simonsen, Ingve, Masoliver, Jaume
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative...
Fear and its implications for stock markets (2006)
Simonsen, Ingve, Ahlgren, Peter Toke Heden, Jensen, Mogens H., Donangelo, Raul, Sneppen, Kim
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be...
Synchronization Model for Stock Market Asymmetry (2006)
Donangelo, Raul, Jensen, Mogens H., Simonsen, Ingve, Sneppen, Kim
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual...
Blackouts, risk and Fat-tailed Distributions (2006)
Summary. We analyze a 19-year time series of North American electric power transmission system blackouts. Contrary to previously reported results we find a fatter than exponential decay in the...
Blackouts, risk, and fat-tailed distributions (2005)
We analyze a 19-year time series of North American electric power transmission system blackouts. Contrary to previously reported results we find a fatter than exponential decay in the distribution of...
Diffusion and networks: A powerful combination! (2005)
Over the last decade, an enormous interest and activity in complex networks have been witnessed within the physics community. On the other hand, diffusion and its theory, have equipped the toolbox of...
Estimation of gloss from rough surface parameters (2005)
Simonsen, Ingve, Larsen, AAge G., Andreassen, Erik, Ommundsen, Espen, Nord-Varhaug, Katrin
Gloss is a quantity used in the optical industry to quantify and categorize materials according to how well they scatter light specularly. With the aid of phase perturbation theory, we derive an...
Investment horizons : A time-dependent measure of asset performance (2005)
Simonsen, Ingve, Johansen, Anders, Jensen, Mogens H.
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss...
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stephane
We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that...
A random walk through surface scattering phenomena: Theory and phenomenology (2004)
No surface is perfectly planar at all scales. The notion of flatness of a surface therefore depends on the size of the probe used to observe it. As a consequence rough interfaces are abundant in...
Modeling Highly Volatile and Seasonal Markets: (2004)
Evidence From The, Ingve Simonsen, Piotr Wilman
this paper we address the issue of modeling spot electricity prices. After analyzing factors leading to the unobservable in other financial or commodity markets price dynamics we propose a mean...
Structure and stylized facts of a deregulated power market (2004)
Simonsen, Ingve, Weron, Rafal, Mo, Birger
Dramatic changes to the structure of the power sector have taken place over the past few decades. The major structural change being the introduction of competitive markets and power exchanges. In...
Diffusion on Complex Networks : A way to probe their large scale topological structures (2003)
Simonsen, Ingve, Eriksen, Kasper Astrup, Maslov, Sergei, Sneppen, Kim
A diffusion process on complex networks is introduced in order to uncover their large scale topological structures. This is achieved by focusing on the slowest decaying diffusive modes of the...
Modularity and Extreme Edges of the Internet (2002)
Eriksen, Kasper Astrup, Simonsen, Ingve, Maslov, Sergei, Sneppen, Kim
We study the spectral properties of a diffusion process taking place on the Internet network focusing on the slowest decaying modes. These modes allow us to identify an underlying modular structure...
Inverse Statistics in Economics : The gain-loss asymmetry (2002)
Jensen, Mogens H., Johansen, Anders, Simonsen, Ingve
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a...
Optimal Investment Horizons (2002)
Simonsen, Ingve, Jensen, Mogens H., Johansen, Anders
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week...
Inverse Statistics in Economics : The gain-loss asymmetry (2002)
Mogens Jensen Anders, Anders Johansen, Ingve Simonsen
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a...
Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets (2001)
We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is...
Profit Profiles in Correlated Markets (2001)
We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and...
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stéphane
We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that...
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stéphane
We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that...
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stéphane
We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that...
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stéphane
We derive an analytical expression for the scattering of a scalar wave from a perfectly conducting self-affine one dimensional surface in the framework of the Kirchhoff approximation. We show that...
Simonsen, Ingve, Leskova, Tamara A., Maradudin, Alexei A.
We study by numerical simulations the scattering of $s$-polarized light from a rough dielectric film deposited on the planar surface of a semi-infinite perfect conductor. The dielectric film is...
Leskova, Tamara A., Simonsen, Ingve, Maradudin, Alexei A.
We study the statistical properties of the scattering matrix S(q|k) for the problem of the scattering of light from a randomly rough one-dimensional surface, defined by the equation $x_3 = \zx$,...
Asymptotic Distribution of Eigenvalues for a Self-Affine String (1999)
We consider a string with fixed endpoints where the mass density and/or the elastic coefficient vary in a self-affine way as function of position. It is demonstrated how the eigenvalues in the...
A Fast Algorithm for Generating Long Self-Affine Profiles (1999)
We introduce a fast algorithm for generating long self-affine profiles. The algorithm, which is based on the fast wavelet transform, is faster than the conventional Fourier filtering algorithm. In...
Simonsen, Ingve, Maradudin, Alexei A., Leskova, Tamara A.
We calculate the short-range contributions $C^{(1)}$ and $C^{(10)}$ to the angular intensity correlation function for the scattering of s-polarized light from a one-dimensional random interface...
Wave scattering from self-affine surfaces (1999)
Simonsen, Ingve, Vandembroucq, Damien, Roux, Stephane
Electromagnetic wave scattering from a perfectly reflecting self-affine surface is considered. Within the framework of the Kirchhoff approximation, we show that the scattering cross section can be...
Optical response of supported particles (1999)
Simonsen, Ingve, Lazzari, Remi, Jupille, Jacques, Roux, Stephane
The present work reports a general method for the calculation of t he polarizability of a truncated sphere on a substrate. A multipole ex pansion is used, where the multipoles are not necessarily...
Determination of the Hurst Exponent by Use of Wavelet Transforms (1997)
Simonsen, Ingve, Hansen, Alex, Nes, Olav Magnar
We propose a new method for (global) Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data with predefined Hurst exponents, fracture surfaces and data from...
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
Rafal Weron, Ingve Simonsen, Piotr Wilman
In this paper we address the issue of modeling spot electricity prices. After analyzing factors leading to the unobservable in other financial or commodity markets price dynamics we propose a mean...
Blackouts, risk, and fat-tailed distributions
We analyze a 19-year time series of North American electric power transmission system blackouts. Contrary to previously reported results we find a fatter than exponential decay in the distribution of...
Structure and stylized facts of a deregulated power market
Simonsen, Ingve, Weron, Rafal, Mo, Birger
Dramatic changes to the structure of the power sector have taken place over the past few decades. The major structural change being the introduction of competitive markets and power exchanges. In...
Inverse Statistics in Economics : The gain-loss asymmetry
Mogens H. Jensen, Anders Johansen, Ingve Simonsen
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a...
Fear and its implications for stock markets
Ingve Simonsen, Mogens H. Jensen, Raul Donangelo, Kim Sneppen
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be...
Profit Profiles in Correlated Markets
We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and...
Synchronization Model for Stock Market Asymmetry
Raul Donangelo, Mogens H. Jensen, Ingve Simonsen, Kim Sneppen
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual...
Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets
We consider the Nordic electricity spot market from mid 1992 to the end of year 2000. This market is found to be well approximated by an anti-persistent self-affine (mean-reverting) walk. It is...
Investment horizons : A time-dependent measure of asset performance
Ingve Simonsen, Anders Johansen, Mogens H. Jensen
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss...
Ingve Simonsen, Mogens H. Jensen, Anders Johansen
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week...
Entropy of the Nordic electricity market: anomalous scaling, spikes, and mean-reversion
Josep Perello, Miquel Montero, Luigi Palatella, Ingve Simonsen, Jaume Masoliver
The electricity market is a very peculiar market due to the large variety of phenomena that can affect the spot price. However, this market still shows many typical features of other speculative...