Search

The volatility and log-price collective movements among stocks of a given market are studied in this work using co-movement functions inspired by similar functions in the physics of many-body systems, where the collective motions are a signal of structural rearrangement. This methodology is aimed to identify the cause of coherent changes in volatility or price. The function is calculated using the product of the variations in volatility (or price) of a pair of stocks, averaged over all pair particles. In addition to the global volatility co-movement, its distribution according to the volatility of the stocks is also studied. We find that stocks with similar volatility tend to have a greater co-movement than stocks with dissimilar volatility, with a general decrease in co-movement with increasing volatility. On the other hand, when the average volatility (or log-price) is subtracted from the stock volatility (or log-price), the co-movement decreases notably and becomes almost zero. This result, interpreted within the background of many body physics, allows us to identify the index motion as the main source for the co-movement. Finally, we confirm that during crisis periods, the volatility and log-price co-movement are much higher than in calmer periods.

One of the main contributions of the Capital Assets Pricing Model (CAPM) to portfolio theory was to explain the correlation between assets through its relationship with the market index. According to this approach, the market index is expected to explain the co-movement between two different stocks to a great extent. In this paper, we try to verify this hypothesis using a sample of 3.000 stocks of the USA market (attending to liquidity, capitalization, and free float criteria) by using some functions inspired by cooperative dynamics in physical particle systems. We will show that all of the co-movement among the stocks is completely explained by the market, even without considering the market beta of the stocks.

The important topic of modelling tanks filled with phase change materials (PCMs) is discussed in this article. Due to the increasing use of heating and cooling installations, tanks containing two types of PCMs are the subject of many experimental analyses. However, there are still deficiencies in their models, which are presented in this paper. The theory model was created in order to design two tanks, each with a volume of 2 m3. They were filled with water and containers with two PCMs. The modelled tanks were meant to replace the existing water tanks that were previously used in the solar heating and cooling installation in a research building located in the southern part of Spain. After the tanks were assembled, the model was validated during the summer period when the designed storage tanks supported the operation of the solar system operating in the cooling mode. The created model consists of a 1D description of the heat transfer in the storage tank, and also a 1D description of the phase change in the containers with the PCMs. The model takes into account the front of the phase change and also discusses its impact on the thermal efficiency of the tanks. The agreement of the water output temperature is very good and validates the model, which can then be used to provide further details on the operation of the storage system&mdash, in particular, heat fluxes or a fraction of solid or liquid PCM.