2,290 research outputs found

    Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

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    Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.Comment: 11 pages, 7 picture

    Note on log-periodic description of 2008 financial crash

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    We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index. We shortly discuss the possible relation of the theory of critical phenomena in physics to financial markets.Comment: 13 pages, 7 figures; references and few comments added

    The Extended Chiral Quark Model in a Tamm-Dancoff Inspired Approximation

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    A procedure inspired by the Tamm-Dancoff method is applied to the chiral quark model which has been extended to include additional degrees of freedom: a pseudoscalar isoscalar field as well as a triplet of scalar isovector fields. The simpler, generic σ\sigma -- model has been used before as a test for the Tamm-Dancoff inspired approximation (TDIA). The extended chirial quark model is employed here to investigate possible novel effects of the additional degrees of freedom as well as to point out the necessesity to introduce a SU(3) flavour. Model predictions for the axial-vector coupling constant and for the nucleon magnetic moment obtained in TDIA are compared with experimental values.Comment: 14 pages, LaTe

    Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series

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    We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal characteristics, with some of the companies showing deviations at small and large scales. The fact that, the wavelets belonging to the Daubechies' (Db) basis enables one to isolate local polynomial trends of different degrees, plays the key role in isolating fluctuations at different scales. One of the primary motivations of this work is to study the emergence of the k3k^{-3} behavior \cite{hes5} of the fluctuations starting with high frequency fluctuations. We make use of Db4 and Db6 basis sets to respectively isolate local linear and quadratic trends at different scales in order to study the statistical characteristics of these financial time series. The fluctuations reveal fat tail non-Gaussian behavior, unstable periodic modulations, at finer scales, from which the characteristic k3k^{-3} power law behavior emerges at sufficiently large scales. We further identify stable periodic behavior through the continuous Morlet wavelet.Comment: 11 pages, 8 figures, bibliography updated, conclusion added, minor changes in the manuscrip

    Agent-based mapping of credit risk for sustainable microfinance

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    Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylised rules of microfinance industry. We found that in a deteriorating economic environment confounded with adverse selection, a form of latent moral hazard may cause a regime shift from a high to a low loan repayment probability. An after-the-fact recovery, when possible, required the economic environment to improve beyond that which led to the shift in the first place. These findings suggest a small set of measurable quantities for mapping microfinance credit risk and, consequently, for balancing the requirements to reasonably price loans and to operate on a fully self-financed basis. We illustrate how the proposed mapping works using a 10-year monthly data set from one of the best-known microfinance representatives, Grameen Bank in Bangladesh. Finally, we discuss an entirely new perspective for managing microfinance credit risk based on enticing spontaneous cooperation by building social capital.Comment: 9 pages, 5 figure

    Searching for Affirmation: Relationships Between Ethnic Identity and Language

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    Despite proposed links between social context and language acquisition (Bialystok, 2007; Hoff, 2008), few studies have explored the role of ethnicity on second language (L2) learning motivation. The present study addresses this issue by investigating the role that the strength of one's ethnic identity plays in the pursuit of an L2. Participants were German language learners who completed a battery of surveys to assess their language histories, the strength of their ethnic identities, and their German language proficiency before participating in a semi-structured interview. Results suggest that students who feel less strongly connected to their ethnic identity are likely to study longer than their more affirmed peers. It was concluded that although integrative and instrumental orientations play a strong role in L2 motivation, effects of ethnic identity are also important