Clustering Financial Time Series: How Long is Enough?

Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This paper sets up a statistical framework to study the validity of such practices. We first show that clustering correlated random variables from their observed values is statistically consistent. Then, we also give a first empirical answer to the much debated question: How long should the time series be? If too short, the clusters found can be spurious; if too long, dynamics can be smoothed out.Comment: Accepted at IJCAI 201

A Sublinear Tester for Outerplanarity (and Other Forbidden Minors) With One-Sided Error

We consider one-sided error property testing of $\mathcal{F}$-minor freeness in bounded-degree graphs for any finite family of graphs $\mathcal{F}$ that contains a minor of $K_{2,k}$, the $k$-circus graph, or the $(k\times 2)$-grid for any $k\in\mathbb{N}$. This includes, for instance, testing whether a graph is outerplanar or a cactus graph. The query complexity of our algorithm in terms of the number of vertices in the graph, $n$, is $\tilde{O}(n^{2/3} / \epsilon^5)$. Czumaj et~al.\ showed that cycle-freeness and $C_k$-minor freeness can be tested with query complexity $\tilde{O}(\sqrt{n})$ by using random walks, and that testing $H$-minor freeness for any $H$ that contains a cycles requires $\Omega(\sqrt{n})$ queries. In contrast to these results, we analyze the structure of the graph and show that either we can find a subgraph of sublinear size that includes the forbidden minor $H$, or we can find a pair of disjoint subsets of vertices whose edge-cut is large, which induces an $H$-minor.Comment: extended to testing outerplanarity, full version of ICALP pape

Structural Quantification of Entanglement

We introduce an approach which allows a detailed structural and quantitative analysis of multipartite entanglement. The sets of states with different structures are convex and nested. Hence, they can be distinguished from each other using appropriate measurable witnesses. We derive equations for the construction of optimal witnesses and discuss general properties arising from our approach. As an example, we formulate witnesses for a 4-cluster state and perform a full quantitative analysis of the entanglement structure in the presence of noise and losses. The strength of the method in multimode continuous variable systems is also demonstrated by considering a dephased GHZ-type state.Comment: 12 pages, 1 table and 3 figure

Estimation of household demand systems with theoretically compatible Engel curves and unit value specifications

We develop a method for estimation of price reactions using unit value data which exploits the implicit links between quantity and unit value choices. This allows us to combine appealing Engel curve specifications with a model of unit value determination in a way which is consistent with demand theory, unlike methods hitherto prominent in the literature. The method is applied to Czech data

Entanglement properties of multipartite entangled states under the influence of decoherence

We investigate entanglement properties of multipartite states under the influence of decoherence. We show that the lifetime of (distillable) entanglement for GHZ-type superposition states decreases with the size of the system, while for a class of other states -namely all graph states with constant degree- the lifetime is independent of the system size. We show that these results are largely independent of the specific decoherence model and are in particular valid for all models which deal with individual couplings of particles to independent environments, described by some quantum optical master equation of Lindblad form. For GHZ states, we derive analytic expressions for the lifetime of distillable entanglement and determine when the state becomes fully separable. For all graph states, we derive lower and upper bounds on the lifetime of entanglement. To this aim, we establish a method to calculate the spectrum of the partial transposition for all mixed states which are diagonal in a graph state basis. We also consider entanglement between different groups of particles and determine the corresponding lifetimes as well as the change of the kind of entanglement with time. This enables us to investigate the behavior of entanglement under re-scaling and in the limit of large (infinite) number of particles. Finally we investigate the lifetime of encoded quantum superposition states and show that one can define an effective time in the encoded system which can be orders of magnitude smaller than the physical time. This provides an alternative view on quantum error correction and examples of states whose lifetime of entanglement (between groups of particles) in fact increases with the size of the system.Comment: 27 pages, 11 figure