Finite-size effect and the components of multifractality in financial volatility

Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of multifractal analysis, we show that there is a marked finite-size effect in the detection of multifractality, and the effective multifractality is the apparent multifractality after removing the finite-size effect. We find that the effective multifractality can be further decomposed into two components, the PDF component and the nonlinearity component. Referring to the normal distribution, we can determine the PDF component by comparing the effective multifractality of the original time series and the surrogate data that have a normal distribution and keep the same linear and nonlinear correlations as the original data. We demonstrate our method by taking the daily volatility data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. Extensive numerical experiments show that a time series exhibits effective multifractality only if it possesses nonlinearity and the PDF has impact on the effective multifractality only when the time series possesses nonlinearity. Our method can also be applied to judge the presence of multifractality and determine its components of multifractal time series in other complex systems.Comment: 9 RevTex pages including 9 eps figures. Comments and suggestions are warmly welcom

Observation of many-body localization of interacting fermions in a quasi-random optical lattice

We experimentally observe many-body localization of interacting fermions in a one-dimensional quasi-random optical lattice. We identify the many-body localization transition through the relaxation dynamics of an initially-prepared charge density wave. For sufficiently weak disorder the time evolution appears ergodic and thermalizing, erasing all remnants of the initial order. In contrast, above a critical disorder strength a significant portion of the initial ordering persists, thereby serving as an effective order parameter for localization. The stationary density wave order and the critical disorder value show a distinctive dependence on the interaction strength, in agreement with numerical simulations. We connect this dependence to the ubiquitous logarithmic growth of entanglement entropy characterizing the generic many-body localized phase.Comment: 6 pages, 6 figures + supplementary informatio

Density excitations of a harmonically trapped ideal gas

The dynamic structure factor of a harmonically trapped Bose gas has been calculated well above the Bose-Einstein condensation temperature by treating the gas cloud as a canonical ensemble of noninteracting classical particles. The static structure factor is found to vanish as wavenumber squared in the long-wavelength limit. We also incorporate a relaxation mechanism phenomenologically by including a stochastic friction force to study the dynamic structure factor. A significant temperature dependence of the density-fluctuation spectra is found. The Debye-Waller factor has been calculated for the trapped thermal cloud as function of wavenumber and of particle number. A substantial difference is found between clouds of small and large particle number

Ultrahigh Bandwidth Spin Noise Spectroscopy: Detection of Large g-Factor Fluctuations in Highly n-Doped GaAs

We advance all optical spin noise spectroscopy (SNS) in semiconductors to detection bandwidths of several hundred gigahertz by employing an ingenious scheme of pulse trains from ultrafast laser oscillators as an optical probe. The ultrafast SNS technique avoids the need for optical pumping and enables nearly perturbation free measurements of extremely short spin dephasing times. We employ the technique to highly n-doped bulk GaAs where magnetic field dependent measurements show unexpected large g-factor fluctuations. Calculations suggest that such large g-factor fluctuations do not necessarily result from extrinsic sample variations but are intrinsically present in every doped semiconductor due to the stochastic nature of the dopant distribution.Comment: 5 pages, 3 figure

Thermodynamic time asymmetry in nonequilibrium fluctuations

We here present the complete analysis of experiments on driven Brownian motion and electric noise in a $RC$ circuit, showing that thermodynamic entropy production can be related to the breaking of time-reversal symmetry in the statistical description of these nonequilibrium systems. The symmetry breaking can be expressed in terms of dynamical entropies per unit time, one for the forward process and the other for the time-reversed process. These entropies per unit time characterize dynamical randomness, i.e., temporal disorder, in time series of the nonequilibrium fluctuations. Their difference gives the well-known thermodynamic entropy production, which thus finds its origin in the time asymmetry of dynamical randomness, alias temporal disorder, in systems driven out of equilibrium.Comment: to be published in : Journal of Statistical Mechanics: theory and experimen