Quantum field theory on quantum graphs and application to their conductance

We construct a bosonic quantum field on a general quantum graph. Consistency of the construction leads to the calculation of the total scattering matrix of the graph. This matrix is equivalent to the one already proposed using generalized star product approach. We give several examples and show how they generalize some of the scattering matrices computed in the mathematical or condensed matter physics litterature. Then, we apply the construction for the calculation of the conductance of graphs, within a small distance approximation. The consistency of the approximation is proved by direct comparison with the exact calculation for the `tadpole' graph.Comment: 32 pages; misprints in tree graph corrected; proofs of consistency and unitarity adde

Correlation, hierarchies, and networks in financial markets

We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tree obtained from a correlation matrix. The information retained in filtering procedures and its stability with respect to statistical fluctuations is quantified by using the Kullback-Leibler distance.Comment: 37 pages, 9 figures, 3 table

Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a set of stocks.Comment: 13 pages, 8 figures, 2 Table

Reconstructing (super)trees from data sets with missing distances: Not all is lost

The wealth of phylogenetic information accumulated over many decades of biological research, coupled with recent technological advances in molecular sequence generation, present significant opportunities for researchers to investigate relationships across and within the kingdoms of life. However, to make best use of this data wealth, several problems must first be overcome. One key problem is finding effective strategies to deal with missing data. Here, we introduce Lasso, a novel heuristic approach for reconstructing rooted phylogenetic trees from distance matrices with missing values, for datasets where a molecular clock may be assumed. Contrary to other phylogenetic methods on partial datasets, Lasso possesses desirable properties such as its reconstructed trees being both unique and edge-weighted. These properties are achieved by Lasso restricting its leaf set to a large subset of all possible taxa, which in many practical situations is the entire taxa set. Furthermore, the Lasso approach is distance-based, rendering it very fast to run and suitable for datasets of all sizes, including large datasets such as those generated by modern Next Generation Sequencing technologies. To better understand the performance of Lasso, we assessed it by means of artificial and real biological datasets, showing its effectiveness in the presence of missing data. Furthermore, by formulating the supermatrix problem as a particular case of the missing data problem, we assessed Lasso's ability to reconstruct supertrees. We demonstrate that, although not specifically designed for such a purpose, Lasso performs better than or comparably with five leading supertree algorithms on a challenging biological data set. Finally, we make freely available a software implementation of Lasso so that researchers may, for the first time, perform both rooted tree and supertree reconstruction with branch lengths on their own partial datasets