Multi-scale correlations in different futures markets

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of "local" Hurst exponent, we point out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration.Comment: 14 pages and 25 figure

Eikonal representation in the momentum-transfer space

By means of empirical fits to the differential cross section data on pp and p(bar)p elastic scattering, above 10 GeV (center-of-mass energy), we determine the eikonal in the momentum - transfer space (q^2- space). We make use of a numerical method and a novel semi-analytical method, through which the uncertainties from the fit parameters can be propagated up to the eikonal in the $q^2$- space. A systematic study of the effect of the experimental information at large values of the momentum transfer is developed and discussed in detail. We present statistical evidence that the imaginary part of the eikonal changes sign in the q^2- space and that the position of the zero decreases as the energy increases; after the position of the zero, the eikonal presents a minimum and then goes to zero through negative values. We discuss the applicability of our results in the phenomenological context, outlining some connections with nonperturbative QCD. A short review and a critical discussion on the main results concerning "model-independent" analyses are also presented.Comment: 18 pages, 17 figures, 4 tables, svjour.cls. Revised discussion on the proton's electromagnetic form factor and references added. To appear in Eur. Phys. J.

Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval $(2,3)$ and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread does not possess multifractal nature.Comment: 8 EPJ pages including 7 eps figure

Handley Donaldson

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Acoustic and mechanical properties of Nankai accretionary prism core samples

International audienceWe studied undeformed sediment and accreted strata recently recovered by Ocean Drilling Program/Integrated Ocean Drilling Program (ODP/IODP) drilling in Nankai Trough convergent margin to unravel the changes in physical properties from initial deposition to incipient deformation. We have derived acoustic (Vp) and mechanical (uniaxial poroelastic compliance, compaction amplitude) properties of samples from various drill sites along the Muroto (ODP 1173) and Kii transects (IODP C0001, C0002, C0006, and C0007) from isotropic loading tests where confining and pore pressure were independently applied. We quantified the dependence of Vp on both effective (Peff) and confining (Pc) pressure, which can be used to correct atmospheric pressure measurements of Vp. Experimental Vp obtained on core samples extrapolated to in situ conditions are slightly higher than logging-derived velocities, which can be attributed either to velocity dispersion or to the effect of large-scale faults and weak zones on waves with longer wavelength. In the high-porosity (30%-60%) tested sediments, velocities are controlled at first order by porosity and not by lithology, which is in agreement with our static measurements of drained framework incompressibility, much smaller than fluid incompressibility. Rather than framework incompressibility, shear modulus is probably the second-order control on Vp, accounting for most of the difference between actual Vp and the prediction by Wood's (1941) suspension model. We also quantified the mechanical state of Nankai samples in terms of anisotropy, diagenesis, and consolidation. Both acoustic and mechanical parameters reveal similar values in vertical and horizontal directions, attesting to the very low anisotropy of the tested material. When considering the porous samples of the Upper Shikoku Basin sediments (Site 1173) as examples of diagenetically cemented material, several mechanical and acoustic attributes appeared as reliable experimental indicators of the presence of intergrain cementation. We also detected incipient cementation in samples from IODP Site C0001 (accretionary prism unit). In terms of consolidation, we distinguished two classes of material response (shallow, deformable samples and deep, hardly deformable ones) based on the amount of compaction upon application of a Peff large with respect to the inferred in situ value, with a transition that might be related to a critical porosity

Anelastic strain recovery reveals extension across SW Japan subduction zone

Sediment dominated convergent margins typically record substantial horizontal shortening often associated with great earthquakes. The convergent margin south of Japan is arguably one of the most extensively investigated margins and previous studies have documented extensive evidence for accretion and horizontal shortening. Here, we show results from anelastic strains recovered from three partially lithified sediment samples (40~ porosities) across the southwest Japan accretionary prism and propose that the margin is dominated by horizontal extension rather than compression. The anelastic strain results are also consistent with stress directions interpreted from two independent techniques - bore hole breakout orientations and core-scale fault data. We interpret this unexpected result to reflect geologically recent underthrusting of a thick sediment package and concomitant weakening of the decollement

The thickness of subduction plate boundary faults from the seafloor into the seismogenic zone

The thickness of an active plate boundary fault is an important parameter for understanding the strength and spatial heterogeneity of fault behavior. We have compiled direct measurements of the thickness of subduction thrust faults from active and ancient examples observed by ocean drilling and fi eld studies in accretionary wedges. We describe a general geometric model for subduction thrust décollements, which includes multiple simultaneously active, anastomosing fault strands tens of meters thick. The total thickness encompassing all simultaneously active strands increases to ~100–350 m at ~1–2 km below seafl oor, and this thickness is maintained down to a depth of ~15 km. Thin sharp faults representing earthquake slip surfaces or other discrete slip events are found within and along the edges of the tens-ofmeters- thick fault strands. Although fl attening, primary inherited chaotic fabrics, and fault migration through subducting sediments or the frontal prism may build mélange sections that are much thicker (to several kilometers), this thickness does not describe the active fault at any depth. These observations suggest that models should treat the subduction thrust plate boundary fault as <1–20 cm thick during earthquakes, with a concentration of postseismic and interseismic creep in single to several strands 5–35 m thick, with lesser distributed interseismic deformation in stratally disrupted rocks surrounding the fault strands

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