Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''

Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our theoretical understanding of agent interactions and of the organization of the market. The gaussian paradigm of independent normally distributed price increments has long been known to be incorrect with many attempts to improve it. Econometric nonlinear autoregressive models with conditional heteroskedasticity (ARCH) and their generalizations capture only imperfectly the volatility correlations and the fat tails of the probability distribution function (pdf) of price variations. Moreover, as far as changes in time scales are concerned, the so-called ``aggregation'' properties of these models are not easy to control. More recently, the leptokurticity of the full pdf was described by a truncated ``additive'' L\'evy flight model (TLF). Alternatively, Ghashghaie et al. proposed an analogy between price dynamics and hydrodynamic turbulence. In this letter, we use wavelets to decompose the volatility of intraday (S&P500) return data across scales. We show that when investigating two-points correlation functions of the volatility logarithms across different time scales, one reveals the existence of a causal information cascade from large scales (i.e. small frequencies, hence to vocable ``infrared'') to fine scales (``ultraviolet''). We quantify and visualize the information flux across scales. We provide a possible interpretation of our findings in terms of market dynamics.Comment: 9 pages, 3 figure

A multifractal random walk

We introduce a class of multifractal processes, referred to as Multifractal Random Walks (MRWs). To our knowledge, it is the first multifractal processes with continuous dilation invariance properties and stationary increments. MRWs are very attractive alternative processes to classical cascade-like multifractal models since they do not involve any particular scale ratio. The MRWs are indexed by few parameters that are shown to control in a very direct way the multifractal spectrum and the correlation structure of the increments. We briefly explain how, in the same way, one can build stationary multifractal processes or positive random measures.Comment: 5 pages, 4 figures, uses RevTe

Twist Three Distribution f_\perp(x,k^\perp) in Light-front Hamiltonian Approach

We calculate the twist three distribution f_\perp(x,k^\perp) contributing to Cahn effect in unpolarized semi-inclusive deep inelastic scattering. We use light-front Hamiltonian technique and take the state to be a dressed quark at one loop in perturbation theory. The 'genuine twist three' contribution comes from the quark-gluon interaction part in the operator and is explicitly calculated. f_\perp(x,k^\perp) is compared with f_1(x,k^\perp).Comment: Two figures added, one author added, some parts rewritten for clarificatio

A Prototype Model of Stock Exchange

A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate his assets by speculating on the price's fluctuations which are produced by themselves. The model reproduced rather realistic price histories whose statistical properties are also similar to those observed in real markets.Comment: LaTex, 4 pages, 4 Encapsulated Postscript figures, uses psfi

A model for parton distributions in hadrons

The non-perturbative parton distributions in hadrons are derived from simple physical arguments resulting in an analytical expression for the valence parton distributions. The sea partons arise mainly from pions in hadronic fluctuations. The model gives new insights and a good description of structure function data.Comment: 3 pages, 4 figures, LaTeX. Contribution to DIS 99 worksho

The liquid Argon TPC: a powerful detector for future neutrino experiments and proton decay searches

We discuss the possibility of new generation neutrino and astroparticle physics experiments exploiting the liquid Argon Time Projection Chamber (LAr TPC) technique, following a graded strategy that envisions applications with increasing detector masses (from 100 ton to 100 kton). The ICARUS R&D program has already demonstrated that the technology is mature with the test of the T600 detector at surface. Since 2003 we have been working with the conceptual design of a very large LAr TPC with a mass of 50-100 kton to be built by employing a monolithic technology based on the use of industrial, large volume, cryogenic tankers developed by the petro-chemical industry. Such a detector, if realized, would be an ideal match for a Super Beam, Beta Beam or Neutrino Factory, covering a broad physics program that includes the detection of atmospheric, solar and supernova neutrinos, and searches for proton decay, in addition to the rich accelerator neutrino physics program. A "test module" with a mass of the order of 10 kton operated underground or at shallow depth would represent a necessary milestone towards the realization of the 100 kton detector, with an interesting physics program on its own. In parallel, physics is calling for a shorter scale application of the LAr TPC technique at the level of 100 ton mass, for low energy neutrino physics and for use as a near station setup in future long baseline neutrino facilities. We outline here the main physics objectives and the design of such a detector for operation in the upcoming T2K neutrino beam. We finally present the result of a series of R&D studies conducted with the aim of validating the design of the proposed detectors.Comment: 16 pages, 18 figures, Invited talk at High Intensity Physics HIF05, La Biodola, Isola d'Elba (Italy), June 200

Color Transparency via Coherent Exclusive rho Production

We examine the potential of the COMPASS experiment at CERN to study color transparency via exclusive coherent vector meson production in hard muon-nucleus scattering. It is demonstrated that COMPASS has high sensitivity to test this important prediction of perturbative QCD.Comment: Feasibility study for COMPASS collaboration, 3 pages, no figures, 1 table. This contribution is based on talk presented at the Workshop on Spin Physics, Trento, Italy, July 2001. The conference www site is http://ECTstar.ect.it/contents.html The proceedings of the workshop will be published as a special issue of Nuclear Physics B (proc suppl), eds. S Bass, A De Roeck and A Deshpande. A more complete 26 page feasibility study with 7 figures and 3 tables is available as A. Sandacz et al., hep-ex/0106076 Revision of 26 Sept. for Ref. 11 modificatio

EPS09 - Nuclear PDFs and Their Uncertainties at NLO

In this talk, we present our recent next-to-leading order (NLO) nuclear parton distribution functions (nPDFs), which we call EPS09. As an extension to earlier NLO analyses, we supplement the deep inelastic scattering and Drell-Yan dilepton data by inclusive midrapidity pion measurements from RHIC in order to reduce the otherwize large freedom in the nuclear gluon densities. Our Hessian-type error analysis leading to a collection of nPDF error sets, is the first of its kind among the nPDF analyses.Comment: 4 pages, 4 figures - To appear in the conference proceedings for Quark Matter 2009, March 30 - April 4, Knoxville, Tennesse