Norm-dependent Random Matrix Ensembles in External Field and Supersymmetry

The class of norm-dependent Random Matrix Ensembles is studied in the presence of an external field. The probability density in those ensembles depends on the trace of the squared random matrices, but is otherwise arbitrary. An exact mapping to superspace is performed. A transformation formula is derived which gives the probability density in superspace as a single integral over the probability density in ordinary space. This is done for orthogonal, unitary and symplectic symmetry. In the case of unitary symmetry, some explicit results for the correlation functions are derived.Comment: 19 page

Arbitrary Rotation Invariant Random Matrix Ensembles and Supersymmetry

We generalize the supersymmetry method in Random Matrix Theory to arbitrary rotation invariant ensembles. Our exact approach further extends a previous contribution in which we constructed a supersymmetric representation for the class of norm-dependent Random Matrix Ensembles. Here, we derive a supersymmetric formulation under very general circumstances. A projector is identified that provides the mapping of the probability density from ordinary to superspace. Furthermore, it is demonstrated that setting up the theory in Fourier superspace has considerable advantages. General and exact expressions for the correlation functions are given. We also show how the use of hyperbolic symmetry can be circumvented in the present context in which the non-linear sigma model is not used. We construct exact supersymmetric integral representations of the correlation functions for arbitrary positions of the imaginary increments in the Green functions.Comment: 36 page

Transition from Poisson to gaussian unitary statistics: The two-point correlation function

We consider the Rosenzweig-Porter model of random matrix which interpolates between Poisson and gaussian unitary statistics and compute exactly the two-point correlation function. Asymptotic formulas for this function are given near the Poisson and gaussian limit.Comment: 19 pages, no figure

Quantile Correlations: Uncovering temporal dependencies in financial time series

We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P 500 stocks from the New York Stock Exchange. After establishing an empirical overview we compare the quantile-based correlation function to stochastic processes from the GARCH family and find striking differences. This motivates us to propose the quantile-based correlation function as a powerful tool to assess the agreements between stochastic processes and empirical data

Spin-orbit interaction in quantum dots in the presence of exchange correlations

We discuss the problem of spin-orbit interaction in a 2D chaotic or diffusive quantum dot in the presence of exchange correlations. Spin-orbit scattering breaks spin rotation invariance, and in the crossover regime between different symmetries of the spin-orbit coupling, the problem has no closed solution. A conventional choice of a many-particle basis in a numerical diagonalization is the set of Slater determinants built from the single-particle eigenstates of the one-body Hamiltonian (including the spin-orbit terms). We develop a different approach based on the use of a good-spin many-particle basis that is composed of the eigenstates of the universal Hamiltonian in the absence of spin-orbit scattering. We introduce a complete labelling of this good-spin basis and use angular momentum algebra to calculate in closed form the matrix elements of the spin-orbit interaction in this basis. Spin properties, such as the ground-state spin distribution and the spin excitation function, are easily calculated in this basis.Comment: 14 pages, 3 figure

Rigidity and Normal Modes in Random Matrix Spectra

We consider the Gaussian ensembles of random matrices and describe the normal modes of the eigenvalue spectrum, i.e., the correlated fluctuations of eigenvalues about their most probable values. The associated normal mode spectrum is linear, and for large matrices, the normal modes are found to be Chebyshev polynomials of the second kind. We contrast this with the behaviour of a sequence of uncorrelated levels, which has a quadratic normal mode spectrum. The difference in the rigidity of random matrix spectra and sequences of uncorrelated levels can be attributed to this difference in the normal mode spectra. We illustrate this by calculating the number variance in the two cases.Comment: 12 pages, 1 LaTeX fil

Stochastic field theory for a Dirac particle propagating in gauge field disorder

Recent theoretical and numerical developments show analogies between quantum chromodynamics (QCD) and disordered systems in condensed matter physics. We study the spectral fluctuations of a Dirac particle propagating in a finite four dimensional box in the presence of gauge fields. We construct a model which combines Efetov's approach to disordered systems with the principles of chiral symmetry and QCD. To this end, the gauge fields are replaced with a stochastic white noise potential, the gauge field disorder. Effective supersymmetric non-linear sigma-models are obtained. Spontaneous breaking of supersymmetry is found. We rigorously derive the equivalent of the Thouless energy in QCD. Connections to other low-energy effective theories, in particular the Nambu-Jona-Lasinio model and chiral perturbation theory, are found.Comment: 4 pages, 1 figur