Non-Parametric Analyses of Log-Periodic Precursors to Financial Crashes

We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the so-called (H,q)-derivative is applied to seven time series ending with the October 1987 crash, the October 1997 correction and the April 2000 crash of the Dow Jones Industrial Average (DJIA), the Standard & Poor 500 and Nasdaq indices. The Hilbert transform is applied to two detrended price time series in terms of the ln(t_c-t) variable, where t_c is the time of the crash. Taking all results together, we find strong evidence for a universal fundamental log-frequency $f = 1.02 \pm 0.05$ corresponding to the scaling ratio $\lambda = 2.67 \pm 0.12$. These values are in very good agreement with those obtained in past works with different parametric techniques.Comment: Latex document 13 pages + 58 eps figure

Comment on "Are financial crashes predictable?"

Comment on "Are financial crashes predictable?", L. Laloux, M. Potters, R. Cont, J.P Aguilar and J.-P. Bouchaud, Europhys. Lett. 45, 1-5 (1999)Comment: 2 pages including 2 figures. Subm. to Eur. Phys Lett. Previous error in fig. 1 correcte

Liouville theory and special coadjoint Virasoro orbits

We describe the Hamiltonian reduction of the coajoint Kac-Moody orbits to the Virasoro coajoint orbits explicitly in terms of the Lagrangian approach for the Wess-Zumino-Novikov-Witten theory. While a relation of the coajoint Virasoro orbit $Diff \; S^1 /SL(2,R)$ to the Liouville theory has been already studied we analyse the role of special coajoint Virasoro orbits $Diff \; S^1/\tilde{T}_{\pm ,n}$ corresponding to stabilizers generated by the vector fields with double zeros. The orbits with stabilizers with single zeros do not appear in the model. We find an interpretation of zeros $x_i$ of the vector field of stabilizer $\tilde{T}_{\pm ,n}$ and additional parameters $q_i$, $i = 1,...,n$, in terms of quantum mechanics for $n$ point particles on the circle. We argue that the special orbits are generated by insertions of "wrong sign" Liouville exponential into the path integral. The additional parmeters $q_i$ are naturally interpreted as accessory parameters for the uniformization map. Summing up the contributions of the special Virasoro orbits we get the integrable sinh-Gordon type theory.Comment: preprint ITEP-67-1993,16 p.,Latex fil

The log-periodic-AR(1)-GARCH(1,1) model for financial crashes

This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model of price movements, which has been largely used to forecast financial crashes. In order to accomplish reliable statistical inference for unknown parameters, we incorporate an autoregressive dynamic and a conditional heteroskedasticity structure in the error term of the original model, yielding the log-periodic-AR(1)-GARCH(1,1) model. Both the original and the extended models are fitted to financial indices of U. S. market, namely S&P500 and NASDAQ. Our analysis reveal two main points: (i) the log-periodic-AR(1)-GARCH(1,1) model has residuals with better statistical properties and (ii) the estimation of the parameter concerning the time of the financial crash has been improved.Comment: 17 pages, 4 figures, 12 tables, to appear in Europen Physical Journal

Twisting of N=1 SUSY Gauge Theories and Heterotic Topological Theories

It is shown that $D=4$ $N=1$ SUSY Yang-Mills theory with an appropriate supermultiplet of matter can be twisted on compact K\"ahler manifold. The conditions of cancellation of anomalies of BRST charge are found. The twisted theory has an appropriate BRST charge. We find a non-trivial set of physical operators defined as classes of the cohomology of this BRST \op . We prove that the physical correlators are independent on external K\"ahler metric up to a power of a ratio of two Ray-Singer torsions for the Dolbeault cohomology complex on a K\"ahler manifold. The correlators of local physical \op s turn out to be independent of anti-holomorphic coordinates defined with a complex structure on the K\"ahler manifold. However a dependence of the correlators on holomorphic coordinates can still remain. For a hyperk\"ahler metric the physical correlators turn out to be independent of all coordinates of insertions of local physical \op s.Comment: Latex, 35 pages, FERMILAB-PUB-93/062-T. More extended arguments, 7 references added, some misprints are remove

Stochastics theory of log-periodic patterns

We introduce an analytical model based on birth-death clustering processes to help understanding the empirical log-periodic corrections to power-law scaling and the finite-time singularity as reported in several domains including rupture, earthquakes, world population and financial systems. In our stochastics theory log-periodicities are a consequence of transient clusters induced by an entropy-like term that may reflect the amount of cooperative information carried by the state of a large system of different species. The clustering completion rates for the system are assumed to be given by a simple linear death process. The singularity at t_{o} is derived in terms of birth-death clustering coefficients.Comment: LaTeX, 1 ps figure - To appear J. Phys. A: Math & Ge

Dust Evolution and the Formation of Planetesimals

The solid content of circumstellar disks is inherited from the interstellar medium: dust particles of at most a micrometer in size. Protoplanetary disks are the environment where these dust grains need to grow at least 13 orders of magnitude in size. Our understanding of this growth process is far from complete, with different physics seemingly posing obstacles to this growth at various stages. Yet, the ubiquity of planets in our galaxy suggests that planet formation is a robust mechanism. This chapter focuses on the earliest stages of planet formation, the growth of small dust grains towards the gravitationally bound "planetesimals", the building blocks of planets. We will introduce some of the key physics involved in the growth processes and discuss how they are expected to shape the global behavior of the solid content of disks. We will consider possible pathways towards the formation of larger bodies and conclude by reviewing some of the recent observational advances in the field.Comment: 43 pages, 6 figures. Chapter in International Space Science Institute (ISSI) Book on "The Disk in Relation to the Formation of Planets and their Proto-atmospheres", published in Space Science Reviews by Springe

A Critical Behaviour of Anomalous Currents, Electric-Magnetic Universality and CFT_4

We discuss several aspects of superconformal field theories in four dimensions (CFT_4), in the context of electric-magnetic duality. We analyse the behaviour of anomalous currents under RG flow to a conformal fixed point in N=1, D=4 supersymmetric gauge theories. We prove that the anomalous dimension of the Konishi current is related to the slope of the beta function at the critical point. We extend the duality map to the (nonchiral) Konishi current. As a byproduct we compute the slope of the beta function in the strong coupling regime. We note that the OPE of $T_{\mu\nu}$ with itself does not close, but mixes with a special additional operator $\Sigma$ which in general is the Konishi current. We discuss the implications of this fact in generic interacting conformal theories. In particular, a SCFT_4 seems to be naturally equipped with a privileged off-critical deformation $\Sigma$ and this allows us to argue that electric-magnetic duality can be extended to a neighborhood of the critical point. We also stress that in SCFT_4 there are two central charges, c and c', associated with the stress tensor and $\Sigma$, respectively; c and c' allow us to count both the vector multiplet and the matter multiplet effective degrees of freedom of the theory.Comment: harvmac tex, 28 pages, 3 figures. Version to be published in Nucl. Phys.

Inverse Statistics in the Foreign Exchange Market

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) $\rho$ in the price of an investment. The analysis is performed for the Deutsch mark (DM) against the $US for the full year of 1998, but similar results are obtained for the Japanese Yen against the$US. With high statistical significance, the presence of "resonance peaks" in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the markets participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new {\em stylized fact}, is observed for the waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale dependent features of the market activity.Comment: 8 pages. Accepted Physica