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

Renormalization flow for extreme value statistics of random variables raised to a varying power

Using a renormalization approach, we study the asymptotic limit distribution of the maximum value in a set of independent and identically distributed random variables raised to a power q(n) that varies monotonically with the sample size n. Under these conditions, a non-standard class of max-stable limit distributions, which mirror the classical ones, emerges. Furthermore a transition mechanism between the classical and the non-standard limit distributions is brought to light. If q(n) grows slower than a characteristic function q*(n), the standard limit distributions are recovered, while if q(n) behaves asymptotically as k.q*(n), non-standard limit distributions emerge.Comment: 21 pages, 1 figure,final version, to appear in Journal of Physics

Wavelets techniques for pointwise anti-Holderian irregularity

In this paper, we introduce a notion of weak pointwise Holder regularity, starting from the de nition of the pointwise anti-Holder irregularity. Using this concept, a weak spectrum of singularities can be de ned as for the usual pointwise Holder regularity. We build a class of wavelet series satisfying the multifractal formalism and thus show the optimality of the upper bound. We also show that the weak spectrum of singularities is disconnected from the casual one (denoted here strong spectrum of singularities) by exhibiting a multifractal function made of Davenport series whose weak spectrum di ers from the strong one

Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain "The Methods of Choice" in determining the Hurst index of time series.Comment: 6 pages (including 3 figures) + 3 supplementary figure

“Savages Who Speak French”: Folklore, Primitivism and Morals in Robert Hertz

Hertz's analysis of the Alpine cult of Saint Besse apparently marks a break from his studies of death, sin and the left to folkloric studies. This analysis helps one to understand the personality of Robert Hertz. His sociological curiosity about folklore reveals his ambiguous position in social sciences at the beginning of the twentieth century. His text appears to be a variation from the Durkheimian norm, but another reading could suggest that Hertz continued and went beyond Durkheimian thought to something between sociology of the modern world and engaged socialism. Through this study, Hertz linked his political ideals, his work in ethnology and his desire for social involvement. The cult of Saint Besse perpetuated as much religious tradition as local identity. The Alpine people were presented in the text as wilful perpetuators of an ideal social order, whose loss for his contemporary city dwellers Hertz feared. The alpine Other, marked by a material and moral backwardness, represented for activist and socialist Hertz one of the paths of balanced social organization that stabilized the identity of a group across time if it fit rather well into the folkloric stereotypes of the beginning of the twentieth century. Finally, by linking events in Herz's life (e.g., the accidental Alpine death of his father), this article suggests that the legend of Saint Besse embodied several recurring motifs in Hertz' career: the accidental deaths of saint and father by falls, the military role of the saint and of Hertz himself

Solar Wind Turbulence and the Role of Ion Instabilities

International audienc

Multi-scale polarisation phenomena

Multi-scale methods that separate different time or spatial scales are among the most powerful techniques in physics, especially in applications that study nonlinear systems with noise. When the time scales (noise and perturbation) are of the same order, the scales separation becomes impossible. Thus, the multi-scale approach has to be modified to characterise a variety of noise-induced phenomena. Here, based on stochastic modelling and analytical study, we demonstrate in terms of the fluctuation-induced phenomena and Hurst R/S analysis metrics that the matching scales of random birefringence and pump–signal states of polarisation interaction in a fibre Raman amplifier results in a new random birefringence-mediated phenomenon, which is similar to stochastic anti-resonance. The observed phenomenon, apart from the fundamental interest, provides a base for advancing multi-scale methods with application to different coupled nonlinear systems ranging from lasers (multimode, mode-locked, random, etc.) to nanostructures (light-mediated conformation of molecules and chemical reactions, Brownian motors, etc.)

The Natural Statistics of Audiovisual Speech

Humans, like other animals, are exposed to a continuous stream of signals, which are dynamic, multimodal, extended, and time varying in nature. This complex input space must be transduced and sampled by our sensory systems and transmitted to the brain where it can guide the selection of appropriate actions. To simplify this process, it's been suggested that the brain exploits statistical regularities in the stimulus space. Tests of this idea have largely been confined to unimodal signals and natural scenes. One important class of multisensory signals for which a quantitative input space characterization is unavailable is human speech. We do not understand what signals our brain has to actively piece together from an audiovisual speech stream to arrive at a percept versus what is already embedded in the signal structure of the stream itself. In essence, we do not have a clear understanding of the natural statistics of audiovisual speech. In the present study, we identified the following major statistical features of audiovisual speech. First, we observed robust correlations and close temporal correspondence between the area of the mouth opening and the acoustic envelope. Second, we found the strongest correlation between the area of the mouth opening and vocal tract resonances. Third, we observed that both area of the mouth opening and the voice envelope are temporally modulated in the 2–7 Hz frequency range. Finally, we show that the timing of mouth movements relative to the onset of the voice is consistently between 100 and 300 ms. We interpret these data in the context of recent neural theories of speech which suggest that speech communication is a reciprocally coupled, multisensory event, whereby the outputs of the signaler are matched to the neural processes of the receiver