Financial correlations at ultra-high frequency: theoretical models and empirical estimation

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.Comment: 22 pages, 8 figures, 1 table, version to appear in EPJ

Preferencial growth: exact solution of the time dependent distributions

We consider a preferential growth model where particles are added one by one to the system consisting of clusters of particles. A new particle can either form a new cluster (with probability q) or join an already existing cluster with a probability proportional to the size thereof. We calculate exactly the probability \Pm_i(k,t) that the size of the i-th cluster at time t is k. We analyze the asymptotics, the scaling properties of the size distribution and of the mean size as well as the relation of our system to recent network models.Comment: 8 pages, 4 figure

A Comparative Life Cycle Assessment of Conventional and All-Electric Car Ferries

Abstract Increased environmental focus in the marine transport sector, and especially focus on its effect on global warming, have initiated the deployment of all-electric propulsion. This thesis quantifies the environmental impacts of four ferry alternatives using the method of life cycle assessment (LCA). An all-electric lightweight catamaran in aluminium is compared to a conventional diesel powered monohull in steel. In addition, two theoretical cases are included where the design is the same as the all-electric ferry but the energy carrier is liquefied natural gas (LNG) or marine diesel oil (MDO). The objective of this thesis is to acquire insights to environmental savings and burdens associated with all-electric ferries and to identify where the largest improvements are possible. This is analysed by performing a comparative LCA on the four cases mentioned. Current studies within the field are somewhat incomplete, and it is therefore strived to establish a transparent dataset to improve the basis for future studies. In Norway the domestic car ferry fleet is also aging and many of them will be replaced when new tender demands are set. A specific ferry route and two ferry designs were chosen as the basis for the analysis. MS Ampere, the world s first all-electric car ferry operating a ferry route across the Sognefjord in Western Norway, were one of the designs used. MF Oppedal is operating the same ferry route and were the second design used in the analysis. In the study the impacts are calculated using the ReCiPe characterization method. The impacts are grouped in 18 different categories, linked to different environmental problems or public concerns, called mid-point indicators. Three perspectives are used: egalitarian, hierarchist and individualist. The egalitarian represents a long term, careful and argument-based view. Individualists are looking at short-term and require indisputable cause and effect relations in order to take actions. Hierarchists are somewhere in between, being risk neutral and looking at an intermediate time horizon. Results in three impact categories global warming potential, human toxicity and terrestrial acidification are presented for the hierarchist viewpoint. This is a selection of three impact categories to illustrate the methodology. The educational software Arda Gui, version 1.8.1 have been used in the impact calculations. Impacts are divided on in the processes battery/engine, hull and operation. The all-electric ferry is run on the average Norwegian electricity supply mix modelled in the Ecoinvent 2,2 database. The full set of results also have impact categories concerning land use, resource depletion, different toxicity impacts, eutrophication, radiation, ozone depletion, particulate matter formation and photochemical oxidant formation. Different units for a typical pollutant or attribute relevant to the environmental issue or public concern are the quantification method. The all-electric ferry outperforms the conventional alternatives in impact categories linked to combustive stressors and fossil fuels. Such impact categories are climate change, photochemical oxidant formation, ozone depletion, particulate matter formation and fossil fuel depletion. The all-electric and LNG ferry are significantly better than the ferries run on MDO when considering terrestrial acidification. This is due to the fact that there is no sulphur in the fuel. The electrical ferry has larger impact in all categories concerning toxicity except for the terrestrial ecotoxicity. A sensitivity analysis of important parameters were performed to investigate the dependency between input and results. Electricity mix, metal used for hull and engines, the number of trips per lifetime and battery life were the parameters varied. The results prove to be sensitive to the electricity mix used. In addition the metal used for hull and engines had impact for the category metal depletion. The analysis identifies that using all-electric ferries gives a problem shift with reducing impacts in categories linked to combustive stressors and fossil fuels and increasing impacts in toxicity. Similar tendencies have been presented in studies on electrical cars. Extraction of copper as input to the electricity grid and battery contribute largely in the toxicity categories. This makes the results highly dependent on the modelling of background processes such as electricity. The researcher has had limited access to database descriptions of such processes, and the choice of processes can therefore be a source of inaccuracy. Further work should include more emission reducing technologies as well as more complete parts of the ferries, beeing their components, production, operation and end of life

Readout for intersatellite laser interferometry: Measuring low frequency phase fluctuations of HF signals with microradian precision

Precision phase readout of optical beat note signals is one of the core techniques required for intersatellite laser interferometry. Future space based gravitational wave detectors like eLISA require such a readout over a wide range of MHz frequencies, due to orbit induced Doppler shifts, with a precision in the order of $\mu \textrm{rad}/\sqrt{\textrm{Hz}}$ at frequencies between $0.1\,\textrm{mHz}$ and $1\,\textrm{Hz}$. In this paper, we present phase readout systems, so-called phasemeters, that are able to achieve such precisions and we discuss various means that have been employed to reduce noise in the analogue circuit domain and during digitisation. We also discuss the influence of some non-linear noise sources in the analogue domain of such phasemeters. And finally, we present the performance that was achieved during testing of the elegant breadboard model of the LISA phasemeter, that was developed in the scope of an ESA technology development activity.Comment: submitted to Review of Scientific Instruments on April 30th 201

Scaling of the distribution of fluctuations of financial market indices

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0 < \alpha < 2$. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-97. We find estimates of $\alpha$ consistent with those describing the distribution of S&P 500 daily-returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than $(\Delta t)_{\times} \approx 4$ days, our results are consistent with slow convergence to Gaussian behavior.Comment: 12 pages in multicol LaTeX format with 27 postscript figures (Submitted to PRE May 20, 1999). See http://polymer.bu.edu/~amaral/Professional.html for more of our work on this are

Statistical mechanics of complex networks

Complex networks describe a wide range of systems in nature and society, much quoted examples including the cell, a network of chemicals linked by chemical reactions, or the Internet, a network of routers and computers connected by physical links. While traditionally these systems were modeled as random graphs, it is increasingly recognized that the topology and evolution of real networks is governed by robust organizing principles. Here we review the recent advances in the field of complex networks, focusing on the statistical mechanics of network topology and dynamics. After reviewing the empirical data that motivated the recent interest in networks, we discuss the main models and analytical tools, covering random graphs, small-world and scale-free networks, as well as the interplay between topology and the network's robustness against failures and attacks.Comment: 54 pages, submitted to Reviews of Modern Physic

Common Scaling Patterns in Intertrade Times of U. S. Stocks

We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function of intertrade times may be fit by a Weibull distribution; (ii) when appropriately rescaled the probability densities of all companies collapse onto a single curve implying a universal functional form; (iii) the intertrade times exhibit power-law correlated behavior within a trading day and a consistently greater degree of correlation over larger time scales, in agreement with the correlation behavior of the absolute price returns for the corresponding company, and (iv) the magnitude series of intertrade time increments is characterized by long-range power-law correlations suggesting the presence of nonlinear features in the trading dynamics, while the sign series is anti-correlated at small scales. Our results suggest that independent of industry sector, market capitalization and average level of trading activity, the series of intertrade times exhibit possibly universal scaling patterns, which may relate to a common mechanism underlying the trading dynamics of diverse companies. Further, our observation of long-range power-law correlations and a parallel with the crossover in the scaling of absolute price returns for each individual stock, support the hypothesis that the dynamics of transaction times may play a role in the process of price formation.Comment: 8 pages, 5 figures. Presented at The Second Nikkei Econophysics Workshop, Tokyo, 11-14 Nov. 2002. A subset appears in "The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium", editor H. Takayasu (Springer-Verlag, Tokyo, 2003) pp.51-57. Submitted to Phys. Rev. E on 25 June 200

Determining the neurotransmitter concentration profile at active synapses

Establishing the temporal and concentration profiles of neurotransmitters during synaptic release is an essential step towards understanding the basic properties of inter-neuronal communication in the central nervous system. A variety of ingenious attempts has been made to gain insights into this process, but the general inaccessibility of central synapses, intrinsic limitations of the techniques used, and natural variety of different synaptic environments have hindered a comprehensive description of this fundamental phenomenon. Here, we describe a number of experimental and theoretical findings that has been instrumental for advancing our knowledge of various features of neurotransmitter release, as well as newly developed tools that could overcome some limits of traditional pharmacological approaches and bring new impetus to the description of the complex mechanisms of synaptic transmission

Finite-time fluctuations in the degree statistics of growing networks

This paper presents a comprehensive analysis of the degree statistics in models for growing networks where new nodes enter one at a time and attach to one earlier node according to a stochastic rule. The models with uniform attachment, linear attachment (the Barab\'asi-Albert model), and generalized preferential attachment with initial attractiveness are successively considered. The main emphasis is on finite-size (i.e., finite-time) effects, which are shown to exhibit different behaviors in three regimes of the size-degree plane: stationary, finite-size scaling, large deviations.Comment: 33 pages, 7 figures, 1 tabl