Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.Comment: 11 pages, 7 picture

The competitiveness versus the wealth of a country

Politicians world-wide frequently promise a better life for their citizens. We find that the probability that a country will increase its {\it per capita} GDP ({\it gdp}) rank within a decade follows an exponential distribution with decay constant $\lambda = 0.12$. We use the Corruption Perceptions Index (CPI) and the Global Competitiveness Index (GCI) and find that the distribution of change in CPI (GCI) rank follows exponential functions with approximately the same exponent as $\lambda$, suggesting that the dynamics of {\it gdp}, CPI, and GCI may share the same origin. Using the GCI, we develop a new measure, which we call relative competitiveness, to evaluate an economy's competitiveness relative to its {\it gdp}. For all European and EU countries during the 2008-2011 economic downturn we find that the drop in {\it gdp} in more competitive countries relative to {\it gdp} was substantially smaller than in relatively less competitive countries, which is valuable information for policymakers.Comment: 11 pages, 7 figures, accepted for publication in Nature Scientific Report

Vector mesonic phase and the chiral bag model

The mesonic sector of the standard chiral bag model was enlarged to include the vector and axial vector components. New model openly displays the current field identities. It's predictions are close to the older model. This seems to be the consequence of the chiral invariance and of the PCAC and CVC constraints. Particle masses, the axial-vector coupling constant, the proton magnetic moment and the charge radius have been calculated

A non-hedgehog solution for the chiral bag

The chiral sigma model, embedded in the chiral-bag environment, is solved by an ansatz which conserves isospin and spin separably. This chiral ansatz is treated in two ways: i) as a set of operator equations of motion solved between quark states and ii) the hamilton operator is averaged between suitable hadron states, and the equations of motion are derived for these mean fields. The second approach is completely analogous to the usual one which employs hedgehog quarks, which is also reproduced here. It turns out that the energy minimum (i.e. hadron masses) can be found with chiral quarks as well as with hedgehog quarks. Model predictions for the axial-vector coupling constant and for the nucleon magnetic moment obtained with chiral quarks are of the same quality, or better than those obtained using the usual hedgehog-based approximation

The Extended Chiral Quark Model in a Tamm-Dancoff Inspired Approximation

A procedure inspired by the Tamm-Dancoff method is applied to the chiral quark model which has been extended to include additional degrees of freedom: a pseudoscalar isoscalar field as well as a triplet of scalar isovector fields. The simpler, generic $\sigma$ -- model has been used before as a test for the Tamm-Dancoff inspired approximation (TDIA). The extended chirial quark model is employed here to investigate possible novel effects of the additional degrees of freedom as well as to point out the necessesity to introduce a SU(3) flavour. Model predictions for the axial-vector coupling constant and for the nucleon magnetic moment obtained in TDIA are compared with experimental values.Comment: 14 pages, LaTe

Systems with Correlations in the Variance: Generating Power-Law Tails in Probability Distributions

We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance generated by (i) a Gaussian or (ii) a truncated L\'{e}vy distribution. For both (i) and (ii), we find that due to the correlations in the variance, the process ``dynamically'' generates power-law tails in the distributions, whose exponents can be controlled through the way the correlations in the variance are introduced. For (ii), we find that the process can extend a truncated distribution {\it beyond the truncation cutoff}, which leads to a crossover between a L\'{e}vy stable power law and the present ``dynamically-generated'' power law. We show that the process can explain the crossover behavior recently observed in the S&P500 stock index.Comment: 7 pages, five figures. To appear in Europhysics Letters (2000

A non-hedgehog solution for the chiral bag

The chiral sigma model, embedded in the chiral-bag environment, is solved by an ansatz which conserves isospin and spin separably. This chiral ansatz is treated in two ways: i) as a set of operator equations of motion solved between quark states and ii) the hamilton operator is averaged between suitable hadron states, and the equations of motion are derived for these mean fields. The second approach is completely analogous to the usual one which employs hedgehog quarks, which is also reproduced here. It turns out that the energy minimum (i.e. hadron masses) can be found with chiral quarks as well as with hedgehog quarks. Model predictions for the axial-vector coupling constant and for the nucleon magnetic moment obtained with chiral quarks are of the same quality, or better than those obtained using the usual hedgehog-based approximation

Croatian and Slovenian Mutual Funds and Bosnian Investments Funds (in English)

The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.stock market, mutual fund, investment fund, risk/return measures