Random Matrix Theory Analysis of Cross Correlations in Financial Markets

We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random part of the eigenvalue distribution of the cross correlation matrix is stable even when deterministic correlations are present. Some deviations in the small eigenvalue statistics outside the bounds of the universality class of RMT are not completely explained with the deterministic correlations as proposed in previous studies. We study the effect of randomness on deterministic correlations and find that randomness causes a repulsion between deterministic eigenvalues and the random eigenvalues. This is interpreted as a reminiscent of ``level repulsion'' in RMT and explains some deviations from the previous studies observed in the market data. We also study correlated groups of issues in these markets and propose a refined method to identify correlated groups based on RMT. Some characteristic differences between properties of Tokyo Stock Exchange and New York Stock Exchange are found.Comment: RevTex, 17 pages, 8 figure

Cooling effect on buildings by the roof greening at Research Institute for Bioresources, Okayama University

Roof greening is known to be environmentally friendly technology. Recently developed new roof greening systems, such as the thin-layer/Excel soil© system and the wetland type greening system, were tested at the roof top of buildings of Research Institute for Bioresources, Okayama University. After a multi-year test, these new systems have been established during high-temperature and less-rainfall summer seasons in the south Okayama region. Data indicated that roof greening effectively reduced the temperature of the concrete surface (more than 10°C). The room temperature under the green roof was also reduced both in a stock room (up to 6°C) and in an office room (about 2°C). We also provided the estimation indicating that this roof greening is useful for the decrease in CO(2) emission through the reduction of the electric power for air-conditioning in the summer

U.S. stock market interaction network as learned by the Boltzmann Machine

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning framework for statistical inference, we analyze historical behavior of the parameters inferred using exact and approximate learning algorithms. Since the model and inference methods require use of binary variables, effect of this mapping of continuous returns to the discrete domain is studied. The presented analysis shows that binarization preserves market correlation structure. Properties of distributions of external fields and couplings as well as industry sector clustering structure are studied for different historical dates and moving window sizes. We found that a heavy positive tail in the distribution of couplings is responsible for the sparse market clustering structure. We also show that discrepancies between the model parameters might be used as a precursor of financial instabilities.Comment: 15 pages, 17 figures, 1 tabl

Statistical Properties of Cross-Correlation in the Korean Stock Market

We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. The $\beta_{473}$ coefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy function $E(\sigma)$ with the portfolio risk $\sigma$ for the original and filtered correlation matrices are consistent with a power-law function, $E(\sigma) \sim \sigma^{-\gamma}$, with the exponent $\gamma \sim 2.92$ and those for Asian currency crisis decreases significantly

Observation of Multi-Tev Gamma Rays from the Crab Nebula Using the Tibet Air Shower Array

The Tibet experiment, operating at Yangbajing (4,300 m above sea level), is the lowest energy air shower array and the new high density array constructed in 1996 has sensitivity to $\gamma$-ray air showers at energies as low as 3 TeV. With this new array, the Crab Nebula was observed in multi-TeV $\gamma$-rays and a signal was detected at the 5.5 $\sigma$ level. We also obtained the energy spectrum of $\gamma$-rays in the energy region above 3 TeV which partially overlaps those observed with imaging atmospheric Cherenkov telescopes. This is the first observation of $\gamma$-ray signals from point sources with a conventional air shower array using scintillation detectors.Comment: 9 pages, 4 figures, Accepted for publication in ApJ Letter

Detection of Multi-TeV Gamma Rays from Markarian 501 during an Unforeseen Flaring State in 1997 with the Tibet Air Shower Array

In 1997, the BL Lac Object Mrk 501 entered a very active phase and was the brightest source in the sky at TeV energies, showing strong and frequent flaring. Using the data obtained with a high density air shower array that has been operating successfully at Yangbajing in Tibet since 1996, we searched for gamma-ray signals from this source during the period from February through August in 1997. Our observation detected multi-TeV $\gamma$-ray signals at the 3.7-Sigma level during this period. The most rapid increase of the excess counts was observed between April 7 and June 16 and the statistical significance of the excess counts in this period was 4.7-Sigma. Among several observations of flaring TeV gamma-rays from Mrk 501 in 1997, this is the only observation using a conventional air shower array. We present the energy spectrum of gamma-rays which will be worthy to compare with those obtained by imaging atmospheric Cerenkov telescopes.Comment: 9 pages, 7 figures, To appear in Ap

Factor analysis for gene regulatory networks and transcription factor activity profiles

BACKGROUND: Most existing algorithms for the inference of the structure of gene regulatory networks from gene expression data assume that the activity levels of transcription factors (TFs) are proportional to their mRNA levels. This assumption is invalid for most biological systems. However, one might be able to reconstruct unobserved activity profiles of TFs from the expression profiles of target genes. A simple model is a two-layer network with unobserved TF variables in the first layer and observed gene expression variables in the second layer. TFs are connected to regulated genes by weighted edges. The weights, known as factor loadings, indicate the strength and direction of regulation. Of particular interest are methods that produce sparse networks, networks with few edges, since it is known that most genes are regulated by only a small number of TFs, and most TFs regulate only a small number of genes. RESULTS: In this paper, we explore the performance of five factor analysis algorithms, Bayesian as well as classical, on problems with biological context using both simulated and real data. Factor analysis (FA) models are used in order to describe a larger number of observed variables by a smaller number of unobserved variables, the factors, whereby all correlation between observed variables is explained by common factors. Bayesian FA methods allow one to infer sparse networks by enforcing sparsity through priors. In contrast, in the classical FA, matrix rotation methods are used to enforce sparsity and thus to increase the interpretability of the inferred factor loadings matrix. However, we also show that Bayesian FA models that do not impose sparsity through the priors can still be used for the reconstruction of a gene regulatory network if applied in conjunction with matrix rotation methods. Finally, we show the added advantage of merging the information derived from all algorithms in order to obtain a combined result. CONCLUSION: Most of the algorithms tested are successful in reconstructing the connectivity structure as well as the TF profiles. Moreover, we demonstrate that if the underlying network is sparse it is still possible to reconstruct hidden activity profiles of TFs to some degree without prior connectivity information

Primary proton spectrum between 200 TeV and 1000 TeV observed with the Tibet burst detector and air shower array

Since 1996, a hybrid experiment consisting of the emulsion chamber and burst detector array and the Tibet-II air-shower array has been operated at Yangbajing (4300 m above sea level, 606 g/cm^2) in Tibet. This experiment can detect air-shower cores, called as burst events, accompanied by air showers in excess of about 100 TeV. We observed about 4300 burst events accompanied by air showers during 690 days of operation and selected 820 proton-induced events with its primary energy above 200 TeV using a neural network method. Using this data set, we obtained the energy spectrum of primary protons in the energy range from 200 to 1000 TeV. The differential energy spectrum obtained in this energy region can be fitted by a power law with the index of -2.97 $\pm$ 0.06, which is steeper than that obtained by direct measurements at lower energies. We also obtained the energy spectrum of helium nuclei at particle energies around 1000 TeV.Comment: 25 pages, 22 figures, Accepted for publication in Phys. Rev.

Observation of Multi-Tev Diffuse Gamma Rays from the Galactic Plane with the Tibet Air Shower Array

Data from the Tibet-III air shower array (with energies around 3 TeV) and from the Tibet-II array (with energies around 10 TeV) have been searched for diffuse gamma rays from the Galactic plane. These arrays have an angular resolution of about 0.9 degrees. The sky regions searched are the inner Galaxy, 20 degrees <= l <= 55 degrees, and outer Galaxy, 140 degrees <= l <= 225 degrees, and |b| <= 2 degrees or <= 5 degrees. No significant Galactic plane gamma-ray excess was observed. The 99% confidence level upper limits for gamma-ray intensity obtained are (for |b| <= 2 degrees) 1.1 times 10^{-15} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 3 TeV and 4.1 times 10^{-17} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 10 TeV for the inner Galaxy, and 3.6 times 10^{-16} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 3 TeV and 1.3 times 10^{-17} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 10 TeV for the outer Galaxy, assuming a differential spectral index of 2.4. The upper limits are significant in the multi-TeV region when compared to those from Cherenkov telescopes in the lower energy region and other air shower arrays in the higher energy region; however, the results are not sufficient to rule out the inverse Compton model with a source electron spectral index of 2.0.Comment: 22 pages, 8 figures, Accepted for publication in Ap

Observation by an Air-Shower Array in Tibet of the Multi-TeV Cosmic-Ray Anisotropy due to Terrestrial Orbital Motion Around the Sun

We report on the solar diurnal variation of the galactic cosmic-ray intensity observed by the Tibet III air shower array during the period from 1999 to 2003. In the higher-energy event samples (12 TeV and 6.2 TeV), the variations are fairly consistent with the Compton-Getting anisotropy due to the terrestrial orbital motion around the sun, while the variation in the lower-energy event sample (4.0 TeV) is inconsistent with this anisotropy. This suggests an additional anisotropy superposed at the multi-TeV energies, e.g. the solar modulation effect. This is the highest-precision measurement of the Compton-Getting anisotropy ever made.Comment: 4 pages, 2 figures, includes .bbl fil