31,020 research outputs found
Robust estimation of integrated variance and quarticity under flat price and no trading bias
This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in financial high-frequency datasets, can cause a considerable bias in each considered method. Hence, we propose an approach to robustify those methods so that they can provide undistorted statistical results based on intraday intervals not influenced by flat prices and no trading. The new approach is tested in realistic Monte Carlo experiments and shows to be extraordinary robust against varying levels of flat price and no trading bias. Additionally, we examine the new approach empirically with a dataset of electricity forward contracts traded on the Nord Pool Energy Exchange. We obtain coherent conclusions with respect to predefined qualitative indicators. --Realized Variance,Zero-Returns,Price Jumps,Robust Estimation,High-Frequency Data,Electricity Forward Contract
Characterizing Phishing Threats with Natural Language Processing
Spear phishing is a widespread concern in the modern network security
landscape, but there are few metrics that measure the extent to which
reconnaissance is performed on phishing targets. Spear phishing emails closely
match the expectations of the recipient, based on details of their experiences
and interests, making them a popular propagation vector for harmful malware. In
this work we use Natural Language Processing techniques to investigate a
specific real-world phishing campaign and quantify attributes that indicate a
targeted spear phishing attack. Our phishing campaign data sample comprises 596
emails - all containing a web bug and a Curriculum Vitae (CV) PDF attachment -
sent to our institution by a foreign IP space. The campaign was found to
exclusively target specific demographics within our institution. Performing a
semantic similarity analysis between the senders' CV attachments and the
recipients' LinkedIn profiles, we conclude with high statistical certainty (p
) that the attachments contain targeted rather than randomly
selected material. Latent Semantic Analysis further demonstrates that
individuals who were a primary focus of the campaign received CVs that are
highly topically clustered. These findings differentiate this campaign from one
that leverages random spam.Comment: This paper has been accepted for publication by the IEEE Conference
on Communications and Network Security in September 2015 at Florence, Italy.
Copyright may be transferred without notice, after which this version may no
longer be accessibl
Dynamics of a hole in the large--U Hubbard model: a Feynman diagram approach
We study the dynamics of a single hole in an otherwise half--filled
two--dimensional Hubbard model by introducing a nonlocal Bogolyubov
transformation in the antiferromagnetic state. This allows us to rewrite the
Hamiltonian in a form that makes a separation between high--energy processes
(involving double--occupancy) and low--energy physics possible. A diagrammatic
scheme is developped that allows for a systematic study of the different
processes delocalizing a carrier in the antiferromagnetic state. In particular,
the so--called Trugman process, important if transverse spin fluctuations are
neglected, is studied and is shown to be dominated by the leading vertex
corrections. We analyze the dynamics of a single hole both in the Ising limit
and with spin fluctuations. The results are compared with previous theories as
well as with recent exact small--cluster calculations, and we find good
agreement. The formalism establishes a link between weak and strong coupling
methodologies.Comment: Latex 34pages, Orsay Preprint, submitted to Phys. Rev.
Theory of the Reentrant Charge-Order Transition in the Manganites
A theoretical model for the reentrant charge-order transition in the
manganites is examined. This transition is studied with a purely electronic
model for the Mn electrons: the extended Hubbard model. The electron-phonon
coupling results in a large nearest-neighbor repulsion between electrons. Using
a finite-temperature Lanczos technique, the model is diagonalized on a 16-site
periodic cluster to calculate the temperature-dependent phase boundary between
the charge-ordered and homogeneous phases. A reentrant transition is found. The
results are discussed with respect to the specific topology of the 16-site
cluster.Comment: 3 pages, 2 ps figures included in text, submitted to the 8th
MMM-Intermag conferenc
Searching for rewards in graph-structured spaces
How do people generalize and explore structured spaces? We study human behavior on a multi-armed bandit task, where rewards are influenced by the connectivity structure of a graph. A detailed predictive model comparison shows that a Gaussian Process regression model using a diffusion kernel is able to best describe participant choices, and also predict judgments about expected reward and confidence. This model unifies psychological models of function learning with the Successor Representation used in reinforcement learning, thereby building a bridge between different models of generalization
Quantum fluctuations in the spiral phase of the Hubbard model
We study the magnetic excitations in the spiral phase of the two--dimensional
Hubbard model using a functional integral method. Spin waves are strongly
renormalized and a line of near--zeros is observed in the spectrum around the
spiral pitch . The possibility of disordered spiral states is
examined by studying the one--loop corrections to the spiral order parameter.
We also show that the spiral phase presents an intrinsic instability towards an
inhomogeneous state (phase separation, CDW, ...) at weak doping. Though phase
separation is suppressed by weak long--range Coulomb interactions, the CDW
instability only disappears for sufficiently strong Coulomb interaction.Comment: Figures are NOW appended via uuencoded postscript fil
An Extended Network Model with a Packages Diffusion Process
The dynamics of a packages diffusion process within a selforganized network
is analytically studied by means of an extended % -spin facilitated kinetic
Ising model (Fredrickson-Andersen model) using a Fock-space representation for
the master equation. To map the three component system (active, passive and
packages cells) onto a lattice we apply two types of second quantized
operators. The active cells correspond to mobile states whereas the passive
cells correspond to immobile states of the Fredrickson-Andersen model. An
inherent cooperativity is included assuming that the local dynamics and
subsequently the local mobilities are restricted by the occupation of
neighboring cells. Depending on a temperature-like parameter
(interconnectivity) the diffusive process of the packages (information) can be
almost stopped, thus we get a well separation of the time regimes and a
quasi-localization for the intermediate range at low temperatures.Comment: 13 pages and 1 figur
Valley polarization effects on the localization in graphene Landau levels
Effects of disorder and valley polarization in graphene are investigated in
the quantum Hall regime. We find anomalous localization properties for the
lowest Landau level (LL), where disorder can induce wavefunction delocalization
(instead of localization), both for white-noise and gaussian-correlated
disorder. We quantitatively identify the contribution of each sublattice to
wavefunction amplitudes. Following the valley (sublattice) polarization of
states within LLs for increasing disorder we show: (i) valley mixing in the
lowest LL is the main effect behind the observed anomalous localization
properties, (ii) the polarization suppression with increasing disorder depends
on the localization for the white-noise model, while, (iii) the disorder
induces a partial polarization in the higher Landau levels for both disorder
models.Comment: 5 pages, 6 figures, extended version, with 2 new figures adde
Slow relaxation and sensitivity to disorder in trapped lattice fermions after a quench
We consider a system of non-interacting fermions in one dimension subject to
a single-particle potential consisting of (a) a strong optical lattice, (b) a
harmonic trap, and (c) uncorrelated on-site disorder. After a quench, in which
the center of the harmonic trap is displaced, we study the occupation function
of the fermions and the time-evolution of experimental observables.
Specifically, we present numerical and analytical results for the post-quench
occupation function of the fermions, and analyse the time-evolution of the
real-space density profile. Unsurprisingly for a non-interacting (and therefore
integrable) system, the infinite-time limit of the density profile is
non-thermal. However, due to Bragg-localization of the higher-energy
single-particle states, the approach to even this non-thermal state is
extremely slow. We quantify this statement, and show that it implies a
sensitivity to disorder parametrically stronger than that expected from
Anderson localization.Comment: 15 pages, 11 figure
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