TVICA - Time Varying Independent Component Analysis and Its Application to Financial Data

Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of independent compo- nents, so that the high dimensional problem is converted to a set of univariate ones. However conventional ICA methods implicitly assume stationarity or stochastic homogeneity of the analyzed time series, which leads to a low accu- racy of estimation in case of a changing stochastic structure. A time varying ICA (TVICA) is proposed here. The key idea is to allow the ICA filter to change over time, and to estimate it in so-called local homogeneous intervals. The question of how to identify these intervals is solved by the LCP (local change point) method. Compared to a static ICA, the dynamic TVICA pro- vides good performance both in simulation and real data analysis. The data example is concerned with independent signal processing and deals with a portfolio of highly traded stocks.Adaptive Sequential Testing, Independent Component Analysis, Local Homogeneity, Signal Processing, Realized Volatility.

Non-Abelian spin-orbit gauge: Persistent spin helix and quantum square ring

We re-express the Rashba and Dresselhaus interactions as non-Abelian spin-orbit gauges and provide a new perspective in understanding the persistent spin helix [Phys. Rev. Lett. 97, 236601 (2006)]. A spin-orbit interacting system can be transformed into a free electron gas in the equal-strength Rashba-Dresselhaus [001] linear model, the Dresselhaus [110] linear model, and a one-dimensional system. A general tight-binding Hamiltonian for non-uniform spin-orbit interactions and hoppings along arbitrary directions, within the framework of finite difference method, is obtained. As an application based on this Hamiltonian, a quantum square ring in contact with two ideal leads is found to exhibit four states, insulating, spin-filtering, spin-flipping, and spin-keeping states.Comment: 7 pages, 3 figure

Distributed Adaptive Networks: A Graphical Evolutionary Game-Theoretic View

Distributed adaptive filtering has been considered as an effective approach for data processing and estimation over distributed networks. Most existing distributed adaptive filtering algorithms focus on designing different information diffusion rules, regardless of the nature evolutionary characteristic of a distributed network. In this paper, we study the adaptive network from the game theoretic perspective and formulate the distributed adaptive filtering problem as a graphical evolutionary game. With the proposed formulation, the nodes in the network are regarded as players and the local combiner of estimation information from different neighbors is regarded as different strategies selection. We show that this graphical evolutionary game framework is very general and can unify the existing adaptive network algorithms. Based on this framework, as examples, we further propose two error-aware adaptive filtering algorithms. Moreover, we use graphical evolutionary game theory to analyze the information diffusion process over the adaptive networks and evolutionarily stable strategy of the system. Finally, simulation results are shown to verify the effectiveness of our analysis and proposed methods.Comment: Accepted by IEEE Transactions on Signal Processin

Rashba Spin Interferometer

A spin interferometer utilizing the Rashba effect is proposed. The novel design is composed of a one-dimensional (1D) straight wire and a 1D half-ring. By calculating the norm of the superposed wave function, we derive analytical expressions to describe the spin interference spectrum as a function of the Rashba coupling strength. Presented spin interference results are identified to include (i) the quantum-mechanical 4pi rotation effect, (ii) geometric effect, and (iii) Shubnikov-de Haas-like beating effect.Comment: 3 pages, 3 figures, appears in the proceedings of the 10th Joint MMM/Intermag Conferenc