On the Zipf strategy for short-term investments in WIG20 futures

We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe any time series increments, with almost arbitrary accuracy, as the one of such 'spin-like' states. This procedure leads in the simplest non-trivial case (k = 1/2) to the binary data projection. More sophisticated projections are also possible and mentioned in the article. The introduced formalism allows then to use Zipf power law to describe the intrinsic structure of time series. The fast algorithm for this implementation was constructed by us within Matlab^{TM} software. The method, called Zipf strategy, is then applied in the simplest case k = 1/2 to WIG 20 open and close daily data to make short-term predictions for forthcoming index changes. The results of forecast effectiveness are presented with respect to different time window sizes and partition divisions (word lengths in Zipf language). Finally, the various investment strategies improving ROI (return of investment) for WIG20 futures are proposed. We show that the Zipf strategy is the appropriate and very effective tool to make short-term predictions and therefore, to evaluate short-term investments on the basis of historical stock index data. Our findings support also the existence of long memory in financial data, exceeding the known in literature 3 days span limit.Comment: 13 pages, 6 figures, 1 table, presented at the 5-th FENS symposium on Physics in Economic and Social Systems, Warsaw 201

Cross-correlation between PlanckPlanck CMB lensing potential and galaxy catalogues from HELP

We present the study of cross-correlation between Cosmic Microwave Background (CMB) gravitational lensing potential map released by the \textit{Planck} collaboration and photometric redshift galaxy catalogues from the \textit{Herschel} Extragalactic Legacy Project (HELP), divided into four sky patches: NGP, \textit{Herschel} Stripe-82, and two halves of SGP field, covering in total $\sim 660$ deg$^{2}$ of the sky. We estimate the galaxy linear bias parameter, $b_{0}$, from joint analysis of cross-power spectrum and galaxy auto-power spectrum using Maximum Likelihood Estimation technique to obtain values ranging from $0.70 \pm 0.01$ for SGP Part-2 to $1.02 \pm 0.02$ for SGP Part-1 field. We also estimate the amplitude of cross-correlation and find the values spanning from $0.67 \pm 0.18$ for SGP Part-2 to $0.80 \pm 0.23$ for SGP Part-1 field, respectively. For NGP and SGP Part-1 fields the amplitude is consistent with the expected value for the standard cosmological model within $\sim 1\,\sigma$, while for \textit{Herschel} Stripe-82 and SGP Part-2 we find the amplitude to be smaller than expected with $\sim 1.5\,\sigma$ and $\sim 2\,\sigma$ deviation, respectively. We perform several tests on various systematic errors to study the reason for the deviation, however, value of the amplitude turns out to be robust with respect to these errors. The only significant change in the amplitude is observed when we replace the minimum-variance CMB lensing map, used in the baseline analysis, by the lensing map derived from the CMB temperature map with deprojected thermal Sunyaev-Zeldovich signal.Comment: 15 pages, 13 figures, Published in MNRA

Nonlinearity and stochasticity in the density--velocity relation

We present results of the investigations of the statistical properties of a joint density and velocity divergence probability distribution function (PDF) in the mildly non-linear regime. For that purpose we use both perturbation theory results, extended here for a top-hat filter, and numerical simulations. In particular we derive the quantitative (complete as possible up to third order terms) and qualitative predictions for constrained averages and constrained dispersions -- which describe the nonlinearities and the stochasticity properties beyond the linear regime -- and compare them against numerical simulations. We find overall a good agreement for constrained averages; however, the agreement for constrained dispersions is only qualitative. Scaling relations for the Omega-dependence of these quantities are satisfactory reproduced. Guided by our analytical and numerical results, we finally construct a robust phenomenological description of the joint PDF in a closed analytic form. The good agreement of our formula with results of N-body simulations for a number of cosmological parameters provides a sound validation of the presented approach. Our results provide a basis for a potentially powerful tool with which it is possible to analyze galaxy survey data in order to test the gravitational instability paradigm beyond the linear regime and put useful constraints on cosmological parameters. In particular we show how the nonlinearity in the density--velocity relation can be used to break the so-called Omega-bias degeneracy in cosmic density-velocity comparisons.Comment: 12 pages, 11 figures; revised version with minor changes in the presentation, accepted for publication in MNRA

Nonlinear Velocity-Density Coupling: Analysis by Second-Order Perturbation Theory

Cosmological linear perturbation theory predicts that the peculiar velocity $V(x)$ and the matter overdensity $\delta(x)$ at a same point $x$ are statistically independent quantities, as log as the initial density fluctuations are random Gaussian distributed. However nonlinear gravitational effects might change the situation. Using framework of second-order perturbation theory and the Edgeworth expansion method, we study local density dependence of bulk velocity dispersion that is coarse-grained at a weakly nonlinear scale. For a typical CDM model, the first nonlinear correction of this constrained bulk velocity dispersion amounts to $\sim 0.3\delta$ (Gaussian smoothing) at a weakly nonlinear scale with a very weak dependence on cosmological parameters. We also compare our analytical prediction with published numerical results given at nonlinear regimes.Comment: 16 pages including 2 figures, ApJ 537 in press (July 1

Non-Gaussianity from Self-Ordering Scalar Fields

The Universe may harbor relics of the post-inflationary epoch in the form of a network of self-ordered scalar fields. Such fossils, while consistent with current cosmological data at trace levels, may leave too weak an imprint on the cosmic microwave background and the large-scale distribution of matter to allow for direct detection. The non-Gaussian statistics of the density perturbations induced by these fields, however, permit a direct means to probe for these relics. Here we calculate the bispectrum that arises in models of self-ordered scalar fields. We find a compact analytic expression for the bispectrum, evaluate it numerically, and provide a simple approximation that may be useful for data analysis. The bispectrum is largest for triangles that are aligned (have edges $k_1\simeq 2 k_2 \simeq 2 k_3$) as opposed to the local-model bispectrum, which peaks for squeezed triangles ($k_1\simeq k_2 \gg k_3$), and the equilateral bispectrum, which peaks at $k_1\simeq k_2 \simeq k_3$. We estimate that this non-Gaussianity should be detectable by the Planck satellite if the contribution from self-ordering scalar fields to primordial perturbations is near the current upper limit.Comment: 11 pages, 1 figur

Halo Clustering with Non-Local Non-Gaussianity

We show how the peak-background split can be generalized to predict the effect of non-local primordial non-Gaussianity on the clustering of halos. Our approach is applicable to arbitrary primordial bispectra. We show that the scale-dependence of halo clustering predicted in the peak-background split (PBS) agrees with that of the local-biasing model on large scales. On smaller scales, k >~ 0.01 h/Mpc, the predictions diverge, a consequence of the assumption of separation of scales in the peak-background split. Even on large scales, PBS and local biasing do not generally agree on the amplitude of the effect outside of the high-peak limit. The scale dependence of the biasing - the effect that provides strong constraints to the local-model bispectrum - is far weaker for the equilateral and self-ordering-scalar-field models of non-Gaussianity. The bias scale dependence for the orthogonal and folded models is weaker than in the local model (~ 1/k), but likely still strong enough to be constraining. We show that departures from scale-invariance of the primordial power spectrum may lead to order-unity corrections, relative to predictions made assuming scale-invariance - to the non-Gaussian bias in some of these non-local models for non-Gaussianity. An Appendix shows that a non-local model can produce the local-model bispectrum, a mathematical curiosity we uncovered in the course of this investigation.Comment: 12 pages, 4 figures; submitted to Phys. Rev. D; v2: references added; v3: some more comments on kernel-bispectrum relation in appendi