Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at the daily scale is already well defined at the 5 minutes time-horizon, and this structure accounts for 80 % of the classification of stocks in economic sectors. Similar results, though less sharp, are found for the other markets. We also find that the structure of correlations in the overnight returns is markedly different from that of intraday activity.Comment: 12 pages, 17 figure

Multiscaled Cross-Correlation Dynamics in Financial Time-Series

The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding time windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of timescale information in the context of risk management

The SIDE dual VIS-NIR fiber fed spectrograph for the 10.4 m Gran Telescopio Canarias

SIDE (Super Ifu Deployable Experiment) is proposed as second-generation, common-user instrument for the GTC. It will be a low and intermediate resolution fiber fed spectrograph, highly efficient in multi-object and 3D spectroscopy. The low resolution part (R = 1500, 4000) is called Dual VIS-NIR because it will observe in the VIS and NIR bands (0.4 ~V 1.7 microns) simultaneously. Because of the large number of fibers, a set of ~10 identical spectrographs is needed, each with a mirror collimator, a dichroic and two refractive cameras. The cameras are optimized for 0.4 - 0.95 microns (VIS) and 0.95 - 1.7 microns (NIR) respectively.Comment: To appear in "Advanced Optical and Mechanical Technologies in Telescopes and Instrumentation" SPIE conference Proc. 7018, Marseille, 23-28 June 200

Very Isolated Early-Type Galaxies

We use the Karachentseva (1973) ``Catalogue of Very Isolated Galaxies'' to investigate a candidate list of >100 very isolated early-type galaxies. Broad-band imaging and low resolution spectroscopy are available for a large fraction of these candidates and result in a sample of 102 very isolated early-type galaxies, including 65 ellipticals and 37 S0 galaxies. Many of these systems are quite luminous and the resulting optical luminosity functions of the Es and early-types (E+S0s) show no statistical differences when compared to luminosity functions dominated by group and cluster galaxies. However, whereas S0s outnumber Es 4:1 in the CfA survey, isolated Es outnumber S0s by nearly 2:1. We conclude that very isolated elliptical galaxies show no evidence for a different formation and/or evolution process compared to Es formed in groups or clusters, but that most S0s are formed by a mechanism (e.g., gas stripping) that occurs only in groups and rich clusters. Our luminosity function results for ellipticals are consistent with very isolated ellipticals being formed by merger events, in which no companions remain. CHANDRA observations were proposed to test specifically the merger hypothesis for isolated ellipticals. However, this program has resulted in the observation of only one isolated early-type galaxy, the S0 KIG 284, which was not detected at a limit well below that expected for a remnant group of galaxies. Therefore, the hypothesis remains untested that very isolated elliptical galaxies are the remains of a compact group of galaxies which completely merged.Comment: 19 pages, 3 figures; AJ in pres

The ROTSE-III Robotic Telescope System

The observation of a prompt optical flash from GRB990123 convincingly demonstrated the value of autonomous robotic telescope systems. Pursuing a program of rapid follow-up observations of gamma-ray bursts, the Robotic Optical Transient Search Experiment (ROTSE) has developed a next-generation instrument, ROTSE-III, that will continue the search for fast optical transients. The entire system was designed as an economical robotic facility to be installed at remote sites throughout the world. There are seven major system components: optics, optical tube assembly, CCD camera, telescope mount, enclosure, environmental sensing & protection and data acquisition. Each is described in turn in the hope that the techniques developed here will be useful in similar contexts elsewhere.Comment: 19 pages, including 4 figures. To be published in PASP in January, 2003. PASP Number IP02-11

The Keck Low-Resolution Imaging Spectrometer

The Low Resolution Imaging Spectrometer (LRIS) for the Cassegrain focus of the Keck 10-m telescope on Mauna Kea is described. It has an imaging mode so it can also be used for taking direct images. The field of view in both spectrographic and imaging modes is 6 by 7.8 arcmin. It can be used with both conventional slits and custom-punched slit masks. The optical quality of the spectrograph is good enough to take full advantage of the excellent imaging properties of the telescope itself. The detector is a cooled back-illuminated Tektronics Inc. 2048 X 2048 CCD which gives a sampling rate of 4.685 pixels per arcsec. In the spectrographic mode the spectrograph has a maximum efficiency at the peak of the grating blaze of 32%-34% for the two lowest resolution gratings and 28% for the 1200 g mm^(-1) grating. This efficiency includes the detector but not the telescope or the atmosphere

ESI, a new Keck Observatory echellette spectrograph and imager

The Echellette Spectrograph and Imager (ESI) is a multipurpose instrument which has been delivered by the Instrument Development Laboratory of Lick Observatory for use at the Cassegrain focus of the Keck II telescope. ESI saw first light on August 29, 1999. ESI is a multi-mode instrument that enables the observer to seamlessly switch between three modes during an observation. The three modes of ESI are: An R=13,000-echellette mode; Low-dispersion prismatic mode; Direct imaging mode. ESI contains a unique flexure compensation system which reduces the small instrument flexure to negligible proportions. Long-exposure images on the sky show FWHM spot diameters of 34 microns (0.34") averaged over the entire field of view. These are the best non-AO images taken in the visible at Keck Observatory to date. Maximum efficiencies are measured to be 28% for the echellette mode and greater than 41% for low-dispersion prismatic mode including atmospheric, telescope and detector losses. In this paper we describe the instrument and its development. We also discuss the performance-testing and some observational results.Comment: 10 pages, 14 figures, 8tables, accepted for publication in PASP, 15 April 200

A peptide mimic of the chemotaxis inhibitory protein of Staphylococcus aureus: towards the development of novel anti-inflammatory compounds

Complement factor C5a is one of the most powerful pro-inflammatory agents involved in recruitment of leukocytes, activation of phagocytes and other inflammatory responses. C5a triggers inflammatory responses by binding to its G-protein-coupled C5a-receptor (C5aR). Excessive or erroneous activation of the C5aR has been implicated in numerous inflammatory diseases. The C5aR is therefore a key target in the development of specific anti-inflammatory compounds. A very potent natural inhibitor of the C5aR is the 121-residue chemotaxis inhibitory protein of Staphylococcus aureus (CHIPS). Although CHIPS effectively blocks C5aR activation by binding tightly to its extra-cellular N terminus, it is not suitable as a potential anti-inflammatory drug due to its immunogenic properties. As a first step in the development of an improved CHIPS mimic, we designed and synthesized a substantially shorter 50-residue adapted peptide, designated CHOPS. This peptide included all residues important for receptor binding as based on the recent structure of CHIPS in complex with the C5aR N terminus. Using isothermal titration calorimetry we demonstrate that CHOPS has micromolar affinity for a model peptide comprising residues 7–28 of the C5aR N terminus including two O-sulfated tyrosine residues at positions 11 and 14. CD and NMR spectroscopy showed that CHOPS is unstructured free in solution. Upon addition of the doubly sulfated model peptide, however, the NMR and CD spectra reveal the formation of structural elements in CHOPS reminiscent of native CHIPS

Economic Fluctuations and Diffusion

Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of transactions $N_{\Delta t}$ - and the price change $G_{\Delta t}$, for a given stock, over a time interval $[t, t+\Delta t]$. To this end, we analyze a database documenting every transaction for 1000 US stocks over the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of diffusion, where the diffusion coefficient fluctuates drastically in time. We relate the analog of the diffusion coefficient to two microscopic quantities: (i) the number of transactions $N_{\Delta t}$ in $\Delta t$, which is the analog of the number of collisions and (ii) the local variance $w^2_{\Delta t}$ of the price changes for all transactions in $\Delta t$, which is the analog of the local mean square displacement between collisions. We study the distributions of both $N_{\Delta t}$ and $w_{\Delta t}$, and find that they display power-law tails. Further, we find that $N_{\Delta t}$ displays long-range power-law correlations in time, whereas $w_{\Delta t}$ does not. Our results are consistent with the interpretation that the pronounced tails of the distribution of $G_{\Delta t} are due to$w_{\Delta t}$, and that the long-range correlations previously found for$| G_{\Delta t} |$are due to$N_{\Delta t}$.Comment: RevTex 2 column format. 6 pages, 36 references, 15 eps figure

Statistical Properties of Share Volume Traded in Financial Markets

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.Comment: 4 pages, two-column format, four figure