Gutzwiller description of non-magnetic Mott insulators: a dimer lattice model

We introduce a novel extension of the Gutzwiller variational wavefunction able to deal with insulators that escape any mean-field like description, as for instance non-magnetic insulators. As an application, we study the Mott transition from a paramagnetic metal into a non-magnetic Peierls, or valence-bond, Mott insulator. We analyze this model by means of our Gutzwiller wavefunction analytically in the limit of large coordination lattices, where we find that: (1) the Mott transition is first order; (2) the Peierls gap is large in the Mott insulator, although it is mainly contributed by the electron repulsion; (3) singlet-superconductivity arises around the transition.Comment: 15 pages, 9 figure

The long memory of the efficient market

For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as $\tau^{-\alpha}$ with $\alpha \approx 0.6$, corresponding to a Hurst exponent $H \approx 0.7$. This implies that the signs of future orders are quite predictable from the signs of past orders; all else being equal, this would suggest a very strong market inefficiency. We demonstrate, however, that fluctuations in order signs are compensated for by anti-correlated fluctuations in transaction size and liquidity, which are also long-memory processes. This tends to make the returns whiter. We show that some institutions display long-range memory and others don't.Comment: 19 pages, 12 figure

Phase diagram of doped spin-Peierls systems

The phase diagram of a model describing doped CuGeO$_3$ is derived. The model emphasizes the role of local moments released by the impurities and randomly distributed inside the gaped singlet background. The phase diagram is investigated by two methods: (i) in a mean field treatment of the interchain coupling and (ii) in a real space decimation procedure in a two dimensional model of randomly distributed moments. Both methods lead to similar results, in a qualitative agreement with experiments. In particular, a transition to an inhomogeneous N\'eel phase is obtained for arbitrary small doping. From the decimation procedure, we interpret this phase at very low doping as a {\sl Griffith antiferromagnet}. Namely, it does not have a true long range order down to zero temperature. Nonetheless, large magnetically ordered clusters appear already at relatively high temperatures. This demonstrates the role of disorder in the theoretical description of doping in CuGeO$_3$. A detailed comparison with other approaches is also given.Comment: 31 pages, 9 figure

There's more to volatility than volume

It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of transactions is held constant. In addition the distribution of price returns conditioned on volume or transaction frequency being held constant is similar to that in real time, making it clear that neither of these are the principal cause of heavy tails in price returns. We analyze recent results of Ane and Geman (2000) and Gabaix et al. (2003), and discuss the reasons why their conclusions differ from ours. Based on a cross-sectional analysis we show that the long-memory of volatility is dominated by factors other than transaction frequency or total trading volume.Comment: 25 pages, 9 figure

Competitive Equilibria With Limited Enforcement

This study demonstrates how constrained efficient allocations can arise endogenously as equilibria in an economy with a limited ability to enforce contracts and with private agents behaving competitively, taking a set of taxes as given. The taxes in this economy limit risk-sharing and arise in an equilibrium of a dynamic game between governments of sovereign nations. The equilibrium allocations depend on governments choosing to tax both the repayment of international debt and the income from capital investment in their countries.

Segmentation algorithm for non-stationary compound Poisson processes

We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of the time series. The process is composed of consecutive patches of variable length, each patch being described by a stationary compound Poisson process, i.e. a Poisson process where each count is associated to a fluctuating signal. The parameters of the process are different in each patch and therefore the time series is non stationary. Our method is a generalization of the algorithm introduced by Bernaola-Galvan, et al., Phys. Rev. Lett., 87, 168105 (2001). We show that the new algorithm outperforms the original one for regime switching compound Poisson processes. As an application we use the algorithm to segment the time series of the inventory of market members of the London Stock Exchange and we observe that our method finds almost three times more patches than the original one.Comment: 11 pages, 11 figure