Cross-correlations between volume change and price change

In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the difference in logarithm between two consecutive values of trading volume. To this end, we use several methods to analyze the properties of volume changes $|\tilde R|$, and their relationship to price changes $|R|$. We analyze $14,981$ daily recordings of the S\&P 500 index over the 59-year period 1950--2009, and find power-law {\it cross-correlations\/} between $|R|$ and $|\tilde R|$ using detrended cross-correlation analysis (DCCA). We introduce a joint stochastic process that models these cross-correlations. Motivated by the relationship between $| R|$ and $|\tilde R|$, we estimate the tail exponent ${\tilde\alpha}$ of the probability density function $P(|\tilde R|) \sim |\tilde R|^{-1 -\tilde\alpha}$ for both the S\&P 500 index as well as the collection of 1819 constituents of the New York Stock Exchange Composite index on 17 July 2009. As a new method to estimate $\tilde\alpha$, we calculate the time intervals $\tau_q$ between events where $\tilde R>q$. We demonstrate that $\bar\tau_q$, the average of $\tau_q$, obeys $\bar \tau_q \sim q^{\tilde\alpha}$. We find $\tilde \alpha \approx 3$. Furthermore, by aggregating all $\tau_q$ values of 28 global financial indices, we also observe an approximate inverse cubic law.Comment: 7 pages, 5 figure

Random polynomials, random matrices, and LL-functions

We show that the Circular Orthogonal Ensemble of random matrices arises naturally from a family of random polynomials. This sheds light on the appearance of random matrix statistics in the zeros of the Riemann zeta-function.Comment: Added background material. Final version. To appear in Nonlinearit

Stratospheric measurements of continuous absorption near 2400 cm^-1

Solar occultation spectra obtained with a balloon-borne interferometer have been used to study continuous absorption by N2 and CO2 near 2400 cm^-1 in the lower stratosphere. Synthetic continuum transmittances, calculated from published coefficients for far-wing absorption by CO2 lines and for pressure-induced absorption by the fundamental band of N2, are in fair agreement with the observed stratospheric values. The continuum close to the ν3 R-branch band head of CO2 is sensitive to the CO2 far-wing line shape. Therefore, given highly accurate knowledge of the N2 continuum from laboratory data, high-resolution stratospheric spectra provide a sensitive means for in situ testing of various air-broadened CO2 line shapes at low temperatures

Quantitative and empirical demonstration of the Matthew effect in a study of career longevity

The Matthew effect refers to the adage written some two-thousand years ago in the Gospel of St. Matthew: "For to all those who have, more will be given." Even two millennia later, this idiom is used by sociologists to qualitatively describe the dynamics of individual progress and the interplay between status and reward. Quantitative studies of professional careers are traditionally limited by the difficulty in measuring progress and the lack of data on individual careers. However, in some professions, there are well-defined metrics that quantify career longevity, success, and prowess, which together contribute to the overall success rating for an individual employee. Here we demonstrate testable evidence of the age-old Matthew "rich get richer" effect, wherein the longevity and past success of an individual lead to a cumulative advantage in further developing his/her career. We develop an exactly solvable stochastic career progress model that quantitatively incorporates the Matthew effect, and validate our model predictions for several competitive professions. We test our model on the careers of 400,000 scientists using data from six high-impact journals, and further confirm our findings by testing the model on the careers of more than 20,000 athletes in four sports leagues. Our model highlights the importance of early career development, showing that many careers are stunted by the relative disadvantage associated with inexperience.Comment: 13 pages, 7 figures, 4 Tables; Revisions in response to critique and suggestions of referee

Correlation Between Inmate Brutality And Lack Of Whistleblower Protection In Florida

“Inmates are dying in Florida’s prisons, victims of torture and brutality.”1 As eloquently stated by the Miami Herald, “inmates are being killed by people Floridians pay to keep the peace in a charged, stressful environment.

Measurements of CH4, N2O, CO, H2O and O3 in the middle atmosphere by the ATMOS experiment on Spacelab 3

The volume mixing ratios of five minor gases (CH4, N2O, CO, H2O, and O3) were retrieved through the middle atmosphere from the analysis of 0.01/cm resolution infrared solar occultation spectra recorded near 28 N and 48 S latitudes with the ATMOS (Atmospheric Trace Molecule Spectroscopy) instrument, flown on board Spacelab 3. The results, which constitute the first simultaneous observations of continuous profiles through the middle atmosphere for these gases, are in general agreement with reported measurements from ground, balloon and satellite-based instruments for the same seasons. In detail, the vertical profiles of these gases show the effects of the upper and middle atmospheric transport patterns dominant during the season of these observations. The profiles inferred at different longitudes around 28 N suggest a near-uniform zonal distribution of these gases. Although based on fewer observations, the sunrise occultation measurements point to a larger variability in the vertical distribution of these gases at 48 S

A Multi Agent Model for the Limit Order Book Dynamics

In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The agents follow a noise decision making process where their actions are related to a stochastic variable, "the market sentiment", which we define as a mixture of public and private information. The model, despite making just few basic assumptions over the trading strategies of the agents, is able to reproduce several empirical features of the high-frequency dynamics of the market microstructure not only related to the price movements but also to the deposition of the orders in the book.Comment: 20 pages, 11 figures, in press European Physical Journal B (EPJB

Direct and indirect control of the initiation of meiotic recombination by DNA damage checkpoint mechanisms in budding yeast

Meiotic recombination plays an essential role in the proper segregation of chromosomes at meiosis I in many sexually reproducing organisms. Meiotic recombination is initiated by the scheduled formation of genome-wide DNA double-strand breaks (DSBs). The timing of DSB formation is strictly controlled because unscheduled DSB formation is detrimental to genome integrity. Here, we investigated the role of DNA damage checkpoint mechanisms in the control of meiotic DSB formation using budding yeast. By using recombination defective mutants in which meiotic DSBs are not repaired, the effect of DNA damage checkpoint mutations on DSB formation was evaluated. The Tel1 (ATM) pathway mainly responds to unresected DSB ends, thus the sae2 mutant background in which DSB ends remain intact was employed. On the other hand, the Mec1 (ATR) pathway is primarily used when DSB ends are resected, thus the rad51 dmc1 double mutant background was employed in which highly resected DSBs accumulate. In order to separate the effect caused by unscheduled cell cycle progression, which is often associated with DNA damage checkpoint defects, we also employed the ndt80 mutation which permanently arrests the meiotic cell cycle at prophase I. In the absence of Tel1, DSB formation was reduced in larger chromosomes (IV, VII, II and XI) whereas no significant reduction was found in smaller chromosomes (III and VI). On the other hand, the absence of Rad17 (a critical component of the ATR pathway) lead to an increase in DSB formation (chromosomes VII and II were tested). We propose that, within prophase I, the Tel1 pathway facilitates DSB formation, especially in bigger chromosomes, while the Mec1 pathway negatively regulates DSB formation. We also identified prophase I exit, which is under the control of the DNA damage checkpoint machinery, to be a critical event associated with down-regulating meiotic DSB formation

Effects of Neutron Irradiation on Carbon Doped MgB2 Wire Segments

We have studied the evolution of superconducting and normal state properties of neutron irradiated Mg(B$_{.962}$C$_{.038}$)$_2$ wire segments as a function of post exposure annealing time and temperature. The initial fluence fully suppressed superconductivity and resulted in an anisotropic expansion of the unit cell. Superconductivity was restored by post-exposure annealing. The upper critical field, H$_{c2}$(T=0), approximately scales with T$_c$ starting with an undamaged T$_c$ near 37 K and H$_{c2}$(T=0) near 32 T. Up to an annealing temperature of 400 $^ o$C the recovery of T$_c$ tends to coincide with a decrease in the normal state resistivity and a systematic recovery of the lattice parameters. Above 400 $^ o$C a decrease in order along the c- direction coincides with an increase in resistivity, but no apparent change in the evolution of T$_c$ and H$_{c2}$. To first order, it appears that carbon doping and neutron damaging effect the superconducting properties of MgB$_2$ independently