A semi-Markov model with memory for price changes

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also on a memory index. The index is introduced to take into account periods of high and low volatility in the market. First of all we derive the equations governing the process and then theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010

Coherent control of quantum transport: modulation-enhanced phase detection and band spectroscopy

Amplitude modulation of a tilted optical lattice can be used to steer the quantum transport of matter wave packets in a very flexible way. This allows the experimental study of the phase sensitivity in a multimode interferometer based on delocalization-enhanced Bloch oscillations and to probe the band structure modified by a constant force.Comment: 8 pages, 3 figures, Submitted to EPJ Special Topics for the special issue on "Novel Quantum Phases and Mesoscopic Physics in Quantum Gases

STOCK MARKET DEVELOPMENT AND ECONOMIC GROWTH: THE CAUSAL LINKAGE

This paper addresses the question: does stock market development cause growth? It examines the causal linkage between stock market development, financial development and economic growth. The argument is that any inference that financial liberalisation causes savings or investment or growth, or that financial intermediation causes growth, drawn from bivariate causality tests may be invalid, as invalid causality inferences can result from omitting an important variable. The empirical part of this study exploits techniques recently developed by Toda and Yamamoto (1995) to test for causality in VARs, and emphasises the possibility of omitted variable bias. The evidence obtained from a sample of seven countries suggests that a well-developed stock market can foster economic growth in the long run. It also provides support to theories according to which well-functioning stock markets can promote economic development by fuelling the engine of growth through faster capital accumulation, and by tuning it through better resource allocation.Financial Development, Economic Growth, Stock Market, Causality Testing, VARs, Incomplete Systems

Low-Energy Effective Action in Non-Perturbative Electrodynamics in Curved Spacetime

We study the heat kernel for the Laplace type partial differential operator acting on smooth sections of a complex spin-tensor bundle over a generic $n$-dimensional Riemannian manifold. Assuming that the curvature of the U(1) connection (that we call the electromagnetic field) is constant we compute the first two coefficients of the non-perturbative asymptotic expansion of the heat kernel which are of zero and the first order in Riemannian curvature and of arbitrary order in the electromagnetic field. We apply these results to the study of the effective action in non-perturbative electrodynamics in four dimensions and derive a generalization of the Schwinger's result for the creation of scalar and spinor particles in electromagnetic field induced by the gravitational field. We discover a new infrared divergence in the imaginary part of the effective action due to the gravitational corrections, which seems to be a new physical effect.Comment: LaTeX, 42 page

Multiple cyclical fractional structures in financial time series

This paper analyses multiple cyclical structures in financial time series. In particular, we focus on the monthly structure of the Nasdaq, the Dow Jones and the Standard&Poor stock market indices. The three series are modelled as long-memory processes with poles in the spectrum at multiple frequencies, including the long-run or zero frequency

Noncommutative Einstein Equations

We study a noncommutative deformation of general relativity where the gravitational field is described by a matrix-valued symmetric two-tensor field. The equations of motion are derived in the framework of this new theory by varying a diffeomorphisms and gauge invariant action constructed by using a matrix-valued scalar curvature. Interestingly the genuine noncommutative part of the dynamical equations is described only in terms of a particular tensor density that vanishes identically in the commutative limit. A noncommutative generalization of the energy-momentum tensor for the matter field is studied as well.Comment: 17 Pages, LaTeX, reference adde