Dynamics of market states and risk assessment

Based on previous developments of the concept of market states using correlation matrices, in the present paper we address the dynamical evolution of correlation matrices in time. This will imply minor modifications to the market states themselves, due to increased attention to the transition matrix between the states. We will introduce trajectories of the correlation matrices by considering one day shifts for the epoch used to calculate the correlation matrices and will visualize both the states and the trajectories after dimensional scaling. This approach using dynamics improves the options of risk assessment and opens the door to dynamical treatments of markets and shows noise suppression in a new light.Comment: 22 pages and 27 figures. arXiv admin note: text overlap with arXiv:2003.0705

Correlations between spectra with different symmetry: any chance to be observed?

A standard assumption in quantum chaology is the absence of correlation between spectra pertaining to different symmetries. Doubts were raised about this statement for several reasons, in particular, because in semiclassics spectra of different symmetry are expressed in terms of the same set of periodic orbits. We reexamine this question and find absence of correlation in the universal regime. In the case of continuous symmetry the problem is reduced to parametric correlation, and we expect correlations to be present up to a certain time which is essentially classical but larger than the ballistic time

Invariant Manifolds and Collective Coordinates

We introduce suitable coordinate systems for interacting many-body systems with invariant manifolds. These are Cartesian in coordinate and momentum space and chosen such that several components are identically zero for motion on the invariant manifold. In this sense these coordinates are collective. We make a connection to Zickendraht's collective coordinates and present certain configurations of few-body systems where rotations and vibrations decouple from single-particle motion. These configurations do not depend on details of the interaction.Comment: 15 pages, 2 EPS-figures, uses psfig.st

Nonperiodic echoes from mushroom billiard hats

Mushroom billiards have the remarkable property to show one or more clear cut integrable islands in one or several chaotic seas, without any fractal boundaries. The islands correspond to orbits confined to the hats of the mushrooms, which they share with the chaotic orbits. It is thus interesting to ask how long a chaotic orbit will remain in the hat before returning to the stem. This question is equivalent to the inquiry about delay times for scattering from the hat of the mushroom into an opening where the stem should be. For fixed angular momentum we find that no more than three different delay times are possible. This induces striking nonperiodic structures in the delay times that may be of importance for mesoscopic devices and should be accessible to microwave experiments.Comment: Submitted to Phys. Rev. E without the appendi

Wigner--Dyson statistics for a class of integrable models

We construct an ensemble of second--quantized Hamiltonians with two bosonic degrees of freedom, whose members display with probability one GOE or GUE statistics. Nevertheless, these Hamiltonians have a second integral of motion, namely the boson number, and thus are integrable. To construct this ensemble we use some ``reverse engineering'' starting from the fact that $n$--bosons in a two--level system with random interactions have an integrable classical limit by the old Heisenberg association of boson operators to actions and angles. By choosing an $n$--body random interaction and degenerate levels we end up with GOE or GUE Hamiltonians. Ergodicity of these ensembles completes the example.Comment: 3 pages, 1 figur

Charged currents, color dipoles and xF_3 at small x

We develop the light-cone color dipole description of highly asymmetric diffractive interactions of left-handed and right-handed electroweak bosons. We identify the origin and estimate the strength of the left-right asymmetry effect in terms of the light-cone wave functions. We report an evaluation of the small-x neutrino-nucleon DIS structure functions xF_3 and 2xF_1 and present comparison with experimental data.Comment: 11 pages, 3 figures, misprints correcte

Spectral Density of the QCD Dirac Operator near Zero Virtuality

We investigate the spectral properties of a random matrix model, which in the large $N$ limit, embodies the essentials of the QCD partition function at low energy. The exact spectral density and its pair correlation function are derived for an arbitrary number of flavors and zero topological charge. Their microscopic limit provide the master formulae for sum rules for the inverse powers of the eigenvalues of the QCD Dirac operator as recently discussed by Leutwyler and Smilga.Comment: 9 pages + 1 figure, SUNY-NTG-93/