Scaling of the distribution of fluctuations of financial market indices

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0 < \alpha < 2$. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-97. We find estimates of $\alpha$ consistent with those describing the distribution of S&P 500 daily-returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than $(\Delta t)_{\times} \approx 4$ days, our results are consistent with slow convergence to Gaussian behavior.Comment: 12 pages in multicol LaTeX format with 27 postscript figures (Submitted to PRE May 20, 1999). See http://polymer.bu.edu/~amaral/Professional.html for more of our work on this are

Buttressing staples with cholecyst-derived extracellular matrix (CEM) reinforces staple lines in an ex vivo peristaltic inflation model

This is the author's accepted manuscript. The final published article is available from the link below. Copyright @ Springer Science + Business Media, LLC 2008Background - Staple line leakage and bleeding are the most common problems associated with the use of surgical staplers for gastrointestinal resection and anastomotic procedures. These complications can be reduced by reinforcing the staple lines with buttressing materials. The current study reports the potential use of cholecyst-derived extracellular matrix (CEM) in non-crosslinked (NCEM) and crosslinked (XCEM) forms, and compares their mechanical performance with clinically available buttress materials [small intestinal submucosa (SIS) and bovine pericardium (BP)] in an ex vivo small intestine model. Methods - Three crosslinked CEM variants (XCEM0005, XCEM001, and XCEM0033) with different degree of crosslinking were produced. An ex vivo peristaltic inflation model was established. Porcine small intestine segments were stapled on one end, using buttressed or non-buttressed surgical staplers. The opened, non-stapled ends were connected to a peristaltic pump and pressure transducer and sealed. The staple lines were then exposed to increased intraluminal pressure in a peristaltic manner. Both the leak and burst pressures of the test specimens were recorded. Results - The leak pressures observed for non-crosslinked NCEM (137.8 ± 22.3 mmHg), crosslinked XCEM0005 (109.1 ± 14.1 mmHg), XCEM001 (150.1 ± 16.0 mmHg), XCEM0033 (98.8 ± 10.5 mmHg) reinforced staple lines were significantly higher when compared to non-buttressed control (28.3 ± 10.8 mmHg) and SIS (one and four layers) (62.6 ± 11.8 and 57.6 ± 12.3 mmHg, respectively) buttressed staple lines. NCEM and XCEM were comparable to that observed for BP buttressed staple lines (138.8 ± 3.6 mmHg). Only specimens with reinforced staple lines were able to achieve high intraluminal pressures (ruptured at the intestinal mesentery), indicating that buttress reinforcements were able to withstand pressure higher than that of natural tissue (physiological failure). Conclusions - These findings suggest that the use of CEM and XCEM as buttressing materials is associated with reinforced staple lines and increased leak pressures when compared to non-buttressed staple lines. CEM and XCEM were found to perform comparably with clinically available buttress materials in this ex vivo model.Enterprise Irelan

Scaling of the distribution of price fluctuations of individual companies

We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the American Stock Exchange, and (c) the National Association of Securities Dealers Automated Quotation stock market. Specifically, we consider (i) the trades and quotes database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994--95, and (ii) the Center for Research and Security Prices database, for which we analyze 35 million daily records for approximately 16,000 companies in the 35-year period 1962--96. We study the probability distribution of returns over varying time scales $\Delta t$, where $\Delta t$ varies by a factor of $\approx 10^5$---from 5 min up to $\approx$ 4 years. For time scales from 5~min up to approximately 16~days, we find that the tails of the distributions can be well described by a power-law decay, characterized by an exponent $\alpha \approx 3$ ---well outside the stable L\'evy regime $0 < \alpha < 2$. For time scales $\Delta t \gg (\Delta t)_{\times} \approx 16$days, we observe results consistent with a slow convergence to Gaussian behavior. We also analyze the role of cross correlations between the returns of different companies and relate these correlations to the distribution of returns for market indices.Comment: 10pages 2 column format with 11 eps figures. LaTeX file requiring epsf, multicol,revtex. Submitted to PR

Combined search for the standard model Higgs boson decaying to a bb pair using the full CDF data set

We combine the results of searches for the standard model Higgs boson based on the full CDF Run II data set obtained from sqrt(s) = 1.96 TeV p-pbar collisions at the Fermilab Tevatron corresponding to an integrated luminosity of 9.45/fb. The searches are conducted for Higgs bosons that are produced in association with a W or Z boson, have masses in the range 90-150 GeV/c^2, and decay into bb pairs. An excess of data is present that is inconsistent with the background prediction at the level of 2.5 standard deviations (the most significant local excess is 2.7 standard deviations).Comment: To be published in Phys. Rev. Lett (v2 contains minor updates based on comments from PRL

Search for squarks and gluinos with the ATLAS detector in final states with jets and missing transverse momentum using √s=8 TeV proton-proton collision data

A search for squarks and gluinos in final states containing high-p T jets, missing transverse momentum and no electrons or muons is presented. The data were recorded in 2012 by the ATLAS experiment in s√=8 TeV proton-proton collisions at the Large Hadron Collider, with a total integrated luminosity of 20.3 fb−1. Results are interpreted in a variety of simplified and specific supersymmetry-breaking models assuming that R-parity is conserved and that the lightest neutralino is the lightest supersymmetric particle. An exclusion limit at the 95% confidence level on the mass of the gluino is set at 1330 GeV for a simplified model incorporating only a gluino and the lightest neutralino. For a simplified model involving the strong production of first- and second-generation squarks, squark masses below 850 GeV (440 GeV) are excluded for a massless lightest neutralino, assuming mass degenerate (single light-flavour) squarks. In mSUGRA/CMSSM models with tan β = 30, A 0 = −2m 0 and μ > 0, squarks and gluinos of equal mass are excluded for masses below 1700 GeV. Additional limits are set for non-universal Higgs mass models with gaugino mediation and for simplified models involving the pair production of gluinos, each decaying to a top squark and a top quark, with the top squark decaying to a charm quark and a neutralino. These limits extend the region of supersymmetric parameter space excluded by previous searches with the ATLAS detector

Measurement of the production of a W boson in association with a charm quark in pp collisions at √s = 7 TeV with the ATLAS detector

The production of a W boson in association with a single charm quark is studied using 4.6 fb−1 of pp collision data at s√ = 7 TeV collected with the ATLAS detector at the Large Hadron Collider. In events in which a W boson decays to an electron or muon, the charm quark is tagged either by its semileptonic decay to a muon or by the presence of a charmed meson. The integrated and differential cross sections as a function of the pseudorapidity of the lepton from the W-boson decay are measured. Results are compared to the predictions of next-to-leading-order QCD calculations obtained from various parton distribution function parameterisations. The ratio of the strange-to-down sea-quark distributions is determined to be 0.96+0.26−0.30 at Q 2 = 1.9 GeV2, which supports the hypothesis of an SU(3)-symmetric composition of the light-quark sea. Additionally, the cross-section ratio σ(W + +c¯¯)/σ(W − + c) is compared to the predictions obtained using parton distribution function parameterisations with different assumptions about the s−s¯¯¯ quark asymmetry

Measurements of branching fraction ratios and CP-asymmetries in suppressed B^- -> D(-> K^+ pi^-)K^- and B^- -> D(-> K^+ pi^-)pi^- decays

We report the first reconstruction in hadron collisions of the suppressed decays B^- -> D(-> K^+ pi^-)K^- and B^- -> D(-> K^+ pi^-)pi^-, sensitive to the CKM phase gamma, using data from 7 fb^-1 of integrated luminosity collected by the CDF II detector at the Tevatron collider. We reconstruct a signal for the B^- -> D(-> K^+ pi^-)K^- suppressed mode with a significance of 3.2 standard deviations, and measure the ratios of the suppressed to favored branching fractions R(K) = [22.0 \pm 8.6(stat)\pm 2.6(syst)]\times 10^-3, R^+(K) = [42.6\pm 13.7(stat)\pm 2.8(syst)]\times 10^-3, R^-(K)= [3.8\pm 10.3(stat)\pm 2.7(syst]\times 10^-3, as well as the direct CP-violating asymmetry A(K) = -0.82\pm 0.44(stat)\pm 0.09(syst) of this mode. Corresponding quantities for B^- -> D(-> K^+ pi^-)pi^- decay are also reported.Comment: 8 pages, 1 figure, accepted by Phys.Rev.D Rapid Communications for Publicatio