32,277 research outputs found
Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success
We present a simple and general result that the sign of the variations or
increments of uncorrelated times series are predictable with a remarkably high
success probability of 75% for symmetric sign distributions. The origin of this
paradoxical result is explained in details. We also present some tests on
synthetic, financial and global temperature time series.Comment: 8 pages, 3 figure
Scaling with respect to disorder in time-to-failure
We revisit a simple dynamical model of rupture in random media with
long-range elasticity to test whether rupture can be seen as a first-order or a
critical transition. We find a clear scaling of the macroscopic modulus as a
function of time-to-rupture and of the amplitude of the disorder, which allows
us to collapse neatly the numerical simulations over more than five decades in
time and more than one decade in disorder amplitude onto a single master curve.
We thus conclude that, at least in this model, dynamical rupture in systems
with long-range elasticity is a genuine critical phenomenon occurring as soon
as the disorder is non-vanishing.Comment: 13 pages, 2 figures, submitted to J.Phys.I (France
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The scheduling of sparse matrix-vector multiplication on a massively parallel dap computer
An efficient data structure is presented which supports general unstructured sparse matrix-vector multiplications on a Distributed Array of Processors (DAP). This approach seeks to reduce the inter-processor data movements and organises the operations in batches of massively parallel steps by a heuristic scheduling procedure performed on the host computer.
The resulting data structure is of particular relevance to iterative schemes for solving linear systems. Performance results for matrices taken from well known Linear Programming (LP) test problems are presented and analysed
Fundamental Framework for Technical Analysis
Starting from the characterization of the past time evolution of market
prices in terms of two fundamental indicators, price velocity and price
acceleration, we construct a general classification of the possible patterns
characterizing the deviation or defects from the random walk market state and
its time-translational invariant properties. The classification relies on two
dimensionless parameters, the Froude number characterizing the relative
strength of the acceleration with respect to the velocity and the time horizon
forecast dimensionalized to the training period. Trend-following and contrarian
patterns are found to coexist and depend on the dimensionless time horizon. The
classification is based on the symmetry requirements of invariance with respect
to change of price units and of functional scale-invariance in the space of
scenarii. This ``renormalized scenario'' approach is fundamentally
probabilistic in nature and exemplifies the view that multiple competing
scenarii have to be taken into account for the same past history. Empirical
tests are performed on on about nine to thirty years of daily returns of twelve
data sets comprising some major indices (Dow Jones, SP500, Nasdaq, DAX, FTSE,
Nikkei), some major bonds (JGB, TYX) and some major currencies against the US
dollar (GBP, CHF, DEM, JPY). Our ``renormalized scenario'' exhibits
statistically significant predictive power in essentially all market phases. In
constrast, a trend following strategy and trend + acceleration following
strategy perform well only on different and specific market phases. The value
of the ``renormalized scenario'' approach lies in the fact that it always finds
the best of the two, based on a calculation of the stability of their predicted
market trajectories.Comment: Latex, 27 page
"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions
This paper offers a precise analytical characterization of the distribution
of returns for a portfolio constituted of assets whose returns are described by
an arbitrary joint multivariate distribution. In this goal, we introduce a
non-linear transformation that maps the returns onto gaussian variables whose
covariance matrix provides a new measure of dependence between the non-normal
returns, generalizing the covariance matrix into a non-linear fractional
covariance matrix. This nonlinear covariance matrix is chiseled to the specific
fat tail structure of the underlying marginal distributions, thus ensuring
stability and good-conditionning. The portfolio distribution is obtained as the
solution of a mapping to a so-called phi-q field theory in particle physics, of
which we offer an extensive treatment using Feynman diagrammatic techniques and
large deviation theory, that we illustrate in details for multivariate Weibull
distributions. The main result of our theory is that minimizing the portfolio
variance (i.e. the relatively ``small'' risks) may often increase the large
risks, as measured by higher normalized cumulants. Extensive empirical tests
are presented on the foreign exchange market that validate satisfactorily the
theory. For ``fat tail'' distributions, we show that an adequete prediction of
the risks of a portfolio relies much more on the correct description of the
tail structure rather than on their correlations.Comment: Latex, 76 page
Pion and Kaon Condensation at Finite Temperature and Density
In this paper, we study O(2N)-symmetric -theory at finite temperature
and density using the 2PI-1/N expansion. As specific examples, we consider pion
condensation at finite isospin chemical potential and kaon condensation at
finite chemical potential for hyper charge and isospin charge. We calculate the
phase diagrams and the quasiparticle masses for pions and kaons in the large-N
limit. It is shown that the effective potential and the gap equation can be
renormalized by using local counterterms for the coupling constant and mass
parameter, which are independent of temperature and chemical potentials.Comment: 10 pages. 7 Figures. v2: Better plots and figs. Added significant
number of refs v3: Accepted for publication in PRD. Added a figure and
improved part on renormalization as well as presentatio
Exobiology on Mars
Descriptions of several instrument concepts that were generated during a workshop entitled, Exobiology Instrument Concepts for a Soviet Mars 94/94 Mission, held at NASA Ames Research Center in 1989 are presented. The objective was to define and describe instrument concepts for exobiology and related science that would be compatible with the mission types under discussion for the 1994 and 1996 Soviet Mars missions. Experiments that use existing technology were emphasized. The concepts discussed could also be used on U.S. missions that follow Mars Observer
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