Fractality of profit landscapes and validation of time series models for stock prices

We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (buy) decision is made when the log return is larger (smaller) than $p$ ($-q$). We discretize the unit square $(p, q) \in [0, 1] \times [0, 1]$ into the $N \times N$ square grid and the profit $\Pi (p, q)$ is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: The number M of local maxima follows the power-law form $M \sim N^{a}$, but the scaling exponent $a$ is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent $a \approx 1.6$ observed for real stock markets. We suggest that the fractality of profit landscape characterized by $a \approx 1.6$ can be a useful measure to validate time series model for stock prices.Comment: 10pages, 6figure

Dipole-Allowed Direct Band Gap Silicon Superlattices

Silicon is the most popular material used in electronic devices. However, its poor optical properties owing to its indirect band gap nature limit its usage in optoelectronic devices. Here we present the discovery of super-stable pure-silicon superlattice structures that can serve as promising materials for solar cell applications and can lead to the realization of pure Si-based optoelectronic devices. The structures are almost identical to that of bulk Si except that defective layers are intercalated in the diamond lattice. The superlattices exhibit dipole-allowed direct band gaps as well as indirect band gaps, providing ideal conditions for the investigation of a direct-to-indirect band gap transition. The transition can be understood in terms of a novel conduction band originating from defective layers, an overlap between the valence- and conduction-band edge states at the interface layers, and zone folding with quantum confinement effects on the conduction band of non-defective bulk-like Si. The fact that almost all structural portions of the superlattices originate from bulk Si warrants their stability and good lattice matching with bulk Si. Through first-principles molecular dynamics simulations, we confirmed their thermal stability and propose a possible method to synthesize the defective layer through wafer bonding

Ultraviolet photodepletion spectroscopy of dibenzo-18-crown-6-ether complexes with alkali metal cations

Ultraviolet photodepletion spectra of dibenzo-18-crown-6-ether complexes with alkali metal cations (M+-DB18C6, M = Cs, Rb, K, Na, and Li) were obtained in the gas phase using electrospray ionization quadrupole ion-trap reflectron time-of-flight mass spectrometry. The spectra exhibited a few distinct absorption bands in the wavenumber region of 35450−37800 cm^(−1). The lowest-energy band was tentatively assigned to be the origin of the S_0-S_1 transition, and the second band to a vibronic transition arising from the “benzene breathing” mode in conjunction with symmetric or asymmetric stretching vibration of the bonds between the metal cation and the oxygen atoms in DB18C6. The red shifts of the origin bands were observed in the spectra as the size of the metal cation in M^+-DB18C6 increased from Li^+ to Cs^+. We suggested that these red shifts arose mainly from the decrease in the binding energies of larger-sized metal cations to DB18C6 at the electronic ground state. These size effects of the metal cations on the geometric and electronic structures, and the binding properties of the complexes at the S_0 and S_1 states were further elucidated by theoretical calculations using density functional and time-dependent density functional theories