Dynamic asset trees and Black Monday

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the `central node'. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.Comment: 6 pages, 3 eps figues. Elsevier style. Will appear in Physica A as part of the Bali conference proceedings, in pres

A model for correlations in stock markets

We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices reported in [Phys. Rev. Lett. {\bf 83}, 1467 (1999); Phys. Rev. Lett. {\bf 83}, 1471 (1999.)] are well understood from the model. It provides the connection between the spectral properties of the empirical correlation matrix and the structure of correlations in stock markets.Comment: two pages including one EPS file for a figur

Are Financial Crashes Predictable?

We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not appear to be the accumulation point of a geometric series of local minima.Comment: LaTeX, 5 pages + 1 postscript figur

Asymmetric correlation matrices: an analysis of financial data

We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson correlation matrices to the realm of complex eigenvalues. We employ some recent random matrix theory results on the average eigenvalue density of this type of matrices to distinguish between noise and non trivial correlation structures, and we focus on financial data as a case study. Namely, we employ daily prices of stocks belonging to the American and British stock exchanges, and look for the emergence of correlations between two such markets in the eigenvalue spectrum of their non symmetric correlation matrix. We find several non trivial results, also when considering time-lagged correlations over short lags, and we corroborate our findings by additionally studying the asymmetric correlation matrix of the principal components of our datasets.Comment: Revised version; 11 pages, 13 figure

Fluctuation-driven insulator-to-metal transition in an external magnetic field

We consider a model for a metal-insulator transition of correlated electrons in an external magnetic field. We find a broad region in interaction and magnetic field where metallic and insulating (fully magnetized) solutions coexist and the system undergoes a first-order metal-insulator transition. A global instability of the magnetically saturated solution precedes the local ones and is caused by collective fluctuations due to poles in electron-hole vertex functions.Comment: REVTeX 4 pages, 3 PS figure

Enlarged perivascular spaces as a marker of underlying arteriopathy in intracerebral haemorrhage: a multicentre MRI cohort study.

Small vessel disease (mainly hypertensive arteriopathy and cerebral amyloid angiopathy (CAA)) is an important cause of spontaneous intracerebral haemorrhage (ICH), a devastating and still poorly understood stroke type. Enlarged perivascular spaces (EPVS) are a promising neuroimaging marker of small vessel disease. Based on the underlying arteriopathy distributions, we hypothesised that severe centrum semiovale EPVS are more common in lobar ICH attributed to CAA than other ICH. We evaluated EPVS prevalence, severity and distribution, and their clinical-radiological associations

On the distribution of the Wigner time delay in one-dimensional disordered systems

We consider the scattering by a one-dimensional random potential and derive the probability distribution of the corresponding Wigner time delay. It is shown that the limiting distribution is the same for two different models and coincides with the one predicted by random matrix theory. It is also shown that the corresponding stochastic process is given by an exponential functional of the potential.Comment: 11 pages, four references adde