Financial instability from local market measures

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market - as measured by the diversity of financial instruments - increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real markets strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations.Comment: 17 pages, 4 figure

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

Dual-readout Calorimetry

The RD52 Project at CERN is a pure instrumentation experiment whose goal is to understand the fundamental limitations to hadronic energy resolution, and other aspects of energy measurement, in high energy calorimeters. We have found that dual-readout calorimetry provides heretofore unprecedented information event-by-event for energy resolution, linearity of response, ease and robustness of calibration, fidelity of data, and particle identification, including energy lost to binding energy in nuclear break-up. We believe that hadronic energy resolutions of {\sigma}/E $\approx$ 1 - 2% are within reach for dual-readout calorimeters, enabling for the first time comparable measurement preci- sions on electrons, photons, muons, and quarks (jets). We briefly describe our current progress and near-term future plans. Complete information on all aspects of our work is available at the RD52 website http://highenergy.phys.ttu.edu/dream/.Comment: 10 pages, 10 figures, Snowmass White pape

The Social Climbing Game

The structure of a society depends, to some extent, on the incentives of the individuals they are composed of. We study a stylized model of this interplay, that suggests that the more individuals aim at climbing the social hierarchy, the more society's hierarchy gets strong. Such a dependence is sharp, in the sense that a persistent hierarchical order emerges abruptly when the preference for social status gets larger than a threshold. This phase transition has its origin in the fact that the presence of a well defined hierarchy allows agents to climb it, thus reinforcing it, whereas in a "disordered" society it is harder for agents to find out whom they should connect to in order to become more central. Interestingly, a social order emerges when agents strive harder to climb society and it results in a state of reduced social mobility, as a consequence of ergodicity breaking, where climbing is more difficult.Comment: 14 pages, 9 figure

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

Lipofundin 20% induces hepatic lipid peroxidation in New Zealand white rabbits

ABSTRACTObjective. The aim of the present work was to evaluate the effects of Lipofundin 20% on lipid peroxidation markers in the liver of New Zealand white rabbits. Materials and methods. The animals were treated with an intravenous injection (2 ml/kg) of the lipid emulsion during 8 days through the marginal ear vein. At the end of the experiment some lipid peroxidation parameters and lipid profile were tested through spectrophotography. Results. Lipofundin was found to induce a significant (p<0.05) increase of malondialdehyde, total hydroperoxides, and peroxidation potential. Also, high levels of total cholesterol, triglycerides, LDL - cholesterol and HDL-cholesterol were observed in treated animals compared with the control group (p<0.05). Conclusions. Data proved that Lipofundin induces hepatic lipid peroxidation in rabbits, mainly through a mechanism which involves an induction of hyperlipidemi

Lipofundin 20% induces hepatic lipid peroxidation in New Zealand white rabbits

ABSTRACTObjective. The aim of the present work was to evaluate the effects of Lipofundin 20% on lipid peroxidation markers in the liver of New Zealand white rabbits. Materials and methods. The animals were treated with an intravenous injection (2 ml/kg) of the lipid emulsion during 8 days through the marginal ear vein. At the end of the experiment some lipid peroxidation parameters and lipid profile were tested through spectrophotography. Results. Lipofundin was found to induce a significant (p<0.05) increase of malondialdehyde, total hydroperoxides, and peroxidation potential. Also, high levels of total cholesterol, triglycerides, LDL - cholesterol and HDL-cholesterol were observed in treated animals compared with the control group (p<0.05). Conclusions. Data proved that Lipofundin induces hepatic lipid peroxidation in rabbits, mainly through a mechanism which involves an induction of hyperlipidemi

System Test of the ATLAS Muon Spectrometer in the H8 Beam at the CERN SPS

An extensive system test of the ATLAS muon spectrometer has been performed in the H8 beam line at the CERN SPS during the last four years. This spectrometer will use pressurized Monitored Drift Tube (MDT) chambers and Cathode Strip Chambers (CSC) for precision tracking, Resistive Plate Chambers (RPCs) for triggering in the barrel and Thin Gap Chambers (TGCs) for triggering in the end-cap region. The test set-up emulates one projective tower of the barrel (six MDT chambers and six RPCs) and one end-cap octant (six MDT chambers, A CSC and three TGCs). The barrel and end-cap stands have also been equipped with optical alignment systems, aiming at a relative positioning of the precision chambers in each tower to 30-40 micrometers. In addition to the performance of the detectors and the alignment scheme, many other systems aspects of the ATLAS muon spectrometer have been tested and validated with this setup, such as the mechanical detector integration and installation, the detector control system, the data acquisition, high level trigger software and off-line event reconstruction. Measurements with muon energies ranging from 20 to 300 GeV have allowed measuring the trigger and tracking performance of this set-up, in a configuration very similar to the final spectrometer. A special bunched muon beam with 25 ns bunch spacing, emulating the LHC bunch structure, has been used to study the timing resolution and bunch identification performance of the trigger chambers. The ATLAS first-level trigger chain has been operated with muon trigger signals for the first time

On the concentration of large deviations for fat tailed distributions, with application to financial data

Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated on a single variable. The regime of large deviations is separated from the regime of typical fluctuations by a phase transition where the symmetry between the points in the sample is spontaneously broken. For stochastic processes with a fat tailed microscopic noise, this implies that while typical realizations are well described by a diffusion process with continuous sample paths, large deviation paths are typically discontinuous. For eigenvalues of random matrices with fat tailed distributed elements, a large deviation where the trace of the matrix is anomalously large concentrates on just a single eigenvalue, whereas in the thin tailed world the large deviation affects the whole distribution. These results find a natural application to finance. Since the price dynamics of financial stocks is characterized by fat tailed increments, large fluctuations of stock prices are expected to be realized by discrete jumps. Interestingly, we find that large excursions of prices are more likely realized by continuous drifts rather than by discontinuous jumps. Indeed, auto-correlations suppress the concentration of large deviations. Financial covariance matrices also exhibit an anomalously large eigenvalue, the market mode, as compared to the prediction of random matrix theory. We show that this is explained by a large deviation with excess covariance rather than by one with excess volatility.Comment: 38 pages, 12 figure

Standalone vertex finding in the ATLAS muon spectrometer

A dedicated reconstruction algorithm to find decay vertices in the ATLAS muon spectrometer is presented. The algorithm searches the region just upstream of or inside the muon spectrometer volume for multi-particle vertices that originate from the decay of particles with long decay paths. The performance of the algorithm is evaluated using both a sample of simulated Higgs boson events, in which the Higgs boson decays to long-lived neutral particles that in turn decay to bbar b final states, and pp collision data at √s = 7 TeV collected with the ATLAS detector at the LHC during 2011