Sector identification in a set of stock return time series traded at the London Stock Exchange

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.Comment: 28 pages, 13 figures, 3 Tables. Proceedings of the conference on "Applications of Random Matrices to Economy and other Complex Systems", Krakow (Poland), May 25-28 2005. Submitted for pubblication to Acta Phys. Po

Kepler-447b: a hot-Jupiter with an extremely grazing transit

We present the radial velocity confirmation of the extrasolar planet Kepler-447b, initially detected as a candidate by the Kepler mission. In this work, we analyze its transit signal and the radial velocity data obtained with the Calar Alto Fiber-fed Echelle spectrograph (CAFE). By simultaneously modeling both datasets, we obtain the orbital and physical properties of the system. According to our results, Kepler-447b is a Jupiter-mass planet ($M_p=1.37^{+0.48}_{-0.46}~M_{\rm Jup}$), with an estimated radius of $R_p=1.65^{+0.59}_{-0.56}~R_{\rm Jup}$ (uncertainties provided in this work are $3\sigma$ unless specified). This translates into a sub-Jupiter density. The planet revolves every $\sim7.8$ days in a slightly eccentric orbit ($e=0.123^{+0.037}_{-0.036}$) around a G8V star with detected activity in the Kepler light curve. Kepler-447b transits its host with a large impact parameter ($b=1.076^{+0.112}_{-0.086}$), being one of the few planetary grazing transits confirmed so far and the first in the Kepler large crop of exoplanets. We estimate that only around 20% of the projected planet disk occults the stellar disk. The relatively large uncertainties in the planet radius are due to the large impact parameter and short duration of the transit. Planets with such an extremely large impact parameter can be used to detect and analyze interesting configurations such as additional perturbing bodies, stellar pulsations, rotation of a non-spherical planet, or polar spot-crossing events. All these scenarios would periodically modify the transit properties (depth, duration, and time of mid-transit), what could be detectable with sufficient accurate photometry. Short-cadence photometric data (at the 1 minute level) would help in the search for these exotic configurations in grazing planetary transits like that of Kepler-447b.Comment: Accepted for publication in A&A. 13 pages, 8 figures, 4 tables. This version replaces an earlier version of the pape

Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a set of stocks.Comment: 13 pages, 8 figures, 2 Table

Anomalous diffusion and Tsallis statistics in an optical lattice

We point out a connection between anomalous quantum transport in an optical lattice and Tsallis' generalized thermostatistics. Specifically, we show that the momentum equation for the semiclassical Wigner function that describes atomic motion in the optical potential, belongs to a class of transport equations recently studied by Borland [PLA 245, 67 (1998)]. The important property of these ordinary linear Fokker--Planck equations is that their stationary solutions are exactly given by Tsallis distributions. Dissipative optical lattices are therefore new systems in which Tsallis statistics can be experimentally studied.Comment: 4 pages, 1 figur

Stock mechanics: a general theory and method of energy conservation with applications on DJIA

A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a roughly conserved total energy, with three different potential energies, i.e. positive definite quadratic, negative definite quadratic and linear potential energy for exponential rises (and falls), sinusoidal oscillations and parabolic trajectories, respectively. Corresponding expressions for force (impact) are also given. Keywords:Comment: 14 pages, 3 figures, scehudled for IJMPC 17/ issue

Kepler-91b: a planet at the end of its life. Planet and giant host star properties via light-curve variations

The evolution of planetary systems is intimately linked to the evolution of their host star. Our understanding of the whole planetary evolution process is based on the large planet diversity observed so far. To date, only few tens of planets have been discovered orbiting stars ascending the Red Giant Branch. Although several theories have been proposed, the question of how planets die remains open due to the small number statistics. In this work we study the giant star Kepler-91 (KOI-2133) in order to determine the nature of a transiting companion. This system was detected by the Kepler Space Telescope. However, its planetary confirmation is needed. We confirm the planetary nature of the object transiting the star Kepler-91 by deriving a mass of $M_p=0.88^{+0.17}_{-0.33} ~M_{\rm Jup}$ and a planetary radius of $R_p=1.384^{+0.011}_{-0.054} ~R_{\rm Jup}$. Asteroseismic analysis produces a stellar radius of $R_{\star}=6.30\pm 0.16 ~R_{\odot}$ and a mass of $M_{\star}=1.31\pm 0.10 ~ M_{\odot}$. We find that its eccentric orbit ($e=0.066^{+0.013}_{-0.017}$) is just $1.32^{+0.07}_{-0.22} ~ R_{\star}$ away from the stellar atmosphere at the pericenter. Kepler-91b could be the previous stage of the planet engulfment, recently detected for BD+48 740. Our estimations show that Kepler-91b will be swallowed by its host star in less than 55 Myr. Among the confirmed planets around giant stars, this is the planetary-mass body closest to its host star. At pericenter passage, the star subtends an angle of $48^{\circ}$, covering around 10% of the sky as seen from the planet. The planetary atmosphere seems to be inflated probably due to the high stellar irradiation.Comment: 21 pages, 8 tables and 11 figure

Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes

By performing a comprehensive study on 1832 segments of 1212 complete genomes of viruses, we show that in viral genomes the hairpin structures of thermodynamically predicted RNA secondary structures are more abundant than expected under a simple random null hypothesis. The detected hairpin structures of RNA secondary structures are present both in coding and in noncoding regions for the four groups of viruses categorized as dsDNA, dsRNA, ssDNA and ssRNA. For all groups hairpin structures of RNA secondary structures are detected more frequently than expected for a random null hypothesis in noncoding rather than in coding regions. However, potential RNA secondary structures are also present in coding regions of dsDNA group. In fact we detect evolutionary conserved RNA secondary structures in conserved coding and noncoding regions of a large set of complete genomes of dsDNA herpesviruses.Comment: 9 pages, 2 figure

Hierarchically nested factor model from multivariate data

We show how to achieve a statistical description of the hierarchical structure of a multivariate data set. Specifically we show that the similarity matrix resulting from a hierarchical clustering procedure is the correlation matrix of a factor model, the hierarchically nested factor model. In this model, factors are mutually independent and hierarchically organized. Finally, we use a bootstrap based procedure to reduce the number of factors in the model with the aim of retaining only those factors significantly robust with respect to the statistical uncertainty due to the finite length of data records.Comment: 7 pages, 5 figures; accepted for publication in Europhys. Lett. ; the Appendix corresponds to the additional material of the accepted letter

Design of a high-force-density tubular motor

This paper deals with the design, construction and experimental verification of a high force density, tubular, linear, permanent magnet motor, driven from a high power density matrix converter for an aerospace application. The work also describes the implementation and experimental verification of a novel, thermal management technique for the phase windings of electrical machines. The technique introduces a higher thermal conductivity path between the centre of the slot and the cooling arrangement, thus increasing the heat flow away from the slot centre. An introduction to the design of the motor is first given, after which an introduction to the technique is presented. A study of how the implementation of the technique affects motor performance is then presented. A detailed overview of the construction aspects is highlighted and finally, experimental validation is used to illustrate the comparison between the predicted results and the measured results, obtained from an instrumented, test rig