Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices (The Extended Version)

We consider a product of an arbitrary number of independent rectangular Gaussian random matrices. We derive the mean densities of its eigenvalues and singular values in the thermodynamic limit, eventually verified numerically. These densities are encoded in the form of the so called M-transforms, for which polynomial equations are found. We exploit the methods of planar diagrammatics, enhanced to the non-Hermitian case, and free random variables, respectively; both are described in the appendices. As particular results of these two main equations, we find the singular behavior of the spectral densities near zero. Moreover, we propose a finite-size form of the spectral density of the product close to the border of its eigenvalues' domain. Also, led by the striking similarity between the two main equations, we put forward a conjecture about a simple relationship between the eigenvalues and singular values of any non-Hermitian random matrix whose spectrum exhibits rotational symmetry around zero.Comment: 50 pages, 8 figures, to appear in the Proceedings of the 23rd Marian Smoluchowski Symposium on Statistical Physics: "Random Matrices, Statistical Physics and Information Theory," September 26-30, 2010, Krakow, Polan

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

Eigenvalues and Singular Values of Products of Rectangular Gaussian Random Matrices

We derive exact analytic expressions for the distributions of eigenvalues and singular values for the product of an arbitrary number of independent rectangular Gaussian random matrices in the limit of large matrix dimensions. We show that they both have power-law behavior at zero and determine the corresponding powers. We also propose a heuristic form of finite size corrections to these expressions which very well approximates the distributions for matrices of finite dimensions.Comment: 13 pages, 3 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

Hadron detection with a dual-readout fiber calorimeter

In this paper, we describe measurements of the response functions of a fiber-based dual- readout calorimeter for pions, protons and multiparticle "jets" with energies in the range from 10 to 180 GeV. The calorimeter uses lead as absorber material and has a total mass of 1350 kg. It is complemented by leakage counters made of scintillating plastic, with a total mass of 500 kg. The effects of these leakage counters on the calorimeter performance are studied as well. In a separate section, we investigate and compare different methods to measure the energy resolution of a calorimeter. Using only the signals provided by the calorimeter, we demonstrate that our dual-readout calorimeter, calibrated with electrons, is able to reconstruct the energy of proton and pion beam particles to within a few percent at all energies. The fractional widths of the signal distributions for these particles (sigma/E) scale with the beam energy as 30%/sqrt(E), without any additional contributing terms

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.

Inclusive search for same-sign dilepton signatures in pp collisions at root s=7 TeV with the ATLAS detector

An inclusive search is presented for new physics in events with two isolated leptons (e or mu) having the same electric charge. The data are selected from events collected from p p collisions at root s = 7 TeV by the ATLAS detector and correspond to an integrated luminosity of 34 pb(-1). The spectra in dilepton invariant mass, missing transverse momentum and jet multiplicity are presented and compared to Standard Model predictions. In this event sample, no evidence is found for contributions beyond those of the Standard Model. Limits are set on the cross-section in a fiducial region for new sources of same-sign high-mass dilepton events in the ee, e mu and mu mu channels. Four models predicting same-sign dilepton signals are constrained: two descriptions of Majorana neutrinos, a cascade topology similar to supersymmetry or universal extra dimensions, and fourth generation d-type quarks. Assuming a new physics scale of 1 TeV, Majorana neutrinos produced by an effective operator V with masses below 460 GeV are excluded at 95% confidence level. A lower limit of 290 GeV is set at 95% confidence level on the mass of fourth generation d-type quarks

Measurement of the top quark-pair production cross section with ATLAS in pp collisions at \sqrt{s}=7\TeV

A measurement of the production cross-section for top quark pairs(\ttbar) in $pp$ collisions at \sqrt{s}=7 \TeV is presented using data recorded with the ATLAS detector at the Large Hadron Collider. Events are selected in two different topologies: single lepton (electron $e$ or muon $\mu$) with large missing transverse energy and at least four jets, and dilepton ($ee$, $\mu\mu$ or $e\mu$) with large missing transverse energy and at least two jets. In a data sample of 2.9 pb-1, 37 candidate events are observed in the single-lepton topology and 9 events in the dilepton topology. The corresponding expected backgrounds from non-\ttbar Standard Model processes are estimated using data-driven methods and determined to be $12.2 \pm 3.9$ events and $2.5 \pm 0.6$ events, respectively. The kinematic properties of the selected events are consistent with SM \ttbar production. The inclusive top quark pair production cross-section is measured to be \sigmattbar=145 \pm 31 ^{+42}_{-27} pb where the first uncertainty is statistical and the second systematic. The measurement agrees with perturbative QCD calculations.Comment: 30 pages plus author list (50 pages total), 9 figures, 11 tables, CERN-PH number and final journal adde