Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws

We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between different types of events. The scaling laws give an accurate estimation of the length of the price-curve coastline, which turns out to be surprisingly long. The new laws substantially extend the catalogue of stylised facts and sharply constrain the space of possible theoretical explanations of the market mechanisms.Comment: 26 pages, 3 figures, 23 tables,2nd version (text made more concise and readable, algorithm pseudocode, results unchanged), 5-year datasets (USD-JPY, EUR-USD) provided at http://www.olsen.ch/more/datasets

A Method for Cost-Effective and Rapid Characterization of Engineered T7-based Transcription Factors by Cell-Free Protein Synthesis Reveals Insights into the Regulation of T7 RNA Polymerase-Driven Expression

The T7 bacteriophage RNA polymerase (T7 RNAP) serves as a model for understanding RNA synthesis, as a tool for protein expression, and as an actuator for synthetic gene circuit design in bacterial cells and cell-free extract. T7 RNAP is an attractive tool for orthogonal protein expression in bacteria owing to its compact single subunit structure and orthogonal promoter specificity. Understanding the mechanisms underlying T7 RNAP regulation is important to the design of engineered T7-based transcription factors, which can be used in gene circuit design. To explore regulatory mechanisms for T7 RNAP-driven expression, we developed a rapid and cost-effective method to characterize engineered T7-based transcription factors using cell-free protein synthesis and an acoustic liquid handler. Using this method, we investigated the effects of the tetracycline operator's proximity to the T7 promoter on the regulation of T7 RNAP-driven expression. Our results reveal a mechanism for regulation that functions by interfering with the transition of T7 RNAP from initiation to elongation and validates the use of the method described here to engineer future T7-based transcription factors

Age of the Peach Springs Tuff, Southeastern California and Western Arizona

Sanidine separates from pumice of the early Miocene Peach Springs Tuff are concordantly dated at 18.5 ± 0.2 Ma by two isotopic techniques. The Peach Springs Tuff is the only known unit that can be correlated between isolated outcrops of Miocene strata from the central Mojave Desert of southeastern California to the western Colorado Plateau in Arizona, across five structural provinces, a distance of 350 km. Thus the age of the Peach Springs Tuff is important to structural and paleogeographic reconstructions of a large region. Biotite and sanidine separates from bulk samples of the Peach Springs Tuff from zones of welding and vapor-phase alteration have not produced consistent ages by the K-Ar method. Published ages of mineral separates from 17 localities ranged from 16.2 to 20.5 Ma. Discordant 40Ar/39Ar incremental release spectra were obtained for one biotite and two of the sanidine separates. Ages that correspond to the last gas increments are as old as 27 Ma. The 40Ar/39Ar incremental release determinations on sanidine separated from blocks of Peach Springs Tuff pumice yield ages of 18.3 ± 0.3 and 18.6 ± 0.4 Ma. Laser fusion measurements yield a mean age of 18.51 ± 0.10. The results suggest that sanidine and biotite K-Ar ages older than about 18.5 Ma are due to inherited Ar from pre-Tertiary contaminants, which likely were incorporated into the tuff during deposition. Sanidine K-Ar ages younger than 18 Ma probably indicate incomplete extraction of radiogenic 40Ar, whereas laser fusion dates of biotite and hornblende younger than 18 Ma likely are due to postdepositional alteration. Laser fusion ages as high as 19.01 Ma on biotite grains from pumice suggest that minerals from pre-Tertiary country rocks also were incorporated in the magma chamber

Kinetic theory of Coulomb drag in two monolayers of graphene: from the Dirac point to the Fermi liquid regime

We theoretically investigate Coulomb drag in a system of two parallel monolayers of graphene. Using a Boltzmann equation approach we study a variety of limits ranging from the non-degenerate interaction dominated limit close to charge neutrality all the way to the Fermi liquid regime. In the non-degenerate limit we find that the presence of the passive layer can largely influence the conductivity of the active layer despite the absence of drag. This induces a non-trivial temperature behavior of the single layer conductivity and furthermore suggests a promising strategy towards increasing the role of inelastic scattering in future experiments. For small but finite chemical potential we find that the drag resistivity varies substantially as a function of the ratio of inelastic and elastic scattering. We find that an extrapolation from finite chemical potential to zero chemical potential and to the clean system is delicate and the order of limits matters. In the Fermi liquid regime we analyze drag as a function of temperature $T$ and the distance $d$ between the layers and compare our results to existing theoretical and experimental results. In addition to the conventional $1/d^4$-dependence with an associated $T^2$-behavior we find there is another regime of $1/d^5$-dependence where drag varies in linear-in-$T$ fashion. The relevant parameter separating these two regimes is given by $\bar{d}=T d/v_F$ ($v_F$ is the Fermi velocity), where $\bar{d} \ll1$ corresponds to $T^2$-behavior, while $\bar{d}\gg1$ corresponds to $T$-behavior.Comment: 21 pages, 9 figure

Scaling of the distribution of fluctuations of financial market indices

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0 < \alpha < 2$. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-97. We find estimates of $\alpha$ consistent with those describing the distribution of S&P 500 daily-returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than $(\Delta t)_{\times} \approx 4$ days, our results are consistent with slow convergence to Gaussian behavior.Comment: 12 pages in multicol LaTeX format with 27 postscript figures (Submitted to PRE May 20, 1999). See http://polymer.bu.edu/~amaral/Professional.html for more of our work on this are

Residence time and collision statistics for exponential flights: the rod problem revisited

Many random transport phenomena, such as radiation propagation, chemical/biological species migration, or electron motion, can be described in terms of particles performing {\em exponential flights}. For such processes, we sketch a general approach (based on the Feynman-Kac formalism) that is amenable to explicit expressions for the moments of the number of collisions and the residence time that the walker spends in a given volume as a function of the particle equilibrium distribution. We then illustrate the proposed method in the case of the so-called {\em rod problem} (a 1d system), and discuss the relevance of the obtained results in the context of Monte Carlo estimators.Comment: 9 pages, 8 figure

Depth profile analyses of films grown at different temperatures

Cu(In,Ga)Se2films are used as absorber layers in chalcopyrite thin filmsolar cells. As the gallium concentration in the absorber can be used to control the band gap, there have been many efforts to vary the gallium concentration in depth to gain an optimum balance of light absorption, carrier collection, and recombination at different depths of the absorber film, leading to improved quantum efficiency. In this study, we investigate the effect of the maximum substrate temperature during film growth on the depth dependent gallium concentration. For the in-depth gallium concentration analyses, we use two techniques, covering complementary depth ranges. Angle dependent soft x-ray emission spectroscopy provides access to information depths between 20 and 470 nm, which covers the depth range of the space charge region, where most of the photoexcited carriers are generated. Therefore, this depth range is of particular interest. To complement this investigation we use secondary neutral mass spectrometry, which destructively probes the whole thickness of the absorber (≈2 μm). The two methods show increasingly pronounced gallium and indium gradients with decreasing maximum substrate temperature. The probing of the complementary depth ranges of the absorbers gives a consistent picture of the in-depth gallium distribution, which provides a solid basis for a comprehensive discussion about the effect of a reduced substrate temperature on the formation of gallium gradients in Cu(In,Ga)Se2 and the device performance of the corresponding reference solar cells

Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents

This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to December 30, 2002. We divided the time series of the Nikkei 225 index into two periods, an inflationary period and a deflationary period. We have previously [18] found that the distribution of absolute log-returns can be approximated by the power-law distribution in the inflationary period, while the distribution of absolute log-returns is well described by the exponential distribution in the deflationary period.\par To further explore these empirical findings, we have introduced a model of stock markets which was proposed in [19,20]. In this model, the stock market is composed of two groups of traders: {\it the fundamentalists}, who believe that the asset price will return to the fundamental price, and {\it the interacting traders}, who can be noise traders. We show through numerical simulation of the model that when the number of interacting traders is greater than the number of fundamentalists, the power-law distribution of absolute log-returns is generated by the interacting traders' herd behavior, and, inversely, when the number of fundamentalists is greater than the number of interacting traders, the exponential distribution of absolute log-returns is generated.Comment: 12 pages, 5 figure

Asymmetric Conditional Volatility in International Stock Markets

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the S&P 500, FTSE100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.Comment: 11 pages, 3 figure