Statistical Properties of Cross-Correlation in the Korean Stock Market

We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. The $\beta_{473}$ coefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy function $E(\sigma)$ with the portfolio risk $\sigma$ for the original and filtered correlation matrices are consistent with a power-law function, $E(\sigma) \sim \sigma^{-\gamma}$, with the exponent $\gamma \sim 2.92$ and those for Asian currency crisis decreases significantly

Exact Study of the Effect of Level Statistics in Ultrasmall Superconducting Grains

The reduced BCS model that is commonly used for ultrasmall superconducting grains has an exact solution worked out long ago by Richardson in the context of nuclear physics. We use it to check the quality of previous treatments of this model, and to investigate the effect of level statistics on pairing correlations. We find that the ground state energies are on average somewhat lower for systems with non-uniform than uniform level spacings, but both have an equally smooth crossover from the bulk to the few-electron regime. In the latter, statistical fluctuations in ground state energies strongly depend on the grain's electron number parity.Comment: 4 pages, 3 eps figs, RevTe

Scattering phases in quantum dots: an analysis based on lattice models

The properties of scattering phases in quantum dots are analyzed with the help of lattice models. We first derive the expressions relating the different scattering phases and the dot Green functions. We analyze in detail the Friedel sum rule and discuss the deviation of the phase of the transmission amplitude from the Friedel phase at the zeroes of the transmission. The occurrence of such zeroes is related to the parity of the isolated dot levels. A statistical analysis of the isolated dot wave-functions reveals the absence of significant correlations in the parity for large disorder and the appearance, for weak disorder, of certain dot states which are strongly coupled to the leads. It is shown that large differences in the coupling to the leads give rise to an anomalous charging of the dot levels. A mechanism for the phase lapse observed experimentally based on this property is discussed and illustrated with model calculations.Comment: 18 pages, 9 figures. to appear in Physical Review

Evolution of wave packets in quasi-1D and 1D random media: diffusion versus localization

We study numerically the evolution of wavepackets in quasi one-dimensional random systems described by a tight-binding Hamiltonian with long-range random interactions. Results are presented for the scaling properties of the width of packets in three time regimes: ballistic, diffusive and localized. Particular attention is given to the fluctuations of packet widths in both the diffusive and localized regime. Scaling properties of the steady-state distribution are also analyzed and compared with theoretical expression borrowed from one-dimensional Anderson theory. Analogies and differences with the kicked rotator model and the one-dimensional localization are discussed.Comment: 32 pages, LaTex, 11 PostScript figure

Self-sorting of porous Cu(4)L(2)L'(2) metal-organic cages composed of isomerisable ligands

We report the self-sorting of a dynamic combinatorial library (DCL) of metal–organic cages composed of a rotationally isomerisable ligand. Convergence of the DCL occurs upon crystallisation and leads to low-symmetry Cu₄L₂L′₂ cages that display differing porosities based on their overall shape and ligand configuration.Adrian W. Markwell-Heys, Matthew L. Schneider, Jenica Marie L. Madridejos, Gregory F. Metha and Witold M. Bloc