Signal and Noise in Financial Correlation Matrices

Using Random Matrix Theory one can derive exact relations between the eigenvalue spectrum of the covariance matrix and the eigenvalue spectrum of its estimator (experimentally measured correlation matrix). These relations will be used to analyze a particular case of the correlations in financial series and to show that contrary to earlier claims, correlations can be measured also in the ``random'' part of the spectrum. Implications for the portfolio optimization are briefly discussed.Comment: 6 pages + 2 figures, corrected references, Talk at Conference: Applications of Physics in Financial Analysis 4, Warsaw, 13-15 November 200

The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect

We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that the exchange rate return fluctuations for all the pairs considered are well described by the nonextensive statistics in terms of q-Gaussians. There exist some small quantitative variations in the nonextensivity q-parameter values for different exchange rates and this can be related to the importance of a given exchange rate in the world's currency trade. Temporal correlations organize the series of returns such that they develop the multifractal characteristics for all the exchange rates with a varying degree of symmetry of the singularity spectrum f(alpha) however. The most symmetric spectrum is identified for the GBP/USD. We also form time series of triangular residual returns and find that the distributions of their fluctuations develop disproportionately heavier tails as compared to small fluctuations which excludes description in terms of q-Gaussians. The multifractal characteristics for these residual returns reveal such anomalous properties like negative singularity exponents and even negative singularity spectra. Such anomalous multifractal measures have so far been considered in the literature in connection with the diffusion limited aggregation and with turbulence. We find that market inefficiency on short time scales leads to the occurrence of the Epps effect on much longer time scales. Although the currency market is much more liquid than the stock markets and it has much larger transaction frequency, the building-up of correlations takes up to several hours - time that does not differ much from what is observed in the stock markets. This may suggest that non-synchronicity of transactions is not the unique source of the observed effect

Isoperiodic deformations of the acoustic operator and periodic solutions of the Harry Dym equation

We consider the problem of describing the possible spectra of an acoustic operator with a periodic finite-gap density. We construct flows on the moduli space of algebraic Riemann surfaces that preserve the periods of the corresponding operator. By a suitable extension of the phase space, these equations can be written with quadratic irrationalities.Comment: 15 page

Mathematical model of electricity loading process in an organization

Обґрунтовано науково-технічні задачі математичного моделювання даних вимірювань у задачах статистичного моніторингу процесу електронавантаження організації. Запропоновано нову математичну модель процесу електронавантаження у вигляді кусково-однорідного періодичного процесу білого шуму і визначено її основні характеристики в задачах поточного і довготермінового моніторингу електронавантаження.Study of scientific and technical problems of mathematical modeling of measurement data in the problems of statistical monitoring of an electricity loading process in an organization is substantiated in the article. A new mathematical model of an electricity loading process as a piece-homogeneous periodic process of white noise is proposed and its principal characteristics in the problems of current and long-term monitoring of electricity loading are defined

Detection and imaging in strongly backscattering randomly layered media

Abstract. Echoes from small reflectors buried in heavy clutter are weak and difficult to distinguish from the medium backscatter. Detection and imaging with sensor arrays in such media requires filtering out the unwanted backscatter and enhancing the echoes from the reflectors that we wish to locate. We consider a filtering and detection approach based on the singular value decomposition of the local cosine transform of the array response matrix. The algorithm is general and can be used for detection and imaging in heavy clutter, but its analysis depends on the model of the cluttered medium. This paper is concerned with the analysis of the algorithm in finely layered random media. We obtain a detailed characterization of the singular values of the transformed array response matrix and justify the systematic approach of the filtering algorithm for detecting and refining the time windows that contain the echoes that are useful in imaging

Ergodic Jacobi matrices and conformal maps

We study structural properties of the Lyapunov exponent $\gamma$ and the density of states $k$ for ergodic (or just invariant) Jacobi matrices in a general framework. In this analysis, a central role is played by the function $w=-\gamma+i\pi k$ as a conformal map between certain domains. This idea goes back to Marchenko and Ostrovskii, who used this device in their analysis of the periodic problem

Welfare to Work: What are the Obstacles?

U.S. welfare reform initiatives are based on the assumption that the primary barriers to economic independence are individual deficits. However, the policy does not adequately account for situational and personal factors necessary for a successful transition from welfare to work. Without greater attention to these barriers, the policy is likely to fail or be implemented at high personal cost to recipients and their families. This paper uses a personin- environment social systems framework to examine the personal and family resources available to a group of women who were receiving AFDC and participating in an urban Head Start program. Structured interviews and literacy assessments with 77 AFDC recipientsp articipatingi n a Head Start program indicate that the barriers to self-support are not related to substance abuse, health problems, deficits in literacy, or a lack of interest in work. However, most caregivers do not have adequate training or education to prepare them to compete in the job market, nor do they feel equipped to find a job on their own. The results with respect to family resources are mixed. While families possess a number of coping mechanisms, caregivers have little support from social network members for day-to-day child care activities. The implications of the findings for welfare policy are discussed

Design and development of an anthropomorphic metamorphic robotic hand

This work presents analysis of the 4-fingered robotic hand and is a continuation of the Bachelor’s thesis “Design and Development of an Anthropomorphic Metamorphic Robotic Hand”. First, general comparison between scientific and commercial robotic hands is introduced. Specification and structure of the hands are studied. Noted tendencies are discussed. After that, kinematic analysis of the proposed manipulator is produced. Based on kinematics, dynamic model of the hand is investigated and then programmed in MatLab software for numerical simulations. Therefore, description of capabilities and properties of the proposed robotic hand is given. In addition, control techniques are discussed and SimMechanics tool of the MatLab software is used for providing supplementary data. In the end, FEA of vulnerable areas is examined

On the mechanisms governing gas penetration into a tokamak plasma during a massive gas injection

A new 1D radial fluid code, IMAGINE, is used to simulate the penetration of gas into a tokamak plasma during a massive gas injection (MGI). The main result is that the gas is in general strongly braked as it reaches the plasma, due to mechanisms related to charge exchange and (to a smaller extent) recombination. As a result, only a fraction of the gas penetrates into the plasma. Also, a shock wave is created in the gas which propagates away from the plasma, braking and compressing the incoming gas. Simulation results are quantitatively consistent, at least in terms of orders of magnitude, with experimental data for a D 2 MGI into a JET Ohmic plasma. Simulations of MGI into the background plasma surrounding a runaway electron beam show that if the background electron density is too high, the gas may not penetrate, suggesting a possible explanation for the recent results of Reux et al in JET (2015 Nucl. Fusion 55 093013)