10,420 research outputs found
Magnetic reconnection: flares and coronal heating in Active Galactic Nuclei
A magnetically-structured accretion disk corona, generated by buoyancy
instability in the disk, can account for observations of flare--like events in
Active Galactic Nuclei. We examine how Petschek magnetic reconnection,
associated with MHD turbulence, can result in a violent release of energy and
heat the magnetically closed regions of the corona up to canonical X-ray
emitting temperatures. X-ray magnetic flares, the after effect of the energy
released in slow shocks, can account for the bulk of the X-ray luminosity from
Seyfert galaxies and consistently explain the observed short-timescale
variability.Comment: revised version, 6 pages, 1 figures in MNRAS LaTex styl
Exchanges in complex networks: income and wealth distributions
We investigate the wealth evolution in a system of agents that exchange
wealth through a disordered network in presence of an additive stochastic
Gaussian noise. We show that the resulting wealth distribution is shaped by the
degree distribution of the underlying network and in particular we verify that
scale free networks generate distributions with power-law tails in the
high-income region. Numerical simulations of wealth exchanges performed on two
different kind of networks show the inner relation between the wealth
distribution and the network properties and confirm the agreement with a
self-consistent solution. We show that empirical data for the income
distribution in Australia are qualitatively well described by our theoretical
predictions.Comment: 8 pages, 11 figure
Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development
The scaling properties encompass in a simple analysis many of the volatility
characteristics of financial markets. That is why we use them to probe the
different degree of markets development. We empirically study the scaling
properties of daily Foreign Exchange rates, Stock Market indices and fixed
income instruments by using the generalized Hurst approach. We show that the
scaling exponents are associated with characteristics of the specific markets
and can be used to differentiate markets in their stage of development. The
robustness of the results is tested by both Monte-Carlo studies and a
computation of the scaling in the frequency-domain.Comment: 46 pages, 7 figures, accepted for publication in Journal of Banking &
Financ
kGamma distributions in granular packs
It has been recently pointed out that local volume fluctuations in granular
packings follow remarkably well a shifted and rescaled Gamma distribution named
the kGamma distribution [T. Aste, T. Di Matteo, Phys. Rev. E 77 (2008) 021309].
In this paper we confirm, extend and discuss this finding by supporting it with
additional experimental and simulation data.Comment: 10 pages, 5 figure
Ion-supported tori: a thermal bremsstrahlung model for the X-ray Background
We discuss the possibility that a significant contribution of the hard X-ray
Background is the integrated emission from a population of galaxies undergoing
advection-dominated accretion in their nuclei. Owing to poor coupling between
ions and electrons and to efficient radiative cooling of the electrons, the
accreting plasma is two-temperature, with the ions being generally much hotter
than the electrons and forming an ion-supported torus. We show that the
electron te mperature then saturates at approximately 100keV independent of
model parameters. At this temperature the hard X-ray emission is dominated by
bremsstrahlung radiation. We find that this physical model gives an excellent
fit to the spectrum of the XRB in the 3-60 keV range, provided that there is
some evolution associated with the spectral emissivity which must peak at a
redshift of about 2. We estimate that such galaxies contribute only to a small
fraction of the local X-ray volume emissivity. The model implies a higher mean
black hole mass than is obtained from the evolution of quasars alone.Comment: 7 pages, 7 ps figures, uses mn.sty (included). Submitted for
publication to MNRA
Non stationary multifractality in stock returns
We perform an extensive empirical analysis of scaling properties of equity
returns, suggesting that financial data show time varying multifractal
properties. This is obtained by comparing empirical observations of the
weighted generalised Hurst exponent (wGHE) with time series simulated via
Multifractal Random Walk (MRW) by Bacry \textit{et al.} [\textit{E.Bacry,
J.Delour and J.Muzy, Phys.Rev.E \,{\bf 64} 026103, 2001}]. While dynamical wGHE
computed on synthetic MRW series is consistent with a scenario where
multifractality is constant over time, fluctuations in the dynamical wGHE
observed in empirical data are not in agreement with a MRW with constant
intermittency parameter. We test these hypotheses of constant multifractality
considering different specifications of MRW model with fatter tails: in all
cases considered, although the thickness of the tails accounts for most of
anomalous fluctuations of multifractality, still cannot fully explain the
observed fluctuations.Comment: 27 pages, 10 figure
Anomalous volatility scaling in high frequency financial data
Volatility of intra-day stock market indices computed at various time
horizons exhibits a scaling behaviour that differs from what would be expected
from fractional Brownian motion (fBm). We investigate this anomalous scaling by
using empirical mode decomposition (EMD), a method which separates time series
into a set of cyclical components at different time-scales. By applying the EMD
to fBm, we retrieve a scaling law that relates the variance of the components
to a power law of the oscillating period. In contrast, when analysing 22
different stock market indices, we observe deviations from the fBm and Brownian
motion scaling behaviour. We discuss and quantify these deviations, associating
them to the characteristics of financial markets, with larger deviations
corresponding to less developed markets.Comment: 25 pages, 11 figure, 5 table
Correlation filtering in financial time series
We apply a method to filter relevant information from the correlation
coefficient matrix by extracting a network of relevant interactions. This
method succeeds to generate networks with the same hierarchical structure of
the Minimum Spanning Tree but containing a larger amount of links resulting in
a richer network topology allowing loops and cliques. In Tumminello et al.
\cite{TumminielloPNAS05}, we have shown that this method, applied to a
financial portfolio of 100 stocks in the USA equity markets, is pretty
efficient in filtering relevant information about the clustering of the system
and its hierarchical structure both on the whole system and within each
cluster. In particular, we have found that triangular loops and 4 element
cliques have important and significant relations with the market structure and
properties. Here we apply this filtering procedure to the analysis of
correlation in two different kind of interest rate time series (16 Eurodollars
and 34 US interest rates).Comment: 10 pages 7 figure
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.Scaling exponents; Time series analysis; Multi-fractals
- …