Sector identification in a set of stock return time series traded at the London Stock Exchange

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.Comment: 28 pages, 13 figures, 3 Tables. Proceedings of the conference on "Applications of Random Matrices to Economy and other Complex Systems", Krakow (Poland), May 25-28 2005. Submitted for pubblication to Acta Phys. Po

Statistical properties of thermodynamically predicted RNA secondary structures in viral genomes

By performing a comprehensive study on 1832 segments of 1212 complete genomes of viruses, we show that in viral genomes the hairpin structures of thermodynamically predicted RNA secondary structures are more abundant than expected under a simple random null hypothesis. The detected hairpin structures of RNA secondary structures are present both in coding and in noncoding regions for the four groups of viruses categorized as dsDNA, dsRNA, ssDNA and ssRNA. For all groups hairpin structures of RNA secondary structures are detected more frequently than expected for a random null hypothesis in noncoding rather than in coding regions. However, potential RNA secondary structures are also present in coding regions of dsDNA group. In fact we detect evolutionary conserved RNA secondary structures in conserved coding and noncoding regions of a large set of complete genomes of dsDNA herpesviruses.Comment: 9 pages, 2 figure

Modeling long-range memory with stationary Markovian processes

In this paper we give explicit examples of power-law correlated stationary Markovian processes y(t) where the stationary pdf shows tails which are gaussian or exponential. These processes are obtained by simply performing a coordinate transformation of a specific power-law correlated additive process x(t), already known in the literature, whose pdf shows power-law tails 1/x^a. We give analytical and numerical evidence that although the new processes (i) are Markovian and (ii) have gaussian or exponential tails their autocorrelation function still shows a power-law decay =1/T^b where b grows with a with a law which is compatible with b=a/2-c, where c is a numerical constant. When a<2(1+c) the process y(t), although Markovian, is long-range correlated. Our results help in clarifying that even in the context of Markovian processes long-range dependencies are not necessarily associated to the occurrence of extreme events. Moreover, our results can be relevant in the modeling of complex systems with long memory. In fact, we provide simple processes associated to Langevin equations thus showing that long-memory effects can be modeled in the context of continuous time stationary Markovian processes.Comment: 5 figure

Statistically validated networks in bipartite complex systems

Many complex systems present an intrinsic bipartite nature and are often described and modeled in terms of networks [1-5]. Examples include movies and actors [1, 2, 4], authors and scientific papers [6-9], email accounts and emails [10], plants and animals that pollinate them [11, 12]. Bipartite networks are often very heterogeneous in the number of relationships that the elements of one set establish with the elements of the other set. When one constructs a projected network with nodes from only one set, the system heterogeneity makes it very difficult to identify preferential links between the elements. Here we introduce an unsupervised method to statistically validate each link of the projected network against a null hypothesis taking into account the heterogeneity of the system. We apply our method to three different systems, namely the set of clusters of orthologous genes (COG) in completely sequenced genomes [13, 14], a set of daily returns of 500 US financial stocks, and the set of world movies of the IMDb database [15]. In all these systems, both different in size and level of heterogeneity, we find that our method is able to detect network structures which are informative about the system and are not simply expression of its heterogeneity. Specifically, our method (i) identifies the preferential relationships between the elements, (ii) naturally highlights the clustered structure of investigated systems, and (iii) allows to classify links according to the type of statistically validated relationships between the connected nodes.Comment: Main text: 13 pages, 3 figures, and 1 Table. Supplementary information: 15 pages, 3 figures, and 2 Table

Modelling tumour volume variations in head and neck cancer: contribution of magnetic resonance imaging for patients undergoing induction chemotherapy

La valutazione del volume del tumore primitivo ha mostrato un valore predittivo per la stima dei risultati della sopravvivenza. Usando i dati volumetrici acquisiti con la Risonanza Magnetica (RM) nei pazienti sottoposti a chemioterapia di induzione (CI), tali risultati sono stati stimati nei pazienti con tumore del testa e collo, prima del trattamento radiante. Le immagini RM acquisite prima e dopo CI in 36 pazienti con tumore avanzato della testa e del collo sono state analizzate per valutarne il volume del tumore primitivo. I due volumi sono stati correlati utilizzando la regressione lineare locale tra i volume valutati nelle immagini della prima e quelli della seconda RM. Sono stati definiti i modelli di rischio proporzionale di COX per la valutazione del controllo locoregionale, la sopravvivenza libera da malattia e la sopravvivenza globale. La regressione lineare locale ha mostrato un buon valore predittivo per tutti i risultati di sopravvivenza nei modelli di rischio proporzionale di COX. I modelli predittivi per il controllo locoregionale di malattia e la sopravvivenza libera da malattia a 24 mesi ha mostrato una ottima discriminazione e capacità di previsione. La valutazione delle variazioni dei volumi dei tumori primitivi della testa e del collo dopo CI fornisce un esempio di modello che può essere facilmente utilizzato per altri approcci terapeutici. Una valutazione completa delle variabili nelle covariate è un prerequisito necessario per la creazione di modelli clinicamente attendibili

Comprehensive Analysis of Market Conditions in the Foreign Exchange Market: Fluctuation Scaling and Variance-Covariance Matrix

We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of transactions) for various currency pairs and the corresponding standard deviations holds for a majority of the weeks. However, the scaling breaks in some time intervals, which is related to the emergence of market shocks. There is a monotonous relationship between values of scaling indices and global averages of currency pair cross-correlations when both quantities are observed for various window lengths $\Delta t$.Comment: 13 pages, 10 figure

Infra-Red Asymptotic Dynamics of Gauge Invariant Charged Fields: QED versus QCD

The freedom one has in constructing locally gauge invariant charged fields in gauge theories is analyzed in full detail and exploited to construct, in QED, an electron field whose two-point function W(p), up to the fourth order in the coupling constant, is normalized with on-shell normalization conditions and is, nonetheless, infra-red finite; as a consequence the radiative corrections vanish on the mass shell $p^2=\mu^2$ and the free field singularity is dominant, although, in contrast to quantum field theories with mass gap, the eigenvalue $\mu^2$ of the mass operator is not isolated. The same construction, carried out for the quark in QCD, is not sufficient for cancellation of infra-red divergences to take place in the fourth order. The latter divergences, however, satisfy a simple factorization equation. We speculate on the scenario that could be drawn about infra-red asymptotic dynamics of QCD, should this factorization equation be true in any order of perturbation theory.Comment: 30 pages, RevTex, 8 figures included using graphic

Statistical characterization of deviations from planned flight trajectories in air traffic management

Understanding the relation between planned and realized flight trajectories and the determinants of flight deviations is of great importance in air traffic management. In this paper we perform an in-depth investigation of the statistical properties of planned and realized air traffic on the German airspace during a 28 day periods, corresponding to an AIRAC cycle. We find that realized trajectories are on average shorter than planned ones and this effect is stronger during night-time than day-time. Flights are more frequently deviated close to the departure airport and at a relatively large angle-to-destination. Moreover, the probability of a deviation is higher in low traffic phases. All these evidences indicate that deviations are mostly used by controllers to give directs to flights when traffic conditions allow it. Finally we introduce a new metric, termed di-fork, which is able to characterize navigation points according to the likelihood that a deviation occurs there. Di-fork allows to identify in a statistically rigorous way navigation point pairs where deviations are more (less) frequent than expected under a null hypothesis of randomness that takes into account the heterogeneity of the navigation points. Such pairs can therefore be seen as sources of flexibility (stability) of controllers' traffic management while conjugating safety and efficiency

Overview of IFMIF-DONES diagnostics: Requirements and techniques

The IFMIF-DONES Facility is a unique first-class scientific infrastructure whose construction is foreseen in Granada, Spain, in the coming years. Strong integration efforts are being made at the current project phase aiming at harmonizing the ongoing design of the different and complex Systems of the facility. The consolidation of the Diagnostics and Instrumentation, transversal across many of them, is a key element of this purpose. A top-down strategy is proposed for a systematic Diagnostics Review and Requirement definition, putting emphasis in the one-of-a-kind instruments necessary by the operational particularities of some of the Systems, as well as to the harsh environment that they shall survive. In addition, other transversal aspects such as the ones related to Safety and Machine Protection and their respective requirements shall be also considered. The goal is therefore to advance further and solidly in the respective designs, identify problems in advance, and steer the Diagnostics development and validation campaigns that will be required. The present work provides an overview of this integration strategy as well as a description of some of the most challenging Diagnostics and Instruments within the facility, including several proposed techniques currently under study