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

Entropy Bound with Generalized Uncertainty Principle in General Dimensions

In this letter, the entropy bound for local quantum field theories (LQFT) is studies in a class of models of the generalized uncertainty principle(GUP) which predicts a minimal length as a reflection of the quantum gravity effects. Both bosonic and fermionic fields confined in arbitrary spatial dimension $d\geq4$ ball ${\cal B}^{d}$ are investigated. It is found that the GUP leads to the same scaling $A_{d-2}^{(d-3)/(d-2)}$ correction to the entropy bound for bosons and fermions, although the coefficients of this correction are different for each case. Based on our calculation, we conclude that the GUP effects can become manifest at the short distance scale. Some further implications and speculations of our results are also discussed.Comment: 8 pages, topos corrected and references adde

An invariant distribution in static granular media

We have discovered an invariant distribution for local packing configurations in static granular media. This distribution holds in experiments for packing fractions covering most of the range from random loose packed to random close packed, for beads packed both in air and in water. Assuming only that there exist elementary cells in which the system volume is subdivided, we derive from statistical mechanics a distribution that is in accord with the observations. This universal distribution function for granular media is analogous to the Maxwell-Boltzmann distribution for molecular gasses.Comment: 4 pages 3 figure

Optimization concepts in district energy design and management – A case study

AbstractThe integration of optimization techniques in building and district energy design constitute an essential tool for reducing the global impact of energy services. Appropriate dynamic energy management systems must be employed too in order to maintain a high level of performance in the operational phase and to obtain better system knowledge. Therefore, in the strategic energy planning of districts, it is necessary to embody the main concepts of Smart Grid and virtual power plants frameworks. In the research presented, the preliminary results from a case study are illustrated with a reflection on energy consumption subdivision and load profiles for the sizing and operational strategy definition of distributed generation systems

Multi-commodity network flow models for dynamic energy management – Smart Grid applications

AbstractThe strong interconnection between human activities, energy use and pollution reduction strategies in contemporary society has determined the necessity of collecting scientific knowledge from different fields to provide useful methods and models to foster the transition towards more sustainable energy systems. This is a challenging task in particular for contemporary communities where an increasing demand for services is combined with rapidly changing lifestyles and habits. The Smart Grid concept is the result of a confluence of issues and a convergence of objectives, which include national energy security, climate change, pollution reduction, grid reliability, etc. While thinking about a paradigm shift in energy systems, drivers, characteristics, market segments, applications and other interconnected aspects must be taken into account simultaneously. In this context, the use of multi-commodity network flow models for dynamic energy management aims at finding a compromise between model usefulness, accuracy, flexibility, solvability and scalability in Smart Grid applications

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

Random walk on disordered networks

Random walks are studied on disordered cellular networks in 2-and 3-dimensional spaces with arbitrary curvature. The coefficients of the evolution equation are calculated in term of the structural properties of the cellular system. The effects of disorder and space-curvature on the diffusion phenomena are investigated. In disordered systems the mean square displacement displays an enhancement at short time and a lowering at long ones, with respect to the ordered case. The asymptotic expression for the diffusion equation on hyperbolic cellular systems relates random walk on curved lattices to hyperbolic Brownian motion.Comment: 10 Pages, 3 Postscript figure

Topological correlations in soap froths

Correlation in two-dimensional soap froth is analysed with an effective potential for the first time. Cells with equal number of sides repel (with linear correlation) while cells with different number of sides attract (with NON-bilinear) for nearest neighbours, which cannot be explained by the maximum entropy argument. Also, the analysis indicates that froth is correlated up to the third shell neighbours at least, contradicting the conventional ideas that froth is not strongly correlated.Comment: 10 Pages LaTeX, 6 Postscript figure