Random Matrix Theory Analysis of Cross Correlations in Financial Markets

We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random part of the eigenvalue distribution of the cross correlation matrix is stable even when deterministic correlations are present. Some deviations in the small eigenvalue statistics outside the bounds of the universality class of RMT are not completely explained with the deterministic correlations as proposed in previous studies. We study the effect of randomness on deterministic correlations and find that randomness causes a repulsion between deterministic eigenvalues and the random eigenvalues. This is interpreted as a reminiscent of ``level repulsion'' in RMT and explains some deviations from the previous studies observed in the market data. We also study correlated groups of issues in these markets and propose a refined method to identify correlated groups based on RMT. Some characteristic differences between properties of Tokyo Stock Exchange and New York Stock Exchange are found.Comment: RevTex, 17 pages, 8 figure

Histopathological evaluation of placentas after diagnosis of maternal SARS-CoV-2 infection.

Background:The impact of maternal SARS-CoV-2 infection on placental histopathology is not well known. Objectives:To determine if significant placental histopathological changes occur after diagnosis of SARS-CoV-2 infection in pregnancy and whether these changes are correlated with the presence or absence of symptoms associated with infection. Study Design:Retrospective cohort study of women diagnosed with SARS-CoV-2 infection who delivered at a single center from April 9th to April 27th, 2020, and had placental specimens reviewed by pathology. Women with singleton gestations and laboratory-confirmed SARS-CoV-2 infection were eligible for inclusion. Historical controls selected from a cohort of women who delivered 6 months prior to the study period were matched in a 1:1 fashion by week of gestation at delivery. Histopathological characteristics were evaluated in each placenta and the incidence of these findings were compared between placentas after diagnosis of maternal SARS-CoV-2 infection and historical controls, as well as between placentas from patients with or without typical symptoms related to infection. Statistical analysis included use of Wilcoxon rank sum test and Fisher\u27s exact test for comparison of categorical and continuous variables. Statistical significance was defined as P value \u3c 0.05. Results:A total of 50 placentas after diagnosis of maternal SARS-CoV-2 infection and 50 historical controls were analyzed. Among placentas from patients diagnosed with SARS-CoV-2 infection, 3 (6%) were preterm (33 3/7, 34 6/7 and 36 6/7 weeks of gestation), 16 (32%) were from patients with typical symptoms related to infection and 34 (68%) were from patients without typical symptoms related to the infection. All patients had diagnosis of SARS-CoV-2 infection in the third trimester. Decidual vasculopathy was not visualized in any of the placentas from patients diagnosed with SARS-CoV-2 infection. There was no statistically significant difference in placental histopathological characteristics between the groups. SARS-CoV-2 testing for all neonates at 24 hours of life was negative. Conclusions:Based on our data, there are no significant placental histopathological changes that occur after diagnosis of SARS-CoV-2 infection in the third trimester of pregnancy compared to a gestational age-matched historical control group. Similar incidences of histopathological findings were also discovered when comparing placentas from patients with SARS-CoV-2 infection with or without the presence of symptoms typically related to infection

Stochastic Budget Optimization in Internet Advertising

Internet advertising is a sophisticated game in which the many advertisers "play" to optimize their return on investment. There are many "targets" for the advertisements, and each "target" has a collection of games with a potentially different set of players involved. In this paper, we study the problem of how advertisers allocate their budget across these "targets". In particular, we focus on formulating their best response strategy as an optimization problem. Advertisers have a set of keywords ("targets") and some stochastic information about the future, namely a probability distribution over scenarios of cost vs click combinations. This summarizes the potential states of the world assuming that the strategies of other players are fixed. Then, the best response can be abstracted as stochastic budget optimization problems to figure out how to spread a given budget across these keywords to maximize the expected number of clicks. We present the first known non-trivial poly-logarithmic approximation for these problems as well as the first known hardness results of getting better than logarithmic approximation ratios in the various parameters involved. We also identify several special cases of these problems of practical interest, such as with fixed number of scenarios or with polynomial-sized parameters related to cost, which are solvable either in polynomial time or with improved approximation ratios. Stochastic budget optimization with scenarios has sophisticated technical structure. Our approximation and hardness results come from relating these problems to a special type of (0/1, bipartite) quadratic programs inherent in them. Our research answers some open problems raised by the authors in (Stochastic Models for Budget Optimization in Search-Based Advertising, Algorithmica, 58 (4), 1022-1044, 2010).Comment: FINAL versio

Reflectance Fluctuations in an Absorbing Random Waveguide

We study the statistics of the reflectance (the ratio of reflected and incident intensities) of an $N$-mode disordered waveguide with weak absorption $\gamma$ per mean free path. Two distinct regimes are identified. The regime $\gamma N^2\gg1$ shows universal fluctuations. With increasing length $L$ of the waveguide, the variance of the reflectance changes from the value $2/15 N^2$, characteristic for universal conductance fluctuations in disordered wires, to another value $1/8 N^2$, characteristic for chaotic cavities. The weak-localization correction to the average reflectance performs a similar crossover from the value $1/3 N$ to $1/4 N$. In the regime $\gamma N^2\ll1$, the large-$L$ distribution of the reflectance $R$ becomes very wide and asymmetric, $P(R)\propto (1-R)^{-2}$ for $R\ll 1-\gamma N$.Comment: 7 pages, RevTeX, 2 postscript figure

Statistics of S-matrix poles for chaotic systems with broken time reversal invariance: a conjecture

In the framework of a random matrix description of chaotic quantum scattering the positions of $S-$matrix poles are given by complex eigenvalues $Z_i$ of an effective non-Hermitian random-matrix Hamiltonian. We put forward a conjecture on statistics of $Z_i$ for systems with broken time-reversal invariance and verify that it allows to reproduce statistical characteristics of Wigner time delays known from independent calculations. We analyze the ensuing two-point statistical measures as e.g. spectral form factor and the number variance. In addition we find the density of complex eigenvalues of real asymmetric matrices generalizing the recent result by Efetov\cite{Efnh}.Comment: 4 page

Asymptotic Level Spacing of the Laguerre Ensemble: A Coulomb Fluid Approach

We determine the asymptotic level spacing distribution for the Laguerre Ensemble in a single scaled interval, $(0,s)$, containing no levels, E_{\bt}(0,s), via Dyson's Coulomb Fluid approach. For the $\alpha=0$ Unitary-Laguerre Ensemble, we recover the exact spacing distribution found by both Edelman and Forrester, while for $\alpha\neq 0$, the leading terms of $E_{2}(0,s)$, found by Tracy and Widom, are reproduced without the use of the Bessel kernel and the associated Painlev\'e transcendent. In the same approximation, the next leading term, due to a ``finite temperature'' perturbation (\bt\neq 2), is found.Comment: 10pp, LaTe

Correlations between zeros of a random polynomial

We obtain exact analytical expressions for correlations between real zeros of the Kac random polynomial. We show that the zeros in the interval $(-1,1)$ are asymptotically independent of the zeros outside of this interval, and that the straightened zeros have the same limit translation invariant correlations. Then we calculate the correlations between the straightened zeros of the SO(2) random polynomial.Comment: 31 pages, 2 figures; a revised version of the J. Stat. Phys. pape