Dynamic asset trees and Black Monday

The minimum spanning tree, based on the concept of ultrametricity, is constructed from the correlation matrix of stock returns. The dynamics of this asset tree can be characterised by its normalised length and the mean occupation layer, as measured from an appropriately chosen centre called the `central node'. We show how the tree length shrinks during a stock market crisis, Black Monday in this case, and how a strong reconfiguration takes place, resulting in topological shrinking of the tree.Comment: 6 pages, 3 eps figues. Elsevier style. Will appear in Physica A as part of the Bali conference proceedings, in pres

Recurrence and algorithmic information

In this paper we initiate a somewhat detailed investigation of the relationships between quantitative recurrence indicators and algorithmic complexity of orbits in weakly chaotic dynamical systems. We mainly focus on examples.Comment: 26 pages, no figure

Primordial Entropy Production and Lambda-driven Inflation from Quantum Einstein Gravity

We review recent work on renormalization group (RG) improved cosmologies based upon a RG trajectory of Quantum Einstein Gravity (QEG) with realistic parameter values. In particular we argue that QEG effects can account for the entire entropy of the present Universe in the massless sector and give rise to a phase of inflationary expansion. This phase is a pure quantum effect and requires no classical inflaton field.Comment: 12 pages, 4 figures, IGCG-07 Pun

The role of Background Independence for Asymptotic Safety in Quantum Einstein Gravity

We discuss various basic conceptual issues related to coarse graining flows in quantum gravity. In particular the requirement of background independence is shown to lead to renormalization group (RG) flows which are significantly different from their analogs on a rigid background spacetime. The importance of these findings for the asymptotic safety approach to Quantum Einstein Gravity (QEG) is demonstrated in a simplified setting where only the conformal factor is quantized. We identify background independence as a (the ?) key prerequisite for the existence of a non-Gaussian RG fixed point and the renormalizability of QEG.Comment: 2 figures. Talk given by M.R. at the WE-Heraeus-Seminar "Quantum Gravity: Challenges and Perspectives", Bad Honnef, April 14-16, 2008; to appear in General Relativity and Gravitatio

Hydromagnetic Instability in plane Couette Flow

We study the stability of a compressible magnetic plane Couette flow and show that compressibility profoundly alters the stability properties if the magnetic field has a component perpendicular to the direction of flow. The necessary condition of a newly found instability can be satisfied in a wide variety of flows in laboratory and astrophysical conditions. The instability can operate even in a very strong magnetic field which entirely suppresses other MHD instabilities. The growth time of this instability can be rather short and reach $\sim 10$ shear timescales.Comment: 6 pages, 5 figures. To appear on PR

Mean Escape Time in a System with Stochastic Volatility

We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We investigate the statistical properties of the escape time of the returns, from a given interval, as a function of the three parameters of the model. We find that the noise can have a stabilizing effect on the system, as long as the global noise is not too high with respect to the effective potential barrier experienced by a fictitious Brownian particle. We compare the probability density function of the return escape times of the model with those obtained from real market data. We find that they fit very well.Comment: 9 pages, 9 figures, to be published in Phys. Rev.

Flow Equations for U_k and Z_k

By considering the gradient expansion for the wilsonian effective action S_k of a single component scalar field theory truncated to the first two terms, the potential U_k and the kinetic term Z_k, I show that the recent claim that different expansion of the fluctuation determinant give rise to different renormalization group equations for Z_k is incorrect. The correct procedure to derive this equation is presented and the set of coupled differential equations for U_k and Z_k is definitely established.Comment: 5 page

The Accelerated expansion of the Universe as a crossover phenomenon

We show that the accelerated expansion of the Universe can be viewed as a crossover phenomenon where the Newton constant and the Cosmological constant are actually scaling operators, dynamically evolving in the attraction basin of a non-Gaussian infrared fixed point, whose existence has been recently discussed. By linearization of the renormalized flow it is possible to evaluate the critical exponents, and it turns out that the approach to the fixed point is ruled by a marginal and a relevant direction. A smooth transition between the standard Friedmann--Lemaitre--Robertson--Walker (FLRW) cosmology and the observed accelerated expansion is then obtained, so that $\Omega_M \approx \Omega_\Lambda$ at late times.Comment: 12 pages, latex, use bibtex. In the final version, the presentation has been improved, and new references have been adde

Running Gauge Coupling in Asymptotically Safe Quantum Gravity

We investigate the non-perturbative renormalization group behavior of the gauge coupling constant using a truncated form of the functional flow equation for the effective average action of the Yang-Mills-gravity system. We find a non-zero quantum gravity correction to the standard Yang-Mills beta function which has the same sign as the gauge boson contribution. Our results fit into the picture according to which Quantum Einstein Gravity (QEG) is asymptotically safe, with a vanishing gauge coupling constant at the non-trivial fixed point.Comment: 27 page