401 research outputs found
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
A model for correlations in stock markets
We propose a group model for correlations in stock markets. In the group
model the markets are composed of several groups, within which the stock price
fluctuations are correlated. The spectral properties of empirical correlation
matrices reported in [Phys. Rev. Lett. {\bf 83}, 1467 (1999); Phys. Rev. Lett.
{\bf 83}, 1471 (1999.)] are well understood from the model. It provides the
connection between the spectral properties of the empirical correlation matrix
and the structure of correlations in stock markets.Comment: two pages including one EPS file for a figur
Are Financial Crashes Predictable?
We critically review recent claims that financial crashes can be predicted
using the idea of log-periodic oscillations or by other methods inspired by the
physics of critical phenomena. In particular, the October 1997 `correction'
does not appear to be the accumulation point of a geometric series of local
minima.Comment: LaTeX, 5 pages + 1 postscript figur
Asymmetric correlation matrices: an analysis of financial data
We analyze the spectral properties of correlation matrices between distinct
statistical systems. Such matrices are intrinsically non symmetric, and lend
themselves to extend the spectral analyses usually performed on standard
Pearson correlation matrices to the realm of complex eigenvalues. We employ
some recent random matrix theory results on the average eigenvalue density of
this type of matrices to distinguish between noise and non trivial correlation
structures, and we focus on financial data as a case study. Namely, we employ
daily prices of stocks belonging to the American and British stock exchanges,
and look for the emergence of correlations between two such markets in the
eigenvalue spectrum of their non symmetric correlation matrix. We find several
non trivial results, also when considering time-lagged correlations over short
lags, and we corroborate our findings by additionally studying the asymmetric
correlation matrix of the principal components of our datasets.Comment: Revised version; 11 pages, 13 figure
Fluctuation-driven insulator-to-metal transition in an external magnetic field
We consider a model for a metal-insulator transition of correlated electrons
in an external magnetic field. We find a broad region in interaction and
magnetic field where metallic and insulating (fully magnetized) solutions
coexist and the system undergoes a first-order metal-insulator transition. A
global instability of the magnetically saturated solution precedes the local
ones and is caused by collective fluctuations due to poles in electron-hole
vertex functions.Comment: REVTeX 4 pages, 3 PS figure
On the distribution of the Wigner time delay in one-dimensional disordered systems
We consider the scattering by a one-dimensional random potential and derive
the probability distribution of the corresponding Wigner time delay. It is
shown that the limiting distribution is the same for two different models and
coincides with the one predicted by random matrix theory. It is also shown that
the corresponding stochastic process is given by an exponential functional of
the potential.Comment: 11 pages, four references adde
Enlarged perivascular spaces as a marker of underlying arteriopathy in intracerebral haemorrhage: a multicentre MRI cohort study.
Small vessel disease (mainly hypertensive arteriopathy and cerebral amyloid angiopathy (CAA)) is an important cause of spontaneous intracerebral haemorrhage (ICH), a devastating and still poorly understood stroke type. Enlarged perivascular spaces (EPVS) are a promising neuroimaging marker of small vessel disease. Based on the underlying arteriopathy distributions, we hypothesised that severe centrum semiovale EPVS are more common in lobar ICH attributed to CAA than other ICH. We evaluated EPVS prevalence, severity and distribution, and their clinical-radiological associations
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