Multiscaled Cross-Correlation Dynamics in Financial Time-Series

The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding time windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of timescale information in the context of risk management

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

The Suzaku Observation of NGC 3516: Complex Absorption and the Broad and Narrow Fe K Lines

We present results from a 150 ksec Suzaku observation of the Seyfert 1.5 NGC 3516 in October 2005. The source was in a relatively highly absorbed state. Our best-fit model is consistent with the presence of a low-ionization absorber which has a column density near 5 * 10^{22} cm^{-2} and covers most of the X-ray continuum source (covering fraction 96-100%). A high-ionization absorbing component, which yields a narrow absorption feature consistent with Fe K XXVI, is confirmed. A relativistically broadened Fe K alpha line is required in all fits, even after the complex absorption is taken into account; an additional partial-covering component is an inadequate substitute for the continuum curvature associated with the broad Fe line. A narrow Fe K alpha emission line has a velocity width consistent with the Broad Line Region. The low-ionization absorber may be responsible for producing the narrow Fe K alpha line, though a contribution from additional material out of the line of sight is possible. We include in our model soft band emission lines from He- and H-like ions of N, O, Ne and Mg, consistent with photo-ionization, though a small contribution from collisionally-ionized emission is possible.Comment: Accepted for publication in PASJ (Suzaku second special issue). 36 pages, 10 figure

Inclusive Scattering of Polarized Electrons on Polarized 3He Effects of Final State Interaction and the Magnetic Form Factor of the Neutron

Effects of final state interaction on asymmetries in inclusive scattering of polarized electrons on polarized 3He are investigated using consistent 3He bound state wave function and 3N continuum scattering states. Significant effects are found, which influence the extraction of the magnetic neutron form factor from A_T'. The enhancement found experimentally for A_TL' near the 3N breakup threshold, which could not be explained in calculations carried through in plane wave impulse approximation up to now, occurs now also in theory if the full final state interaction is included.Comment: 29 pages, 5 figure

Theory of Cylindrical Tubules and Helical Ribbons of Chiral Lipid Membranes

We present a general theory for the equilibrium structure of cylindrical tubules and helical ribbons of chiral lipid membranes. This theory is based on a continuum elastic free energy that permits variations in the direction of molecular tilt and in the curvature of the membrane. The theory shows that the formation of tubules and helical ribbons is driven by the chirality of the membrane. Tubules have a first-order transition from a uniform state to a helically modulated state, with periodic stripes in the tilt direction and ripples in the curvature. Helical ribbons can be stable structures, or they can be unstable intermediate states in the formation of tubules.Comment: 43 pages, including 12 postscript figures, uses REVTeX 3.0 and epsf.st

A Mexican Hat with holes: calculating low resolution power spectra from data with gaps

A simple method for calculating a low-resolution power spectrum from data with gaps is described. The method is a modification of the $\Delta$-variance method previously described by Stutzki and Ossenkopf. A Mexican Hat filter is used to single out fluctuations at a given spatial scale and the variance of the convolved image is calculated. The gaps in the image, defined by the mask, are corrected for by representing the Mexican Hat filter as a difference between two Gaussian filters with slightly different widths, convolving the image and mask with these filters and dividing the results before calculating the final filtered image. This method cleanly compensates for data gaps even if these have complicated shapes and cover a significant fraction of the data. The method was developed to deal with problematic 2D images, where irregular detector edges and masking of contaminating sources compromise the power spectrum estimates, but it can also be straightforwardly applied to 1D timing analysis or 3D data cubes from numerical simulations.Comment: accepted for publication in MNRA

Calibration of optimal execution of financial transactions in the presence of transient market impact

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution.Comment: 31 pages, 8 figure

Relativistic Iron K Emission and absorption in the Seyfert 1.9 galaxy MCG-5-23-16

We present the results of the simultaneous deep XMM and Chandra observations of the bright Seyfert 1.9 galaxy MCG-5-23-16, which is thought to have one of the best known examples of a relativistically broadened iron K-alpha line. The time averaged spectral analysis shows that the iron K-shell complex is best modeled with an unresolved narrow emission component (FWHM < 5000 km/s, EW ~ 60 eV) plus a broad component. This latter component has FWHM ~ 44000 km/s and EW ~ 50 eV. Its profile is well described by an emission line originating from an accretion disk viewed with an inclination angle ~ 40^\circ and with the emission arising from within a few tens of gravitational radii of the central black hole. The time-resolved spectral analysis of the XMM EPIC-pn spectrum shows that both the narrow and broad components of the Fe K emission line appear to be constant in time within the errors. We detected a narrow sporadic absorption line at 7.7 keV which appears to be variable on a time-scale of 20 ksec. If associated with Fe XXVI Ly-alpha this absorption is indicative of a possibly variable, high ionization, high velocity outflow. The variability of this absorption feature appears to rule out a local (z=0) origin. The analysis of the XMM RGS spectrum reveals that the soft X-ray emission of MCG-5-23-16 is likely dominated by several emission lines superimposed on an unabsorbed scattered power-law continuum. The lack of strong Fe L shell emission together with the detection of a strong forbidden line in the O VII triplet is consistent with a scenario where the soft X-ray emission lines are produced in a plasma photoionized by the nuclear emission.Comment: 45 pages, 12 figures, 4 tables, accepted for publication in Ap

Gap Renormalization in Dirty Anisotropic Superconductors: Implications for the Order Parameter of the Cuprates

We contrast the effects of non-magnetic impurities on the properties of superconductors having a \dw\ order parameter, and a highly anisotropic s-wave (ASW) gap with the same nodal structure. The non-vanishing, impurity induced, off-diagonal self-energy in the ASW state is shown to gap out the low energy excitations present in the clean system, leading to a qualitatively different impurity response of the single particle density of states compared to the \dw\ state. We discuss how this behaviour can be employed to distinguish one state from the other by an analysis of high-resolution angle-resolved photoemission spectra.Comment: 12 pages, uuencoded Postscrip

Impurity States and the Absence of Quasiparticle Localization in Disordered D-Wave Superconductors

The absence of localization of impurity-induced low-energy quasiparticle states in a two-dimensional $d$-wave superconductor is argued for any amount of disorder in the limit of unitary scatterers. This surprising result follows from the fact that a unitary impurity produces a marginally-bound state at zero energy which decays as a power-law along the nodes of the $d$-wave energy gap. Consequently, for finite density of impurities, the impurity-induced states are coupled by long-range overlaps yielding extended quasiparticle states below a characteristic energy scale $\omega_c$. Simple scaling arguments suggest that $\omega_c \propto e^{-c/n_{\rm imp}}$, where $n_{\rm imp}$ is the impurity density and $c$ is a positive constant.Comment: 4 pages, uuencoded postscript fil