6,585 research outputs found
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 -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 -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 -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 . Simple scaling arguments suggest that
, where is the impurity
density and is a positive constant.Comment: 4 pages, uuencoded postscript fil
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