858 research outputs found
Spurious trend switching phenomena in financial markets
The observation of power laws in the time to extrema of volatility, volume
and intertrade times, from milliseconds to years, are shown to result
straightforwardly from the selection of biased statistical subsets of
realizations in otherwise featureless processes such as random walks. The bias
stems from the selection of price peaks that imposes a condition on the
statistics of price change and of trade volumes that skew their distributions.
For the intertrade times, the extrema and power laws results from the format of
transaction data
Coupling of intrinsic Josephson oscillations in layered superconductors by charge fluctuations
The coupling of Josephson oscillations in layered superconductors is studied
with help of a tunneling Hamiltonian formalism. The general form of the current
density across the barriers between the superconducting layers is derived. The
induced charge fluctuations on the superconducting layers lead to a coupling of
the Josephson oscillations in different junctions. A simplified set of
equations is then used to study the non-linear dynamics of the system. In
particular the influence of the coupling on the current-voltage characteristics
is investigated and upper limits for the coupling strength are estimated from a
comparison with experiments on cuprate superconductors.Comment: To be published in proceedings of SPIE conference San Diego 199
Quantifying the behavior of stock correlations under market stress
Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios
Quantifying the digital traces of Hurricane Sandy on Flickr
Society’s increasing interactions with technology are creating extensive “digital traces” of our collective human behavior. These new data sources are fuelling the rapid development of the new field of computational social science. To investigate user attention to the Hurricane Sandy disaster in 2012, we analyze data from Flickr, a popular website for sharing personal photographs. In this case study, we find that the number of photos taken and subsequently uploaded to Flickr with titles, descriptions or tags related to Hurricane Sandy bears a striking correlation to the atmospheric pressure in the US state New Jersey during this period. Appropriate leverage of such information could be useful to policy makers and others charged with emergency crisis management
Solar system constraints on Rindler acceleration
We discuss the classical tests of general relativity in the presence of
Rindler acceleration. Among these tests the perihelion shifts give the tightest
constraints and indicate that the Pioneer anomaly cannot be caused by a
universal solar system Rindler acceleration. We address potential caveats for
massive test-objects. Our tightest bound on Rindler acceleration that comes
with no caveats is derived from radar echo delay and yields |a|<3nm/s^2.Comment: 7 pages, v2: minor changes, added references, v3: corrected typos,
extended Table 1, corrected bound on measurement of gravitational redshif
Information sharing promotes prosocial behaviour
More often than not, bad decisions are bad regardless of where
and when they are made. Information sharing might thus be utilized to
mitigate them. Here we show that sharing information about strategy choice
between players residing on two different networks reinforces the evolution
of cooperation. In evolutionary games, the strategy reflects the action of each
individual that warrants the highest utility in a competitive setting. We therefore
assume that identical strategies on the two networks reinforce themselves by
lessening their propensity to change. Besides network reciprocity working in
favour of cooperation on each individual network, we observe the spontaneous
emergence of correlated behaviour between the two networks, which further
deters defection. If information is shared not just between individuals but also
between groups, the positive effect is even stronger, and this despite the fact
that information sharing is implemented without any assumptions with regard to
content
- …