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

Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at the daily scale is already well defined at the 5 minutes time-horizon, and this structure accounts for 80 % of the classification of stocks in economic sectors. Similar results, though less sharp, are found for the other markets. We also find that the structure of correlations in the overnight returns is markedly different from that of intraday activity.Comment: 12 pages, 17 figure

NICMOS Imaging of the Nuclei of Arp 220

We report high resolution imaging of the ultraluminous infrared galaxy Arp 220 at 1.1, 1.6, and 2.22 microns with NICMOS on the HST. The diffraction-limited images at 0.1--0.2 arcsecond resolution clearly resolve both nuclei of the merging galaxy system and reveal for the first time a number of luminous star clusters in the circumnuclear envelope. The morphologies of both nuclei are strongly affected by dust obscuration, even at 2.2 microns : the primary nucleus (west) presents a crescent shape, concave to the south and the secondary (eastern) nucleus is bifurcated by a dust lane with the southern component being very reddened. In the western nucleus, the morphology of the 2.2 micron emission is most likely the result of obscuration by an opaque disk embedded within the nuclear star cluster. The morphology of the central starburst-cluster in the western nucleus is consistent with either a circumnuclear ring of star formation or a spherical cluster with the bottom half obscured by the embedded dust disk. Comparison of cm-wave radio continuum maps with the near-infrared images suggests that the radio nuclei lie in the dust disk on the west and near the highly reddened southern component of the eastern complex. The radio nuclei are separated by 0.98 arcseconds (corresponding to 364 pc at 77 Mpc) and the half-widths of the infrared nuclei are approximately 0.2-0.5 arcseconds. At least 8, unresolved infrared sources -- probably globular clusters -- are also seen in the circumnuclear envelope at radii 2-7 arcseconds . Their near-infrared colors do not significantly constrain their ages.Comment: LaTex, 15 pages with 1 gif figure and 5 postscript figures. ApJL accepte

Using Water Chemistry Data to Assess Stormwater Pathways in Lowland Watersheds

2012 S.C. Water Resources Conference - Exploring Opportunities for Collaborative Water Research, Policy and Managemen

Very Isolated Early-Type Galaxies

We use the Karachentseva (1973) ``Catalogue of Very Isolated Galaxies'' to investigate a candidate list of >100 very isolated early-type galaxies. Broad-band imaging and low resolution spectroscopy are available for a large fraction of these candidates and result in a sample of 102 very isolated early-type galaxies, including 65 ellipticals and 37 S0 galaxies. Many of these systems are quite luminous and the resulting optical luminosity functions of the Es and early-types (E+S0s) show no statistical differences when compared to luminosity functions dominated by group and cluster galaxies. However, whereas S0s outnumber Es 4:1 in the CfA survey, isolated Es outnumber S0s by nearly 2:1. We conclude that very isolated elliptical galaxies show no evidence for a different formation and/or evolution process compared to Es formed in groups or clusters, but that most S0s are formed by a mechanism (e.g., gas stripping) that occurs only in groups and rich clusters. Our luminosity function results for ellipticals are consistent with very isolated ellipticals being formed by merger events, in which no companions remain. CHANDRA observations were proposed to test specifically the merger hypothesis for isolated ellipticals. However, this program has resulted in the observation of only one isolated early-type galaxy, the S0 KIG 284, which was not detected at a limit well below that expected for a remnant group of galaxies. Therefore, the hypothesis remains untested that very isolated elliptical galaxies are the remains of a compact group of galaxies which completely merged.Comment: 19 pages, 3 figures; AJ in pres

The ROTSE-III Robotic Telescope System

The observation of a prompt optical flash from GRB990123 convincingly demonstrated the value of autonomous robotic telescope systems. Pursuing a program of rapid follow-up observations of gamma-ray bursts, the Robotic Optical Transient Search Experiment (ROTSE) has developed a next-generation instrument, ROTSE-III, that will continue the search for fast optical transients. The entire system was designed as an economical robotic facility to be installed at remote sites throughout the world. There are seven major system components: optics, optical tube assembly, CCD camera, telescope mount, enclosure, environmental sensing & protection and data acquisition. Each is described in turn in the hope that the techniques developed here will be useful in similar contexts elsewhere.Comment: 19 pages, including 4 figures. To be published in PASP in January, 2003. PASP Number IP02-11

A New Observational Upper Limit to the Low Redshift Ionizing Background Radiation

We report a new Fabry-Perot search for Halpha emission from the intergalactic cloud HI 1225+01 in an attempt to measure the low redshift ionizing background radiation. We set a new 2 sigma upper limit on Halpha emission of 8 mR (5 x 10^{-20} ergs cm^{-2} s^{-1} arcsec^{-2}). Conversion of this limit to limits on the strength of the ionizing background requires knowledge of the ratio of the projected to total surface area of this cloud, which is uncertain. We discuss the plausible range of this ratio, and within this range find that the strength of the ionizing backround is in the lower range of, but consistent with, previous observational and theoretical estimates.Comment: 46 pages including 9 figures (7 ps, 2 gif

The Keck Low-Resolution Imaging Spectrometer

The Low Resolution Imaging Spectrometer (LRIS) for the Cassegrain focus of the Keck 10-m telescope on Mauna Kea is described. It has an imaging mode so it can also be used for taking direct images. The field of view in both spectrographic and imaging modes is 6 by 7.8 arcmin. It can be used with both conventional slits and custom-punched slit masks. The optical quality of the spectrograph is good enough to take full advantage of the excellent imaging properties of the telescope itself. The detector is a cooled back-illuminated Tektronics Inc. 2048 X 2048 CCD which gives a sampling rate of 4.685 pixels per arcsec. In the spectrographic mode the spectrograph has a maximum efficiency at the peak of the grating blaze of 32%-34% for the two lowest resolution gratings and 28% for the 1200 g mm^(-1) grating. This efficiency includes the detector but not the telescope or the atmosphere

Tick size and price diffusion

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties of prices. The second part presents original results obtained by investigating the tick size changes occurring at the New York Stock Exchange (NYSE). We show that tick size change has three effects on price diffusion. First, as already shown in the literature, tick size affects price return distribution at an aggregate time scale. Second, reducing the tick size typically leads to an increase of volatility clustering. We give a possible mechanistic explanation for this effect, but clearly more investigation is needed to understand the origin of this relation. Third, we explicitly show that the ability of the subordination hypothesis in explaining fat tails of returns and volatility clustering is strongly dependent on tick size. While for large tick sizes the subordination hypothesis has significant explanatory power, for small tick sizes we show that subordination is not the main driver of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V International Workshop on "Econophysics of Order-driven Markets" March 9-13, 2010, The New Economic Windows series of Springer-Verlag Italia