Inverse Statistics for Stocks and Markets

In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in [2,3] on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, this gain/loss asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks. The most reasonable explanation for this fact is that the gain/loss asymmetry observed in the DJIA as well as in the SP500 and Nasdaq are due to movements in the market as a whole, {\it i.e.}, cooperative cascade processes (or ``synchronization'') which disappear in the inverse statistics of the individual stocks.Comment: Revtex 13 pages, including 15 figure

Synchronization Model for Stock Market Asymmetry

The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this, we introduce a market model consisting of randomly fluctuating stocks that occasionally synchronize their short term draw-downs. These synchronous events are parameterized by a ``fear factor'', that reflects the occurrence of dramatic external events which affect the financial market.Comment: 4 pages, 4 figure

Lymphatic Filariasis Control in Tanzania: Effect of Six Rounds of Mass Drug Administration with Ivermectin and Albendazole on Infection and Transmission.

Control of lymphatic filariasis (LF) in most countries of sub-Saharan Africa is based on annual mass drug administration (MDA) with a combination of ivermectin and albendazole, in order to interrupt transmission. We present findings from a detailed study on the effect of six rounds of MDA with this drug combination as implemented by the National Lymphatic Filariasis Elimination Programme (NLFEP) in a highly endemic rural area of north-eastern Tanzania.\ud The effect of treatment on transmission and human infection was monitored in a community- and a school-based study during an 8-year period (one pre-intervention and 7 post-intervention years) from 2003 to 2011. Before intervention, 24.5% of the community population had microfilariae (mf) in the blood, 53.3% had circulating filarial antigens (CFA) and 78.9% had specific antibodies to the recombinant filarial antigen Bm14. One year after the sixth MDA, these values had decreased considerably to 2.7%, 19.6% and 27.5%, respectively. During the same period, the CFA prevalence among new intakes of Standard 1 pupils in 10 primary schools decreased from 25.2% to 5.6%. In line with this, transmission by the three vectors (Anopheles gambiae, An. funestus and Culex quinquefasciatus) as determined by dissection declined sharply (overall vector infectivity rate by 99.3% and mean monthly transmission potential by 99.2% between pre-intervention and fifth post-intervention period). A major shift in vector species composition, from predominantly anopheline to almost exclusively culicine was observed over the years. This may be largely unrelated to the MDAs but may have important implications for the epidemiology of LF in the area. Six MDAs caused considerable decrease in all the measured indices for transmission and human infection. In spite of this, indices were still relatively high in the late period of the study, and it may take a long time to reach the recommended cut-off levels for interruption of transmission unless extra efforts are made. These should include increased engagement of the target population in the control activities, to ensure higher treatment coverage. It is expected that the recent initiative to distribute insecticide impregnated bed nets to every household in the area will also contribute towards reaching the goal of successful LF elimination

Fear and its implications for stock markets

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a relatively short time scale than the corresponding raises. We present several empirical examples of such asymmetries. Furthermore, a simple model featuring occasional short periods of synchronized dropping prices for all stocks constituting the index is introduced with the aim of explaining these facts. The collective negative price movements are imagined triggered by external factors in our society, as well as internal to the economy, that create fear of the future among investors. This is parameterized by a ``fear factor'' defining the frequency of synchronized events. It is demonstrated that such a simple fear factor model can reproduce several empirical facts concerning index asymmetries. It is also pointed out that in its simplest form, the model has certain shortcomings.Comment: 5 pages, 5 figures. Submitted to the Proceedings of Applications of Physics in Financial Analysis 5, Turin 200

Low-loss photonic crystal fibers for transmission systems and their dispersion properties

We report on a single-mode photonic crystal fiber with attenuation and effective area at 1550 nm of 0.48 dB/km and 130 square-micron, respectively. This is, to our knowledge, the lowest loss reported for a PCF not made from VAD prepared silica and at the same time the largest effective area for a low-loss (< 1 dB/km) PCF. We briefly discuss the future applications of PCFs for data transmission and show for the first time, both numerically and experimentally, how the group velocity dispersion is related to the mode field diameterComment: 5 pages including 3 figures + 1 table. Accepted for Opt. Expres

Photonic crystal fiber with a hybrid honeycomb cladding

We consider an air-silica honeycomb lattice and demonstrate a new approach to the formation of a core defect. Typically, a high or low-index core is formed by adding a high-index region or an additional air-hole (or other low-index material) to the lattice, but here we discuss how a core defect can be formed by manipulating the cladding region rather than the core region itself. Germanium-doping of the honeycomb lattice has recently been suggested for the formation of a photonic band-gap guiding silica-core and here we experimentally demonstrate how an index-guiding silica-core can be formed by fluorine-doping of the honeycomb lattice.Comment: 5 pages including 3 figures. Accepted for Optics Expres

Level Crossing Analysis of the Stock Markets

We investigate the average frequency of positive slope $\nu_{\alpha}^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare the Tehran and western stock markets and show that some stocks such as Tehran (TEPIX) and New Zealand (NZX) stocks exchange are emerge, and also TEPIX is a non-active market and financially motivated to absorb capital.Comment: 6 pages and 4 figure

KINETICS AND ELECTROMYOGRAPHY OF THE MARTIAL ARTS HIGH FRONT KICK

INTRODUCTION Fast unloaded movements like striking, throwing and kicking are typically performed in a proximo-distal sequence: Initially proximal segments accelerate while distal segments lag behind, then proximal segments deceler- ate while distal segments accelerate. In kicking, for instance, it is observed that the movement starts with forward angular acceleration of the thigh while the shank lags behind. Then the thigh decelerates while simultaneously the shank accelerates and the foot reaches its maximal velocity. This raises two questions: Is the thigh actively decelerated by the glutei and/or hamstring muscles, or passively decelerated by joint reaction forces from the accelerating shank7 Is acceleration of the shank enhanced by the thigh's deceleration? From a kinematic perspective this movement coordination seems disadvantageous, considering that the resulting linear velocity of the foot relative to the ground equals the vector sum of the resulting linear velocity of the knee relative to the ground and the foot relative to the knee. However, from a kinetic perspective it can be argued that thigh deceleration enhances shah acceleration to a degree where toss of knee velocity is more than accounted for in gain of foot velocity. The theory is that the angularly decelerating thigh exerts a knee joint force which causes angular acceleration of the shank, i.e. a %hip-lash" action. To obtain knowledge regarding how these kinds of movements are performed we decided to examine the martial arts high front kick. Similar to previous kicking studies we did so by kinematic measurements but in addition recorded the electrical activity of selected muscles in order to asses their temporal activation during the kick. METHODS Seventeen skilled taekwondo practitioners (14 males. 3 females) volunteered to take part in this study. Each subject performed three high front kicks aiming at a tennis ball suspended from the ceiling and adjusted to chin level. The fastest kick from each subject was selected for further analysis. The subjects were high speed filmed (200 f.p.s.) from their right side while kicking. Contrasting markers on selected anatomical landmarks enabled subsequent automatic digitisation. Displacement data were lowpass filtered with optimal cut-off frequencies (6-1 0 Hz) determined by use of residual analysis/ Jackson Knee method. Velocities and accelerations were derived from the displacement data by finite difference calculation. During kicking the electtomyographic activity (EMG) from five selected leg muscles were measured with surface electrodes. Kinetic data were obtained through inverse dynamics calculation using a two-segment link-segment model of the kicking leg and the movement equations developed by Putnam (1983). These equations enable division of the resulting moment acting on a segment into muscular components and motion de- pendant components arising from movement of adjacent segments. RESULTS Data for the thigh indicated that deceleration was caused by motion dependant moments arising from shank motion and not by active hip extensor muscles. Shank acceleration was caused partly by a knee extensor muscle moment and partly by a motion dependant moment arising from thigh angular velocity. Both thigh and shank kinetics were supported by EMG recordings. CONCLUSION As part of the accelerating moment acting on the shank was due to thigh angular velocity we suggest that the observed thigh deceleration should be considered unwanted but unavoidable due to shank acceleration. This implies that even though knee extensor muscles are important for shank acceleration the hip flexor muscles must not be neglected

Multi-mode photonic crystal fibers for VCSEL based data transmission

Quasi error-free 10 Gbit/s data transmission is demonstrated over a novel type of 50 micron core diameter photonic crystal fiber with as much as 100 m length. Combined with 850$ nm VCSEL sources, this fiber is an attractive alternative to graded-index multi-mode fibers for datacom applications. A comparison to numerical simulations suggests that the high bit-rate may be partly explained by inter-modal diffusion.Comment: Accepted for Optics Expres

A multiscale view on inverse statistics and gain/loss asymmetry in financial time series

Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The same is not observed for the index constituents, the individual stocks. We use the discrete wavelet transform to illustrate that this is a long rather than short time scale phenomenon -- if enough low frequency content of the price process is removed, the asymmetry disappears. We also propose a new model, which explain the asymmetry by prolonged, correlated down movements of individual stocks