Robust estimation of integrated variance and quarticity under flat price and no trading bias

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in financial high-frequency datasets, can cause a considerable bias in each considered method. Hence, we propose an approach to robustify those methods so that they can provide undistorted statistical results based on intraday intervals not influenced by flat prices and no trading. The new approach is tested in realistic Monte Carlo experiments and shows to be extraordinary robust against varying levels of flat price and no trading bias. Additionally, we examine the new approach empirically with a dataset of electricity forward contracts traded on the Nord Pool Energy Exchange. We obtain coherent conclusions with respect to predefined qualitative indicators. --Realized Variance,Zero-Returns,Price Jumps,Robust Estimation,High-Frequency Data,Electricity Forward Contract

Characterizing Phishing Threats with Natural Language Processing

Spear phishing is a widespread concern in the modern network security landscape, but there are few metrics that measure the extent to which reconnaissance is performed on phishing targets. Spear phishing emails closely match the expectations of the recipient, based on details of their experiences and interests, making them a popular propagation vector for harmful malware. In this work we use Natural Language Processing techniques to investigate a specific real-world phishing campaign and quantify attributes that indicate a targeted spear phishing attack. Our phishing campaign data sample comprises 596 emails - all containing a web bug and a Curriculum Vitae (CV) PDF attachment - sent to our institution by a foreign IP space. The campaign was found to exclusively target specific demographics within our institution. Performing a semantic similarity analysis between the senders' CV attachments and the recipients' LinkedIn profiles, we conclude with high statistical certainty (p $< 10^{-4}$) that the attachments contain targeted rather than randomly selected material. Latent Semantic Analysis further demonstrates that individuals who were a primary focus of the campaign received CVs that are highly topically clustered. These findings differentiate this campaign from one that leverages random spam.Comment: This paper has been accepted for publication by the IEEE Conference on Communications and Network Security in September 2015 at Florence, Italy. Copyright may be transferred without notice, after which this version may no longer be accessibl

Dynamics of a hole in the large--U Hubbard model: a Feynman diagram approach

We study the dynamics of a single hole in an otherwise half--filled two--dimensional Hubbard model by introducing a nonlocal Bogolyubov transformation in the antiferromagnetic state. This allows us to rewrite the Hamiltonian in a form that makes a separation between high--energy processes (involving double--occupancy) and low--energy physics possible. A diagrammatic scheme is developped that allows for a systematic study of the different processes delocalizing a carrier in the antiferromagnetic state. In particular, the so--called Trugman process, important if transverse spin fluctuations are neglected, is studied and is shown to be dominated by the leading vertex corrections. We analyze the dynamics of a single hole both in the Ising limit and with spin fluctuations. The results are compared with previous theories as well as with recent exact small--cluster calculations, and we find good agreement. The formalism establishes a link between weak and strong coupling methodologies.Comment: Latex 34pages, Orsay Preprint, submitted to Phys. Rev.

Theory of the Reentrant Charge-Order Transition in the Manganites

A theoretical model for the reentrant charge-order transition in the manganites is examined. This transition is studied with a purely electronic model for the Mn electrons: the extended Hubbard model. The electron-phonon coupling results in a large nearest-neighbor repulsion between electrons. Using a finite-temperature Lanczos technique, the model is diagonalized on a 16-site periodic cluster to calculate the temperature-dependent phase boundary between the charge-ordered and homogeneous phases. A reentrant transition is found. The results are discussed with respect to the specific topology of the 16-site cluster.Comment: 3 pages, 2 ps figures included in text, submitted to the 8th MMM-Intermag conferenc

Searching for rewards in graph-structured spaces

How do people generalize and explore structured spaces? We study human behavior on a multi-armed bandit task, where rewards are influenced by the connectivity structure of a graph. A detailed predictive model comparison shows that a Gaussian Process regression model using a diffusion kernel is able to best describe participant choices, and also predict judgments about expected reward and confidence. This model unifies psychological models of function learning with the Successor Representation used in reinforcement learning, thereby building a bridge between different models of generalization

Quantum fluctuations in the spiral phase of the Hubbard model

We study the magnetic excitations in the spiral phase of the two--dimensional Hubbard model using a functional integral method. Spin waves are strongly renormalized and a line of near--zeros is observed in the spectrum around the spiral pitch $\pm{\bf Q}$. The possibility of disordered spiral states is examined by studying the one--loop corrections to the spiral order parameter. We also show that the spiral phase presents an intrinsic instability towards an inhomogeneous state (phase separation, CDW, ...) at weak doping. Though phase separation is suppressed by weak long--range Coulomb interactions, the CDW instability only disappears for sufficiently strong Coulomb interaction.Comment: Figures are NOW appended via uuencoded postscript fil

An Extended Network Model with a Packages Diffusion Process

The dynamics of a packages diffusion process within a selforganized network is analytically studied by means of an extended $f$% -spin facilitated kinetic Ising model (Fredrickson-Andersen model) using a Fock-space representation for the master equation. To map the three component system (active, passive and packages cells) onto a lattice we apply two types of second quantized operators. The active cells correspond to mobile states whereas the passive cells correspond to immobile states of the Fredrickson-Andersen model. An inherent cooperativity is included assuming that the local dynamics and subsequently the local mobilities are restricted by the occupation of neighboring cells. Depending on a temperature-like parameter $h^{-1}$ (interconnectivity) the diffusive process of the packages (information) can be almost stopped, thus we get a well separation of the time regimes and a quasi-localization for the intermediate range at low temperatures.Comment: 13 pages and 1 figur

Valley polarization effects on the localization in graphene Landau levels

Effects of disorder and valley polarization in graphene are investigated in the quantum Hall regime. We find anomalous localization properties for the lowest Landau level (LL), where disorder can induce wavefunction delocalization (instead of localization), both for white-noise and gaussian-correlated disorder. We quantitatively identify the contribution of each sublattice to wavefunction amplitudes. Following the valley (sublattice) polarization of states within LLs for increasing disorder we show: (i) valley mixing in the lowest LL is the main effect behind the observed anomalous localization properties, (ii) the polarization suppression with increasing disorder depends on the localization for the white-noise model, while, (iii) the disorder induces a partial polarization in the higher Landau levels for both disorder models.Comment: 5 pages, 6 figures, extended version, with 2 new figures adde

Slow relaxation and sensitivity to disorder in trapped lattice fermions after a quench

We consider a system of non-interacting fermions in one dimension subject to a single-particle potential consisting of (a) a strong optical lattice, (b) a harmonic trap, and (c) uncorrelated on-site disorder. After a quench, in which the center of the harmonic trap is displaced, we study the occupation function of the fermions and the time-evolution of experimental observables. Specifically, we present numerical and analytical results for the post-quench occupation function of the fermions, and analyse the time-evolution of the real-space density profile. Unsurprisingly for a non-interacting (and therefore integrable) system, the infinite-time limit of the density profile is non-thermal. However, due to Bragg-localization of the higher-energy single-particle states, the approach to even this non-thermal state is extremely slow. We quantify this statement, and show that it implies a sensitivity to disorder parametrically stronger than that expected from Anderson localization.Comment: 15 pages, 11 figure