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

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

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

The Importance of Suspension Stability for the Hot-wire Measurements of Thermal Conductivity of Colloidal Suspensions.

The development of advanced heat transfer fluids with enhanced thermal conductivity is essential to improve the effective heat transfer behavior of conventional coolants. Thermal conductivity enhancement has been reported for colloidal suspensions formulated with different nanoparticles. Reliable thermal conductivity measurement requires that the suspension is stable against sedimentation during the measurement since particle sedimentation may effect the experimental results. The present study proposes a criterion to ensure that thermal conductivity data is independent of the particle sedimentation. A measuring device based on the transient hot-wire method is designed to allow vertical and horizontal thermal conductivity data collection. Our investigation shows that the thermal conductivity measurements in the horizontal and vertical configurations are almost identical when the colloidal suspension is stable while they differ for unstable systems

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

Distinguishing fractional and white noise in one and two dimensions

We discuss the link between uncorrelated noise and Hurst exponent for one and two-dimensional interfaces. We show that long range correlations cannot be observed using one-dimensional cuts through two-dimensional self-affine surfaces whose height distributions are characterized by a Hurst exponent lower than -1/2. In this domain, fractional and white noise are not distinguishable. A method analysing the correlations in two dimensions is necessary. For Hurst exponents larger than -1/2, a crossover regime leads to a systematic over estimate of the Hurst exponent.Comment: 3 pages RevTeX, 4 Postscript figure

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