891 research outputs found
Towards identifying the world stock market cross-correlations: DAX versus Dow Jones
Effects connected with the world globalization affect also the financial
markets. On a way towards quantifying the related characteristics we study the
financial empirical correlation matrix of the 60 companies which both the
Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised
during the years 1990-1999. The time-dependence of the underlying
cross-correlations is monitored using a time window of 60 trading days. Our
study shows that if the time-zone delays are properly accounted for the two
distant markets largely merge into one. This effect is particularly visible
during the last few years. It is however the Dow Jones which dictates the
trend.Comment: LaTeX, 6 pages, 8 figure
Are the contemporary financial fluctuations sooner converging to normal?
Based on the tick-by-tick price changes of the companies from the U.S. and
from the German stock markets over the period 1998-99 we reanalyse several
characteristics established by the Boston Group for the U.S. market in the
period 1994-95, which serves to verify their space and time-translational
invariance. By increasing the time scales we find a significantly more
accelerated crossover from the power-law (alpha approximately 3) asymptotic
behaviour of the distribution of returns towards a Gaussian, both for the U.S.
as well as for the German stock markets. In the latter case the crossover is
even faster. Consistently, the corresponding autocorrelation functions of
returns and of the time averaged volatility also indicate a faster loss of
memory with increasing time. This route towards efficiency may reflect a
systematic increase of the information processing when going from past to
present.Comment: 14 pages, revised versio
Imprints of log-periodic self-similarity in the stock market
Detailed analysis of the log-periodic structures as precursors of the
financial crashes is presented. The study is mainly based on the German Stock
Index (DAX) variation over the 1998 period which includes both, a spectacular
boom and a large decline, in magnitude only comparable to the so-called Black
Monday of October 1987. The present example provides further arguments in
favour of a discrete scale-invariance governing the dynamics of the stock
market. A related clear log-periodic structure prior to the crash and
consistent with its onset extends over the period of a few months. Furthermore,
on smaller time-scales the data seems to indicate the appearance of analogous
log-periodic oscillations as precursors of the smaller, intermediate decreases.
Even the frequencies of such oscillations are similar on various levels of
resolution. The related value of preferred scaling ratios
is amazingly consistent with those found for a wide variety of other complex
systems. Similar analysis of the major American indices between September 1998
and February 1999 also provides some evidence supporting this concept but, at
the same time, illustrates a possible splitting of the dynamics that a large
market may experience.Comment: 13 pages, LaTeX-REVTeX, 4 PS figures. Significantly extended version
to appear in The European Physical Journal
Landau-Migdal vs. Skyrme
The magnitude and density-dependence of the non-spin dependent Landau-Migdal
parameters are derived from Skyrme energy functionals and compared with the
phenomenological ones. We perform RPA calculations with various approximations
for the Landau-Migdal particle-hole interaction and compare them with the
results obtained with the full Skyrme interaction. For the first time the next
to leading order in the Landau-Migdal approach is considered in nuclear
structure calculations.Comment: Dedicated to the memory of G.E. Brow
Self-consistent calculations within the Green's function method including particle-phonon coupling and the single-particle continuum
The Green's function method in the \emph{Quasiparticle Time Blocking
Approximation} is applied to nuclear excitations in Sn and Pb.
The calculations are performed self-consistently using a Skyrme interaction.
The method combines the conventional RPA with an exact single-particle
continuum treatment and considers in a consistent way the particle-phonon
coupling. We reproduce not only the experimental values of low- and high-lying
collective states but we also obtain fair agreement with the data of
non-collective low-lying states that are strongly influenced by the
particle-phonon coupling.Comment: 6 pages, 9 figures, documentclass{svjour
Microscopic description of the pygmy and giant electric dipole resonances in stable Ca isotopes
The properties of the pygmy (PDR) and giant dipole resonance (GDR)in the
stable , and isotopes have been calculated within
the \emph{Extended Theory of Finite Fermi Systems}(ETFFS). This approach is
based on the random phase approximation (RPA) and includes the single particle
continuum as well as the coupling to low-lying collectives states which are
considered in a consistent microscopic way. For we also include
pairing correlations. We obtain good agreement with the experimental data for
the gross properties of both resonances. It is demonstrated that the recently
measured A-dependence of the strength of the PDR below 10 MeV is well
understood in our model:due to the phonon coupling some of the strength in
is simply shifted beyond 10 MeV. The predicted fragmentation of the
PDR can be investigated in and experiments.
Whereas the isovector dipole strength of the PDR is small in all Ca isotopes,
we find in this region surprisingly strong isoscalar dipole states, in
agreement with an experiment. We conclude that for the
detailed understanding of the structure of excited nuclei e.g. the PDR and GDR
an approach like the present one is absolutely necessary.Comment: 6 figure
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