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 $\lambda \approx 2$ 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 $^{132}$Sn and $^{208}$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 $^{40}Ca$,$^{44}Ca$ and $^{48}Ca$ 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 $^{44}Ca$ 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 $^{48}Ca$ is simply shifted beyond 10 MeV. The predicted fragmentation of the PDR can be investigated in $(e,e')$ and $(\gamma ,\gamma')$ 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 $(\alpha,\alpha'\gamma)$ 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