Modeling the non-Markovian, non-stationary scaling dynamics of financial markets

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such a model must be compared with the data of a single process realization in our records. In order to give statistical significance to such a comparison, assumptions of stationarity for some quantities extracted from the single historical time series, like the distribution of the returns over a given time interval, cannot be avoided. Such assumptions entail the risk of masking or misrepresenting non-stationarities of the underlying process, and of giving an incorrect account of its correlations. Here we overcome this difficulty by showing that five years of daily Euro/US-Dollar trading records in the about three hours following the New York market opening, provide a rich enough ensemble of histories. The statistics of this ensemble allows to propose and test an adequate model of the stochastic process driving the exchange rate. This turns out to be a non-Markovian, self-similar process with non-stationary returns. The empirical ensemble correlators are in agreement with the predictions of this model, which is constructed on the basis of the time-inhomogeneous, anomalous scaling obeyed by the return distribution.Comment: Throughout revision. 15 pages, 6 figures. Presented by A.L. Stella in a Talk at the "Econophysics - Kolkata V'' International Workshop, March 2010, Saha Institute of Nuclear Physics, Kolkata, Indi

A lattice study of the exclusive B→K∗γB \to K^* \gamma decay amplitude, using the Clover action at β=6.0\beta=6.0

We present the results of a numerical calculation of the $B\to K^* \gamma$ form factors. The results have been obtained by studying the relevant correlation functions at $\beta=6.0$, on an $18^3 \times 64$ lattice, using the ${\rm O(a)}$-improved fermion action, in the quenched approximation. From the study of the matrix element $$ we have obtained the form factor $T_1(0)$ which controls the exclusive decay rate. The results are compared with the recent results from CLEO. We also discuss the compatibility between the scaling laws predicted by the Heavy Quark Effective Theory (HQET) and pole dominance, by studying the mass- and $q^2$-dependence of the form factors. From our analysis, it appears that the form factors follow a mass behaviour compatible with the predictions of the HQET and that the $q^2$-dependence of $T_2$ is weaker than would be predicted by pole dominance.Comment: 17 pages, LaTeX + epsf.sty. Uuencoded, compressed, tar archive including the text and one postscript figur

Gravitational radiation from gamma-ray bursts as observational opportunities for LIGO and VIRGO

Gamma-ray bursts are believed to originate in core-collapse of massive stars. This produces an active nucleus containing a rapidly rotating Kerr black hole surrounded by a uniformly magnetized torus represented by two counter-oriented current rings. We quantify black hole spin-interactions with the torus and charged particles along open magnetic flux-tubes subtended by the event horizon. A major output of Egw=4e53 erg is radiated in gravitational waves of frequency fgw=500 Hz by a quadrupole mass-moment in the torus. Consistent with GRB-SNe, we find (i) Ts=90s (tens of s, Kouveliotou et al. 1993), (ii) aspherical SNe of kinetic energy Esn=2e51 erg (2e51 erg in SN1998bw, Hoeflich et al. 1999) and (iii) GRB-energies Egamma=2e50 erg (3e50erg in Frail et al. 2001). GRB-SNe occur perhaps about once a year within D=100Mpc. Correlating LIGO/Virgo detectors enables searches for nearby events and their spectral closure density 6e-9 around 250Hz in the stochastic background radiation in gravitational waves. At current sensitivity, LIGO-Hanford may place an upper bound around 150MSolar in GRB030329. Detection of Egw thus provides a method for identifying Kerr black holes by calorimetry.Comment: to appear in PRD, 49

Gravitational Lensing by Black Holes

We review the theoretical aspects of gravitational lensing by black holes, and discuss the perspectives for realistic observations. We will first treat lensing by spherically symmetric black holes, in which the formation of infinite sequences of higher order images emerges in the clearest way. We will then consider the effects of the spin of the black hole, with the formation of giant higher order caustics and multiple images. Finally, we will consider the perspectives for observations of black hole lensing, from the detection of secondary images of stellar sources and spots on the accretion disk to the interpretation of iron K-lines and direct imaging of the shadow of the black hole.Comment: Invited article for the GRG special issue on lensing (P. Jetzer, Y. Mellier and V. Perlick Eds.). 31 pages, 12 figure

Low Q^2 Jet Production at HERA and Virtual Photon Structure

The transition between photoproduction and deep-inelastic scattering is investigated in jet production at the HERA ep collider, using data collected by the H1 experiment. Measurements of the differential inclusive jet cross-sections dsigep/dEt* and dsigmep/deta*, where Et* and eta* are the transverse energy and the pseudorapidity of the jets in the virtual photon-proton centre of mass frame, are presented for 0 < Q2 < 49 GeV2 and 0.3 < y < 0.6. The interpretation of the results in terms of the structure of the virtual photon is discussed. The data are best described by QCD calculations which include a partonic structure of the virtual photon that evolves with Q2.Comment: 20 pages, 5 Figure

Hadron Production in Diffractive Deep-Inelastic Scattering

Characteristics of hadron production in diffractive deep-inelastic positron-proton scattering are studied using data collected in 1994 by the H1 experiment at HERA. The following distributions are measured in the centre-of-mass frame of the photon dissociation system: the hadronic energy flow, the Feynman-x (x_F) variable for charged particles, the squared transverse momentum of charged particles (p_T^{*2}), and the mean p_T^{*2} as a function of x_F. These distributions are compared with results in the gamma^* p centre-of-mass frame from inclusive deep-inelastic scattering in the fixed-target experiment EMC, and also with the predictions of several Monte Carlo calculations. The data are consistent with a picture in which the partonic structure of the diffractive exchange is dominated at low Q^2 by hard gluons.Comment: 16 pages, 6 figures, submitted to Phys. Lett.

Measurement of D* Meson Cross Sections at HERA and Determination of the Gluon Density in the Proton using NLO QCD

With the H1 detector at the ep collider HERA, D* meson production cross sections have been measured in deep inelastic scattering with four-momentum transfers Q^2>2 GeV2 and in photoproduction at energies around W(gamma p)~ 88 GeV and 194 GeV. Next-to-Leading Order QCD calculations are found to describe the differential cross sections within theoretical and experimental uncertainties. Using these calculations, the NLO gluon momentum distribution in the proton, x_g g(x_g), has been extracted in the momentum fraction range 7.5x10^{-4}< x_g <4x10^{-2} at average scales mu^2 =25 to 50 GeV2. The gluon momentum fraction x_g has been obtained from the measured kinematics of the scattered electron and the D* meson in the final state. The results compare well with the gluon distribution obtained from the analysis of scaling violations of the proton structure function F_2.Comment: 27 pages, 9 figures, 2 tables, submitted to Nucl. Phys.

A Search for Selectrons and Squarks at HERA

Data from electron-proton collisions at a center-of-mass energy of 300 GeV are used for a search for selectrons and squarks within the framework of the minimal supersymmetric model. The decays of selectrons and squarks into the lightest supersymmetric particle lead to final states with an electron and hadrons accompanied by large missing energy and transverse momentum. No signal is found and new bounds on the existence of these particles are derived. At 95% confidence level the excluded region extends to 65 GeV for selectron and squark masses, and to 40 GeV for the mass of the lightest supersymmetric particle.Comment: 13 pages, latex, 6 Figure

Forward pi^0 Production and Associated Transverse Energy Flow in Deep-Inelastic Scattering at HERA

Deep-inelastic positron-proton interactions at low values of Bjorken-x down to x \approx 4.10^-5 which give rise to high transverse momentum pi^0 mesons are studied with the H1 experiment at HERA. The inclusive cross section for pi^0 mesons produced at small angles with respect to the proton remnant (the forward region) is presented as a function of the transverse momentum and energy of the pi^0 and of the four-momentum transfer Q^2 and Bjorken-x. Measurements are also presented of the transverse energy flow in events containing a forward pi^0 meson. Hadronic final state calculations based on QCD models implementing different parton evolution schemes are confronted with the data.Comment: 27 pages, 8 figures and 3 table