Renormalisation and fixed points in Hilbert Space

The energies of low-lying bound states of a microscopic quantum many-body system of particles can be worked out in a reduced Hilbert space. We present here and test a specific non-perturbative truncation procedure. We also show that real exceptional points which may be present in the spectrum can be identified as fixed points of coupling constants in the truncation procedure.Comment: 4 pages, 1 tabl

Being on the field when the game is still under way. The financial press and stock markets in times of crisis

This paper looks at the relationship between negative news and stock markets in times of global crisis, such as the 2008/2009 period. We analysed one year of front page banner headlines of three financial newspapers, the Wall Street Journal, Financial Times, and Il Sole24ore to examine the influence of bad news both on stock market volatility and dynamic correlation. Our results show that the press and markets influenced each other in generating market volatility and in particular, that the Wall Street Journal had a crucial effect both on the volatility and correlation between the US and foreign markets. We also found significant differences between newspapers in their interpretation of the crisis, with the Financial Times being significantly pessimistic even in phases of low market volatility. Our results confirm the reflexive nature of stock markets. When the situation is uncertain and unpredictable, market behaviour may even reflect qualitative, big picture, and subjective information such as streamers in a newspaper, whose economic and informative value is questionable

Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE

"It is demonstrated that adaptive learning in the least squares sense may be incapable of satisfactorily reducing the number of attainable equilibria in a rational expectations model when focusing on the forward-solutions to the model. The model examined, as an illustration, is a basic asset pricing model for exchange rate determination that is augmented with technical trading in the currency market in the form of moving averages since it is the most commonly used technique according to questionnaire surveys. The forward-solutions to such a model are preferable to the backward-solutions that are normally utilized since announcement effects is an important feature in currency trade. Because of technical trading in foreign exchange, the current exchange rate depends on" "j" max "lags of the exchange rate, meaning that the model has" "j" max + 1"rational expectations equilibria, where several of them are adaptively learnable in the least squares sense. However, since past exchange rates should not affect the current exchange rate when technical trading is absent, it is possible to single out a unique equilibrium among the adaptively learnable equilibria that is economically meaningful. It is worth noting that the model examined can also be viewed as a model for stock price determination in which the forward-solutions to the model are preferable to the backward-solutions since the importance of announcement effects is a common characteristic for currency and stock markets." Copyright 2007 The Author Journal compilation (c) Blackwell Publishing Ltd.

Predicting the Short-Term Market Reaction to Asset Specific News: Is Time Against Us?

The efficient market hypothesis states that investors immediately incorporate all available information into the price of an asset to accurately reflect its value at any given time. The sheer volume of information immediately available electronically makes it difficult for a single investor to keep abreast of all information for a single stock, let alone multiple. We aim to determine how quickly investors tend to react to asset specific news by analysing the accuracy of classifiers which take the content of news to predict the short-term market reaction. The faster the market reacts to news the more cost-effective it becomes to employ content analysis techniques to aid the decisions of traders. We find that the best results are achieved by allowing investors in the US 90 minutes to react to news. In the UK and Australia the best results are achieved by allowing investors 5 minutes to react to news