Modeling the Epps effect of cross correlations in asset prices

We review the decomposition method of stock return cross-correlations, presented previously for studying the dependence of the correlation coefficient on the resolution of data (Epps effect). Through a toy model of random walk/Brownian motion and memoryless renewal process (i.e. Poisson point process) of observation times we show that in case of analytical treatability, by decomposing the correlations we get the exact result for the frequency dependence. We also demonstrate that our approach produces reasonable fitting of the dependence of correlations on the data resolution in case of empirical data. Our results indicate that the Epps phenomenon is a product of the finite time decay of lagged correlations of high resolution data, which does not scale with activity. The characteristic time is due to a human time scale, the time needed to react to news.Comment: to appear in the Proceedings of SPIE Fluctuations and Noise 200

On the zero mass limit of tagged particle diffusion in the 1-d Rayleigh-gas

We consider the M -> 0 limit for tagged particle diffusion in a 1-dimensional Rayleigh-gas, studied originaly by Sinai and Soloveichik (1986), respectively by Szasz and Toth (1986). In this limit we derive a new type of model for tagged paricle diffusion, with Calogero-Moser-Sutherland (i.e. inverse quadratic) interaction potential between the two central particles. Computer simulations on this new model reproduce exactly the numerical value of the limiting variance obtained by Boldrighini, Frigio and Tognetti (2002).Comment: Dedicated to Domokos Szasz on his 65th birthda

Comment on a theorem of M. Maxwell and M. Woodroofe

We present a direct derivation of the theorem of M. Maxwell and M. Woodroofe (Ann. Probab. 28 (2000) 713-724), on martingale approximation of additive functionals of stationary Markov processes, from the non-reversible version of the Kipnis-Varadhan theorem.Comment: revised version, to be published in Electronic Communications in Probabilit

Memory, Recollection and Consciousness in Spinoza's Ethics

Spinoza’s account of memory has not received enough attention, even though it is relevant for his theory of consciousness. Recent literature has studied the “pancreas problem.” This paper argues that there is an analogous problem for memories: if memories are in the mind, why is the mind not conscious of them? I argue that Spinoza’s account of memory can be better reconstructed in the context of Descartes’s account to show that Spinoza responded to these views. Descartes accounted for the preservation of memories by holding that they are brain states without corresponding mental states, and that the mind is able to interpret perception either as new experience or as memory. Spinoza has none of these conceptual resources because of his substance monism. Spinoza accounts for memories as the mind’s ability to generate ideas according to the order of images. This ability consists in the connection of ideas, which is not an actual property, but only a dispositional one and thus not conscious. It is, however, grounded in the actual property of parts of the body, of which ideas are conscious

Effects of Intergenerational Trauma on Attitudes Toward Reconciliation Among Genocide Survivors in Rwanda

The 1994 Genocide Against the Tutsi in Rwanda was a one-hundred-day period of mass slaughter that culminated from decades of ethnic tension. It is estimated that over a million Rwandans lost their lives as a result of this violence. While the effects of traumatic events and government-sponsored programs on reconciliation have been studied in Rwanda, limited research has been conducted on the effects of intergenerational trauma on those born during or after the 1994 Genocide Against the Tutsi. This thesis determines and evaluates the attitudes of young genocide survivors toward reconciliation in Rwanda. This thesis first reviews existing research on the effects of trauma on reconciliation following mass violence. It then discusses the methods used to identify participants and conduct interviews with 21 genocide survivors of varying ages and levels of exposure to trauma caused by the genocide. This study found that young genocide survivors in Rwanda support the simplification of the Commemoration period, as well as marriage between people of differing backgrounds. Additionally, members of this cohort confidently believe that mass violence will not occur again in Rwanda. These findings indicate that, overall, young genocide survivors in Rwanda may have more positive attitudes toward reconciliation than their older counterparts.No embargoAcademic Major: International Studie

Entanglement Detection in Optical Lattices of Bosonic Atoms with Collective Measurements

The minimum requirements for entanglement detection are discussed for a spin chain in which the spins cannot be individually accessed. The methods presented detect entangled states close to a cluster state and a many-body singlet state, and seem to be viable for experimental realization in optical lattices of two-state bosonic atoms. The entanglement criteria are based on entanglement witnesses and on the uncertainty of collective observables.Comment: 5 pages, revtex4, no figures; changes before publicatio

Ockham on Divine Concurrence

The focus of this paper is Ockham's stance on the question of divine concurrence---the question whether God is causally active in the causal happenings of the created world, and if so, what God's causal activity amounts to and what place that leaves for created causes. After discussing some preliminaries, I turn to presenting what I take to be Ockham's account. As I show, Ockham, at least in this issue, is rather conservative: he agrees with the majority of medieval thinkers (including Aquinas, Giles of Rome, Duns Scotus, and others) that both God and created agents are causally active in the causal happenings of the world. Then I turn to some texts that may suggest otherwise; I argue that reading Ockham as either an occasionalist or a mere conservationist based on these texts originates from a misunderstanding of his main concern. I conclude with raising and briefly addressing some systematic worries regarding Ockham's account of concurrence