Random Matrix Theory Analysis of Cross Correlations in Financial Markets

We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random part of the eigenvalue distribution of the cross correlation matrix is stable even when deterministic correlations are present. Some deviations in the small eigenvalue statistics outside the bounds of the universality class of RMT are not completely explained with the deterministic correlations as proposed in previous studies. We study the effect of randomness on deterministic correlations and find that randomness causes a repulsion between deterministic eigenvalues and the random eigenvalues. This is interpreted as a reminiscent of ``level repulsion'' in RMT and explains some deviations from the previous studies observed in the market data. We also study correlated groups of issues in these markets and propose a refined method to identify correlated groups based on RMT. Some characteristic differences between properties of Tokyo Stock Exchange and New York Stock Exchange are found.Comment: RevTex, 17 pages, 8 figure

Uncovering the Internal Structure of the Indian Financial Market: Cross-correlation behavior in the NSE

The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the period of rapid transformation of the market following liberalization. The eigenvalue distribution of the cross-correlation matrix, $\mathbf{C}$, of NSE is found to be similar to that of developed markets, such as the New York Stock Exchange (NYSE): the majority of eigenvalues fall within the bounds expected for a random matrix constructed from mutually uncorrelated time series. Of the few largest eigenvalues that deviate from the bulk, the largest is identified with market-wide movements. The intermediate eigenvalues that occur between the largest and the bulk have been associated in NYSE with specific business sectors with strong intra-group interactions. However, in the Indian market, these deviating eigenvalues are comparatively very few and lie much closer to the bulk. We propose that this is because of the relative lack of distinct sector identity in the market, with the movement of stocks dominantly influenced by the overall market trend. This is shown by explicit construction of the interaction network in the market, first by generating the minimum spanning tree from the unfiltered correlation matrix, and later, using an improved method of generating the graph after filtering out the market mode and random effects from the data. Both methods show, compared to developed markets, the relative absence of clusters of co-moving stocks that belong to the same business sector. This is consistent with the general belief that emerging markets tend to be more correlated than developed markets.Comment: 15 pages, 8 figures, to appear in Proceedings of International Workshop on "Econophysics & Sociophysics of Markets & Networks" (Econophys-Kolkata III), Mar 12-15, 200

Distinct requirements for the Rad32(Mre¹¹) nuclease and Ctp1(CtIP) in the removal of covalently bound topoisomerase I and II from DNA

For a cancer cell to resist treatment with drugs that trap topoisomerases covalently on the DNA, the topoisomerase must be removed. In this study, we provide evidence that the Schizosaccharomyces pombe Rad32Mre11 nuclease activity is involved in the removal of both Top2 from 5′ DNA ends as well as Top1 from 3′ ends in vivo. A ctp1CtIP deletion is defective for Top2 removal but overproficient for Top1 removal, suggesting that Ctp1CtIP plays distinct roles in removing topoisomerases from 5′ and 3′ DNA ends. Analysis of separation of function mutants suggests that MRN-dependent topoisomerase removal contributes significantly to resistance against topoisomerase-trapping drugs. This study has important implications for our understanding of the role of the MRN complex and CtIP in resistance of cells to a clinically important group of anticancer drugs

Drag-out effect of piezomagnetic signals due to a borehole: the Mogi source as an example

We show that using borehole measurements in tectonomagnetic experiments allows enhancement of the observed signals. New magnetic dipoles, which vary with stress changes from mechanical sources, are produced on the walls of the borehole. We evaluate such an effect quantitatively. First we formulate a general expression for the borehole effect due to any arbitrary source models. This is valid everywhere above the ground surface as well as within the cylindrical hole. A first-order approximate solution is given by a line of horizontal dipoles and vertical quadrupoles along the central axis of the borehole, which is valid above the ground surface and a slightly away (several tens of cm) from the top of the borehole. Selecting the Mogi model as an example, we numerically evaluated the borehole effect. It turned out that the vertical quadrupoles produce two orders of magnitude more intense magnetic field than the horizontal dipoles. The borehole effect is very local, i.e. detectable only within a few m from its outlet, since it is of the same order or more than the case without a borehole. However, magnetic lines of force cannot reach the ground surface from a deeper portion (>10 m) of a borehole

Universal correlations and power-law tails in financial covariance matrices

Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is devised in order to produce a statistical ensemble of asset-price covariances from a single instance of financial data sets. Local results for the smallest eigenvalue and individual spacings are very stable upon reshuffling the time windows and assets. They are in good agreement with the universal Tracy-Widom distribution and Wigner surmise, respectively. This suggests a strong degree of robustness especially in the low-lying sector of the spectra, most relevant for portfolio selections. Conversely, the global spectral density of a single covariance matrix as well as the average over all unfolded nearest-neighbour spacing distributions deviate from standard Gaussian random matrix predictions. The data are in fair agreement with a recently introduced generalised random matrix model, with correlations showing a power-law decay

U.S. stock market interaction network as learned by the Boltzmann Machine

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning framework for statistical inference, we analyze historical behavior of the parameters inferred using exact and approximate learning algorithms. Since the model and inference methods require use of binary variables, effect of this mapping of continuous returns to the discrete domain is studied. The presented analysis shows that binarization preserves market correlation structure. Properties of distributions of external fields and couplings as well as industry sector clustering structure are studied for different historical dates and moving window sizes. We found that a heavy positive tail in the distribution of couplings is responsible for the sparse market clustering structure. We also show that discrepancies between the model parameters might be used as a precursor of financial instabilities.Comment: 15 pages, 17 figures, 1 tabl

Detection of Multi-TeV Gamma Rays from Markarian 501 during an Unforeseen Flaring State in 1997 with the Tibet Air Shower Array

In 1997, the BL Lac Object Mrk 501 entered a very active phase and was the brightest source in the sky at TeV energies, showing strong and frequent flaring. Using the data obtained with a high density air shower array that has been operating successfully at Yangbajing in Tibet since 1996, we searched for gamma-ray signals from this source during the period from February through August in 1997. Our observation detected multi-TeV $\gamma$-ray signals at the 3.7-Sigma level during this period. The most rapid increase of the excess counts was observed between April 7 and June 16 and the statistical significance of the excess counts in this period was 4.7-Sigma. Among several observations of flaring TeV gamma-rays from Mrk 501 in 1997, this is the only observation using a conventional air shower array. We present the energy spectrum of gamma-rays which will be worthy to compare with those obtained by imaging atmospheric Cerenkov telescopes.Comment: 9 pages, 7 figures, To appear in Ap

Observation of Multi-Tev Diffuse Gamma Rays from the Galactic Plane with the Tibet Air Shower Array

Data from the Tibet-III air shower array (with energies around 3 TeV) and from the Tibet-II array (with energies around 10 TeV) have been searched for diffuse gamma rays from the Galactic plane. These arrays have an angular resolution of about 0.9 degrees. The sky regions searched are the inner Galaxy, 20 degrees <= l <= 55 degrees, and outer Galaxy, 140 degrees <= l <= 225 degrees, and |b| <= 2 degrees or <= 5 degrees. No significant Galactic plane gamma-ray excess was observed. The 99% confidence level upper limits for gamma-ray intensity obtained are (for |b| <= 2 degrees) 1.1 times 10^{-15} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 3 TeV and 4.1 times 10^{-17} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 10 TeV for the inner Galaxy, and 3.6 times 10^{-16} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 3 TeV and 1.3 times 10^{-17} cm^{-2}s^{-1}sr^{-1}MeV^{-1} at 10 TeV for the outer Galaxy, assuming a differential spectral index of 2.4. The upper limits are significant in the multi-TeV region when compared to those from Cherenkov telescopes in the lower energy region and other air shower arrays in the higher energy region; however, the results are not sufficient to rule out the inverse Compton model with a source electron spectral index of 2.0.Comment: 22 pages, 8 figures, Accepted for publication in Ap

Observation of Multi-Tev Gamma Rays from the Crab Nebula Using the Tibet Air Shower Array

The Tibet experiment, operating at Yangbajing (4,300 m above sea level), is the lowest energy air shower array and the new high density array constructed in 1996 has sensitivity to $\gamma$-ray air showers at energies as low as 3 TeV. With this new array, the Crab Nebula was observed in multi-TeV $\gamma$-rays and a signal was detected at the 5.5 $\sigma$ level. We also obtained the energy spectrum of $\gamma$-rays in the energy region above 3 TeV which partially overlaps those observed with imaging atmospheric Cherenkov telescopes. This is the first observation of $\gamma$-ray signals from point sources with a conventional air shower array using scintillation detectors.Comment: 9 pages, 4 figures, Accepted for publication in ApJ Letter

Primary proton spectrum between 200 TeV and 1000 TeV observed with the Tibet burst detector and air shower array

Since 1996, a hybrid experiment consisting of the emulsion chamber and burst detector array and the Tibet-II air-shower array has been operated at Yangbajing (4300 m above sea level, 606 g/cm^2) in Tibet. This experiment can detect air-shower cores, called as burst events, accompanied by air showers in excess of about 100 TeV. We observed about 4300 burst events accompanied by air showers during 690 days of operation and selected 820 proton-induced events with its primary energy above 200 TeV using a neural network method. Using this data set, we obtained the energy spectrum of primary protons in the energy range from 200 to 1000 TeV. The differential energy spectrum obtained in this energy region can be fitted by a power law with the index of -2.97 $\pm$ 0.06, which is steeper than that obtained by direct measurements at lower energies. We also obtained the energy spectrum of helium nuclei at particle energies around 1000 TeV.Comment: 25 pages, 22 figures, Accepted for publication in Phys. Rev.