Statistical Properties of Cross-Correlation in the Korean Stock Market

We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the portfolio weights in the Markowitz portfolio theory. We find that the distribution of the correlation matrix is positively skewed and changes over time. We find that the eigenvalue distribution of original correlation matrix deviates from the eigenvalues predicted by the RMT, and the largest eigenvalue is 52 times larger than the maximum value among the eigenvalues predicted by the RMT. The $\beta_{473}$ coefficient, which reflect the largest eigenvalue property, is 0.8, while one of the eigenvalues in the RMT is approximately zero. Notably, we show that the entropy function $E(\sigma)$ with the portfolio risk $\sigma$ for the original and filtered correlation matrices are consistent with a power-law function, $E(\sigma) \sim \sigma^{-\gamma}$, with the exponent $\gamma \sim 2.92$ and those for Asian currency crisis decreases significantly

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

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

Failure of DNA double-strand break repair by tau mediates Alzheimer’s disease pathology in vitro

DNA double-strand break (DSB) is the most severe form of DNA damage and accumulates with age, in which cytoskeletal proteins are polymerized to repair DSB in dividing cells. Since tau is a microtubule-associated protein, we investigate whether DSB is involved in tau pathologies in Alzheimer’s disease (AD). First, immunohistochemistry reveals the frequent coexistence of DSB and phosphorylated tau in the cortex of AD patients. In vitro studies using primary mouse cortical neurons show that non-p-tau accumulates perinuclearly together with the tubulin after DSB induction with etoposide, followed by the accumulation of phosphorylated tau. Moreover, the knockdown of endogenous tau exacerbates DSB in neurons, suggesting the protective role of tau on DNA repair. Interestingly, synergistic exposure of neurons to microtubule disassembly and the DSB strikingly augments aberrant p-tau aggregation and apoptosis. These data suggest that DSB plays a pivotal role in AD-tau pathology and that the failure of DSB repair leads to tauopathy

Mice with cleavage-resistant N-cadherin exhibit synapse anomaly in the hippocampus and outperformance in spatial learning tasks

N-cadherin is a homophilic cell adhesion molecule that stabilizes excitatory synapses, by connecting pre- and post-synaptic termini. Upon NMDA receptor (NMDAR) activation by glutamate, membrane-proximal domains of N-cadherin are cleaved serially by a-disintegrin-and-metalloprotease 10 (ADAM10) and then presenilin 1(PS1, catalytic subunit of the γ-secretase complex). To assess the physiological significance of the initial N-cadherin cleavage, we engineer the mouse genome to create a knock-in allele with tandem missense mutations in the mouse N-cadherin/Cadherin-2 gene (Cdh2 R714G, I715D, or GD) that confers resistance on proteolysis by ADAM10 (GD mice). GD mice showed a better performance in the radial maze test, with significantly less revisiting errors after intervals of 30 and 300 s than WT, and a tendency for enhanced freezing in fear conditioning. Interestingly, GD mice reveal higher complexity in the tufts of thorny excrescence in the CA3 region of the hippocampus. Fine morphometry with serial section transmission electron microscopy (ssTEM) and three-dimensional (3D) reconstruction reveals significantly higher synaptic density, significantly smaller PSD area, and normal dendritic spine volume in GD mice. This knock-in mouse has provided in vivo evidence that ADAM10-mediated cleavage is a critical step in N-cadherin shedding and degradation and involved in the structure and function of glutamatergic synapses, which affect the memory function

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

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

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.

Cross-correlation dynamics in financial time series

The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50 indices reveal that the dynamics of the small eigenvalues of the cross-correlation matrix, over these time windows, oppose those of the largest eigenvalue. This behaviour is shown to be independent of the size of the time window and the number of stocks examined. A basic one-factor model is proposed, which captures the main dynamical features of the eigenvalue spectrum of the empirical data. Through the addition of perturbations to the one-factor model, (leading to a market plus sectors model), additional sectoral features are added, resulting in an Inverse Participation Ratio comparable to that found for empirical data