Spurious trend switching phenomena in financial markets

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction data

Quantifying the behavior of stock correlations under market stress

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios

Fractional Quantum Hall Effect in a Diluted Magnetic Semiconductor

We report the observation of the fractional quantum Hall effect in the lowest Landau level of a two-dimensional electron system (2DES), residing in the diluted magnetic semiconductor Cd(1-x)Mn(x)Te. The presence of magnetic impurities results in a giant Zeeman splitting leading to an unusual ordering of composite fermion Landau levels. In experiment, this results in an unconventional opening and closing of fractional gaps around filling factor v = 3/2 as a function of an in-plane magnetic field, i.e. of the Zeeman energy. By including the s-d exchange energy into the composite Landau level spectrum the opening and closing of the gap at filling factor 5/3 can be modeled quantitatively. The widely tunable spin-splitting in a diluted magnetic 2DES provides a novel means to manipulate fractional states

Reflectivity and Microwave Absorption in Crystals with Alternating Intrinsic Josephson Junctions

We compute the frequency and magnetic field dependencies of the reflectivity $R(\omega)$ in layered superconductors with two alternating intrinsic Josephson junctions with different critical current densities and quasiparticle conductivities for the electric field polarized along the c-axis. The parameter $\alpha$ describing the electronic compressibility of the layers and the charge coupling of neighboring junctions was extracted for the SmLa$_{1-x}$Sr$_{x}$CuO$_{4-\delta}$ superconductor from two independent optical measurements, the fit of the loss function $L(\omega)$ at zero magnetic field and the magnetic field dependence of the peak positions in $L(\omega)$. The experiments are consistent with a free electron value for $\alpha$ near the Josephson plasma frequencies.Comment: 4 pages, 4 postscript figures, misprints in table correcte

Magnetic Catalysis in AdS4

We study the formation of fermion condensates in Anti de Sitter space. In particular, we describe a novel version of magnetic catalysis that arises for fermions in asymptotically AdS4 geometries which cap off in the infra-red with a hard wall. We show that the presence of a magnetic field induces a fermion condensate in the bulk that spontaneously breaks CP symmetry. From the perspective of the dual boundary theory, this corresponds to a strongly coupled version of magnetic catalysis in d=2+1.Comment: 22 pages, 4 figures. v2: References added, factors of 2 corrected, extra comments added in appendix. v3: extra comments about fermion modes in a hard wall background. v4: A final factor of

Coupling between phonons and intrinsic Josephson oscillations in cuprate superconductors

The recently reported subgap structures observed in the current-voltage characteristic of intrinsic Josephson junctions in the high-T_c superconductors Tl_2Ba_2Ca_2Cu_3O_{10+\delta} and Bi_2Sr_2CaCu_2O_{8+\delta} are explained by the coupling between c-axis phonons and Josephson oscillations. A model is developed where c-axis lattice vibrations between adjacent superconducting multilayers are excited by the Josephson oscillations in a resistive junction. The voltages of the lowest structures correspond well to the frequencies of longitudinal c-axis phonons with large oscillator strength in the two materials, providing a new measurement technique for this quantity.Comment: 4 pages, 3 figures, revtex, aps, epsf, psfig. submitted to Physical Review Letters, second version improved in detai

Flavor-symmetry Breaking with Charged Probes

We discuss the recombination of brane/anti-brane pairs carrying $D3$ brane charge in $AdS_5 \times S^5$. These configurations are dual to co-dimension one defects in the ${\cal N}=4$ super-Yang-Mills description. Due to their $D3$ charge, these defects are actually domain walls in the dual gauge theory, interpolating between vacua of different gauge symmetry. A pair of unjoined defects each carry localized $(2+1)$ dimensional fermions and possess a global $U(N)\times U(N)$ flavor symmetry while the recombined brane/anti-brane pairs exhibit only a diagonal U(N). We study the thermodynamics of this flavor-symmetry breaking under the influence of external magnetic field.Comment: 21 pages, 10 figure

Magnetic Catalysis: A Review

We give an overview of the magnetic catalysis phenomenon. In the framework of quantum field theory, magnetic catalysis is broadly defined as an enhancement of dynamical symmetry breaking by an external magnetic field. We start from a brief discussion of spontaneous symmetry breaking and the role of a magnetic field in its a dynamics. This is followed by a detailed presentation of the essential features of the phenomenon. In particular, we emphasize that the dimensional reduction plays a profound role in the pairing dynamics in a magnetic field. Using the general nature of underlying physics and its robustness with respect to interaction types and model content, we argue that magnetic catalysis is a universal and model-independent phenomenon. In support of this claim, we show how magnetic catalysis is realized in various models with short-range and long-range interactions. We argue that the general nature of the phenomenon implies a wide range of potential applications: from certain types of solid state systems to models in cosmology, particle and nuclear physics. We finish the review with general remarks about magnetic catalysis and an outlook for future research.Comment: 37 pages, to appear in Lect. Notes Phys. "Strongly interacting matter in magnetic fields" (Springer), edited by D. Kharzeev, K. Landsteiner, A. Schmitt, H.-U. Yee. Version 2: references adde

Emerging interdependence between stock values during financial crashes

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures to extract direct influences between multiple time series, we compute the information flow across stock values to identify several different regimes. While small information flows is detected in most of the period, a dramatically different situation occurs in the proximity of global financial crises, where stock values exhibit strong and substantial interdependence for a prolonged period. This behavior is consistent with what one would generally expect from a complex system near criticality in physical systems, showing the long lasting effects of crashes on stock markets

Inverse magnetic catalysis in field theory and gauge-gravity duality

We investigate the surface of the chiral phase transition in the three-dimensional parameter space of temperature, baryon chemical potential and magnetic field in two different approaches, the field-theoretical Nambu-Jona-Lasinio (NJL) model and the holographic Sakai-Sugimoto model. The latter is a top-down approach to a gravity dual of QCD with an asymptotically large number of colors and becomes, in a certain limit, dual to an NJL-like model. Our main observation is that, at nonzero chemical potential, a magnetic field can restore chiral symmetry, in apparent contrast to the phenomenon of magnetic catalysis. This "inverse magnetic catalysis" occurs in the Sakai-Sugimoto model and, for sufficiently large coupling, in the NJL model and is related to the physics of the lowest Landau level. While in most parts our discussion is a pedagogical review of previously published results, we include new analytical results for the NJL approach and a thorough comparison of inverse magnetic catalysis in the two approaches.Comment: 37 pages, 11 figures, to appear in Lect. Notes Phys. "Strongly interacting matter in magnetic fields" (Springer), edited by D. Kharzeev, K. Landsteiner, A. Schmitt, H.-U. Ye