Increments of Uncorrelated Time Series Can Be Predicted With a Universal 75% Probability of Success

We present a simple and general result that the sign of the variations or increments of uncorrelated times series are predictable with a remarkably high success probability of 75% for symmetric sign distributions. The origin of this paradoxical result is explained in details. We also present some tests on synthetic, financial and global temperature time series.Comment: 8 pages, 3 figure

Scaling with respect to disorder in time-to-failure

We revisit a simple dynamical model of rupture in random media with long-range elasticity to test whether rupture can be seen as a first-order or a critical transition. We find a clear scaling of the macroscopic modulus as a function of time-to-rupture and of the amplitude of the disorder, which allows us to collapse neatly the numerical simulations over more than five decades in time and more than one decade in disorder amplitude onto a single master curve. We thus conclude that, at least in this model, dynamical rupture in systems with long-range elasticity is a genuine critical phenomenon occurring as soon as the disorder is non-vanishing.Comment: 13 pages, 2 figures, submitted to J.Phys.I (France

Gluon Thermodynamics at Intermediate Coupling

We calculate the thermodynamic functions of Yang-Mills theory to three-loop order using the hard-thermal-loop perturbation theory reorganization of finite temperature quantum field theory. We show that at three-loop order hard-thermal-loop perturbation theory is compatible with lattice results for the pressure, energy density, and entropy down to temperatures T ~ 2 - 3 T_c.Comment: 4 pages, 3 figures; v2 - published version

Comment on "Tricritical Behavior in Rupture Induced by Disorder"

In their letter, Andersen, Sornette, and Leung [Phys. Rev. Lett. 78, 2140 (1997)] describe possible behaviors for rupture in disordered media, based on the mean field-like democratic fiber bundle model. In this model, fibers are pulled with a force which is distributed uniformly. A fiber breaks if the stress on it exceeds a threshold chosen from a probability distribution, and the force is then redistributed over the intact fibers. Andersen et al. claim the existence of a tricritical point, separating a "first-order" regime, characterized by a sudden global failure, from a "second-order" regime, characterized by a divergence in the breaking rate. We show that a first-order transition is an artifact of a (large enough) discontinuity put by hand in the disorder distribution. Thus, in generic physical cases, a first-order regime is not present. This result is obtained from a graphical method, which, unlike Andersen at al.'s analytical solution, enables us to distinguish the various classes of qualitatively different behaviors of the model.Comment: 1 page, 1 figure included, revte

Effects of Land Management Strategies on the Dispersal Pattern of a Beneficial Arthropod

Several arthropods are known to be highly beneficial to agricultural production. Consequently it is of great relevance to study the importance of land management and land composition for the conservation of beneficial aphid-predator arthropod species in agricultural areas. Therefore our study focusing on the beneficial arthropod Bembidion lampros had two main purposes: I) identifying the physical barriers to the species’ dispersal in the agricultural landscape, and II) assessing the effect of different land management strategies (i.e. use of pesticides and intensiveness) on the dispersal patterns. The study was conducted using genetic analysis (microsatellite markers) applied to samples from two agricultural areas (in Denmark) with different agricultural intensity. Land management effects on dispersal patterns were investigated with particular focus on: physical barriers, use of pesticide and intensity of cultivation. The results showed that Bembidion lampros disperse preferably through hedges rather than fields, which act as physical barriers to gene flow. Moreover the results support the hypothesis that organic fields act as reservoirs for the re-colonization of conventional fields, but only when cultivation intensity is low. These results show the importance of non-cultivated areas and of low intensity organic managed areas within the agricultural landscape as corridors for dispersal (also for a species typically found within fields). Hence, the hypothesis that pesticide use cannot be used as the sole predictor of agriculture’s effect on wild species is supported as land structure and agricultural intensity can be just as important

Fundamental Framework for Technical Analysis

Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the deviation or defects from the random walk market state and its time-translational invariant properties. The classification relies on two dimensionless parameters, the Froude number characterizing the relative strength of the acceleration with respect to the velocity and the time horizon forecast dimensionalized to the training period. Trend-following and contrarian patterns are found to coexist and depend on the dimensionless time horizon. The classification is based on the symmetry requirements of invariance with respect to change of price units and of functional scale-invariance in the space of scenarii. This ``renormalized scenario'' approach is fundamentally probabilistic in nature and exemplifies the view that multiple competing scenarii have to be taken into account for the same past history. Empirical tests are performed on on about nine to thirty years of daily returns of twelve data sets comprising some major indices (Dow Jones, SP500, Nasdaq, DAX, FTSE, Nikkei), some major bonds (JGB, TYX) and some major currencies against the US dollar (GBP, CHF, DEM, JPY). Our ``renormalized scenario'' exhibits statistically significant predictive power in essentially all market phases. In constrast, a trend following strategy and trend + acceleration following strategy perform well only on different and specific market phases. The value of the ``renormalized scenario'' approach lies in the fact that it always finds the best of the two, based on a calculation of the stability of their predicted market trajectories.Comment: Latex, 27 page

"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a non-linear transformation that maps the returns onto gaussian variables whose covariance matrix provides a new measure of dependence between the non-normal returns, generalizing the covariance matrix into a non-linear fractional covariance matrix. This nonlinear covariance matrix is chiseled to the specific fat tail structure of the underlying marginal distributions, thus ensuring stability and good-conditionning. The portfolio distribution is obtained as the solution of a mapping to a so-called phi-q field theory in particle physics, of which we offer an extensive treatment using Feynman diagrammatic techniques and large deviation theory, that we illustrate in details for multivariate Weibull distributions. The main result of our theory is that minimizing the portfolio variance (i.e. the relatively ``small'' risks) may often increase the large risks, as measured by higher normalized cumulants. Extensive empirical tests are presented on the foreign exchange market that validate satisfactorily the theory. For ``fat tail'' distributions, we show that an adequete prediction of the risks of a portfolio relies much more on the correct description of the tail structure rather than on their correlations.Comment: Latex, 76 page