Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are defined as the waiting times $\tau$ between consecutive volatilities exceeding a given threshold $q$. We find that the recurrence intervals are distributed as a stretched exponential $P_q(\tau)\sim e^{(a\tau)^{-\gamma}}$, where the exponent $\gamma$ decreases with increasing $q$, and there is no scaling behavior in the distributions for different thresholds $q$ after the recurrence intervals are scaled with the mean recurrence interval $\bar\tau$. These findings are significant under the Kolmogorov-Smirnov test and the Cram{\'e}r-von Mises test. We show that empirical estimations are in nice agreement with the numerical integration results for the occurrence probability $W_q(\Delta{t}|t)$ of a next event above the threshold $q$ within a (short) time interval after an elapsed time $t$ from the last event above $q$. We also investigate the memory effects of the recurrence intervals. It is found that the conditional distributions of large and small recurrence intervals differ from each other and the conditional mean of the recurrence intervals scales as a power law of the preceding interval $\bar\tau(\tau_0)/\bar\tau \sim (\tau_0/\bar\tau)^\beta$, indicating that the recurrence intervals have short-term correlations. Detrended fluctuation analysis and detrending moving average analysis further uncover that the recurrence intervals possess long-term correlations. We confirm that the "clustering" of the volatility recurrence intervals is caused by the long-term correlations well known to be present in the volatility.Comment: 11 pages, 8 figures and 3 table

Testing the weak-form efficiency of the WTI crude oil futures market

We perform detrending moving average analysis (DMA) and detrended fluctuation analysis (DFA) of the WTI crude oil futures prices (1983-2012) to investigate its efficiency. We further put forward a strict statistical test in the spirit of bootstrapping to verify the weak-form market efficiency hypothesis by employing the DMA (or DFA) exponent as the statistic. We verify the weak-form efficiency of the crude oil futures market when the whole period is considered. When we break the whole series into three sub-series separated by the outbreaks of the Gulf War and the Iraq War, our statistical tests uncover that only the Gulf War has the impact of reducing the efficiency of the crude oil market. If we split the whole time series into two sub-series based on the signing date of the North American Free Trade Agreement, we find that the market is inefficient in the sub-periods during which the Gulf War broke out. We also perform the same analysis on short time series in moving windows and find that the market is inefficient only when some turbulent events occur, such as the oil price crash in 1985, the Gulf war, and the oil price crash in 2008. Our analysis may offer a new understanding of the efficiency of the crude oil futures market and shed new lights on the investigation of the efficiency in other financial markets.Comment: 9 pages and 5 figure

Circular orbit of a test particle and phase transition of a black hole

The radius of the circular orbit for the time-like or light-like test particle in a background of general spherically symmetric spacetime is viewed as a characterized quantity for the thermodynamic phase transition of the corresponding black hole. We generally show that the phase transition information of a black hole can be reflected by its surrounding particle's circular orbit.Comment: 6 page

Photon sphere and phase transition of dd-dimensional (d≥5d\ge5) charged Gauss-Bonnet AdS black holes

Motivated by recent work, nonmonotonic behaviours of photon sphere radius can be used to reflect black hole phase transition for Reissner-Nordstr$\ddot{o}$m-AdS (RN-AdS) black holes, we study the case of five-dimensional charged Gauss-Bonnet-AdS (GB-AdS) black holes in the reduced parameter space. We find that the nonmonotonic behaviours of photon sphere radius still exist. Using the coexistence line calculated from $P-V$ plane, we capture the photon sphere radius of saturated small and large black holes (the boundary of the coexistence phase), then illustrate the reduced coexistence region. The results show that, reduced coexistence region decreases with charge $Q$ but increases with Gauss-Bonnet coefficient $\alpha$. When the charge vanishes, reduced coexistence region doesn't vary with Gauss-Bonnet coefficient $\alpha$ any more. In this case, the Gauss-Bonnet coefficient $\alpha$ plays the same role as the charge of five-dimensional RN-AdS black holes. Also, the situation of higher dimension is studied in the end.Comment: 8 pages, 15 figure

Communication cliques in mobile phone calling networks

People in modern societies form different social networks through numerous means of communication. These communication networks reflect different aspects of human's societal structure. The billing records of calls among mobile phone users enable us to construct a directed calling network (DCN) and its Bonferroni network (SVDCN) in which the preferential communications are statistically validated. Here we perform a comparative investigation of the cliques of the original DCN and its SVDCN constructed from the calling records of more than nine million individuals in Shanghai over a period of 110 days. We find that the statistical properties of the cliques of the two calling networks are qualitatively similar and the clique members in the DCN and the SVDCN exhibit idiosyncratic behaviors quantitatively. Members in large cliques are found to be spatially close to each other. Based on the clique degree profile of each mobile phone user, the most active users in the two calling networks can be classified in to several groups. The users in different groups are found to have different calling behaviors. Our study unveils interesting communication behaviors among mobile phone users that are densely connected to each other.Comment: 18 pages, 10 figure

An End-to-End Compression Framework Based on Convolutional Neural Networks

Deep learning, e.g., convolutional neural networks (CNNs), has achieved great success in image processing and computer vision especially in high level vision applications such as recognition and understanding. However, it is rarely used to solve low-level vision problems such as image compression studied in this paper. Here, we move forward a step and propose a novel compression framework based on CNNs. To achieve high-quality image compression at low bit rates, two CNNs are seamlessly integrated into an end-to-end compression framework. The first CNN, named compact convolutional neural network (ComCNN), learns an optimal compact representation from an input image, which preserves the structural information and is then encoded using an image codec (e.g., JPEG, JPEG2000 or BPG). The second CNN, named reconstruction convolutional neural network (RecCNN), is used to reconstruct the decoded image with high-quality in the decoding end. To make two CNNs effectively collaborate, we develop a unified end-to-end learning algorithm to simultaneously learn ComCNN and RecCNN, which facilitates the accurate reconstruction of the decoded image using RecCNN. Such a design also makes the proposed compression framework compatible with existing image coding standards. Experimental results validate that the proposed compression framework greatly outperforms several compression frameworks that use existing image coding standards with state-of-the-art deblocking or denoising post-processing methods.Comment: Submitted to IEEE Transactions on Circuits and Systems for Video Technolog

Triadic motifs in the dependence networks of virtual societies

In friendship networks, individuals have different numbers of friends, and the closeness or intimacy between an individual and her friends is heterogeneous. Using a statistical filtering method to identify relationships about who depends on whom, we construct dependence networks (which are directed) from weighted friendship networks of avatars in more than two hundred virtual societies of a massively multiplayer online role-playing game (MMORPG). We investigate the evolution of triadic motifs in dependence networks. Several metrics show that the virtual societies evolved through a transient stage in the first two to three weeks and reached a relatively stable stage. We find that the unidirectional loop motif (${\rm{M}}_9$) is underrepresented and does not appear, open motifs are also underrepresented, while other close motifs are overrepresented. We also find that, for most motifs, the overall level difference of the three avatars in the same motif is significantly lower than average, whereas the sum of ranks is only slightly larger than average. Our findings show that avatars' social status plays an important role in the formation of triadic motifs.Comment: 8 Latex pages + 5 figure

A unified phase transition picture of the charged topological black hole in Horava-Lifshitz gravity

Aiming at a unified phase transition picture of the charged topological black hole in Ho\v{r}ava-Lifshitz gravity, we investigate this issue not only in canonical ensemble with the fixed charge case but also in grand-canonical ensemble with the fixed potential case. We firstly perform the standard analysis of the specific heat, the free energy and the Gibbs potential, and then study its geometrothermodynamics. It is shown that the local phase transition points not only witness the divergence of the specific heat, but also witness the minimum temperature and the maximum free energy or Gibbs potential. They also witness the divergence of the corresponding thermodynamic scalar curvature. No matter which ensemble is chosen, the metric constructed can successfully produce the behavior of the thermodynamic interaction and phase transition structure while other metrics failed to predict the phase transition point of the charged topological black hole in former literature. In grand-canonical ensemble, we have discovered the phase transition which has not been reported before. It is similar to the canonical ensemble in which the phase transition only takes place when $k=-1$. But it also has its unique characteristics that the location of the phase transition point depends on the value of potential, which is different from the canonical ensemble where the phase transition point is independent of the parameters. After an analytical check of Ehrenfest scheme, we find that the new phase transition is a second order one. It is also found that the thermodynamics of the black hole in Horava-Lifshitz gravity is quite different from that in Einstein gravity.Comment: 24pages,11figure

Two-state Markov-chain Poisson nature of individual cellphone call statistics

Humans are heterogenous and the behaviors of individuals could be different from that at the population level. We conduct an in-depth study of the temporal patterns of cellphone conversation activities of 73'339 anonymous cellphone users with the same truncated Weibull distribution of inter-call durations. We find that the individual call events exhibit a pattern of bursts, in which high activity periods are alternated with low activity periods. Surprisingly, the number of events in high activity periods are found to conform to a power-law distribution at the population level, but follow an exponential distribution at the individual level, which is a hallmark of absence of memory in individual call activities. Such exponential distribution is also observed for the number of events in low activity periods. Together with the exponential distributions of inter-call durations within bursts and of the intervals between consecutive bursts, we demonstrate that the individual call activities are driven by two independent Poisson processes, which can be combined within a minimal model in terms of a two-state first-order Markov chain giving very good agreement with the empirical distributions using the parameters estimated from real data for about half of the individuals in our sample. By measuring directly the distributions of call rates across the population, which exhibit power-law tails, we explain the difference with previous population level studies, purporting the existence of power-law distributions, via the "Superposition of Distributions" mechanism: The superposition of many exponential distributions of activities with a power-law distribution of their characteristic scales leads to a power-law distribution of the activities at the population level.Comment: 16 pages, 7 figure

Joint multifractal analysis based on the partition function approach: Analytical analysis, numerical simulation and empirical application

Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important issues about these methods are not well understood and most methods consider only one moment order. We study the joint multifractal analysis based on partition function with two moment orders, which was initially invented to investigate fluid fields, and derive analytically several important properties. We apply the method numerically to binomial measures with multifractal cross correlations and bivariate fractional Brownian motions without multifractal cross correlations. For binomial multifractal measures, the explicit expressions of mass function, singularity strength and multifractal spectrum of the cross correlations are derived, which agree excellently with the numerical results. We also apply the method to stock market indexes and unveil intriguing multifractality in the cross correlations of index volatilities.Comment: 19 pages, 5 figure