Optimal Cross-Correlation Estimates from Asynchronous Tick-by-Tick Trading Data

Given two time series, A and B, sampled asynchronously at different times {t_A_i} and {t_B_j}, termed "ticks", how can one best estimate the correlation coefficient \rho between changes in A and B? We derive a natural, minimum-variance estimator that does not use any interpolation or binning, then derive from it a fast (linear time) estimator that is demonstrably nearly as good. This "fast tickwise estimator" is compared in simulation to the usual method of interpolating changes to a regular grid. Even when the grid spacing is optimized for the particular parameters (not often possible in practice), the fast tickwise estimator has generally smaller estimation errors, often by a large factor. These results are directly applicable to tick-by-tick price data of financial assets.Comment: 21 pages, 6 figures, 3 table

Hypergeometric Functions by Direct Path Integration

The proverb, "the longest way round is the shortest way home," dating from the 17th century, applies as well to present-day computer programming. The technique of choice in many real-life computations is not necessarily the most efficient or elegant one, but may instead be the one that is quick to program and easy to check

On formation of close binaries by two-body tidal capture

We calculate in detail the two-body tidal capture mechanism of Fabian, Pringle, and Rees: when two unbound stars have a close encounter, they may become bound by the energy that each deposits into nonradial oscillations of the other. After dimensional scalings are removed, the process depends only on a single dimensionless parameter, and on the dimensionless envelope structure of the stars. General formulae are derived; for definiteness, we apply them to the specific case of stars with an n = 3 polytropic structure. Capture cross sections as a function of velocity and capture rates for an isothermal distribution are given for the case of equal-mass stars; other cases can easily be computed from the formulae given

Cylindrical Magnets and Ideal Solenoids

Both wire-wound solenoids and cylindrical magnets can be approximately modeled as ideal, azimuthally symmetric solenoids. We present here an exact solution for the magnetic field of an ideal solenoid in an especially easy to use form. The field is expressed in terms of a single function that can be rapidly computed by means of a compact, highly efficient algorithm, which can be coded as an add-in function to a spreadsheet, making field calculations accessible even to introductory students. In computational work these expressions are not only accurate but also just as fast as most approximate expressions. We demonstrate their utility by numerically simulating the experiment of dropping a cylindrical magnet through a nonmagnetic conducting tube and then comparing the calculation with data obtained from experiments suitable for an undergraduate laboratory.Comment: 12 pages, 5 figures, revTe

Fredholm and Volterra Integral Equations of the Second Kind

Integral equations are often the best way to formulate physics problems. However, the typical physics student gets almost no training in integral equations, in contrast to differential equations, for example. Many physicists thus believe that numerical solution of integral equations must be an extremely arcane topic, since it is almost never dealt with in numerical analysis textbooks

Elliptic Integrals

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Radiation fields in the Schwarzschild background

Scalar, electromagnetic, and gravitational test fields in the Schwarzschild background are examined with the help of the general retarded solution of a single master wave equation. The solution for each multipole is generated by a single arbitrary function of retarded time, the retarded multipole moment. We impose only those restrictions on the time dependence of the multipole moment which are required for physical regularity. We find physically well-behaved solutions which (i) do not satisfy the Penrose peeling theorems at past null infinity and/or (ii) do not have well-defined Newman-Penrose quantities. Even when the NP quantities exist, they are not measurable; they represent an "average" multipole moment over the infinite past, and their conservation is essentially trivial