Complex Correlation Approach for High Frequency Financial Data

We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency trading data, which are of a particular interest in finance. Its most important feature is the ability to take into account lead-lag relations on different scales, without knowing them in advance. We also present results obtained with this approach while working on Tokyo Stock Exchange intraday quotations. We show that individual sectors and subsectors tend to form important market components which may follow each other with small but significant delays. These components may be recognized by analysing eigenvectors of complex correlation matrix for Nikkei 225 stocks. Interestingly, sectorial components are also found in eigenvectors corresponding to the bulk eigenvalues, traditionally treated as noise

Structure and temporal change of the credit network between banks and large firms in Japan

We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges correspond to the relationships and weights refer to the amounts of loans. Reduction in the supply of credit affects firms as debtor, and failure of a firm influences banks as creditor. To quantify the dependency and influence between banks and firms, we propose a set of scores of banks and firms, which can be calculated by solving an eigenvalue problem determined by the weight of the credit network. We found that a few largest eigenvalues and corresponding eigenvectors are significant by using a null hypothesis of random bipartite graphs, and that the scores can quantitatively describe the stability or fragility of the credit network during the 25 years

Stellar Initial Mass Function (IMF) Probed with Supernova Rates and Neutrino Background: Cosmic Average IMF Slope is ≃2−3\simeq 2-3 Similar to the Salpeter IMF

The stellar initial mass function (IMF) is expressed by $\phi(m) \propto m^{-\alpha}$ with the slope $\alpha$, and known as the poorly-constrained but very important function in studies of star and galaxy formation. There are no sensible observational constraints on the IMF slopes beyond Milky Way and nearby galaxies. Here we combine two sets of observational results, 1) cosmic densities of core-collapse supernova explosion (CCSNe) rates and 2) cosmic far ultraviolet radiation (and infrared re-radiation) densities, which are sensitive to massive ($\simeq 8-50 \,{\rm M}_\odot$) and moderately massive ($\simeq 2.5-7 \,{\rm M}_\odot$) stars, respectively, and constrain the IMF slope at $m>1\,{\rm M}_\odot$ with a freedom of redshift evolution. Although no redshift evolution is identified beyond the uncertainties, we find that the cosmic average IMF slope at $z=0$ is $\alpha=1.8-3.2$ at the 95 % confidence level that is comparable with the Salpeter IMF, $\alpha=2.35$, which marks the first constraint on the cosmic average IMF. We show a forecast for the Nancy Grace Roman Space Telescope supernova survey that will provide significantly strong constraints on the IMF slope with $\delta \alpha\simeq 0.5$ over $z=0-2$. Moreover, as for an independent IMF probe instead of 1), we suggest to use diffuse supernovae neutrino background (DSNB), relic neutrinos from CCSNe. We expect that the Hyper-Kamiokande neutrino observations over 20 years will improve the constraints on the IMF slope and the redshift evolution significantly better than those obtained today, if the systematic uncertainties of DSNB production physics are reduced in the future numerical simulations.Comment: 7 pages, 6 figures, ApJ in pres

JARE Syowa Station 11-m Antenna, Antarctica

In 2012, the 52nd and the 53rd Japanese Antarctic Research Expeditions (hereinafter, referred to as JARE-52 and JARE-53, respectively) participated in five OHIG sessions - OHIG76, 78, 79, 80, and 81. These data were recorded on hard disks through the K5 terminal. Only the hard disks for the OHIG76 session have been brought back from Syowa Station to Japan, in April 2012, by the icebreaker, Shirase, while those of the other four sessions are scheduled to arrive in April 2013. The data obtained from the OHIG73, 74, 75, and 76 sessions by JARE-52 and JARE-53 have been transferred to the Bonn Correlator via the servers of National Institute of Information and Communications Technology (NICT). At Syowa Station, JARE-53 and JARE-54 will participate in six OHIG sessions in 2013