7,339 research outputs found
A multifractal random walk
We introduce a class of multifractal processes, referred to as Multifractal
Random Walks (MRWs). To our knowledge, it is the first multifractal processes
with continuous dilation invariance properties and stationary increments. MRWs
are very attractive alternative processes to classical cascade-like
multifractal models since they do not involve any particular scale ratio. The
MRWs are indexed by few parameters that are shown to control in a very direct
way the multifractal spectrum and the correlation structure of the increments.
We briefly explain how, in the same way, one can build stationary multifractal
processes or positive random measures.Comment: 5 pages, 4 figures, uses RevTe
Causal cascade in the stock market from the ``infrared'' to the ``ultraviolet''
Modelling accurately financial price variations is an essential step
underlying portfolio allocation optimization, derivative pricing and hedging,
fund management and trading. The observed complex price fluctuations guide and
constraint our theoretical understanding of agent interactions and of the
organization of the market. The gaussian paradigm of independent normally
distributed price increments has long been known to be incorrect with many
attempts to improve it. Econometric nonlinear autoregressive models with
conditional heteroskedasticity (ARCH) and their generalizations capture only
imperfectly the volatility correlations and the fat tails of the probability
distribution function (pdf) of price variations. Moreover, as far as changes in
time scales are concerned, the so-called ``aggregation'' properties of these
models are not easy to control. More recently, the leptokurticity of the full
pdf was described by a truncated ``additive'' L\'evy flight model (TLF).
Alternatively, Ghashghaie et al. proposed an analogy between price dynamics and
hydrodynamic turbulence. In this letter, we use wavelets to decompose the
volatility of intraday (S&P500) return data across scales. We show that when
investigating two-points correlation functions of the volatility logarithms
across different time scales, one reveals the existence of a causal information
cascade from large scales (i.e. small frequencies, hence to vocable
``infrared'') to fine scales (``ultraviolet''). We quantify and visualize the
information flux across scales. We provide a possible interpretation of our
findings in terms of market dynamics.Comment: 9 pages, 3 figure
Fractal Dimensionof the El Salvador Earthquake (2001) time Series
We have estimated multifractal spectrum of the El Salvador earthquake signal
recorded at different locations.Comment: multifractal analysi
Experimental study of quasi-elastic neutrino interactions on Ar with a liquid Ar TPC exposed to the WANF neutrino beam
We present results from the first exposure of a liquid Ar time projection
chamber to a neutrino beam. The data have been collected in 1997 with a 50
liter ICARUS-like chamber located between the CHORUS and NOMAD experiment at
the CERN West Area Neutrino Facility. We focus on the analysis of quasi-elastic
interactions; despite the limited size of the detector, nuclear effects beyond
Fermi motion and Pauli blocking have been observed as perturbations to the pure
quasi-elastic kinematics.Comment: 6 pages, 4 figures, prepared for the proceedings of NuInt0
Twist Three Distribution f_\perp(x,k^\perp) in Light-front Hamiltonian Approach
We calculate the twist three distribution f_\perp(x,k^\perp) contributing to
Cahn effect in unpolarized semi-inclusive deep inelastic scattering. We use
light-front Hamiltonian technique and take the state to be a dressed quark at
one loop in perturbation theory. The 'genuine twist three' contribution comes
from the quark-gluon interaction part in the operator and is explicitly
calculated. f_\perp(x,k^\perp) is compared with f_1(x,k^\perp).Comment: Two figures added, one author added, some parts rewritten for
clarificatio
A model for parton distributions in hadrons
The non-perturbative parton distributions in hadrons are derived from simple
physical arguments resulting in an analytical expression for the valence parton
distributions. The sea partons arise mainly from pions in hadronic
fluctuations. The model gives new insights and a good description of structure
function data.Comment: 3 pages, 4 figures, LaTeX. Contribution to DIS 99 worksho
A Prototype Model of Stock Exchange
A prototype model of stock market is introduced and studied numerically. In
this self-organized system, we consider only the interaction among traders
without external influences. Agents trade according to their own strategy, to
accumulate his assets by speculating on the price's fluctuations which are
produced by themselves. The model reproduced rather realistic price histories
whose statistical properties are also similar to those observed in real
markets.Comment: LaTex, 4 pages, 4 Encapsulated Postscript figures, uses psfi
The liquid Argon TPC: a powerful detector for future neutrino experiments and proton decay searches
We discuss the possibility of new generation neutrino and astroparticle
physics experiments exploiting the liquid Argon Time Projection Chamber (LAr
TPC) technique, following a graded strategy that envisions applications with
increasing detector masses (from 100 ton to 100 kton). The ICARUS R&D program
has already demonstrated that the technology is mature with the test of the
T600 detector at surface. Since 2003 we have been working with the conceptual
design of a very large LAr TPC with a mass of 50-100 kton to be built by
employing a monolithic technology based on the use of industrial, large volume,
cryogenic tankers developed by the petro-chemical industry. Such a detector, if
realized, would be an ideal match for a Super Beam, Beta Beam or Neutrino
Factory, covering a broad physics program that includes the detection of
atmospheric, solar and supernova neutrinos, and searches for proton decay, in
addition to the rich accelerator neutrino physics program. A "test module" with
a mass of the order of 10 kton operated underground or at shallow depth would
represent a necessary milestone towards the realization of the 100 kton
detector, with an interesting physics program on its own. In parallel, physics
is calling for a shorter scale application of the LAr TPC technique at the
level of 100 ton mass, for low energy neutrino physics and for use as a near
station setup in future long baseline neutrino facilities. We outline here the
main physics objectives and the design of such a detector for operation in the
upcoming T2K neutrino beam. We finally present the result of a series of R&D
studies conducted with the aim of validating the design of the proposed
detectors.Comment: 16 pages, 18 figures, Invited talk at High Intensity Physics HIF05,
La Biodola, Isola d'Elba (Italy), June 200
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