Optimal Investment Horizons for Stocks and Markets

The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in \cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, the inverse statistics for 2/3 of the individual stocks presently in the DJIA is investigated. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks nor their average. This observation points towards some kind of collective movement of the stocks of the index (synchronization).Comment: Subm. to Physica A as Conference Proceedings of Econophysics Colloquium, ANU Canberra, 13-17 Nov. 2005. 6 pages including figure

Replacement of ensemble averaging by the use of a broadband source in scattering of light from a one-dimensional randomly rough interface between two dielectric media

By the use of phase perturbation theory we show that if a single realization of a one-dimensional randomly rough interface between two dielectric media is illuminated at normal incidence from either medium by a broadband Gaussian beam, it produces a scattered field whose differential reflection coefficient closely matches the result produced by averaging the differential reflection coefficient produced by a monochromatic incident beam over the ensemble of realizations of the interface profile function.Comment: 10 pages, 7 figure

The Angular Intensity Correlation Functions C(1)C^{(1)} and C(10)C^{(10)} for the Scattering of S-Polarized Light from a One-Dimensional Randomly Rough Dielectric Surface

We calculate the short-range contributions $C^{(1)}$ and $C^{(10)}$ to the angular intensity correlation function for the scattering of s-polarized light from a one-dimensional random interface between two dielectric media. The calculations are carried out on the basis of a new approach that separates out explicitly the contributions $C^{(1)}$ a nd $C^{(10)}$ to the angular intensity correlation function. The contribution $C^{(1)}$ displays peaks associated with the memory effect and the reciprocal memory effect. In the case of a dielectric-dielectric interface, which does not support surface electromagnetic surface waves, these peaks arise from the co herent interference of multiply-scattered lateral waves supported by the in terface. The contribution $C^{(10)}$ is a structureless function of its arguments.Comment: LaTeX, 14 pages including 5 figures. To appear SPIE publicatio

Inverse Statistics for Stocks and Markets

In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typically goes through a maximum at a time coined the {\em optimal investment horizon}, $\tau^*_\rho$, which defines the most likely waiting time for obtaining a given return $\rho$. By considering equal positive and negative levels of return, we reported in [2,3] on a quantitative gain/loss asymmetry most pronounced for short horizons. In the present paper, this gain/loss asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA. We show that this gain/loss asymmetry established for the DJIA surprisingly is {\em not} present in the time series of the individual stocks. The most reasonable explanation for this fact is that the gain/loss asymmetry observed in the DJIA as well as in the SP500 and Nasdaq are due to movements in the market as a whole, {\it i.e.}, cooperative cascade processes (or ``synchronization'') which disappear in the inverse statistics of the individual stocks.Comment: Revtex 13 pages, including 15 figure

The Design of Random Surfaces with Specified Scattering Properties: Surfaces that Suppress Leakage

We present a method for generating a one-dimensional random metal surface of finite length L that suppresses leakage, i.e. the roughness-induced conversion of a surface plasmon polariton propagating on it into volume electromagnetic waves in the vacuum above the surface. Perturbative and numerical simulation calculations carried out for surfaces generated in this way show that they indeed suppress leakage.Comment: Revtex 6 pages (including 4 figures

Inverse Statistics in the Foreign Exchange Market

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed in [1,2]. Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) $\rho$ in the price of an investment. The analysis is performed for the Deutsch mark (DM) against the $US for the full year of 1998, but similar results are obtained for the Japanese Yen against the$US. With high statistical significance, the presence of "resonance peaks" in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the markets participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new {\em stylized fact}, is observed for the waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale dependent features of the market activity.Comment: 8 pages. Accepted Physica

Numerical studies of the scattering of light from a two-dimensional randomly rough interface between two dielectric media

The scattering of polarized light incident from one dielectric medium on its two-dimensional randomly rough interface with a second dielectric medium is studied. A reduced Rayleigh equation for the scattering amplitudes is derived for the case where p- or s-polarized light is incident on this interface, with no assumptions being made regarding the dielectric functions of the media. Rigorous, purely numerical, nonperturbative solutions of this equation are obtained. They are used to calculate the reflectivity and reflectance of the interface, the mean differential reflection coefficient, and the full angular distribution of the intensity of the scattered light. These results are obtained for both the case where the medium of incidence is the optically less dense medium, and in the case where it is the optically more dense medium. Optical analogues of the Yoneda peaks observed in the scattering of x-rays from metal surfaces are present in the results obtained in the latter case. Brewster scattering angles for diffuse scattering are investigated, reminiscent of the Brewster angle for flat-interface reflection, but strongly dependent on the angle of incidence. When the contribution from the transmitted field is added to that from the scattered field it is found that the results of these calculations satisfy unitarity with an error smaller than $10^{-4}$.Comment: 25 pages, 14 figure