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

Physics (almost) without accelerators

In this paper I will review the Astroparticle Physics activities carried out by Istituto Nazionale di Fisica Nucleare, the main Italian organisation dealing with basic research in Physcs. I will focus the paper on few selected highlights and in particular on the activities of the Gran Sasso Laboratory

Status of XENON

XENON is a program for the search of dark-matter WIMP particles that has successfully operated two detectors in the Gran Sasso Laboratory, Italy. After the publication, in 2012, of the most stringent limit on spin-independent WIMP-nucleus interactions, the XENON100 detector has been taking data, and other analyses have been carried out. At the same time, the new generation detector, XENON1T has been designed and its construction started in 2013

Determination of s(x) and \bar{s}(x) from a global QCD analysis

A new global QCD analysis of DIS data is presented. The \nu Fe and \bar{\nu}Fe differential cross-section data are included to constrain the strange component of the nucleon sea. As a result we found a hard strangeness at high-x and some evidence for an asymmetry between xs(x) and x\bar{s}(x).Comment: 5 pages, 4 figure

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

A low background facility inside the LVD detector at Gran Sasso

The Large Volume Detector (LVD) in the Gran Sasso Laboratory of INFN is an observatory mainly devoted to search for neutrinos from core collapse supernovae. It consists of 1000 tons of liquid scintillator divided in 840 stainless steel tanks 1.5m$^3$ each. In this letter we present the possibility for LVD to work both as a passive shield and moderator for the low energy gamma and neutron background and as an active veto for muons and higher energy neutrons. An inner region inside the LVD structure ("LVD Core Facility") can be identified, with a volume of about 30m$^3$, with the neutron background typical of an underground laboratory placed at a much deeper site. This region can be realized with a negligible impact on the LVD operation and sensitive mass. The LVD Core Facility could be effectively exploited by a compact experiment for the search of rare events, such as double beta decay or dark matter.Comment: 5 pages, 2 figure

The impact of new neutrino DIS and Drell-Yan data on large-x parton distributions

New data sets have recently become available for neutrino and antineutrino deep inelastic scattering on nuclear targets and for inclusive dimuon production in pp pd interactions. These data sets are sensitive to different combinations of parton distribution functions in the large-x region and, therefore, provide different constraints when incorporated into global parton distribution function fits. We compare and contrast the effects of these new data on parton distribution fits, with special emphasis on the effects at large x. The effects of the use of nuclear targets in the neutrino and antineutrino data sets are also investigated.Comment: 24 pages, 13 figure