Why do Hurst exponents of traded value increase as the logarithm of company size?

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents. We show, that in the case of time series of the traded value, these Hurst exponents increase logarithmically with company size, and thus are non-universal. Moreover, the average transaction size shows scaling with the mean transaction frequency for large enough companies. We present a phenomenological scaling framework that properly accounts for such dependencies.Comment: 10 pages, 4 figures, to appear in the Proceedings of the International Workshop on Econophysics of Stock Markets and Minority Games, Calcutta, 200

Entanglement negativity bounds for fermionic Gaussian states

The entanglement negativity is a versatile measure of entanglement that has numerous applications in quantum information and in condensed matter theory. It can not only efficiently be computed in the Hilbert space dimension, but for non-interacting bosonic systems, one can compute the negativity efficiently in the number of modes. However, such an efficient computation does not carry over to the fermionic realm, the ultimate reason for this being that the partial transpose of a fermionic Gaussian state is no longer Gaussian. To provide a remedy for this state of affairs, in this work we introduce efficiently computable and rigorous upper and lower bounds to the negativity, making use of techniques of semi-definite programming, building upon the Lagrangian formulation of fermionic linear optics, and exploiting suitable products of Gaussian operators. We discuss examples in quantum many-body theory and hint at applications in the study of topological properties at finite temperature.Comment: 13 pages, 7 figure

Endogenous and exogenous dynamics in the fluctuations of capital fluxes: An empirical analysis of the Chinese stock market

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to higher orders. Non-universal dynamics have been found not only in $\alpha$ exponents different from the universal value 1/2 and 1 but also in the distributions of the ratios $\eta_i = \sigma_i^{\rm{exo}} / \sigma_i^{\rm{endo}}$. Both the scaling exponent $\alpha$ of fluctuations and the Hurst exponent $H_i$ increase in logarithmic form with the time scale $\Delta t$ and the mean traded value per minute $$, respectively. We find that the scaling exponent $\alpha^{\rm{endo}}$ of the endogenous fluctuations is found to be independent of the time scale, while the exponent of exogenous fluctuations $\alpha^{\rm{exo}}=1$. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.Comment: 9 Latx pages for EPJB including 13 figure

Entanglement in the XX spin chain with an energy current

We consider the ground state of the XX chain that is constrained to carry a current of energy. The von Neumann entropy of a block of $L$ neighboring spins, describing entanglement of the block with the rest of the chain, is computed. Recent calculations have revealed that the entropy in the XX model diverges logarithmically with the size of the subsystem. We show that the presence of the energy current increases the prefactor of the logarithmic growth. This result indicates that the emergence of the energy current gives rise to an increase of entanglement.Comment: 4 pages, 4 figure

Fluctuations in subsystems of the zero temperature XX chain: Emergence of an effective temperature

The zero-temperature XX chain is studied with emphasis on the properties of a block of $L$ spins inside the chain. We investigate the quantum fluctuations resulting from the entanglement of the block with the rest of the chain using analytical as well as numerical (density matrix renormalization group) methods. It is found that the rest of the chain acts as a thermal environment and an effective temperature can be introduced to describe the fluctuations. We show that the effective temperature description is robust in the sense that several independent definitions (through fluctuation dissipation theorem, comparing with a finite temperature system) yield the same functional form in the limit of large block size ($L\to\infty$). The effective temperature can also be shown to satisfy the basic requirements on how it changes when two bodies of equal or unequal temperatures are brought into contact.Comment: 19 pages, 7 figure

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter

The components of empirical multifractality in financial returns

We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and fat-tailed distribution of the returns are considered as possible influence factors. The multifractal spectrum of the original return series is compared with those of four kinds of surrogate data: (1) shuffled data that contain no temporal correlation but have the same distribution, (2) surrogate data in which any nonlinear correlation is removed but the distribution and linear correlation are preserved, (3) surrogate data in which large positive and negative returns are replaced with small values, and (4) surrogate data generated from alternative fat-tailed distributions with the temporal correlation preserved. We find that all these factors have influence on the multifractal spectrum. We also find that the temporal structure (linear or nonlinear) has minor impact on the singularity width $\Delta\alpha$ of the multifractal spectrum while the fat tails have major impact on $\Delta\alpha$, which confirms the earlier results. In addition, the linear correlation is found to have only a horizontal translation effect on the multifractal spectrum in which the distance is approximately equal to the difference between its DFA scaling exponent and 0.5. Our method can also be applied to other financial or physical variables and other multifractal formalisms.Comment: 6 epl page

Quantum Quench from a Thermal Initial State

We consider a quantum quench in a system of free bosons, starting from a thermal initial state. As in the case where the system is initially in the ground state, any finite subsystem eventually reaches a stationary thermal state with a momentum-dependent effective temperature. We find that this can, in some cases, even be lower than the initial temperature. We also study lattice effects and discuss more general types of quenches.Comment: 6 pages, 2 figures; short published version, added references, minor change