Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomena is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.Comment: 8 pages; 2 figures; paper presented in APFA 6 conferenc

Heat Bath Particle Number Spectrum

We calculate the number spectrum of particles radiated during a scattering into a heat bath using the thermal largest-time equation and the Dyson-Schwinger equation. We show how one can systematically calculate {d}/{d\omega} to any order using modified real time finite-temperature diagrams. Our approach is demonstrated on a simple model where two scalar particles scatter, within a photon-electron heat bath, into a pair of charged particles and it is shown how to calculate the resulting changes in the number spectra of the photons and electrons.Comment: 29 pages, LaTeX; 14 figure

The emergence of Special and Doubly Special Relativity

Building on our previous work [Phys.Rev.D82,085016(2010)], we show in this paper how a Brownian motion on a short scale can originate a relativistic motion on scales that are larger than particle's Compton wavelength. This can be described in terms of polycrystalline vacuum. Viewed in this way, special relativity is not a primitive concept, but rather it statistically emerges when a coarse graining average over distances of order, or longer than the Compton wavelength is taken. By analyzing the robustness of such a special relativity under small variations in the polycrystalline grain-size distribution we naturally arrive at the notion of doubly-special relativistic dynamics. In this way, a previously unsuspected, common statistical origin of the two frameworks is brought to light. Salient issues such as the role of gauge fixing in emergent relativity, generalized commutation relations, Hausdorff dimensions of representative path-integral trajectories and a connection with Feynman chessboard model are also discussed.Comment: 21 pages, 1 figure, RevTeX4, substantially revised version, accepted in Phys. Rev.

Deformation quantization of linear dissipative systems

A simple pseudo-Hamiltonian formulation is proposed for the linear inhomogeneous systems of ODEs. In contrast to the usual Hamiltonian mechanics, our approach is based on the use of non-stationary Poisson brackets, i.e. corresponding Poisson tensor is allowed to explicitly depend on time. Starting from this pseudo-Hamiltonian formulation we develop a consistent deformation quantization procedure involving a non-stationary star-product $*_t$ and an ``extended'' operator of time derivative $D_t=\partial_t+...$, differentiating the $\ast_t$-product. As in the usual case, the $\ast_t$-algebra of physical observables is shown to admit an essentially unique (time dependent) trace functional $\mathrm{Tr}_t$. Using these ingredients we construct a complete and fully consistent quantum-mechanical description for any linear dynamical system with or without dissipation. The general quantization method is exemplified by the models of damped oscillator and radiating point charge.Comment: 14 pages, typos correcte

Path Integral Approach to 't Hooft's Derivation of Quantum from Classical Physics

We present a path-integral formulation of 't Hooft's derivation of quantum from classical physics. The crucial ingredient of this formulation is Gozzi et al.'s supersymmetric path integral of classical mechanics. We quantize explicitly two simple classical systems: the planar mathematical pendulum and the Roessler dynamical system.Comment: 29 pages, RevTeX, revised version with minor changes, accepted to Phys. Rev.

Neutrino damping rate at finite temperature and density

A first principle derivation is given of the neutrino damping rate in real-time thermal field theory. Starting from the discontinuity of the neutrino self energy at the two loop level, the damping rate can be expressed as integrals over space phase of amplitudes squared, weighted with statistical factors that account for the possibility of particle absorption or emission from the medium. Specific results for a background composed of neutrinos, leptons, protons and neutrons are given. Additionally, for the real part of the dispersion relation we discuss the relation between the results obtained from the thermal field theory, and those obtained by the thermal average of the forward scattering amplitude.Comment: LaTex Document, 19 pages, 3 figure

Sub-Planckian black holes and the Generalized Uncertainty Principle

The Black Hole Uncertainty Principle correspondence suggests that there could exist black holes with mass beneath the Planck scale but radius of order the Compton scale rather than Schwarzschild scale. We present a modified, self-dual Schwarzschild-like metric that reproduces desirable aspects of a variety of disparate models in the sub-Planckian limit, while remaining Schwarzschild in the large mass limit. The self-dual nature of this solution under $M \leftrightarrow M^{-1}$ naturally implies a Generalized Uncertainty Principle with the linear form $\Delta x \sim \frac{1}{\Delta p} + \Delta p$. We also demonstrate a natural dimensional reduction feature, in that the gravitational radius and thermodynamics of sub-Planckian objects resemble that of $(1+1)$-D gravity. The temperature of sub-Planckian black holes scales as $M$ rather than $M^{-1}$ but the evaporation of those smaller than $10^{-36}$g is suppressed by the cosmic background radiation. This suggests that relics of this mass could provide the dark matter.Comment: 12 pages, 9 figures, version published in J. High En. Phy

Superpositions of Probability Distributions

Probability distributions which can be obtained from superpositions of Gaussian distributions of different variances v = \sigma ^2 play a favored role in quantum theory and financial markets. Such superpositions need not necessarily obey the Chapman-Kolmogorov semigroup relation for Markovian processes because they may introduce memory effects. We derive the general form of the smearing distributions in v which do not destroy the semigroup property. The smearing technique has two immediate applications. It permits simplifying the system of Kramers-Moyal equations for smeared and unsmeared conditional probabilities, and can be conveniently implemented in the path integral calculus. In many cases, the superposition of path integrals can be evaluated much easier than the initial path integral. Three simple examples are presented, and it is shown how the technique is extended to quantum mechanics.Comment: 23 pages, RevTeX, minor changes, accepted to Phys. Rev.