Spurious trend switching phenomena in financial markets

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction data

Coupling of intrinsic Josephson oscillations in layered superconductors by charge fluctuations

The coupling of Josephson oscillations in layered superconductors is studied with help of a tunneling Hamiltonian formalism. The general form of the current density across the barriers between the superconducting layers is derived. The induced charge fluctuations on the superconducting layers lead to a coupling of the Josephson oscillations in different junctions. A simplified set of equations is then used to study the non-linear dynamics of the system. In particular the influence of the coupling on the current-voltage characteristics is investigated and upper limits for the coupling strength are estimated from a comparison with experiments on cuprate superconductors.Comment: To be published in proceedings of SPIE conference San Diego 199

Quantifying the behavior of stock correlations under market stress

Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios

Quantifying the digital traces of Hurricane Sandy on Flickr

Society’s increasing interactions with technology are creating extensive “digital traces” of our collective human behavior. These new data sources are fuelling the rapid development of the new field of computational social science. To investigate user attention to the Hurricane Sandy disaster in 2012, we analyze data from Flickr, a popular website for sharing personal photographs. In this case study, we find that the number of photos taken and subsequently uploaded to Flickr with titles, descriptions or tags related to Hurricane Sandy bears a striking correlation to the atmospheric pressure in the US state New Jersey during this period. Appropriate leverage of such information could be useful to policy makers and others charged with emergency crisis management

Solar system constraints on Rindler acceleration

We discuss the classical tests of general relativity in the presence of Rindler acceleration. Among these tests the perihelion shifts give the tightest constraints and indicate that the Pioneer anomaly cannot be caused by a universal solar system Rindler acceleration. We address potential caveats for massive test-objects. Our tightest bound on Rindler acceleration that comes with no caveats is derived from radar echo delay and yields |a|<3nm/s^2.Comment: 7 pages, v2: minor changes, added references, v3: corrected typos, extended Table 1, corrected bound on measurement of gravitational redshif

Information sharing promotes prosocial behaviour

More often than not, bad decisions are bad regardless of where and when they are made. Information sharing might thus be utilized to mitigate them. Here we show that sharing information about strategy choice between players residing on two different networks reinforces the evolution of cooperation. In evolutionary games, the strategy reflects the action of each individual that warrants the highest utility in a competitive setting. We therefore assume that identical strategies on the two networks reinforce themselves by lessening their propensity to change. Besides network reciprocity working in favour of cooperation on each individual network, we observe the spontaneous emergence of correlated behaviour between the two networks, which further deters defection. If information is shared not just between individuals but also between groups, the positive effect is even stronger, and this despite the fact that information sharing is implemented without any assumptions with regard to content