Translational dynamics effects on the non-local correlations between two atoms

A pair of atoms interacting successively with the field of the same cavity and exchanging a single photon, leave the cavity in an entangled state of Einstein-Podolsky-Rosen (EPR) type (see, for example, [S.J.D. Phoenix, and S.M. Barnett, J. Mod. Opt. \textbf{40} (1993) 979]). By implementing the model with the translational degrees of freedom, we show in this letter that the entanglement with the translational atomic variables can lead, under appropriate conditions, towards the separability of the internal variables of the two atoms. This implies that the translational dynamics can lead, in some cases, to difficulties in observing the Bell's inequality violation for massive particles.Comment: 5 pages, 1 figur

On the observability of Bell's inequality violation in the optical Stern-Gerlach model

Using the optical Stern-Gerlach model, we have recently shown that the non-local correlations between the internal variables of two atoms that successively interact with the field of an ideal cavity in proximity of a nodal region are affected by the atomic translational dynamics. As a consequence, there can be some difficulties in observing violation of the Bell's inequality for the atomic internal variables. These difficulties persist even if the atoms travel an antinodal region, except when the spatial wave packets are exactly centered in an antinodal point.Comment: 5 pages, 1 figure, submitted to European Physical Journal

Correlation, hierarchies, and networks in financial markets

We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tree obtained from a correlation matrix. The information retained in filtering procedures and its stability with respect to statistical fluctuations is quantified by using the Kullback-Leibler distance.Comment: 37 pages, 9 figures, 3 table

Correlation filtering in financial time series

We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum Spanning Tree but containing a larger amount of links resulting in a richer network topology allowing loops and cliques. In Tumminello et al. \cite{TumminielloPNAS05}, we have shown that this method, applied to a financial portfolio of 100 stocks in the USA equity markets, is pretty efficient in filtering relevant information about the clustering of the system and its hierarchical structure both on the whole system and within each cluster. In particular, we have found that triangular loops and 4 element cliques have important and significant relations with the market structure and properties. Here we apply this filtering procedure to the analysis of correlation in two different kind of interest rate time series (16 Eurodollars and 34 US interest rates).Comment: 10 pages 7 figure

Statistically validated networks in bipartite complex systems

Many complex systems present an intrinsic bipartite nature and are often described and modeled in terms of networks [1-5]. Examples include movies and actors [1, 2, 4], authors and scientific papers [6-9], email accounts and emails [10], plants and animals that pollinate them [11, 12]. Bipartite networks are often very heterogeneous in the number of relationships that the elements of one set establish with the elements of the other set. When one constructs a projected network with nodes from only one set, the system heterogeneity makes it very difficult to identify preferential links between the elements. Here we introduce an unsupervised method to statistically validate each link of the projected network against a null hypothesis taking into account the heterogeneity of the system. We apply our method to three different systems, namely the set of clusters of orthologous genes (COG) in completely sequenced genomes [13, 14], a set of daily returns of 500 US financial stocks, and the set of world movies of the IMDb database [15]. In all these systems, both different in size and level of heterogeneity, we find that our method is able to detect network structures which are informative about the system and are not simply expression of its heterogeneity. Specifically, our method (i) identifies the preferential relationships between the elements, (ii) naturally highlights the clustered structure of investigated systems, and (iii) allows to classify links according to the type of statistically validated relationships between the connected nodes.Comment: Main text: 13 pages, 3 figures, and 1 Table. Supplementary information: 15 pages, 3 figures, and 2 Table

Economic sector identification in a set of stocks traded at the New York Stock Exchange: a comparative analysis

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a set of stocks.Comment: 13 pages, 8 figures, 2 Table

Sector identification in a set of stock return time series traded at the London Stock Exchange

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.Comment: 28 pages, 13 figures, 3 Tables. Proceedings of the conference on "Applications of Random Matrices to Economy and other Complex Systems", Krakow (Poland), May 25-28 2005. Submitted for pubblication to Acta Phys. Po

The non dissipative damping of the Rabi oscillations as a "which-path" information

Rabi oscillations may be viewed as an interference phenomenon due to a coherent superposition of different quantum paths, like in the Young's two-slit experiment. The inclusion of the atomic external variables causes a non dissipative damping of the Rabi oscillations. More generally, the atomic translational dynamics induces damping in the correlation functions which describe non classical behaviors of the field and internal atomic variables, leading to the separability of these two subsystems. We discuss on the possibility of interpreting this intrinsic decoherence as a "which-way" information effect and we apply to this case a quantitative analysis of the complementarity relation as introduced by Englert [Phys. Rev. Lett. \textbf{77}, 2154 (1996)].Comment: 5 pages, 2 figure

Community characterization of heterogeneous complex systems

We introduce an analytical statistical method to characterize the communities detected in heterogeneous complex systems. By posing a suitable null hypothesis, our method makes use of the hypergeometric distribution to assess the probability that a given property is over-expressed in the elements of a community with respect to all the elements of the investigated set. We apply our method to two specific complex networks, namely a network of world movies and a network of physics preprints. The characterization of the elements and of the communities is done in terms of languages and countries for the movie network and of journals and subject categories for papers. We find that our method is able to characterize clearly the identified communities. Moreover our method works well both for large and for small communities.Comment: 8 pages, 1 figure and 2 table

A tool for filtering information in complex systems

We introduce a technique to filter out complex data-sets by extracting a subgraph of representative links. Such a filtering can be tuned up to any desired level by controlling the genus of the resulting graph. We show that this technique is especially suitable for correlation based graphs giving filtered graphs which preserve the hierarchical organization of the minimum spanning tree but containing a larger amount of information in their internal structure. In particular in the case of planar filtered graphs (genus equal to 0) triangular loops and 4 element cliques are formed. The application of this filtering procedure to 100 stocks in the USA equity markets shows that such loops and cliques have important and significant relations with the market structure and properties.Comment: 8 pages, 3 figures, 4 table