4,934 research outputs found
Optimal Investment Horizons for Stocks and Markets
The inverse statistics is the distribution of waiting times needed to achieve
a predefined level of return obtained from (detrended) historic asset prices
\cite{optihori,gainloss}. Such a distribution typically goes through a maximum
at a time coined the {\em optimal investment horizon}, , which
defines the most likely waiting time for obtaining a given return . By
considering equal positive and negative levels of return, we reported in
\cite{gainloss} on a quantitative gain/loss asymmetry most pronounced for short
horizons. In the present paper, the inverse statistics for 2/3 of the
individual stocks presently in the DJIA is investigated. We show that this
gain/loss asymmetry established for the DJIA surprisingly is {\em not} present
in the time series of the individual stocks nor their average. This observation
points towards some kind of collective movement of the stocks of the index
(synchronization).Comment: Subm. to Physica A as Conference Proceedings of Econophysics
Colloquium, ANU Canberra, 13-17 Nov. 2005. 6 pages including figure
Replacement of ensemble averaging by the use of a broadband source in scattering of light from a one-dimensional randomly rough interface between two dielectric media
By the use of phase perturbation theory we show that if a single realization
of a one-dimensional randomly rough interface between two dielectric media is
illuminated at normal incidence from either medium by a broadband Gaussian
beam, it produces a scattered field whose differential reflection coefficient
closely matches the result produced by averaging the differential reflection
coefficient produced by a monochromatic incident beam over the ensemble of
realizations of the interface profile function.Comment: 10 pages, 7 figure
The Angular Intensity Correlation Functions and for the Scattering of S-Polarized Light from a One-Dimensional Randomly Rough Dielectric Surface
We calculate the short-range contributions and to the
angular intensity correlation function for the scattering of s-polarized light
from a one-dimensional random interface between two dielectric media. The
calculations are carried out on the basis of a new approach that separates out
explicitly the contributions a nd to the angular intensity
correlation function. The contribution displays peaks associated with
the memory effect and the reciprocal memory effect. In the case of a
dielectric-dielectric interface, which does not support surface electromagnetic
surface waves, these peaks arise from the co herent interference of
multiply-scattered lateral waves supported by the in terface. The contribution
is a structureless function of its arguments.Comment: LaTeX, 14 pages including 5 figures. To appear SPIE publicatio
The Scattering of Electromagnetic Waves from Two-Dimensional Randomly Rough Perfectly Conducting Surfaces: The Full Angular Intensity Distribution
By a computer simulation approach we study the scattering of - or
-polarized light from a two-dimensional, randomly rough, perfectly
conducting surface. The pair of coupled inhomogeneous integral equations for
two independent tangential components of the magnetic field on the surface are
converted into matrix equations by the method of moments, which are then solved
by the biconjugate gradient stabilized method. The solutions are used to
calculate the mean differential reflection coefficient for given angles of
incidence and specified polarizations of the incident and scattered fields. The
full angular distribution of the intensity of the scattered light is obtained
for strongly randomly rough surfaces by a rigorous computer simulation
approach.Comment: 15 pages (RevTeX
Inverse Statistics for Stocks and Markets
In recent publications, the authors have considered inverse statistics of the
Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the
natural candidate for such statistics is the investment horizons distribution.
This is the distribution of waiting times needed to achieve a predefined level
of return obtained from detrended historic asset prices. Such a distribution
typically goes through a maximum at a time coined the {\em optimal investment
horizon}, , which defines the most likely waiting time for
obtaining a given return . By considering equal positive and negative
levels of return, we reported in [2,3] on a quantitative gain/loss asymmetry
most pronounced for short horizons. In the present paper, this gain/loss
asymmetry is re-visited for 2/3 of the individual stocks presently in the DJIA.
We show that this gain/loss asymmetry established for the DJIA surprisingly is
{\em not} present in the time series of the individual stocks. The most
reasonable explanation for this fact is that the gain/loss asymmetry observed
in the DJIA as well as in the SP500 and Nasdaq are due to movements in the
market as a whole, {\it i.e.}, cooperative cascade processes (or
``synchronization'') which disappear in the inverse statistics of the
individual stocks.Comment: Revtex 13 pages, including 15 figure
The Design of Random Surfaces with Specified Scattering Properties: Surfaces that Suppress Leakage
We present a method for generating a one-dimensional random metal surface of
finite length L that suppresses leakage, i.e. the roughness-induced conversion
of a surface plasmon polariton propagating on it into volume electromagnetic
waves in the vacuum above the surface. Perturbative and numerical simulation
calculations carried out for surfaces generated in this way show that they
indeed suppress leakage.Comment: Revtex 6 pages (including 4 figures
Inverse Statistics in the Foreign Exchange Market
We investigate intra-day foreign exchange (FX) time series using the inverse
statistic analysis developed in [1,2]. Specifically, we study the time-averaged
distributions of waiting times needed to obtain a certain increase (decrease)
in the price of an investment. The analysis is performed for the Deutsch
mark (DM) against the US. With high statistical
significance, the presence of "resonance peaks" in the waiting time
distributions is established. Such peaks are a consequence of the trading
habits of the markets participants as they are not present in the corresponding
tick (business) waiting time distributions. Furthermore, a new {\em stylized
fact}, is observed for the waiting time distribution in the form of a power law
Pdf. This result is achieved by rescaling of the physical waiting time by the
corresponding tick time thereby partially removing scale dependent features of
the market activity.Comment: 8 pages. Accepted Physica
Numerical studies of the scattering of light from a two-dimensional randomly rough interface between two dielectric media
The scattering of polarized light incident from one dielectric medium on its
two-dimensional randomly rough interface with a second dielectric medium is
studied. A reduced Rayleigh equation for the scattering amplitudes is derived
for the case where p- or s-polarized light is incident on this interface, with
no assumptions being made regarding the dielectric functions of the media.
Rigorous, purely numerical, nonperturbative solutions of this equation are
obtained. They are used to calculate the reflectivity and reflectance of the
interface, the mean differential reflection coefficient, and the full angular
distribution of the intensity of the scattered light. These results are
obtained for both the case where the medium of incidence is the optically less
dense medium, and in the case where it is the optically more dense medium.
Optical analogues of the Yoneda peaks observed in the scattering of x-rays from
metal surfaces are present in the results obtained in the latter case. Brewster
scattering angles for diffuse scattering are investigated, reminiscent of the
Brewster angle for flat-interface reflection, but strongly dependent on the
angle of incidence. When the contribution from the transmitted field is added
to that from the scattered field it is found that the results of these
calculations satisfy unitarity with an error smaller than .Comment: 25 pages, 14 figure
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