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

Entanglement in spin chains with gradients

We study solvable spin chains where either fields or couplings vary linearly in space and create a sandwich-like structure of the ground state. We find that the entanglement entropy between two halves of a chain varies logarithmically with the interface width. After quenching to a homogeneous critical system, the entropy grows logarithmically in time in the XX model, but quadratically in the transverse Ising chain. We explain this behaviour and indicate generalizations to other power laws.Comment: 16 pages, 11 figures, 2 references adde

Studies of the limit order book around large price changes

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.Comment: 19 pages, 7 figure

A Multifractal Analysis of Asian Foreign Exchange Markets

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four cases. To observe the effect of the Asian currency crisis, we also estimate the multifractal spectra of limited series before and after the crisis. We find that the Korean and Thai foreign exchange markets experienced a significant increase in multifractality compared to Hong-Kong and Japan. We also show that the multifractality is stronge related to the presence of high values of returns in the series

A minimal model for congestion phenomena on complex networks

We study a minimal model of traffic flows in complex networks, simple enough to get analytical results, but with a very rich phenomenology, presenting continuous, discontinuous as well as hybrid phase transitions between a free-flow phase and a congested phase, critical points and different scaling behaviors in the system size. It consists of random walkers on a queueing network with one-range repulsion, where particles can be destroyed only if they can move. We focus on the dependence on the topology as well as on the level of traffic control. We are able to obtain transition curves and phase diagrams at analytical level for the ensemble of uncorrelated networks and numerically for single instances. We find that traffic control improves global performance, enlarging the free-flow region in parameter space only in heterogeneous networks. Traffic control introduces non-linear effects and, beyond a critical strength, may trigger the appearance of a congested phase in a discontinuous manner. The model also reproduces the cross-over in the scaling of traffic fluctuations empirically observed in the Internet, and moreover, a conserved version can reproduce qualitatively some stylized facts of traffic in transportation networks

Reduced density matrices and entanglement entropy in free lattice models

We review the properties of reduced density matrices for free fermionic or bosonic many-particle systems in their ground state. Their basic feature is that they have a thermal form and thus lead to a quasi-thermodynamic problem with a certain free-particle Hamiltonian. We discuss the derivation of this result, the character of the Hamiltonian and its eigenstates, the single-particle spectra and the full spectra, the resulting entanglement and in particular the entanglement entropy. This is done for various one- and two-dimensional situations, including also the evolution after global or local quenches.Comment: 33 pages, 18 figures, minor changes, references added. Review article for the special issue "Entanglement entropy in extended systems" in J. Phys.

Quantum Quenches in Extended Systems

We study in general the time-evolution of correlation functions in a extended quantum system after the quench of a parameter in the hamiltonian. We show that correlation functions in d dimensions can be extracted using methods of boundary critical phenomena in d+1 dimensions. For d=1 this allows to use the powerful tools of conformal field theory in the case of critical evolution. Several results are obtained in generic dimension in the gaussian (mean-field) approximation. These predictions are checked against the real-time evolution of some solvable models that allows also to understand which features are valid beyond the critical evolution. All our findings may be explained in terms of a picture generally valid, whereby quasiparticles, entangled over regions of the order of the correlation length in the initial state, then propagate with a finite speed through the system. Furthermore we show that the long-time results can be interpreted in terms of a generalized Gibbs ensemble. We discuss some open questions and possible future developments.Comment: 24 Pages, 4 figure

Circumventing antivector immunity: potential use of nonhuman adenoviral vectors

Adenoviruses are efficient gene delivery vectors based on their ability to transduce a wide variety of cell types and drive high-level transient transgene expression. While there have been advances in modifying human adenoviral (HAdV) vectors to increase their safety profile, there are still pitfalls that need to be further addressed. Preexisting humoral and cellular immunity against common HAdV serotypes limits the efficacy of gene transfer and duration of transgene expression. As an alternative, nonhuman AdV (NHAdV) vectors can circumvent neutralizing antibodies against HAdVs in immunized mice and monkeys and in human sera, suggesting that NHAdV vectors could circumvent preexisting humoral immunity against HAdVs in a clinical setting. Consequently, there has been an increased interest in developing NHAdV vectors for gene delivery in humans. In this review, we outline the recent advances and limitations of HAdV vectors for gene therapy and describe examples of NHAdV vectors focusing on their immunogenicity, tropism, and potential as effective gene therapy vehicles

Entanglement Hamiltonians in 1D free lattice models after a global quantum quench

We study the temporal evolution of the entanglement Hamiltonian of an interval after a global quantum quench in free lattice models in one spatial dimension. In a harmonic chain we explore a quench of the frequency parameter. In a chain of free fermions at half filling we consider the evolution of the ground state of a fully dimerised chain through the homogeneous Hamiltonian. We focus on critical evolution Hamiltonians. The temporal evolutions of the gaps in the entanglement spectrum are analysed. The entanglement Hamiltonians in these models are characterised by matrices that provide also contours for the entanglement entropies. The temporal evolution of these contours for the entanglement entropy is studied, also by employing existing conformal field theory results for the semi-infinite line and the quasi-particle picture for the global quench

Universal corrections to scaling for block entanglement in spin-1/2 XX chains

We consider the R\'enyi entropies $S_n(\ell)$ in the one dimensional spin-1/2 Heisenberg XX chain in a magnetic field. The case n=1 corresponds to the von Neumann ``entanglement'' entropy. Using a combination of methods based on the generalized Fisher-Hartwig conjecture and a recurrence relation connected to the Painlev\'e VI differential equation we obtain the asymptotic behaviour, accurate to order ${\cal O}(\ell^{-3})$, of the R\'enyi entropies $S_n(\ell)$ for large block lengths $\ell$. For n=1,2,3,10 this constitutes the 3,6,10,48 leading terms respectively. The o(1) contributions are found to exhibit a rich structure of oscillatory behaviour, which we analyze in some detail both for finite $n$ and in the limit $n\to\infty$.Comment: 25 pages, 5 figure