Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series

Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of non-stationarity. We illustrate the method by selected examples from physics, physiology, and finance.Comment: 11 pages, 7 picture

The Extended Chiral Quark Model in a Tamm-Dancoff Inspired Approximation

A procedure inspired by the Tamm-Dancoff method is applied to the chiral quark model which has been extended to include additional degrees of freedom: a pseudoscalar isoscalar field as well as a triplet of scalar isovector fields. The simpler, generic $\sigma$ -- model has been used before as a test for the Tamm-Dancoff inspired approximation (TDIA). The extended chirial quark model is employed here to investigate possible novel effects of the additional degrees of freedom as well as to point out the necessesity to introduce a SU(3) flavour. Model predictions for the axial-vector coupling constant and for the nucleon magnetic moment obtained in TDIA are compared with experimental values.Comment: 14 pages, LaTe

Scientific Output of Croatian Universities: Comparison with Neighbouring Countries

We compared the Croatian research output with the neighboring countries and the Croatian universities with the largest Slovenian, Hungarian, and Serbian universities. As far as papers listed by Social Science Citation Index are concerned, since 2000 the University of Zagreb exhibits best results in social sciences compared to the competing universities, that is not the case in “hard” sciences. For the last 12 years, only the University of Ljubljana has shown better results in total research output than the University of Zagreb. The difference in research output between the University of Zagreb and the rest of the Croatian universities has been constantly decreasing. As a case study we compare research output at Faculty of Civil Engeenering on different Croatian universities. By analyzing European countries, we show a functional dependence between the gross domestic product (GDP) and the research output. From this fit we conclude that the Croatian science exhibits research output as expected for the given level of GDP

Agent-based mapping of credit risk for sustainable microfinance

Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the sustainability of lenders outreaching to the poor. Specifically, using the elements of network theory, we constructed an agent-based model that obeys the stylised rules of microfinance industry. We found that in a deteriorating economic environment confounded with adverse selection, a form of latent moral hazard may cause a regime shift from a high to a low loan repayment probability. An after-the-fact recovery, when possible, required the economic environment to improve beyond that which led to the shift in the first place. These findings suggest a small set of measurable quantities for mapping microfinance credit risk and, consequently, for balancing the requirements to reasonably price loans and to operate on a fully self-financed basis. We illustrate how the proposed mapping works using a 10-year monthly data set from one of the best-known microfinance representatives, Grameen Bank in Bangladesh. Finally, we discuss an entirely new perspective for managing microfinance credit risk based on enticing spontaneous cooperation by building social capital.Comment: 9 pages, 5 figure

Croatian and Slovenian Mutual Funds and Bosnian Investments Funds (in English)

The paper provides a stock-market-performance analysis for three emerging European stock markets: Croatia, Slovenia, and Bosnia and Herzegovina. Using monthly observations we perform a detailed study of the performance of Croatian and Slovenian mutual funds and Bosnian investment funds. The risk-return measures of the funds are assessed using the Sharpe ratio, Treynor ratio, information ratio, Jensen’s alpha, and an appraisal ratio. Furthermore, we analyze the timing ability of the funds. Descriptive statistics for the returns are given and different statistic tests are calculated in order to test ordinary-least-squares assumptions in the data. The results are also estimated by applying the bootstrap method.stock market, mutual fund, investment fund, risk/return measures

Scale invariant properties of public debt growth

Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly controlled with respect to national wealth. Also, the problem of eliminating extreme poverty in the world is closely connected to the study of extremely poor debtor nations. We analyze the time evolution of national public debt and find "convergence": initially less-indebted countries increase their debt more quickly than initially more-indebted countries. We also analyze the public debt-to-GDP ratio R, a proxy for default risk, and approximate the probability density function P(R) with a Gamma distribution, which can be used to establish thresholds for sustainable debt. We also observe "convergence" in R: countries with initially small R increase their R more quickly than countries with initially large R. The scaling relationships for debt and R have practical applications, e.g. the Maastricht Treaty requires members of the European Monetary Union to maintain R < 0.6.Comment: 9 pages, 8 figure

The competitiveness versus the wealth of a country

Politicians world-wide frequently promise a better life for their citizens. We find that the probability that a country will increase its {\it per capita} GDP ({\it gdp}) rank within a decade follows an exponential distribution with decay constant $\lambda = 0.12$. We use the Corruption Perceptions Index (CPI) and the Global Competitiveness Index (GCI) and find that the distribution of change in CPI (GCI) rank follows exponential functions with approximately the same exponent as $\lambda$, suggesting that the dynamics of {\it gdp}, CPI, and GCI may share the same origin. Using the GCI, we develop a new measure, which we call relative competitiveness, to evaluate an economy's competitiveness relative to its {\it gdp}. For all European and EU countries during the 2008-2011 economic downturn we find that the drop in {\it gdp} in more competitive countries relative to {\it gdp} was substantially smaller than in relatively less competitive countries, which is valuable information for policymakers.Comment: 11 pages, 7 figures, accepted for publication in Nature Scientific Report

Vector mesonic phase and the chiral bag model

The mesonic sector of the standard chiral bag model was enlarged to include the vector and axial vector components. New model openly displays the current field identities. It's predictions are close to the older model. This seems to be the consequence of the chiral invariance and of the PCAC and CVC constraints. Particle masses, the axial-vector coupling constant, the proton magnetic moment and the charge radius have been calculated