Taxonomy of stock market indices

We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of returns and by using a reference currency we find a meaningful taxonomy. The detection of such a taxonomy proves that interpretable information can be stored in a set of nonsynchronously recorded time series.

Two-color ionization of hydrogen by short intense pulses

Photoelectron energy spectra resulting by the interaction of hydrogen with two short pulses having carrier frequencies, respectively, in the range of the infrared and XUV regions have been calculated. The effects of the pulse duration and timing of the X-ray pulse on the photoelectron energy spectra are discussed. Analysis of the spectra obtained for very long pulses show that certain features may be explained in terms of quantum interferences in the time domain. It is found that, depending on the duration of the X-ray pulse, ripples in the energy spectra separated by the infrared photon energy may appear. Moreover, the temporal shape of the low frequency radiation field may be inferred by …

ENERGY- AND ANGLE-RESOLVED ELECTRON DISTRIBUTION IN THE PHOTODETACHMENT OF F

We report calculations of energy- and angle-resolved photoelectron distribution of F(-) irradiated by a linearly strong short infrared pulse, performed by evaluating the photoelectron ejection probability in the framework of a modified Keldysh theory, taking into account the temporal behavior of the pulse and the spatial inhomogeneity of the laser intensity. Results of the calculations are compared with the measurements of the photoelectron angular distribution recently appearing in the literature. The oscillations found in the experimental data are explained in terms of quantum interference effects.

Univariate and multivariate statistical aspects of equity volatility

We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.

Seasonal ARIMA Models for Wind Speed Time Series

Role of noise in a market model with stochastic volatility

We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…

Wind Speed Forecasting

This paper aims at providing a general class of stochastic models for hourly average wind speed time series taking into account all the main features of wind speed data, namely autocorrelation, non-Gaussian distribution, seasonal and diurnal nonstationarity. It will be shown that the methodology developed in this study, tested using the data recorded in two sites of Italy, attains valuable results in terms both of modelling and forecasting.

Degree stability of a minimum spanning tree of price return and volatility

We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time window of fixed length $T$. We find that the minimum spanning tree of asset return is characterized by stock degree values, which are more stable in time than the ones obtained by analyzing a minimum spanning tree computed starting from volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time-scale of several years in both cases.

Signature of quantum interferences in above-threshold detachment of negative ions by a short infrared pulse

Numerical calculations of photodetachment of ${\mathrm{F}}^{\ensuremath{-}}$ irradiated by a linearly polarized strong short infrared pulse have been performed by evaluating the photoelectron ejection probability in the framework of a Keldysh-type approach modified to account for the temporal behavior of the pulse. The results of the calculations are in good agreement with measurements of energy spectra recently appearing in literature, and show features that may be explained in terms of quantum interferences in time domain.

Asymmetries in the momentum distributions of electrons stripped by a XUV chirped pulse in the presence of a laser field

The ionization of hydrogen by a chirped XUV pulse in the presence of a few cycle infrared laser pulse has been investigated. The electron momentum distribution has been obtained by treating the interaction of the atom with the XUV radiation at the first order of the time-dependent perturbation theory and describing the emitted electron through the Coulomb-Volkov wavefunction. The results of the calculations agree with the ones found by solving numerically the time-dependent Schr¨odinger equation. It has been found that depending on the delay between the pulses the combined effect of the XUV chirp and of the steering action on the infrared field brings about asymmetries in the electron momen…

Stochastic models for wind speed time series: a case study

Stochastic models for wind speed forecasting

Abstract This paper is concerned with the problem of developing a general class of stochastic models for hourly average wind speed time series. The proposed approach has been applied to the time series recorded during 4 years in two sites of Sicily, a region of Italy, and it has attained valuable results in terms both of modelling and forecasting. Moreover, the 24 h predictions obtained employing only 1-month time series are quite similar to those provided by a feed-forward artificial neural network trained on 2 years data.

Signature of Quantum Interferences in Above Threshold Detachment of Negative Ions by a Short Infrared Pulse

The effect of an intense external linearly polarized radiation field on the angular distributions and polarization states of the photons emitted during the radiative capture of a free electron by a bare nucleus into the ground state of the bound system is investigated. On symmetry grounds it is predicted that emission of elliptically polarized photons occurs when the momentum of the electron beam is not aligned to the direction of the oscillating field. The predictions are corroborated by numerical calculations of recombination rates carried out within a modified Keldysh-type treatment, in order to account for Coulomb effects. It is found that strong modifications to the angular distributio…

Sensitivity of the Cherenkov Telescope Array for probing cosmology and fundamental physics with gamma-ray propagation

Full list of authors: Abdalla, H.; Abe, H.; Acero, F.; Acharyya, A.; Adam, R.; Agudo, I; Aguirre-Santaella, A.; Alfaro, R.; Alfaro, J.; Alispach, C.; Aloisio, R.; Batista, R. Alves; Amati, L.; Amato, E.; Ambrosi, G.; Anguner, E. O.; Araudo, A.; Armstrong, T.; Arqueros, F.; Arrabito, L.; Asano, K.; Ascasibar, Y.; Ashley, M.; Backes, M.; Balazs, C.; Balbo, M.; Balmaverde, B.; Baquero Larriva, A.; Martins, V. Barbosa; Barkov, M.; Baroncelli, L.; de Almeida, U. Barres; Barrio, J. A.; Batista, P-, I; Becerra Gonzalez, J.; Becherini, Y.; Beck, G.; Tjus, J. Becker; Belmont, R.; Benbow, W.; Bernardini, E.; Berti, A.; Berton, M.; Bertucci, B.; Beshley, V; Bi, B.; Biasuzzi, B.; Biland, A.; Bissaldi, …

Air fluorescence efficiency measurements for AIRWATCH based mission: Experimental set-up

In the framework of the AIRWATCH project we present an experimental set-up to measure the efficiency of the UV fluorescence production of the air using hard X-ray stimulus. The measures will be carried out at different pressure and temperature to emulate the same condition of the upper layers of the atmosphere where X-ray and gamma ray photons of Gamma Ray Bursts are absorbed.

Hierarchical structures in Complex Systems: from DNA to financial markets

In this paper we discuss the concepts of short-range and long-range correlated stochastic processes and we investigate the presence of such variables in two model complex systems. The selected model systems are DNA sequences of complete genomes and financial time series of equities traded in a stock market. Specifically, by starting from our research results, we discuss the statistical properties of (i) coding and non-coding regions of DNA and (ii) equity returns and volatility in financial markets. The stylized facts about these variables are presented and discussed with a focus on the statistical tools already used and/or still needed to better characterize these model complex systems.

ESCAPE TIMES IN STOCK MARKETS

We study the statistical properties of escape times for stock price returns in the Wall Street market. In particular we get the escape time distribution for real data from daily transactions and for three models: (i) the Wiener process with drift and a constant market volatility, (ii) Heston and (iii) GARCH models, where the volatility is a stochastic process. We find that the first model is unable to catch all the features of the escape time distribution of real data. Moreover, the Heston model describes the probability density function for both return and escape times better than the GARCH model.

Dynamics of the Number of Trades of Financial Securities

We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the $1/f^2$ behavior for the spectral density of the logarithm of stock price whereas we detect a $1/f$-like behavior for the spectral density of the daily number of trades.

Variety of Stock Returns in Normal and Extreme Market Days: The August 1998 Crisis

We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998 crash of the S&P500 index. All the stocks traded at the NYSE during that period are considered in the present analysis. We show that the statistical properties of the variety observed in analyses of daily returns also hold for intraday returns. In particular the largest changes of the variety of the return distribution turns out to be most localized at the opening or (to a less degree) at the closing of the market.

Networks of equities in financial markets

We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.

Mean Escape Time in a System with Stochastic Volatility

We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We investigate the statistical properties of the escape time of the returns, from a given interval, as a function of the three parameters of the model. We find that the noise can have a stabilizing effect on the system, as long as the global noise is not too high with respect to the effective potential barr…

Topology of correlation-based minimal spanning trees in real and model markets

We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large group of stocks traded at the New York Stock Exchange during a 12-year trading period with the one obtained from surrogated data simulated by using simple market models. We find that the empirical tree has features of a complex network that cannot be reproduced, even as a first approximation, by a random market model and by the one-factor model.

Polarization and angular distribution of the radiation emitted in laser-assisted recombination

The effect of an intense external linear polarized radiation field on the angular distributions and polarization states of the photons emitted during the radiative recombination is investigated. It is predicted, on symmetry grounds, and corroborated by numerical calculations of approximate recombination rates, that emission of elliptically polarized photons occurs when the momentum of the electron beam is not aligned to the direction of the oscillating field. Moreover, strong modifications to the angular distributions of the emitted photons are induced by the external radiation field.

Photoionization of hydrogen by a chirped, short X-ray pulse in the presence of a laser field

The ionization of hydrogen by a chirped XUV pulse in the presence of a few cycle infrared laser pulse is investigated. It is found that the combined action of the chirped pulse and the laser eld brings about asymmetries in the photoelectron momentum distribution that may be exploited for obtaining information on both the chirp and XUV pulse duration.

Escape times in financial markets and models

Wind speed stochastic models: a case study for the mediterranean area

Energy- and angle-resolved electron distribution in the photodetachment ofF−

We report calculations of energy- and angle-resolved photoelectron distribution of ${\text{F}}^{\ensuremath{-}}$ irradiated by a linearly strong short infrared pulse, performed by evaluating the photoelectron ejection probability in the framework of a modified Keldysh theory, taking into account the temporal behavior of the pulse and the spatial inhomogeneity of the laser intensity. Results of the calculations are compared with the measurements of the photoelectron angular distribution recently appearing in the literature. The oscillations found in the experimental data are explained in terms of quantum interference effects.

Interference Effects in Photodetachment of F- in a Strong Circularly Polarized Laser Pulse

A numerical simulation of photodetachment of F{sup -} by a circularly polarized laser pulse has been accomplished by using a Keldysh-type approach. The numerical results are in agreement with measurements of photoelectron energy spectra recently reported in the literature. The features exhibited by the spectra are traced back to quantum interference effects, in the same spirit as in a double-slit experiment in the time doma0008.

Photodetachment of F− by short laser pulses. Comparison between experiments and numerical results

Recently, angle-resolved photoelectron spectra have been measured by exposing negative F− ions to linearly or circularly polarized infrared femtosecond laser fields. We compare the experimental results with numerical calculations carried out in the framework of a Keldysh-type theory modified to account for both the time shape and the spatial inhomogeneity of the pulse. In order to account for the finite duration of the laser pulse, our results have been obtained through calculations of photodetachment probabilities. By using the saddle-point method it is possible to show that the transition amplitude may be written as a coherent sum of terms giving rise to interferences. This circumstance s…

Levels of complexity in financial markets

We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.

Volatility in Financial Markets: Stochastic Models and Empirical Results

We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.

statistical modeling of wind velocity: individual and collective perspective

Taxonomy of correlations of wind velocity;an application to the Sicilian area.

Abstract We present an algorithm that allows us to analyze the cross-correlation of wind velocity measured in different locations; this algorithm is applied to 29 recording stations in Sicily. The results show that such correlations present a significant and persistent ultrametric structure that is influenced by the geographical neighborhood as well as by the presence of mountain and the sea. The algorithm presented, that is also able to reveal weak correlations, can be used as a starting point for the development of multivariate models of wind.

Radiation controlled energy of photoelectrons produced by two-color short pulses.

We report on numerical results of energy spectra of photoelectrons emitted by irradiating a hydrogen atom with the superposition of two pulses. The spectra have been obtained by numerical integration of the time dependent Schr¨odinger equation. The highest frequency component of the pulse has been assumed to have low intensity and such a frequency that a single photon may ionize the atom. Its duration has been assumed to lie in the range of subfemtoseconds. The lowest frequency component that redistribute the energy of the ionized electrons has an higher intensity and duration of few femtoseconds. We find that when the field are aligned, the electron energy spectra strongly depend on the ti…

Hitting Time Distributions in Financial Markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the prob…

Univariate and multivariate properties of wind velocity time series

We analyze the time series of hourly average wind speeds measured at 29 different stations located in Sicily, a region with a complex morphology. The investigation, performed from the univariate as well as the multivariate point of view, evidences that the statistical properties of wind at the single sites have features that are not reproduced by standard models and, thus, require specific modeling. Moreover, the synchronous evolution of wind velocity presents a cluster structure, obtained with different algorithms, that persists in the standard deviation too.