Search results for " Statistical"
showing 10 items of 1649 documents
Extraction of the Muon Signals Recorded with the Surface Detector of the Pierre Auger Observatory Using Recurrent Neural Networks
2021
The Pierre Auger Observatory, at present the largest cosmic-ray observatory ever built, is instrumented with a ground array of 1600 water-Cherenkov detectors, known as the Surface Detector (SD). The SD samples the secondary particle content (mostly photons, electrons, positrons and muons) of extensive air showers initiated by cosmic rays with energies ranging from $10^{17}~$eV up to more than $10^{20}~$eV. Measuring the independent contribution of the muon component to the total registered signal is crucial to enhance the capability of the Observatory to estimate the mass of the cosmic rays on an event-by-event basis. However, with the current design of the SD, it is difficult to straightfo…
The FiR 1 photon beam model adjustment according to in-air spectrum measurements with the Mg(Ar) ionization chamber.
2014
Abstract The mixed neutron–photon beam of FiR 1 reactor is used for boron–neutron capture therapy (BNCT) in Finland. A beam model has been defined for patient treatment planning and dosimetric calculations. The neutron beam model has been validated with an activation foil measurements. The photon beam model has not been thoroughly validated against measurements, due to the fact that the beam photon dose rate is low, at most only 2% of the total weighted patient dose at FiR 1. However, improvement of the photon dose detection accuracy is worthwhile, since the beam photon dose is of concern in the beam dosimetry. In this study, we have performed ionization chamber measurements with multiple b…
Subpicosecond transient signal spectroscopy of Prodan in dimethylformamide solution.
2008
We report a pump-probe experiment revealing the temporal evolution of subpicosecond evolution of Prodan's excited-state absorption in dimethylformamide. Also, we present calculation of the first spectral moment of this spectral band and estimation of different relaxation components on the subpicosecond time scale.
Ab initioquality neural-network potential for sodium
2010
An interatomic potential for high-pressure high-temperature (HPHT) crystalline and liquid phases of sodium is created using a neural-network (NN) representation of the ab initio potential energy surface. It is demonstrated that the NN potential provides an ab initio quality description of multiple properties of liquid sodium and bcc, fcc, cI16 crystal phases in the P-T region up to 120 GPa and 1200 K. The unique combination of computational efficiency of the NN potential and its ability to reproduce quantitatively experimental properties of sodium in the wide P-T range enables molecular dynamics simulations of physicochemical processes in HPHT sodium of unprecedented quality.
Dynamics of fintech terms in news and blogs and specialization of companies of the fintech industry
2020
We perform a large scale analysis of a list of fintech terms in (i) news and blogs in English language and (ii) professional descriptions of companies operating in many countries. The occurrence and co-occurrence of fintech terms and locutions shows a progressive evolution of the list of fintech terms in a compact and coherent set of terms used worldwide to describe fintech business activities. By using methods of complex networks that are specifically designed to deal with heterogeneous systems, our analysis of a large set of professional descriptions of companies shows that companies having fintech terms in their description present over-expressions of specific attributes of country, muni…
A tool for filtering information in complex systems
2005
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 cliqu…
Cluster analysis for portfolio optimization
2005
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
There's more to volatility than volume
2006
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of…
Scaling and data collapse for the mean exit time of asset prices
2005
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …
Evolution of correlation structure of industrial indices of U.S. equity markets
2013
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow dynamics. The slow dynamics has a time scale longer than five years showing that a different degree of diversification of the investment is possible in different periods of time. On top to this slow dynamics, we als…