Search results for "Correlation"
showing 10 items of 2282 documents
Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices
2006
In this paper, the influence functions and limiting distributions of the canonical correlations and coefficients based on affine equivariant scatter matrices are developed for elliptically symmetric distributions. General formulas for limiting variances and covariances of the canonical correlations and canonical vectors based on scatter matrices are obtained. Also the use of the so-called shape matrices in canonical analysis is investigated. The scatter and shape matrices based on the affine equivariant Sign Covariance Matrix as well as the Tyler's shape matrix serve as examples. Their finite sample and limiting efficiencies are compared to those of the Minimum Covariance Determinant estima…
Degree stability of a minimum spanning tree of price return and volatility
2002
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.
Structure and evolution of a European Parliament via a network and correlation analysis
2016
We present a study of the network of relationships among elected members of the Finnish parliament, based on a quantitative analysis of initiative co-signatures, and its evolution over 16 years. To understand the structure of the parliament, we constructed a statistically validated network of members, based on the similarity between the patterns of initiatives they signed. We looked for communities within the network and characterized them in terms of members' attributes, such as electoral district and party. To gain insight on the nested structure of communities, we constructed a hierarchical tree of members from the correlation matrix. Afterwards, we studied parliament dynamics yearly, wi…
Quantum jump statistics with a shifted jump operator in a chiral waveguide
2019
Resonance fluorescence, consisting of light emission from an atom driven by a classical oscillating field, is well-known to yield a sub-Poissonian photon counting statistics. This occurs when only emitted light is detected, which corresponds to a master equation (ME) unraveling in terms of the canonical jump operator describing spontaneous decay. Formally, an alternative ME unraveling is possible in terms of a shifted jump operator. We show that this shift can result in sub-Poissonian, Poissonian or super-Poissonian quantum jump statistics. This is shown in terms of the Mandel Q parameter in the limit of long counting times, which is computed through large deviation theory. We present a wav…
Electron correlation in metal clusters, quantum dots and quantum rings
2009
This short review presents a few case studies of finite electron systems for which strong correlations play a dominant role. In simple metal clusters, the valence electrons determine stability and shape of the clusters. The ionic skeleton of alkali metals is soft, and cluster geometries are often solely determined by electron correlations. In quantum dots and rings, the electrons may be confined by an external electrostatic potential, formed by a gated heterostructure. In the low density limit, the electrons may form so-called Wigner molecules, for which the many-body quantum spectra reveal the classical vibration modes. High rotational states increase the tendency for the electrons to loca…
Dynamical susceptibility from simulations of a mean field Potts glass
2004
Abstract We present results of the non-linear dynamic susceptibility χ(t) in a mean field Potts glass from simulations in a wide range of temperatures above the theoretically predicted dynamical transition, for various system sizes up to 2560 spins. χ(t) has a maximum, with a height that diverges like (T−TD)−α, with α≈1. The timescale t ∗ associated with this maximum also approaches a singularity, and we show that its behavior is compatible with the relaxation time of the standard time-dependent spin autocorrelation function, also with respect to finite size effects. We find that χ(t) for temperatures near the transition temperature TD satisfies a dynamical scaling property.
On form-factor expansions for the XXZ chain in the massive regime
2014
We study the large-volume-$L$ limit of form factors of the longitudinal spin operators for the XXZ spin-$1/2$ chain in the massive regime. We find that the individual form factors decay as $L^{-n}$, $n$ being an even integer counting the number of physical excitations -- the holes -- that constitute the excited state. Our expression allows us to derive the form-factor expansion of two-point spin-spin correlation functions in the thermodynamic limit $L\rightarrow +\infty$. The staggered magnetisation appears naturally as the first term in this expansion. We show that all other contributions to the two-point correlation function are exponentially small in the large-distance regime.
The adaptive nature of liquidity taking in limit order books
2014
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…
Unifying approach to the quantification of bipartite correlations by Bures distance
2014
The notion of distance defined on the set of states of a composite quantum system can be used to quantify total, quantum and classical correlations in a unifying way. We provide new closed formulae for classical and total correlations of two-qubit Bell-diagonal states by considering the Bures distance. Complementing the known corresponding expressions for entanglement and more general quantum correlations, we thus complete the quantitative hierarchy of Bures correlations for Bell-diagonal states. We then explicitly calculate Bures correlations for two relevant families of states: Werner states and rank-2 Bell-diagonal states, highlighting the subadditivity which holds for total correlations…
Covariance and correlation estimators in bipartite complex systems with a double heterogeneity
2019
Complex bipartite systems are studied in Biology, Physics, Economics, and Social Sciences, and they can suitably be described as bipartite networks. The heterogeneity of elements in those systems makes it very difficult to perform a statistical analysis of similarity starting from empirical data. Though binary Pearson's correlation coefficient has proved effective to investigate the similarity structure of some real-world bipartite networks, here we show that both the usual sample covariance and correlation coefficient are affected by a bias, which is due to the aforementioned heterogeneity. Such a bias affects real bipartite systems, and, for example, we report its effects on empirical dat…