Search results for "Physics - Data Analysis"
showing 10 items of 65 documents
Data Blinding for the nEDM Experiment at PSI
2020
Psychological bias towards, or away from, prior measurements or theory predictions is an intrinsic threat to any data analysis. While various methods can be used to try to avoid such a bias, e.g. actively avoiding looking at the result, only data blinding is a traceable and trustworthy method that can circumvent the bias and convince a public audience that there is not even an accidental psychological bias. Data blinding is nowadays a standard practice in particle physics, but it is particularly difficult for experiments searching for the neutron electric dipole moment (nEDM), as several cross measurements, in particular of the magnetic field, create a self-consistent network into which it …
A fast algorithm for muon track reconstruction and its application to the ANTARES neutrino telescope.
2011
An algorithm is presented, that provides a fast and robust reconstruction of neutrino induced upward-going muons and a discrimination of these events from downward-going atmospheric muon background in data collected by the ANTARES neutrino telescope. The algorithm consists of a hit merging and hit selection procedure followed by fitting steps for a track hypothesis and a point-like light source. It is particularly well-suited for real time applications such as online monitoring and fast triggering of optical follow-up observations for multi-messenger studies. The performance of the algorithm is evaluated with Monte Carlo simulations and various distributions are compared with that obtained …
Correlation, hierarchies, and networks in financial markets
2010
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tre…
Information geometric complexity of entropic motion on curved statistical manifolds
2013
Physical systems behave according to their underlying dynamical equations which, in turn, can be identified from experimental data. Explaining data requires selecting mathematical models that best capture the data regularities. Identifying dynamical equations from the available data and statistical model selection are both very difficult tasks. Motivated by these fundamental links among physical systems, dynamical equations, experimental data and statistical modeling, we discuss in this invited Contribution our information geometric measure of complexity of geodesic paths on curved statistical manifolds underlying the entropic dynamics of classical physical systems described by probability …
Grain - A Java Analysis Framework for Total Data Readout
2007
Grain is a data analysis framework developed to be used with the novel Total Data Readout data acquisition system. In Total Data Readout all the electronics channels are read out asynchronously in singles mode and each data item is timestamped. Event building and analysis has to be done entirely in the software post-processing the data stream. A flexible and efficient event parser and the accompanying software framework have been written entirely in Java. The design and implementation of the software are discussed along with experiences gained in running real-life experiments.
The cosmic axion spin precession experiment (CASPEr): a dark-matter search with nuclear magnetic resonance
2017
The Cosmic Axion Spin Precession Experiment (CASPEr) is a nuclear magnetic resonance experiment (NMR) seeking to detect axion and axion-like particles which could make up the dark matter present in the universe. We review the predicted couplings of axions and axion-like particles with baryonic matter that enable their detection via NMR. We then describe two measurement schemes being implemented in CASPEr. The first method, presented in the original CASPEr proposal, consists of a resonant search via continuous-wave NMR spectroscopy. This method offers the highest sensitivity for frequencies ranging from a few Hz to hundreds of MHz, corresponding to masses $ m_{\rm a} \sim 10^{-14}$--$10^{-6}…
Diffusive behavior and the modeling of characteristic times in limit order executions
2007
We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution …
Kullback-Leibler distance as a measure of the information filtered from multivariate data
2007
We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrices of multivariate Gaussian variables we analytically determine the expected values of the Kullback-Leibler distance of a sample correlation matrix from a reference model and we show that the expected values are known also when the specific model is unknown. We propose to make use of the Kullback-Leibler distance to estimate the information extracted from a correlation matrix by correlation filtering procedures. We also show how to use this distance to measure the stability of filtering procedures with respect to s…
How does the market react to your order flow?
2012
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…
Spanning Trees and bootstrap reliability estimation in correlation based networks
2007
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300 most capitalized stocks traded at New York Stock Exchange during the time period 2001-2003. We show that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimum Spanning Tree does. We also show that the average reliability of links in the Minimum …