Search results for "Random"
showing 10 items of 3931 documents
Copolymer Melts in Disordered Media
1996
The symmetric AB block copolymer melt in a gel matrix with preferential adsorption of A monomers on the gel gives an example of a random-field system, which is described near the point of the microphase separation transition by the random field Landau-Brazovskii Hamiltonian. By using the technique of the 2-nd Legendre transform, the phase diagram of the system is calculated. We found that the preferential adsorption of the copolymer on the gel results in two effects: a) It decreases the temperature of the first order phase transition between disordered and ordered phase. b) There exists a region on the phase diagram at some small but finite value of the adsorption energy in which the replic…
Left but not right temporal involvement in opaque idiom comprehension: a repetitive transcranial magnetic stimulation study
2004
Abstract It has been suggested that figurative language, which includes idioms, is controlled by the right hemisphere. We tested the right hemisphere hypothesis by using repetitive transcranial magnetic stimulation (rTMS) to transiently disrupt the function of the frontal and temporal areas of the right versus left hemisphere in a group of normal participants involved in a task of opaque idiom versus literal sentence comprehension. Forty opaque, nonambiguous idioms were selected. Fifteen young healthy participants underwent rTMS in two sessions. The experiment was run in five blocks, corresponding to the four stimulated scalp positions (left frontal and temporal and right frontal and tempor…
Efficacy of Selected Electrical Therapies on Chronic Low Back Pain: A Comparative Clinical Pilot Study
2017
Background: In the currently available research publications on electrical therapy of low back pain, generally no control groups or detailed randomization were used, and such studies were often conducted with relatively small groups of patients, based solely on subjective questionnaires and pain assessment scales (lacking measurement methods to objectify the therapeutic progress). The available literature also lacks a comprehensive and large-scale clinical study. The purpose of this study was to assess the effects of treating low back pain using selected electrotherapy methods. The study assesses the influence of individual electrotherapeutic treatments on reduction of pain, improvement of …
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.
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…
Economic Sector Identification in a Set of Stocks Traded at the New York Stock Exchange: A Comparative Analysis
2006
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that th…
The non-random walk of stock prices: The long-term correlation between signs and sizes
2007
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…
Inter-Chain Structure Factors of Flexible Polymers in Solutions: A Monte Carlo Investigation
1997
Off-lattice Monte Carlo simulations of both the single chain structure factor h(q) and the inter-chain structure factor HD(q) of flexible polymers in solutions are presented over a wide range of both wavenumber q and concentration c from the dilute to the concentrated regime, for chain lengths up to N = 256. The single chain properties $\{$gyration radius 〈Rg2〉, $h(q)\}$ are in reasonable agreement with the expected theoretical behavior, showing a crossover from swollen chains $\{\langle R_{\rm g}^2\rangle \propto N^{2\nu} ,~ h(q) \propto q^{-1/\nu}\}$ to Gaussian chains, and the data comply with a scaling description, with a correlation length ξ∝c-ν/(3ν-1). However, the inter-chain structu…
A partially reflecting random walk on spheres algorithm for electrical impedance tomography
2015
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute the voltage-to-current map in an embarrassingly parallel manner, which is an important issue with regard to the corresponding inverse problem. Our method uses the well-known random walk on spheres algorithm inside subdomains where the diffusion coefficient is constant and employs replacement techniques motivated by finite difference discretization to deal with both mixed boundary conditions and interface transmission conditions. We analyze the global bias…