Search results for "correlation"
showing 10 items of 2282 documents
Measurement of photon?jet transverse momentum correlations in 5.02 TeV Pb + Pb and pp collisions with ATLAS
2019
Jets created in association with a photon can be used as a calibrated probe to study energy loss in the medium created in nuclear collisions. Measurements of the transverse momentum balance between isolated photons and inclusive jets are presented using integrated luminosities of 0.49 nb−1 of Pb + Pb collision data at TeV and 25 pb−1 of pp collision data at TeV recorded with the ATLAS detector at the LHC. Photons with transverse momentum GeV and are paired with all jets in the event that have GeV and pseudorapidity . The transverse momentum balance given by the jet-to-photon ratio, , is measured for pairs with azimuthal opening angle . Distributions of the per-photon jet yield as a function…
Modeling spectral correlations of photon-pairs generated in liquid-filled photonic crystal fiber
2020
The generation of photon-pairs with controllable spectral correlations is crucial in quantum photonics. Here we present the design of a photonic crystal fiber to generate widely-spaced four-wave mixing bands with spectral correlations that can be tuned through the thermo-optic effect after being infiltrated with heavy water. We present a theoretical study of the purity of the signal (idler) photon generated as a function of temperature, pump spectral linewidth and the length of the fiber. 511-6/18-8876 CIIC155/2019 APN-624 TEC2016- 76664-C2-1-R PROMETEO/2019/048
The MORA project
2018
The MORA (Matter's Origin from the RadioActivity of trapped and oriented ions) project aims at measuring with unprecedented precision the D correlation in the nuclear beta decay of trapped and oriented ions. The D correlation offers the possibility to search for new CP-violating interactions, complementary to searches done at the LHC and with Electric Dipole Moments. Technically, MORA uses an innovative in-trap orientation method which combines the high trapping efficiency of a transparent Paul trap with laser orientation techniques. The trapping, detection, and laser setups are under development, for first tests at the Accelerator laboratory, JYFL, in the coming years.
Fracture Processes Observed with A Cryogenic Detector
2006
In the early stages of running of the CRESST dark matter search using sapphire detectors at very low temperature, an unexpectedly high rate of signal pulses appeared. Their origin was finally traced to fracture events in the sapphire due to the very tight clamping of the detectors. During extensive runs the energy and time of each event was recorded, providing large data sets for such phenomena. We believe this is the first time the energy release in fracture has been directly and accurately measured on a microscopic event-by-event basis. The energy threshold corresponds to the breaking of only a few hundred covalent bonds, a sensitivity some orders of magnitude greater than that of previou…
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
2011
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…
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…
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…
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 …