Search results for "correlation"
showing 10 items of 2282 documents
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…
Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
2007
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at t…
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-…
Correlation based networks of equity returns sampled at different time horizons
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
Study of ordered hadron chains with the ATLAS detector
2017
The analysis of the momentum difference between charged hadrons in high-energy proton-proton collisions is performed in order to study coherent particle production. The observed correlation pattern agrees with a model of a helical QCD string fragmenting into a chain of ground-state hadrons. A threshold momentum difference in the production of adjacent pairs of charged hadrons is observed, in agreement with model predictions. The presence of low-mass hadron chains also explains the emergence of charge-combination-dependent two-particle correlations commonly attributed to Bose-Einstein interference. The data sample consists of 190 μb-1 of minimum-bias events collected with proton-proton colli…
Search for Lorentz and CPT violation using sidereal time dependence of neutrino flavor transitions over a short baseline
2017
A class of extensions of the Standard Model allows Lorentz and CPT violations, which can be identified by the observation of sidereal modulations in the neutrino interaction rate. A search for such modulations was performed using the T2K on-axis near detector. Two complementary methods were used in this study, both of which resulted in no evidence of a signal. Limits on associated Lorentz and CPT-violating terms from the Standard Model extension have been derived by taking into account their correlations in this model for the first time. These results imply such symmetry violations are suppressed by a factor of more than 1020 at the GeV scale.
Averages of $b$-hadron, $c$-hadron, and $\tau$-lepton properties as of summer 2016
2017
This article reports world averages of measurements of $b$-hadron, $c$-hadron, and $\tau$-lepton properties obtained by the Heavy Flavor Averaging Group using results available through summer 2016. For the averaging, common input parameters used in the various analyses are adjusted (rescaled) to common values, and known correlations are taken into account. The averages include branching fractions, lifetimes, neutral meson mixing parameters, \CP~violation parameters, parameters of semileptonic decays and CKM matrix elements.
Dynamics of single semiflexible polymers in dilute solution
2016
We study the dynamics of a single semiflexible chain in solution using computer simulations, where we systematically investigate the effect of excluded volume, chain stiffness, and hydrodynamic interactions. We achieve excellent agreement with previous theoretical considerations, but find that the crossover from the time τb, up to which free ballistic motion of the monomers describes the chain dynamics, to the times W−1 or τ0, where anomalous monomer diffusion described by Rouse-type and Zimm-type models sets in, requires two decades of time. While in the limit of fully flexible chains the visibility of the anomalous diffusion behavior is thus rather restricted, the t3/4 power law predicted…
Perspective: Polarizable continuum models for quantum-mechanical descriptions
2016
Polarizable continuum solvation models are nowadays the most popular approach to describe solvent effects in the context of quantum mechanical calculations. Unexpectedly, despite their widespread use in all branches of quantum chemistry and beyond, important aspects of both their theoretical formulation and numerical implementation are still not completely understood. In particular, in this perspective we focus on the numerical issues of their implementation when applied to large systems and on the theoretical framework needed to treat time dependent problems and excited states or to deal with electronic correlation. Possible extensions beyond a purely electrostatic model and generalization…
Electronic structure of Rf+ (Z=104) from ab initio calculations
2021
We report calculation of the energy spectrum and the spectroscopic properties of the superheavy element ion: ${\mathrm{Rf}}^{+}$. We use the four-component relativistic Dirac-Coulomb Hamiltonian and the multireference configuration interaction model to tackle the complex electronic structure problem that combines strong relativistic effects and electron correlation. We determine the energies of the ground and the low-lying excited states of ${\mathrm{Rf}}^{+}$, which originate from the $7{s}^{2}6{d}^{1},\phantom{\rule{0.28em}{0ex}}7{s}^{1}6{d}^{2},\phantom{\rule{0.28em}{0ex}}7{s}^{2}7{p}^{1}$, and $7{s}^{1}6{d}^{1}7{p}^{1}$ configurations. The results are discussed vis-\`a-vis the lighter h…