Novel correlations in two dimensions: Some exact solutions

We construct a new many-body Hamiltonian with two- and three-body interactions in two space dimensions and obtain its exact many-body ground state for an arbitrary number of particles. This ground state has a novel pairwise correlation. A class of exact solutions for the excited states is also found. These excited states display an energy spectrum similar to the Calogero-Sutherland model in one dimension. The model reduces to an analog of the well-known trigonometric Sutherland model when projected on to a circular ring.

The role of dispersion into assets allocation

Dispersion of returns has gained a lot of attention as a measure to distinguish good and bad investment opportunities time. In the following dissertation, the cross-sectional returns volatility is analyzed over a fifteen year period across the S&P100 Index composition. The main inference drawn from the data sample is that the canonical measure of dispersion is highly macro-risk driven and therefore more biased towards returns volatility rather than its correlation component.

International portfolio diversification: evidence from emerging markets

Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if it still holds true, given the assumption of larger world markets integration. Our results suggest a wide spread positive time-varying correlations of emerging and developed markets. However, pair-wise cross-country correlations gave evidence that emerging markets have low integration with developed markets. Consequently, we evaluate out-of-sample performance of a portfolio with emerging equity countries, confirming the initial statement that it has a better a risk-adjusted performance over a purely developed markets portfolio.

The influence of niche and neutral processes on a neotropical anuran metacommunity

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

The structure of the rare-earth phosphate glass(Sm2O3)0.205(P2O5)0.795 studied by anomalous dispersion neutron diffraction

The role of the Sm3+ ions in the structure of vitreous Sm2O3•4P2O5 has been investigated using the neutron diffraction anomalous dispersion technique, which employs the wavelength dependence of the real and imaginary parts of the neutron scattering length close to an absorption resonance. The data described here represent the first successful complete neutron anomalous dispersion study on an amorphous material. This experimental methodology permits one to determine exclusively the closest Sm• •• Sm separation. Knowledge of the R•••R (R = rare-earth) pairwise correlation is key to understanding the optical and magnetic properties of rare-earth phosphate glasses. The anomalous difference correlation function, ΔT''(r), shows a dominant feature pertaining to a Sm•••Sm separation, centred at 4.8 Å. The substantial width and marked asymmetry of this peak indicates that the minimum approach of Sm3+ ions could be as close as 4 Å. Information on other pairwise correlations is also revealed via analysis of T (r) and ΔT (r) correlation functions: Sm3+ ions display an average co-ordination number, n Sm(O), of 7, with a mean Sm–O bond length of 2.375(5) Å whilst the PO4 tetrahedra have a mean P–O bond length of 1.538(2) Å. Second- and third-neighbour correlations are also identified. These results corroborate previous findings. Such consistency lends support to the application of the anomalous dispersion technique to determine separations.

Proportionality : a valid alternative to correlation for relative data

Relative abundance data is common in the life sciences, but appreciation that it needs special analysis and interpretation is scarce. Correlation is popular as a statistical measure of pairwise association but should not be used on data that carry only relative information. Using timecourse yeast gene expression data, we show how correlation of relative abundances can lead to conclusions opposite to those drawn from absolute abundances, and that its value changes when different components are included in the analysis. Once all absolute information has been removed, only a subset of those associations will reliably endure in the remaining relative data, specifically, associations where pairs of values behave proportionally across observations. We propose a new statistic φ to describe the strength of proportionality between two variables and demonstrate how it can be straightforwardly used instead of correlation as the basis of familiar analyses and visualization methods.

Fine-scale spatial genetic correlation analyses reveal strong female philopatry within a brush-tailed rock-wallaby colony in southeast Queensland

We combine spatial data on home ranges of individuals and microsatellite markers to examine patterns of fine-scale spatial genetic structure and dispersal within a brush-tailed rock-wallaby (Petrogale penicillata) colony at Hurdle Creek Valley, Queensland. Brush-tailed rock-wallabies were once abundant and widespread throughout the rocky terrain of southeastern Australia; however, populations are nearly extinct in the south of their range and in decline elsewhere. We use pairwise relatedness measures and a recent multilocus spatial autocorrelation analysis to test the hypotheses that in this species, within-colony dispersal is male-biased and that female philopatry results in spatial clusters of related females within the colony. We provide clear evidence for strong female philopatry and male-biased dispersal within this rock-wallaby colony. There was a strong, significant negative correlation between pairwise relatedness and geographical distance of individual females along only 800 m of cliff line. Spatial genetic autocorrelation analyses showed significant positive correlation for females in close proximity to each other and revealed a genetic neighbourhood size of only 600 m for females. Our study is the first to report on the fine-scale spatial genetic structure within a rock-wallaby colony and we provide the first robust evidence for strong female philopatry and spatial clustering of related females within this taxon. We discuss the ecological and conservation implications of our findings for rock-wallabies, as well as the importance of fine-scale spatial genetic patterns in studies of dispersal behaviour.

The correlation of pore morphology, interconnectivity and physical properties of 3D ceramic scaffolds with bone ingrowth

In the design of tissue engineering scaffolds, design parameters including pore size, shape and interconnectivity, mechanical properties and transport properties should be optimized to maximize successful inducement of bone ingrowth. In this paper we describe a 3D micro-CT and pore partitioning study to derive pore scale parameters including pore radius distribution, accessible radius, throat radius, and connectivity over the pore space of the tissue engineered constructs. These pore scale descriptors are correlated to bone ingrowth into the scaffolds. Quantitative and visual comparisons show a strong correlation between the local accessible pore radius and bone ingrowth; for well connected samples a cutoff accessible pore radius of approximately 100 microM is observed for ingrowth. The elastic properties of different types of scaffolds are simulated and can be described by standard cellular solids theory: (E/E(0))=(rho/rho(s))(n). Hydraulic conductance and diffusive properties are calculated; results are consistent with the concept of a threshold conductance for bone ingrowth. Simple simulations of local flow velocity and local shear stress show no correlation to in vivo bone ingrowth patterns. These results demonstrate a potential for 3D imaging and analysis to define relevant pore scale morphological and physical properties within scaffolds and to provide evidence for correlations between pore scale descriptors, physical properties and bone ingrowth.

Characterising anomalous events using change point correlation on unsolicited network traffic

Monitoring unused or dark IP addresses offers opportunities to extract useful information about both on-going and new attack patterns. In recent years, different techniques have been used to analyze such traffic including sequential analysis where a change in traffic behavior, for example change in mean, is used as an indication of malicious activity. Change points themselves say little about detected change; further data processing is necessary for the extraction of useful information and to identify the exact cause of the detected change which is limited due to the size and nature of observed traffic. In this paper, we address the problem of analyzing a large volume of such traffic by correlating change points identified in different traffic parameters. The significance of the proposed technique is two-fold. Firstly, automatic extraction of information related to change points by correlating change points detected across multiple traffic parameters. Secondly, validation of the detected change point by the simultaneous presence of another change point in a different parameter. Using a real network trace collected from unused IP addresses, we demonstrate that the proposed technique enables us to not only validate the change point but also extract useful information about the causes of change points.

Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Teräsvirta (2005) by including another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other specification tests, with the aim of aiding the model building procedure, are considered. Analytical expressions for the test statistics and the required derivatives are provided. Applying the model to the stock and bond futures data, we discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also applied to a selection of world stock indices, and we find evidence for an increasing degree of integration in the capital markets.