Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

Genuine cross-correlations: Which surrogate based measure reproduces analytical results best?

The analysis of short segments of noise-contaminated, multivariate real world data constitutes a challenge. In this paper we compare several techniques of analysis, which are supposed to correctly extract the amount of genuine cross-correlations from a multivariate data set. In order to test for the quality of their performance we derive time series from a linear test model, which allows the analytical derivation of genuine correlations. We compare the numerical estimates of the four measures with the analytical results for different correlation pattern. In the bivariate case all but one measure performs similarly well. However, in the multivariate case measures based on the eigenvalues of the equal-time cross-correlation matrix do not extract exclusively information about the amount of genuine correlations, but they rather reflect the spatial organization of the correlation pattern. This may lead to failures when interpreting the numerical results as illustrated by an application to three electroencephalographic recordings of three patients suffering from pharmacoresistent epilepsy.

Measurement Properties of the Short Multi-Dimensional Observation Scale for Elderly Subjects (MOSES)

This study evaluated the five-factor measurement model of the abbreviated Multidimensional Observation Scale for Elderly Subjects (MOSES), originally proposed by Pruchno, Kleban, and Resch in 1988. Modifications of the five-factor model were examined and evaluated with regard to their practical significance. A confirmatory second-order factor analysis was performed to examine whether the correlations among the first-order factors were adequately accounted for by a global dysfunction factor. Findings indicated that the proposed measurement model was replicated adequately. Although post hoc modifications resulted in significant improvements in overall model fit, the minor parameters had only a trivial influence on the major parameters of the baseline model. Results from the second-order factor analysis showed that a global dysfunc tion factor accounted adequately for the intercorrelations among the first-order factors.

Observation of Associated Near-Side and Away-Side Long-Range Correlations in √sNN=5.02 TeV Proton-Lead Collisions with the ATLAS Detector

Two-particle correlations in relative azimuthal angle (Delta phi) and pseudorapidity (Delta eta) are measured in root S-NN = 5.02 TeV p + Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1 mu b(-1) of data as a function of transverse momentum (p(T)) and the transverse energy (Sigma E-T(Pb)) summed over 3.1 < eta < 4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2 < vertical bar Delta eta vertical bar < 5) "near-side" (Delta phi similar to 0) correlation that grows rapidly with increasing Sigma E-T(Pb). A long-range "away-side" (Delta phi similar to pi) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small Sigma E-T(Pb), is found to match the near-side correlation in magnitude, shape (in Delta eta and Delta phi) and Sigma E-T(Pb) dependence. The resultant Delta phi correlation is approximately symmetric about pi/2, and is consistent with a dominant cos2 Delta phi modulation for all Sigma E-T(Pb) ranges and particle p(T).

Geriatric Pain Measure short form: development and initial evaluation

OBJECTIVES: To develop and evaluate a short form of the 24-item Geriatric Pain Measure (GPM) for use in community-dwelling older adults. DESIGN: Derivation and validation of a 12-item version of the GPM in a European and an independent U.S. sample of community-dwelling older adults. SETTING: Three community-dwelling sites in London, United Kingdom; Hamburg, Germany; Solothurn, Switzerland; and two ambulatory geriatrics clinics in Los Angeles, California. PARTICIPANTS: European sample: 1,059 community-dwelling older persons from three sites (London, UK; Hamburg, Germany; Solothurn, Switzerland); validation sample: 50 persons from Los Angeles, California, ambulatory geriatric clinics. MEASUREMENTS: Multidimensional questionnaire including self-reported demographic and clinical information. RESULTS: Based on item-to-total scale correlations in the European sample, 11 of 24 GPM items were selected for inclusion in the short form. One additional item (pain-related sleep problems) was included based on clinical relevance. In the validation sample, the Cronbach alpha of GPM-12 was 0.92 (individual subscale range 0.77-0.92), and the Pearson correlation coefficient (r) between GPM-12 and the original GPM was 0.98. The correlation between the GPM-12 and the McGill Pain Questionnaire was 0.63 (P<.001), similar to the correlation between the original GPM and the McGill Pain Questionnaire (Pearson r=0.63; P<.001). Exploratory factor analysis indicated that the GPM-12 covers three subfactors (pain intensity, pain with ambulation, disengagement because of pain). CONCLUSION: The GPM-12 demonstrated good validity and reliability in these European and U.S. populations of older adults. Despite its brevity, the GPM-12 captures the multidimensional nature of pain in three subscales. The self-administered GPM-12 may be useful in the clinical assessment process and management of pain and in pain-related research in older persons.

Long-range correlations in rectal temperature fluctuations of healthy infants during maturation

BACKGROUND: Control of breathing, heart rate, and body temperature are interdependent in infants, where instabilities in thermoregulation can contribute to apneas or even life-threatening events. Identifying abnormalities in thermoregulation is particularly important in the first 6 months of life, where autonomic regulation undergoes critical development. Fluctuations in body temperature have been shown to be sensitive to maturational stage as well as system failure in critically ill patients. We thus aimed to investigate the existence of fractal-like long-range correlations, indicative of temperature control, in night time rectal temperature (T(rec)) patterns in maturing infants. METHODOLOGY/PRINCIPAL FINDINGS: We measured T(rec) fluctuations in infants every 4 weeks from 4 to 20 weeks of age and before and after immunization. Long-range correlations in the temperature series were quantified by the correlation exponent, alpha using detrended fluctuation analysis. The effects of maturation, room temperature, and immunization on the strength of correlation were investigated. We found that T(rec) fluctuations exhibit fractal long-range correlations with a mean (SD) alpha of 1.51 (0.11), indicating that T(rec) is regulated in a highly correlated and hence deterministic manner. A significant increase in alpha with age from 1.42 (0.07) at 4 weeks to 1.58 (0.04) at 20 weeks reflects a change in long-range correlation behavior with maturation towards a smoother and more deterministic temperature regulation, potentially due to the decrease in surface area to body weight ratio in the maturing infant. alpha was not associated with mean room temperature or influenced by immunization CONCLUSIONS: This study shows that the quantification of long-range correlations using alpha derived from detrended fluctuation analysis is an observer-independent tool which can distinguish developmental stages of night time T(rec) pattern in young infants, reflective of maturation of the autonomic system. Detrended fluctuation analysis may prove useful for characterizing thermoregulation in premature and other infants at risk for life-threatening events.

Weber fractions and time-order errors for long and short durations: Implications for modeling

Using a weighted up-down procedure, in each of eight conditions 28 participants compared durations of auditory (noise bursts) or visual (LED flashes) intervals; filled or unfilled with 3-ms markers; with or without feedback. Standards (Sts) were 100 and 1000 ms, and the ISI 900 ms. Intermixedly, presentation orders were St-Comparison (Co) and Co-St. TOEs were positive for St=100-ms and negative for St=1000 ms. Weber fractions (WFs, JND/St) were lowered by feedback. For visual-filled and visual-empty, WFs were highest for St=100 ms. For auditory-filled and visual-empty, St interacted with Order: lowest WFs occurred for St-Co with St=1000 ms, but for Co-St with St=100 ms. Lowest average WFs occurred with St-Co for visual-filled, but with Co-St for visual-empty. The results refute the generalization of better discrimination with St-Co than with Co-St (”type-B effect”), and support the notion of sensation weighting: flexibly differential impact weights of the compared durations in generating the response.

Measurement with the ATLAS detector of multi-particle azimuthal correlations in p+Pb collisions at sqrtsNN=5.02 TeV

In order to study further the long-range correlations ("ridge") observed recently in p+Pb collisions at sqrt(s_NN) =5.02 TeV, the second-order azimuthal anisotropy parameter of charged particles, v_2, has been measured with the cumulant method using the ATLAS detector at the LHC. In a data sample corresponding to an integrated luminosity of approximately 1 microb^(-1), the parameter v_2 has been obtained using two- and four-particle cumulants over the pseudorapidity range |eta|<2.5. The results are presented as a function of transverse momentum and the event activity, defined in terms of the transverse energy summed over 3.1

Distribution of benthic and planktic foraminifera in surface sediments of the Indian and Pakistan continental margin, Arabian Sea

During the Indian Ocean Expedition of the German research vessel "Meteor" and the following cruise with the Pakistani fishing vessel "Machhera" in February and March 1965, sediments were sampled from the shelf, continental slope and the Arabian Basin off Pakistan and India. The biostratigraphic studies are based on sedimentary material from 24 sediment cores up to 480 cm long and 100 grab samples. The faunal residues of the > 160 µ fraction (chiefly foraminifera and pteropods) were determined and counted in order to get an idea of the climatic conditions during the Late Quaternary of this region. Biostratigraphic correlations of these Late Quaternary deposits are only possible if the thanatocoenosis of the surface sediments are well known. The analysis of the benthonic foraminiferal populations resulted in the definition of several foraminiferal facies. The following sequence of forarniniferal facies, named after their most characteristic members, can be distinguished from the shelf to the deep-sea: 1. Ammonia-Florilus facies ; 2. Ammonia-Cancris facies; 3. Cassidulina-Cibicides facies; 4. Uvigerina-Cassidulina facies ; 5. Buliminacea facies ; 6. deepwater facies, partly with Bulimina aculeata or with Nonionidae. On the upper continental slope there is a zone extremely poor in benthonic foraminifera. In this water depth the oxygen minimum layer (0.05-0.02 ml/l) of the water column reaches the slope. Almost no connection can be observed between the living and the dead foraminiferal population of the same sample. The regional distribution of the planktonic foraminifera from plankton tows as well as from the surface sediments shows marked differences in the species composition of faunas from different regions within the area of investigation. That depends on oceanographic conditions such as upwelling, dissolution of carbonate at great depths etc. Based on the results of faunal analysis of samples from the recent sea-floor, a biostratigraphic subdivision of the sediments in the cores was established. The following biostratigraphically defined sections could be distinguished from the top of the sediment cores downwards : 1. Relatively cool climatic conditions are reflected by the foraminifera of the uppermost core sections. 2. The next section is characterized by much warmer conditions (Holocene climatic optimum). The C-14 ages of this interval range from 4000 to 10 000 years B.P. according to different authors. C-14 dates on the material investigated do not give reliable clues. 3. Foraminiferal populations adapted to much colder conditions can be observed in the underlying core section. The boundary between the warm climate reflected by the foraminifera of section 2 and the cold climate (section 3) is relatively sharp. It can be correlated from core to core over the whole area investigated. The cold climate sediments of section 3 are underlain by different cool-, warm- and cold-climate sediments which can only be correlated over very short distances. Since it appears certain that the last really cold conditions ended earlier in the Arabian Sea and its vicinity than in Europe it is recommended not to use the European stratigraphic terms for the Quaternary. Because of the lack of reliable absolute sediment ages for the cores no exact sedimentation rates can be given. According to rough estimates, however, the rates are 1-2 cm/1000 years in the deep basin and up to 40 cm/1000 years on the upper continental slope. Sedimentation rates are always larger near the mouth of the Indus-River than off South India at stations of about the same water depth. Planktonic gastropods (mainly pteropods) cannot be used for biostratigraphic purposes in the region under consideration. All of them seem to be displaced from the shelf. Their distribution there is given in.

Lead and cadmium in the Weser Estuary and the German Bight: Correlations between bacteria populations, heavy metals and organic carbon

Organic carbon, lead and cadmium contents of 20 sediments were determined and compared with the colony counts of anaerobic heterotrophic, anaerobic nitrogen fixing, chitinoclastic and cellulolytic bacteria. Organic carbon content, which is dependent on the sediment type, was positively correlated with lead and cadmium as well as with colony counts of all 4 physiological groups of bacteria. Even the sediments with the highest concentrations of 251.7 ppm Pb and 3.1 ppm Cd showed no reduction in their colony counts. From 2 different sediment sampIes with lead contents of 140 ppm and 21 ppm lead tolerance of the aerobic heterotrophic bacteria was investigated. However, no significant difference in lead tolerance of the 2 heterotrophic populations was found. Water from 6 stations was analysed for dissolved and particulate organic carbon, lead and cadmium. Dissolved lead concentrations were in the range of 0.2-0.5 µg/l and the particulate lead contents were between 0.05 and 4.3 µg/l. The concentrations of total lead for the stations off-shore were only one order of magnitude from the concentrations of the near-shore stations. The same phenomenon was observed for dissolved cadmium (0.02 - 0.25 µg/l) and particulate cadmium (0.003 - 0.15 µg/I) concentrations. Correlations between dissolved (1.6 - 10.8 mg/I) and particulate organic carbon (0.25 - 1.53 mg/I) with dissolved and particulate lead or cadmium were not found.

The effects of long (C20/22) and short (C18) chain omega-3 fatty acids on keel bone fractures, bone biomechanics, behavior, and egg production in free-range laying hens.

Keel fractures in the laying hen are the most critical animal welfare issue facing the egg production industry, particularly with the increased use of extensive systems in response to the 2012 EU directive banning conventional battery cages. The current study is aimed at assessing the effects of 2 omega-3 (n3) enhanced diets on bone health, production endpoints, and behavior in free-range laying hens. Data was collected from 2 experiments over 2 laying cycles, each of which compared a (n3) supplemented diet with a control diet. Experiment 1 employed a diet supplemented with a 60:40 fish oil-linseed mixture (n3:n6 to 1.35) compared with a control diet (n3:n6 to 0.11), whereas the n3 diet in Experiment 2 was supplemented with a 40:60 fish oil-linseed (n3:n6 to 0.77) compared to the control diet (n3:n6 to 0.11). The n3 enhanced diet of Experiment 1 had a higher n3:n6 ratio, and a greater proportion of n3 in the long chain (C20/22) form (0.41 LC:SC) than that of Experiment 2 (0.12 LC:SC). Although dietary treatment was successful in reducing the frequency of fractures by approximately 27% in Experiment 2, data from Experiment 1 indicated the diet actually induced a greater likelihood of fracture (odds ratio: 1.2) and had substantial production detriment. Reduced keel breakage during Experiment 2 could be related to changes in bone health as n3-supplemented birds demonstrated greater load at failure of the keel, and tibiae and humeri that were more flexible. These results support previous findings that n3-supplemented diets can reduce fracture likely by increasing bone strength, and that this can be achieved without detriment to production. However, our findings suggest diets with excessive quantities of n3, or very high levels of C20/22, may experience health and production detriments. Further research is needed to optimize the quantity and type of n3 in terms of bone health and production variables and investigate the potential associated mechanisms.

Operational short term health impact assessment of air pollution modelling system over Europe

The last decade, scientific studies have indicated an association between air pollution to which people are exposed and wide range of adverse health outcomes. We have developed a tool which is based on a model (MM5-CMAQ) running over Europe with 50 km spatial resolution, based on EMEP annual emissions, to produce a short-term forecast of the impact on health. In order to estimate the mortality change (forecasted for the next 24 hours) we have chosen a log-linear (Poisson) regression form to estimate the concentration-response function. The parameters involved in the C-R function have been estimated based on epidemiological studies, which have been published. Finally, we have derived the relationship between concentration change and mortality change from the C-R function which is the final health impact function.

Relationships of dehydroepiandrosterone sulfate in the elderly with functional, psychological, and mental status, and short-term mortality: A French community-based study

In human beings of both sexes, dehydroepiandrosterone sulfate (DHEAS) circulating in blood is mostly an adrenally secreted steroid whose serum concentration (in the micromolar range and 30–50% higher in men than in women) decreases with age, toward ≈20–10% of its value in young adults during the 8th and 9th decades. The mechanism of action of DHEA and DHEAS is poorly known and may include partial transformation into sex steroids, increase of bioavailable insulin-like growth factor I, and effects on neurotransmitter receptors. Whether there is a cause-to-effect relationship between the decreasing levels of DHEAS with age and physiological and pathological manifestations of aging is still undecided, but this is of obvious theoretical and practical interest in view of the easy restoration by DHEA administration. Here we report on 622 subjects over 65 years of age, studied for the 4 years since DHEAS baseline values had been obtained, in the frame of the PAQUID program, analyzing the functional, psychological, and mental status of a community-based population in the south-west of France. We confirm the continuing decrease of DHEAS serum concentration with age, more in men than in women, even if men retain higher levels. Significantly lower values of baseline DHEAS were recorded in women in cases of functional limitation (Instrumental Activities of Daily Living), confinement, dyspnea, depressive symptomatology, poor subjective perception of health and life satisfaction, and usage of various medications. In men, there was a trend for the same correlations, even though not statistically significant in most categories. No differences in DHEAS levels were found in cases of incident dementia in the following 4 years. In men (but not in women), lower DHEAS was significantly associated with increased short-term mortality at 2 and 4 years after baseline measurement. These results, statistically established by taking into account corrections for age, sex, and health indicators, suggest the need for further careful trials of the administration of replacement doses of DHEA in aging humans. Indeed, the first noted results of such “treatment” are consistent with correlations observed here between functional and psychological status and endogenous steroid serum concentrations.

The asymptotic distribution of canonical correlations and vectors in higher-order cointegrated models

The study of the large-sample distribution of the canonical correlations and variates in cointegrated models is extended from the first-order autoregression model to autoregression of any (finite) order. The cointegrated process considered here is nonstationary in some dimensions and stationary in some other directions, but the first difference (the “error-correction form”) is stationary. The asymptotic distribution of the canonical correlations between the first differences and the predictor variables as well as the corresponding canonical variables is obtained under the assumption that the process is Gaussian. The method of analysis is similar to that used for the first-order process.

Binghamton wastewater management study : report of the U.S. Fish and Wildlife Service on plans developed by the U.S. Army Corps of Engineers for short- and long-range wastewater management to insure high quality water for future generations in Broome and Tioga Counties.

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