Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Enhanced long-range forecast skill in boreal winter following stratospheric strong vortex conditions

There has been a great deal of recent interest in producing weather forecasts on the 2–6 week sub-seasonal timescale, which bridges the gap between medium-range (0–10 day) and seasonal (3–6 month) forecasts. While much of this interest is focused on the potential applications of skilful forecasts on the sub-seasonal range, understanding the potential sources of sub-seasonal forecast skill is a challenging and interesting problem, particularly because of the likely state-dependence of this skill (Hudson et al 2011). One such potential source of state-dependent skill for the Northern Hemisphere in winter is the occurrence of stratospheric sudden warming (SSW) events (Sigmond et al 2013). Here we show, by analysing a set of sub-seasonal hindcasts, that there is enhanced predictability of surface circulation not only when the stratospheric vortex is anomalously weak following SSWs but also when the vortex is extremely strong. Sub-seasonal forecasts initialized during strong vortex events are able to successfully capture the associated surface temperature and circulation anomalies. This results in an enhancement of Northern annular mode forecast skill compared to forecasts initialized during the cases when the stratospheric state is close to climatology. We demonstrate that the enhancement of skill for forecasts initialized during periods of strong vortex conditions is comparable to that achieved for forecasts initialized during weak events. This result indicates that additional confidence can be placed in sub-seasonal forecasts when the stratospheric polar vortex is significantly disturbed from its normal state.

Higgs- and Goldstone-boson-mediated long range forces

In certain mild extensions of the standard model, spin-independent long range forces can arise by exchange of two very light pseudoscalar spin-0 bosons. In particular, we have in mind models in which these bosons do not have direct tree level couplings to ordinary fermions. Using the dispersion theoretical method, we find a 1/r3 behavior of the potential for the exchange of very light pseudoscalars and a 1/r7 dependence if the pseudoscalars are true massless Goldstone bosons. ©1999 The American Physical Society.

Long-range two-particle correlations of strange hadrons with charged particles in pPb and PbPb collisions at LHC energies

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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).

Three-Particle Coincidence of the Long Range Pseudorapidity Correlation in High Energy Nucleus-Nucleus Collisions

We report the first three-particle coincidence measurement in pseudorapidity (Delta eta) between a high transverse momentum (p(perpendicular to)) trigger particle and two lower p(perpendicular to) associated particles within azimuth |Delta phi| < 0.7 in root s(NN) = 200 GeV d + Au and Au + Au collisions. Charge ordering properties are exploited to separate the jetlike component and the ridge (long range Delta eta correlation). The results indicate that the correlation of ridge particles are uniform not only with respect to the trigger particle but also between themselves event by event in our measured Delta eta. In addition, the production of the ridge appears to be uncorrelated to the presence of the narrow jetlike component.

Long range rapidity correlations and jet production in high energy nuclear collisions

The STAR Collaboration at the Relativistic Heavy Ion Collider presents a systematic study of high-transverse-momentum charged-di-hadron correlations at small azimuthal pair separation Delta phi in d+Au and central Au+Au collisions at s(NN)=200 GeV. Significant correlated yield for pairs with large longitudinal separation Delta eta is observed in central Au+Au collisions, in contrast to d+Au collisions. The associated yield distribution in Delta eta x Delta phi can be decomposed into a narrow jet-like peak at small angular separation which has a similar shape to that found in d+Au collisions, and a component that is narrow in Delta phi and depends only weakly on Delta eta, the ""ridge."" Using two systematically independent determinations of the background normalization and shape, finite ridge yield is found to persist for trigger p(t)>6 GeV/c, indicating that it is correlated with jet production. The transverse-momentum spectrum of hadrons comprising the ridge is found to be similar to that of bulk particle production in the measured range (2 < p(t)< 4 GeV/c).

Growth of Long Range Forward-Backward Multiplicity Correlations with Centrality in Au plus Au Collisions at root s(NN)=200 GeV

Forward-backward multiplicity correlation strengths have been measured with the STAR detector for Au + Au and p + p collisions at root s(NN) = 200 GeV. Strong short- and long-range correlations (LRC) are seen in central Au + Au collisions. The magnitude of these correlations decrease with decreasing centrality until only short-range correlations are observed in peripheral Au + Au collisions. Both the dual parton model (DPM) and the color glass condensate (CGC) predict the existence of the long-range correlations. In the DPM, the fluctuation in the number of elementary (parton) inelastic collisions produces the LRC. In the CGC, longitudinal color flux tubes generate the LRC. The data are in qualitative agreement with the predictions of the DPM and indicate the presence of multiple parton interactions.

Simulation of the Barkhausen Noise using random field Ising model with long-range interaction

We present a method to simulate the Magnetic Barkhausen Noise using the Random Field Ising Model with magnetic long-range interaction. The method allows calculating the magnetic flux density behavior in particular sections of the lattice reticule. The results show an internal demagnetizing effect that proceeds from the magnetic long-range interactions. This demagnetizing effect induces the appearing of a magnetic pattern in the region of magnetic avalanches. When compared with the traditional method, the proposed numerical procedure neatly reduces computational costs of simulation. (c) 2008 Published by Elsevier B.V.

Off-diagonal long-range order in a supersymmetric integrable model of correlated electrons

A new model for correlated electrons is presented which is integrable in one-dimension. The symmetry algebra of the model is the Lie superalgebra gl(2\1) which depends on a continuous free parameter. This symmetry algebra contains the eta pairing algebra as a subalgebra which is used to show that the model exhibits Off-Diagonal Long-Range Order in any number of dimensions.

New integrable model of correlated electrons with off-diagonal long-range order from so(5) symmetry

We present a new integrable model for correlated electrons which is based on so(5) symmetry. By using an eta-pairing realization we construct eigenstates of the Hamiltonian with off-diagonal long-range order. It is also shown that these states lie in the ground state sector. We exactly solve the model on a one-dimensional lattice by the Bethe ansatz.

Long range forecasts of the numbers of Helicoverpa punctigera and H-armigera (Lepidoptera : Noctuidae) in Australia using the Southern Oscillation Index and the Sea Surface Temperature

The use of long-term forecasts of pest pressure is central to better pest management. We relate the Southern Oscillation Index (SOI) and the Sea Surface Temperature (SST) to long-term light-trap catches of the two key moth pests of Australian agriculture, Helicoverpa punctigera (Wallengren) and H. armigera (Hubner), at Narrabri, New South Wales over 11 years, and for H. punctigera only at Turretfield, South Australia over 22 years. At Narrabri, the size of the first spring generation of both species was significantly correlated with the SOI in certain months, sometimes up to 15 months before the date of trapping. Differences in the SOI and SST between significant months were used to build composite variables in multiple regressions which gave fitted values of the trap catches to less than 25% of the observed values. The regressions suggested that useful forecasts of both species could be made 6-15 months ahead. The influence of the two weather variables on trap catches of H. punctigera at Turretfield were not as strong as at Narrabri, probably because the SOI was not as strongly related to rainfall in southern Australia as it is in eastern Australia. The best fits were again given by multiple regressions with SOI plus SST variables, to within 40% of the observed values. The reliability of both variables as predictors of moth numbers may be limited by the lack of stability in the SOI-rainfall correlation over the historical record. As no other data set is available to test the regressions, they can only be tested by future use. The use of long-term forecasts in pest management is discussed, and preliminary analyses of other long sets of insect numbers suggest that the Southern Oscillation Index may be a useful predictor of insect numbers in other parts of the world.

Sequence analysis, chromosomal distribution and long-range organization show that rapid turnover of new and old pBuM satellite DNA repeats leads to different patterns of variation in seven species of the Drosophila buzzatii cluster

We aimed to study patterns of variation and factors influencing the evolutionary dynamics of a satellite DNA, pBuM, in all seven Drosophila species from the buzzatii cluster (repleta group). We analyzed 117 alpha pBuM-1 (monomer length 190 bp) and 119 composite alpha/beta (370 bp) pBuM-2 repeats and determined the chromosome location and long-range organization on DNA fibers of major sequence variants. Such combined methodologies in the study of satDNAs have been used in very few organisms. In most species, concerted evolution is linked to high copy number of pBuM repeats. Species presenting low-abundance and scattered distributed pBuM repeats did not undergo concerted evolution and maintained part of the ancestral inter-repeat variability. The alpha and alpha/beta repeats colocalized in heterochromatic regions and were distributed on multiple chromosomes, with notable differences between species. High-resolution FISH revealed array sizes of a few kilobases to over 0.7 Mb and mutual arrangements of alpha and alpha/beta repeats along the same DNA fibers, but with considerable changes in the amount of each variant across species. From sequence, chromosomal and phylogenetic data, we could infer that homogenization and amplification events involved both new and ancestral pBuM variants. Altogether, the data on the structure and organization of the pBuM satDNA give insights into genome evolution including mechanisms that contribute to concerted evolution and diversification.

Integrability and exact solution of an electronic model with long range interactions

We present an electronic model with long range interactions. Through the quantum inverse scattering method, integrability of the model is established using a one-parameter family of typical irreducible representations of gl(211). The eigenvalues of the conserved operators are derived in terms of the Bethe ansatz, from which the energy eigenvalues of the Hamiltonian are obtained.

Long-range automaton models of earthquakes: Power-law accelerations, correlation evolution, and mode-switching

We introduce a conceptual model for the in-plane physics of an earthquake fault. The model employs cellular automaton techniques to simulate tectonic loading, earthquake rupture, and strain redistribution. The impact of a hypothetical crustal elastodynamic Green's function is approximated by a long-range strain redistribution law with a r(-p) dependance. We investigate the influence of the effective elastodynamic interaction range upon the dynamical behaviour of the model by conducting experiments with different values of the exponent (p). The results indicate that this model has two distinct, stable modes of behaviour. The first mode produces a characteristic earthquake distribution with moderate to large events preceeded by an interval of time in which the rate of energy release accelerates. A correlation function analysis reveals that accelerating sequences are associated with a systematic, global evolution of strain energy correlations within the system. The second stable mode produces Gutenberg-Richter statistics, with near-linear energy release and no significant global correlation evolution. A model with effectively short-range interactions preferentially displays Gutenberg-Richter behaviour. However, models with long-range interactions appear to switch between the characteristic and GR modes. As the range of elastodynamic interactions is increased, characteristic behaviour begins to dominate GR behaviour. These models demonstrate that evolution of strain energy correlations may occur within systems with a fixed elastodynamic interaction range. Supposing that similar mode-switching dynamical behaviour occurs within earthquake faults then intermediate-term forecasting of large earthquakes may be feasible for some earthquakes but not for others, in alignment with certain empirical seismological observations. Further numerical investigation of dynamical models of this type may lead to advances in earthquake forecasting research and theoretical seismology.