Average cross-responses in correlated financial markets

There are non-vanishing price responses across different stocks in correlated financial markets, reflecting non-Markovian features. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-response exhibits a shorter response period with sizeable volatilities, while the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast to the short-memory trade sign cross-correlations for each pair of stocks, the sign cross-correlations averaged over different pairs of stocks show long memory.     

Ground states of a nonlinear curl-curl problem in cylindrically symmetric media

We consider the nonlinear curl-curl problem \({\nabla\times\nabla\times U + V(x) U= \Gamma(x)|U|^{p-1}U}\) in \({\mathbb{R}^3}\) related to the Kerr nonlinear Maxwell equations for fully localized monochromatic fields. We search for solutions as minimizers (ground states) of the corresponding energy functional defined on subspaces (defocusing case) or natural constraints (focusing case) of \({H({\rm curl};\mathbb{R}^3)}\). Under a cylindrical symmetry assumption corresponding to a photonic fiber geometry on the functions V and \({\Gamma}\) the variational problem can be posed in a symmetric subspace of \({H({\rm curl};\mathbb{R}^3)}\). For a defocusing case \({{\rm sup} \Gamma < 0}\) with large negative values of \({\Gamma}\) at infinity we obtain ground states by the direct minimization method. For the focusing case \({{\rm inf} \Gamma > 0}\) the concentration compactness principle produces ground states under the assumption that zero lies outside the spectrum of the linear operator \({\nabla \times \nabla \times +V(x)}\). Examples of cylindrically symmetric functions V are provided for which this holds.     

Exponential family mixed membership models for soft clustering of multivariate data

For several years, model-based clustering methods have successfully tackled many of the challenges presented by data-analysts. However, as the scope of data analysis has evolved, some problems may be beyond the standard mixture model framework. One such problem is when observations in a dataset come from overlapping clusters, whereby different clusters will possess similar parameters for multiple variables. In this setting, mixed membership models, a soft clustering approach whereby observations are not restricted to single cluster membership, have proved to be an effective tool. In this paper, a method for fitting mixed membership models to data generated by a member of an exponential family is outlined. The method is applied to count data obtained from an ultra running competition, and compared with a standard mixture model approach.