Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market

In this paper, we propose an efficiency index and multifractality degree for financial markets, and investigate the dynamics of the relationship between the two indices for the Shanghai stock market employing the technique of rolling window. By using the DCCA cross-correlation coefficient, we find that, for the Shanghai stock market, the increase in the degree of market multifractality can lead to a lower degree of market efficiency before the equity division reforms, whereas it can result in a lower degree of market efficiency in the short-term and a higher degree of market efficiency in the long-term after the equity division reforms. This finding reflects the process of development of the Shanghai stock market and also provides strong evidence which supports Liu’s argument that the increase in the degree of market complexity can improve the market efficiency Liu (2009) [1].     

Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.     

How do clarinet players adjust the resonances of their vocal tracts for different playing effects?

In a simple model, the reed of the clarinet is mechanically loaded by the series combination of the acoustical impedances of the instrument itself and of the player's airway. Here we measure the complex impedance spectrum of players' airways using an impedance head adapted to fit inside a clarinet mouthpiece. A direct current shunt with high acoustical resistance allows players to blow normally, so the players can simulate the tract condition under playing conditions. The reproducibility of the results suggest that the players' "muscle memory" is reliable for this task. Most players use a single, highly stable vocal tract configuration over most of the playing range, except for the altissimo register. However, this "normal" configuration varies substantially among musicians. All musicians change the configuration, often drastically for "special effects" such as glissandi and slurs: the tongue is lowered and the impedance magnitude reduced when the player intends to lower the pitch or to slur downwards, and vice versa.     

How to compute the thermal quarkonium spectral function from first principles?

In the limit of a high temperature T and a large quark-mass M, implying a small gauge coupling g, the heavy quark contribution to the spectral function of the electromagnetic current can be computed systematically in the weak-coupling expansion. We argue that the scale hierarchy relevant for addressing the disappearance (“melting”) of the resonance peak from the spectral function reads MT>g²M>gTg⁴M, and review how the heavy scales can be integrated out one-by-one, to construct a set of effective field theories describing the low-energy dynamics. The parametric behaviour of the melting temperature in the weak-coupling limit is specified.     

How to measure information carried by a modulated vocal signature?

Acoustic signaling systems that permit individual recognition are described in an increasing number of species. Evolutionary logic predicts that the efficiency of these signatures is related to the possibilities for confusion. To test this "signature adaptation" hypothesis, one needs a standardized method to estimate and compare the efficiency of different signatures. Beecher [Am. Zool. 22, 477-490 (1989)] developed such a method by comparing scalar parameters extracted from the signals. However, vocal signatures frequently consist in the evolution of one parameter against one other, which are not comparable through Beecher's method. Here we present a method to estimate the efficiency of modulated signatures. A signature's efficiency is given by its information capacity (Hm), derived from Shannon's information theory. The measure of Hm is based on an analysis of variance and uses the Euclidian distances between the signature's contours in the population. To validate our method, simulated datasets of modulated contours were used. The predicted efficiency of those signatures, estimated from Hm, was strongly correlated to its actual efficiency given by two classification methods: a discriminant analysis and a classification by human observers. Being also untied to sample size, Hm therefore allows comparing objectively vocal, but also visual and olfactory signatures.     

How to simulate a structural phase transition by the first-principles method?

We outline the procedure and approximations used to study the structural phase transition. The standard ab initio programs provide the Hellmann-Feynman forces, which allow, by the direct method, to describe the dispersion curves including the soft mode. The values of the anharmonic terms of the order parameter and order parameter-strain coupling terms, found from symmetry analysis, can be calculated within the ab initio total energy approach, by carring on the calculations for a variety of atom configurations. The method is used to describe the cubic-tetragonal phase transition in SrTiO₃, for which a soft mode and anharmonic coefficients have been found.     

How many constitutive functions are necessary to determine a thermoelastic material?

The independence of the constitutive functions of a thermoelastic material compatible with the Clausius-Duhem inequality is analysed. The constitutive functions for the absolute temperature and entropy are shown to be determined (to within a change of a unit for the absolute temperature and the entropy constant) by the constitutive functions for the stress tensor and the heat flux vector. Hence two constitutive functions are sufficient to specify a thermoelastic material.     

What has a symmetry violation in particle physics to do with non-locality?

Particle physics has become an interesting testing ground for fundamental questions of quantum mechanics (QM). The massive meson-antimeson systems are specially suitable as they offer a unique laboratory to test various aspects of particle physics ( violation, violation, ...) as well to test the foundations of QM (local realistic theories versus QM, Bell inequalities, decoherence effects, quantum marking and erasure concepts, ...). We focus here on a surprising connection between the violation of a symmetry in particle physics –the symmetry ( =charge conjugation, =parity)– and non-locality. This is achieved via Bell inequalities which discriminate between local realistic theories and QM. Further we present a decoherence model which can be tested by accelerator experiments at the DAΦNE (Italy) and at the KEK-B machine (Japan). We show that there is a simple connection between a decoherence parameter and different measures of entanglement, i.e., entanglement of formation and concurrence. In this way the very basic mathematical and theoretical concepts about entanglement can be confronted directly with experiments. Similar decoherence models can also be tested for entangled photon systems and single neutrons in an interferometer.     

How different is a hard-sphere fluid from a suspension of hard-sphere colloids near the glass transition?

This paper compares simulation and experiment to verify how a hard-sphere fluid is different from a suspension of hard-sphere colloids near the glass transition at 6% polydispersity. This is done by performing extensive molecular-dynamic simulations and by analyzing the resultant mean-square displacement from a unified viewpoint based on the mean-field theory proposed recently by Tokuyama [Physica A 364 (2006) 23–62]. The remarkable similarities are found in various physical quantities between two systems, except their phase diagrams, in which the experiment shows the glass transition, while the simulation shows the temporal re-entrant melting (transition from crystal to supercooled liquid) followed by the glass transition within a limited waiting time of order 8.4×10⁴$8.4\times {10}^4$ in a dimensionless unit.     

How long does it take to pull an ideal polymer into a small hole?

We present scaling estimates for characteristic times taulin and taubr of pulling ideal linear and randomly branched polymers of N monomers into a small hole by a force f. We show that the absorbtion process develops as sequential straightening of folds of the initial polymer configuration. By estimating the typical size of the fold involved into the motion, we arrive at the following predictions, taulin(N) approximately N3/2/f and taubr(N)approximately N5/4/f, and we also confirm them by the molecular dynamics experiment.     

How to reach a few percent level in determining the Lense–Thirring effect?

In this paper we explore the possibility of suitably combining the nodes of the existing geodetic LAGEOS, LAGEOS II and Ajisai laser-ranged satellites and of the radar altimeter Jason–1 satellite in order to increase the accuracy in testing the general relativistic gravitomagnetic Lense–Thirring secular effect in the gravitational field of the Earth. The proposal of introducing Ajisai and Jason–1 in such a combination comes from the expected benefits which could be obtained in reducing the aliasing secular impact of the classical part of the terrestrial gravitational field. According to the recently released EIGEN-CG01C combined GRACE + CHAMP + terrestrial gravimetry/altimetry Earth gravity model, the impact of the static part of the mismodelled even zonal harmonics of geopotential, which represent the major source of systematic error, amounts to 1.6%, at 1– level. It is better than the error which could be obtained with a two-node LAGEOS-LAGEOS II only combination (6% at 1–). Moreover, the proposed combination would be insensitive also to the secular variations of the low-degree even zonal harmonics, contrary to the LAGEOS-LAGEOS II only combination. Such variations could be a serious limiting factor over observational time spans many years long. The price to be paid for this improvements of the systematic error of gravitational origin is represented by the non-conservative forces introduced along with the new orbital elements. However, they would induce periodic perturbations, contrary to the gravitational noise. A major concern would be the assessment of the impact of the non-conservative accelerations on the Jason–1 node. According to the present-day force models, the mismodelling in the non-conservative forces would, at worst, induce an aliasing periodic signal with an amplitude of 4% of the Lense-Thirring effect over a time span of 2 years. However, an observational time span of just some years could safely be adopted in order to fit and remove the residual long–period non-gravitational signals affecting Jasons node, which, in the case of the direct solar radiation pressure, have a main periodicity of approximately 120 days. Of course, the possibility of getting time series of the Jasons node some years long should be demonstrated in reality.     

How to determine parameters of soft mode from dielectric spectroscopy performed using cells with ITO electrodes?

Indium tin oxide (ITO) electrodes are widely used for liquid crystal applications as well as for measuring cells. Unfortunately, ITO layer possesses its own non zero resistivity R, which produces (with the cell capacity C₀) the cut-off frequency f₀ of RC₀ circuit. From this reason, dielectric spectroscopy for high frequencies cannot be performed directly. The limits of classical method of extracting high frequency losses are shortly discussed. The new method of extracting high frequency losses is used for the first time for the experimental data. The new method can also evaluate the shrinkage of measuring cell gap after filling with liquid crystal.     

Reply to “Comments on ‘How Does a Crossed-Coil NMR Spectrometer Work?’”

I am delighted that my recent article in this journal¹ on the operation of a crossed-coil NMR spectrometer has stimulated a discussion² of this intriguing problem, and appreciate this opportunity to reply.     

How does the S11 N*(890) state emerge from a naive K-matrix fit?

We give a pedagogical analysis on K-matrix models describing the πN scattering amplitude, in S₁₁ channel at low energies. We show how the correct use of analyticity in the s-channel and crossing symmetry in t- and u-channels leads to a much improved analytic behavior in the negative s region, in agreement with the prediction from chiral perturbation amplitudes in its validity region. The analysis leads again to the conclusion that a genuine N*(890) resonance exists.     

How to achieve lasing in a system with the strong lifetime broadening of working levels?

To minimize and put into an experimentally reachable domain the coherent optical pump intensity needed for radiation amplification on a transition between strongly lifetime broadened levels, an inversionless lasing scheme is suggested. Such a scheme can be used, for example, to achieve lasing in quantum dots with lifetime broadened levels.     

Hydrogen storage in carbon nanostructures – still a long road from science to commerce?

Hydrogen storage in carbon nanostructures is still at a research level and not yet mature for industrial application. For the time being it is unfair to compare carbon nanostructures for hydrogen storage at the same level as metal hydrides or other established storage technologies, as not yet enough research has been carried out. Nevertheless we compare carbon nanostructures with well-established hydrogen-storage technologies to develop a feeling of the needs and to identify where bottlenecks might exist. We try to sketch the long route for carbon nanostructures to become a commercial product for hydrogen storage, with a focus on mobile applications. Received: 4 August 2000 / Accepted: 6 November 2000 / Published online: 9 February 2001     

Optical homogeneity analysis of Hg1−xCdxTe epitaxial layers: How to circumvent the influence of impurity absorption bands?

Optical absorption and photoluminescence spectroscopies are standard tools for analysis of HgHg_1−xCd_xTe epitaxial layers in terms of homogeneity of the mole-fraction (x). For technological relevant layer thicknesses of ∼10 μm, both techniques may show dissimilar results, in particular if doped layers are investigated. This is due to defect levels, which impact to the results obtained by both techniques in different ways. We systematically investigate this behavior by analyzing two sets of HgCdTe layers, one set intrinsically doped by Hg-vacancies, the other extrinsically doped by arsenic (As). A model is outlined and applied to the experimental results, which consistently explains even non-monotonous temperature-shifts of the spectra. Eventually, guidelines for optical homogeneity tests are given. While transmission measurements are most reliable, when carried out at low temperature, where the defect level are frozen out, photoluminescence provides best results at ambient temperature, where band-states are increasingly populated. Both approaches help to reveal intrinsic material properties.