Correlation of financial markets in times of crisis

Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate financial market crises that occurred in the years 1987 (Black Monday), 1998 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the largest downturns of financial markets in the last three decades.     

On the Dynamics of International Real-Estate-Investment Trust-Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures

In this paper, we investigate the time-varying interconnectedness of international Real Estate Investment Trusts (REITs) markets using daily REIT prices in twelve major REIT countries since the Global Financial Crisis. We construct dynamic total, net total and net pairwise return and volatility connectedness measures to better understand systemic risk and the transmission of shocks across REIT markets. Our findings show that that REIT market interdependence is dynamic and increases significantly during times of heightened uncertainty, including the COVID-19 pandemic. We also find that the US REIT market along with major European REITs are generally sources of shocks to Asian-Pacific REIT markets. Furthermore, US REITs appear to dominate European REITs. These findings highlight that portfolio diversification opportunities decline during times of market uncertainty.     

Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution

The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the interactions between a selected set of stock assets and equity indices under different high and low return volatility episodes at the 2008 Subprime Crisis and the 2020 COVID-19 outbreak. We carry out an inference process to identify the interactions, in which we implement the a pairwise Ising distribution model describing the first and second moments of the distribution of the discretized returns of each asset. Our results indicate that second-order interactions explain more than 80% of the entropy in the system during the Subprime Crisis and slightly higher than 50% during the COVID-19 outbreak independently of the period of high or low volatility analyzed. The evidence shows that during these periods, slight changes in the second-order interactions are enough to induce large changes in assets correlations but the proportion of positive and negative interactions remains virtually unchanged. Although some interactions change signs, the proportion of these changes are the same period to period, which keeps the system in a ferromagnetic state. These results are similar even when analyzing triadic structures in the signed network of couplings.     

Detecting macroeconomic phases in the Dow Jones Industrial Average time series

In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average (DJI) time series between January 1997 and August 2008. Modeling the index movements and log-index movements as stationary Gaussian processes, we find a total of 116 and 119 statistically stationary segments respectively. These can then be grouped into between five and seven clusters, each representing a different macroeconomic phase. The macroeconomic phases are distinguished primarily by their volatilities. We find that the US economy, as measured by the DJI, spends most of its time in a low-volatility phase and a high-volatility phase. The former can be roughly associated with economic expansion, while the latter contains the economic contraction phase in the standard economic cycle. Both phases are interrupted by a moderate-volatility market correction phase, but extremely-high-volatility market crashes are found mostly within the high-volatility phase. From the temporal distribution of various phases, we see a high-volatility phase from mid-1998 to mid-2003, and another starting mid-2007 (the current global financial crisis). Transitions from the low-volatility phase to the high-volatility phase are preceded by a series of precursor shocks, whereas the transition from the high-volatility phase to the low-volatility phase is preceded by a series of inverted shocks. The time scale for both types of transitions is about a year. We also identify the July 1997 Asian Financial Crisis to be the trigger for the mid-1998 transition, and an unnamed May 2006 market event related to corrections in the Chinese markets to be the trigger for the mid-2007 transition.     

A dynamic mathematical test of international property securities bubbles and crashes

This study investigates property securities bubbles and crashes by using a dynamic mathematical methodology developed from the previous research (Watanabe et al. 2007a, b [31] and [32]). The improved model is used to detect the bubble and crash periods in five international countries/cities (namely, United States, United Kingdom, Japan, Hong Kong and Singapore) from Jan, 2000 to Oct, 2008. By this model definition, we are able to detect the beginning of each bubble period even before it bursts. Meanwhile, the empirical results show that most of property securities markets experienced bubble periods between 2003 and 2007, and crashes happened in Apr 2008 triggered by the Subprime Mortgage Crisis of US. In contrast, Japan suffered the shortest bubble period and no evidence has documented the existence of crash there.     

Transitions between flow regimes of baroclinic flow in a rotating annulus of fluid

Baroclinic flow in a rotating annulus of fluid shows remarkable transitions of flow patterns as do Rayleigh–Benard convection and Taylor vortices. There are four flow regimes in two nondimensional parameter space, called a symmetric regime (Hadley regime), a steady wave regime (Rossby regime), a vacillating wave regime and a geostrophic turbulence regime. Laminar flow in a symmetric regime is formed between the balance of a horizontal pressure gradient force and a Coriolis torque (geostrophic balance), and this flow becomes unstable when one of the nondimensional parameters, the thermal Rossby number, becomes less than the critical value. In this paper, the characteristic features of the four flow regimes are reviewed including recent findings about the behavior of geostrophic turbulence.     

Low-frequency critical dynamics in (CnH2n+1NH3)2SnCl6 model biomembrane systems

Nuclear magnetic resonance has been employed as a probe for the collective hydrocarbon chain dynamics in the organic–inorganic model biomembranes (C_nH_2n+1NH₃)₂SnCl₆, undergoing order–disorder and conformational phase transitions. No anomalies were observed in the laboratory-frame spin–lattice relaxation measurements at the order–disorder phase transitions, whereas a discontinuity was manifest at the conformational phase transitions characteristic of a first-order phase transition. On the other hand, our rotating frame spin–lattice relaxation measurements revealed a low-frequency critical collective chain dynamics in the kilohertz regime associated with the order–disorder phase transition.     

Firm size distribution and mobility of the top 500 firms in China,the United States and the world

This paper considers the macroscopic and microscopic statistical features of the top 500 firms in China, the United States and the world, denoted as China 500 (CH500), Fortune 500 (US500) and Fortune Global 500 (FG500). From a macroscopic perspective, the firm size distribution of each category, when measured by revenue, is steadily distributed over the observed period, even during periods of financial crises. As is evidenced by the Gini coefficient, divergences between firm scales are most significant for the CH500. From a microscopic perspective, the underlying micro-dynamics are volatile and often turbulent due to the exit and entry of firms as well as shifts in their revenues and ranks. Such fluctuations, or mobility, are visualized in rank/revenue/share clocks. We also propose a revenue/rank/share mobility index that is a quantitative measurement of mobility. Among these, we find that the share mobility acts as an effective indicator of economic status; where there is a share mobility spike, there is an ailing economy. The share mobility indexes indicate that the 2008 Financial Crisis had little impact on the Chinese economy, while it triggered violent changes in the top 500 firms in the United States and the world.     

Studying the regime of complete decoupling of the bond between the electron and nuclear moments at the <Emphasis Type="Italic">D</Emphasis><Subscript>1</Subscript>-line of the <Superscript>39</Superscript>K potassium isotope using a spectroscopic microcell

Atomic transitions of the ³⁹K potassium isotope in strong (up to 1 kG) longitudinal and transverse magnetic fields have been studied with a high spectral resolution. It has been shown that crossover resonances are almost absent in the saturated absorption spectrum of potassium vapors in a 30-μm-thick microcell. This, together with the small spectral width of atomic transitions (~30 MHz), allows one to use the saturated absorption spectrum for determining frequencies and probabilities of individual transitions. Among the alkali metals, potassium atoms have the smallest magnitude of the hyperfine splitting of the lower level. This allows one to observe the break of the coupling between the electronic and nuclear angular momentums at comparatively low magnetic fields B > 500 G, i.e., to implement the hyperfine Paschen–Back regime (HPB). In the HPB regime, four equidistantly positioned transitions with the same amplitude are detected in circularly polarized light (σ⁺). In linearly polarized light (π) at the transverse orientation of the magnetic field, the spectrum consists of eight lines which are grouped in two groups each of which consists of four lines. Each group has a special distinguished G-transition and the transition that is forbidden in the zero magnetic field. In the HPB regime, the probabilities of transitions in a group and derivatives of their frequency shifts with respect to the magnetic field asymptotically tend to magnitudes that are typical for the aforesaid distinguished G-transition. Some practical applications for the used microcell are mentioned.     

Laser-induced bubble formation and collapse in a nonlinear Rayleigh-Taylor unstable interface in a thin layer of molten metal

Bubble formation and bubble collapse zones in a laser-induced nonlinear Rayleigh-Taylor (R-T) instability were shown to follow the contours of a series of R-T shock-fronts generated on an irregular planar (terrace-like) target surface. Bubble formation occurs in the regime of target planar vaporization. Spatial variation of the bubble density distribution, the bubble size, and the bubble-bubble distance, as a function of distance from the shock front envelope, were determined. Bubble collapse occurs in the regime of planar-to-volume boiling transition and proceeds by the so-called “chain reaction” collapse mechanism inside a 2D bubble array. The contours of bubble generation and of bubble collapse were simulated by using the analytical model of Ott with variable phase and variable amplitude of R-T modes.     

Critical dynamics of burst instabilities in the Portevin-Le Ch atelier effect

We investigate the Portevin-Le Chatelier effect (PLC), by compressing Al-Mg alloys in a very large deformation range, and interpret the results from the viewpoint of phase transitions and critical phenomena. The system undergoes two dynamical phase transitions between intermittent (or "jerky") and "laminar" plastic dynamic phases. Near these two dynamic critical points, the order parameter 1/tau of the PLC effect exhibits large fluctuations, and "critical slowing down" (i.e., the number tau of bursts, or plastic instabilities, per unit time slows down considerably).     

Monte Carlo study of phase transitions in the bond-diluted 3D 4-state Potts model

Large-scale Monte Carlo simulations of the bond-diluted three-dimensional 4-state Potts model are performed. The phase diagram and the physical properties at the phase transitions are studied using finite-size scaling techniques. Evidences are given for the existence of a tricritical point dividing the phase diagram into a regime where the transitions remain of first order and a second regime where the transitions are softened to continuous ones by the influence of disorder. In the former regime, the nature of the transition is essentially clarified through an analysis of the energy probability distribution. In the latter regime critical exponents are estimated. Rare and typical events are identified and their role is qualitatively discussed in both regimes.     

New Lines and Levels in the UV Spectrum of NdI

The spectrum of transitions to high-lying odd states of the neodymium atom in the UV range from 317 to 323 nm is studied by resonance laser excitation and ionization. Fifty-five of the 72 transitions detected are observed for the first time. For the brightest lines (18), the lower levels of transitions are identified, the energies of the upper levels are determined (31023.813–33437.403 cm^–1), and the isotope shifts between ¹⁴²Nd and ¹⁴⁴Nd are measured. The shifts for all stable even neodymium isotopes are measured for five transitions (142–150).     

Special solution of the mode-coupling equations for a two-component magnetic system

The validity of the vertex approximation for the nonlinear Langevin equations has been investigated in the special case of a two-component magnetic system without spatial correlation. The exact solution of the equation resulting from the vertex approximation is compared with that of the original equation. Agreement is found in the regime of small nonlinearity. In the opposite regime, especially near a critical slowing down, both solutions differ significantly.     

Modeling volatility changes in the 10-year Treasury

This paper examines the daily volatility of changes in the 10-year Treasury note utilizing the iterated cumulative sums of squares algorithm [C. Inclan, G. Tiao, Use of cumulative sums of squares for retrospective detection of changes of variance, J. Am. Stat. Assoc. 89 (1994) 913–923]. The ICSS algorithm can detect regime shifts in the volatility of the interest rate changes. A general model allows for endogenously determined changes in variance while the more restrictive model forces the variance to follow the same process throughout the sample period. A comparison of the out-of-sample volatility forecasting performance of two competing models is made using asymmetric error measures. The asymmetric error statistics penalize models for under- or over-predicting volatility. The results shed light on the importance of ignoring volatility regime shifts when performing out-of-sample forecasts. The findings are important to financial market participants who require accurate forecasts of future volatility in order to implement and evaluate asset performance.     

Blocked-micropores,surface functionalized,bio-compatible and silica-coated iron oxide nanocomposites as advanced MRI contrast agent

Quasi-critical fluctuations occur close to critical points or close to continuous phase transitions. In three-dimensional systems, precision tuning is required to access the fluctuation regime. Lowering the dimensionality enhances the parameter space for quasi-critical fluctuations considerably. This enables one to make use of novel properties emerging in fluctuating systems, such as giant susceptibilities, Casimir forces or novel quasi-particle interactions. Examples are discussed ranging from simple metal–adsorbate systems to unconventional superconductivity in iron-based superconductors.     

The importance of timescales: simple models for economic markets

This paper considers a simple model of an economy. The economy consists of agents. Each agent produces exactly one good. The good is sold on the market and the agent uses the resulting money to buy many other goods. All agents have the goal to maximize their own utility, which consists of a positive contribution from consumption, and a negative contribution from work. The problem for the agent thus is to balance work and consumption. In contrast to many other economic models, this model prescribes the process in all completeness. The paper looks both at analytical solutions and at simulation results. A particularly important results is that a well-defined market only emerges when prices adapt on a much slower time scale than consumption. This makes clear that a functioning market does not just emerge by itself.     

Methodology for the characterisation of characteristic spectral profiles,applied to chromium Kβ

The investigation of tests of quantum electrodynamics in the X‐ray regime down to 2–20 parts per million (ppm) amplifies the need for improved characterisation of asymmetric reference sources and energies in this regime. While several transition metal characteristic energies have been defined, most are not referenced to accurate profiles or robust links to the metre via X‐ray optical interferometry. Lower intensity Kβ transitions have relatively poor accuracy – we ask how to determine Kβ transitions to an accuracy approaching those of Kα transitions. Instrumental broadening normally encountered in X‐ray experiments shifts the features of profiles used for calibration, such as peak energy, by a significant amount many times the quoted accuracies. We present a study of a methodology used recently to determine energies and profiles experimentally down to 4.5 and 2.7 ppm for Ti and V Kβ. In this study, we investigate the robustness of the methodology for a difficult data set and demonstrate that the approaches to and characterisation of the chromium Kβ spectral profile are consistent with accurate measurements in the literature down to 24 ppm. The peak energy of the chromium Kβ spectral profile is found to be 5946.68(14) eV prior to instrumental broadening. Characterisation of the spectral profile of the radiation, including the instrumental broadening, allows us to obtain an accurate and notably transferable standard. Significantly, we present a widely applicable methodology for achieving and using this standard. This approach has been used down to an accuracy of 2–5 ppm.     

Cholesteric–nematic transitions induced by a shear flow and a magnetic field

The untwisting of the helical structure of a cholesteric liquid crystal under the action of a magnetic field and a shear flow has been studied theoretically. Both factors can induce the cholesteric–nematic transition independently; however, the difference in the orienting actions of the magnetic field and the shear flow leads to competition between magnetic and hydrodynamic mechanisms of influence on the cholesteric liquid crystal. We have analyzed different orientations of the magnetic field relative to the direction of the flow in the shear plane. In a number of limiting cases, the analytic dependences are obtained for the pitch of the cholesteric helix deformed by the shear flow. The phase diagrams of the cholesteric–nematic transitions and the pitch of the cholesteric helix are calculated for different values of the magnetic field strength and the angle of orientation, the flow velocity gradient, and the reactive parameter. It is shown that the magnetic field stabilizes the orientation of the director in the shear flow and expands the boundaries of orientability of cholesterics. It has been established that the shear flow shifts the critical magnetic field strength of the transition. It is shown that a sequence of reentrant orientational cholesteric–nematic–cholesteric transitions can be induced by rotating the magnetic field in certain intervals of its strength and shear flow velocity gradients.     

On the equivalence between magnetic-field-induced phase transitions in the integer quantum Hall effect

Magnetic-field-induced phase transitions in the two-dimensional electron system in a AlGaAs/InGaAs/GaAs heterostructure are studied. Two kinds of magnetic-field-induced phase transitions, plateau-plateau (P-P) and insulator-quantum Hall conductor (I-QH) transitions, are observed in the integer quantum Hall effect regime at high magnetic fields. In the P-P transition, both the semicircle law and the universality of critical conductivities are broken and we do not observe the universal scaling. However, the P-P transition can still be mapped to the I-QH transition by the Landau-level addition transformation, and as the temperature decreases the critical points of these two transitions appear at the same temperature. Our observations indicate that the equivalence between P-P and I-QH transitions can be found by the suitable analysis even when some expected universal properties are invalid.