Stock market return distributions: From past to present

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index α>3 and this index tends to increase quickly with decreasing sampling frequency. Our study is based on high-frequency recordings of the S&P500, DAX and WIG20 indices over the interval May 2004-May 2006. Our findings suggest that dynamics of the contemporary market may differ from the one observed in the past. This effect indicates a constantly increasing efficiency of world markets.     

Nonextensive statistical features of the Polish stock market fluctuations

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here, we present a systematic study of such characteristics for the Polish stock market index WIG20 over the period 04.01.1999–31.10.2005 for the time lags ranging from 1min$1\min$ up to 1 h. This market is commonly classified as emerging. Still on the shortest time scales studied we find that the tails of the return distributions are consistent with the inverse cubic power law, as identified previously for majority of the mature markets. Within the time scales studied, a quick and considerable departure from this law towards a Gaussian can however be traced. Interestingly, all the forms of the distributions observed can be comprised by the single q-Gaussians which provide a satisfactory and at the same time compact representation of the distribution of return fluctuations over all magnitudes of their variation. The corresponding nonextensivity parameter q was found to systematically decrease when increasing the time scales. The temporal correlations quantified here in terms of multifractality provide further arguments in favor of nonextensivity.     

Semiclassical information from deformed and escort information measures

Escort distributions are a well established but (for physicists) a relatively new concept that is rapidly gaining wide acceptance in world. In this work we wish to revisit the concept within the strictures of the celebrated semiclassical Husimi distributions (HDs) and thereby investigate the possibility of extracting new semiclassical information contained, not in the HD themselves, but in their associated escort Husimi distributions. We will also establish relations, for various information measures, between their deformed versions [J. Naudts, Physica A 316 (2002) 323] and those built up with escort HDs. Bounds on the concomitant power exponents will be determined.     

A Review of Bayesian Hypothesis Testing and Its Practical Implementations

We discuss hypothesis testing and compare different theories in light of observed or experimental data as fundamental endeavors in the sciences. Issues associated with the p-value approach and null hypothesis significance testing are reviewed, and the Bayesian alternative based on the Bayes factor is introduced, along with a review of computational methods and sensitivity related to prior distributions. We demonstrate how Bayesian testing can be practically implemented in several examples, such as the t-test, two-sample comparisons, linear mixed models, and Poisson mixed models by using existing software. Caveats and potential problems associated with Bayesian testing are also discussed. We aim to inform researchers in the many fields where Bayesian testing is not in common use of a well-developed alternative to null hypothesis significance testing and to demonstrate its standard implementation.     

Escort entropies and divergences and related canonical distribution

We discuss two families of two-parameter entropies and divergences, derived from the standard Rényi and Tsallis entropies and divergences. These divergences and entropies are found as divergences or entropies of escort distributions. Exploiting the nonnegativity of the divergences, we derive the expression of the canonical distribution associated to the new entropies and a observable given as an escort-mean value. We show that this canonical distribution extends, and smoothly connects, the results obtained in nonextensive thermodynamics for the standard and generalized mean value constraints.     

Electric dipole moments as probes of new physics

We review several aspects of flavour-diagonal CP-violation, focussing on the role played by the electric dipole moments (EDMs) of leptons, nucleons, atoms, and molecules, which constitute the source of several stringent constraints on new CP-violating physics. We dwell specifically on the calculational aspects of applying the hadronic EDM constraints, reviewing in detail the application of QCD sum-rules to the calculation of nucleon EDMs and CP-odd pion-nucleon couplings. We also consider the current status of EDMs in the Standard Model, and on the ensuing constraints on the underlying sources of CP-violation in physics beyond the Standard Model, focussing on weak-scale supersymmetry.     

Height and roughness distributions in thin films with Kardar-Parisi-Zhang scaling

We study height and roughness distributions of films grown with discrete Kardar-Parisi-Zhang (KPZ) models in a small time regime which is expected to parallel the typical experimental conditions. Those distributions are measured with square windows of sizes 8 ? r ? 128 gliding through a much larger surface. Results for models with weak finite-size corrections indicate that the absolute value of the skewness and the value of the kurtosis of height distributions converge to 0.2 ? ∣S∣ ? 0.3 and 0 ? Q ? 0.5, respectively. Despite the low accuracy of these results, they give additional support to a recent claim of KPZ scaling in oligomer films. However, there are significant finite-size effects in the scaled height distributions of models with large local slopes, such as ballistic deposition, which suggests that comparison of height distributions must not be used to rule out KPZ scaling. On the other hand, roughness distributions of the same models show good data collapse, with negligible dependence on time and window size. The estimates of skewness and kurtosis for roughness distributions are 1.7 ? S ? 2 and 3 ? Q ? 7. A stretched exponential tail was found, which seems to be a particular feature of KPZ systems in 2 + 1 dimensions. Moreover, the KPZ roughness distributions cannot be fitted by those of 1/f^α noise. This study suggests that the roughness distribution is the best option to test KPZ scaling in the growth regime, and provides quantitative data for future comparison with other models or experiments.     

κ-Poincaré–Hopf algebra and Hopf algebroid structure of phase space from twist

We unify κ-Poincaré algebra and κ-Minkowski spacetime by embedding them into quantum phase space. The quantum phase space has Hopf algebroid structure to which we apply the twist in order to get κ-deformed Hopf algebroid structure and κ-deformed Heisenberg algebra. We explicitly construct κ-Poincaré–Hopf algebra and κ-Minkowski spacetime from twist. It is outlined how this construction can be extended to κ-deformed super-algebra including exterior derivative and forms. Our results are relevant for constructing physical theories on noncommutative spacetime by twisting Hopf algebroid phase space structure.     

Integral equations satisfied by the H- X- and Y-functions and the albedo problem

We come back to a nonlinear integral equation satisfied by the function H, which is distinct from the classical H-equation. Established for the first time by Busbridge (1955), it appeared occasionally in the literature since then. First of all, this equation is generalized over the whole complex plane using the method of residues. Then its counterpart in a finite slab is derived; it consists in two series of integral equations for the X- and Y-functions. These integral equations are finally applied to the solution of the albedo problem in a slab.     

C-V analysis of rapidly thermal annealed SF6 plasma treated AlGaN/GaN heterostructures

We studied influence of rapid thermal annealing on electrical parameters of SF₆ plasma treated AlGaN/GaN heterostructures. The main emphasis by the evaluation was laid on C-V measurement and simulation, but also I-V and SIMS measurement were used. It was found that the diminished sheet carrier concentration of a two-dimensional electron gas after plasma treatment recovered significantly at the temperature of 500 °C. By using C-V measurement, it was possible to assess besides the changes of the two-dimensional electron gas concentration after annealing also the changes in the Schottky barrier heights and to find out the doping concentration in AlGaN barrier and GaN channel layer. The trend in Schottky barrier height changes after annealing was confirmed also by I-V measurement.     

Transport in a realistic magnetic field modulated nanostructure with the δ-doping

We theoretically investigate electron transport properties in a nanostructure modulated by the realistic magnetic field and the δ-doping. We find that the electron transport properties are strongly dependent on the weight and the position of the δ-doping. These interesting finds may be very helpful for designing the δ-doping-tunable spintronic devices.     

Thermoelectric properties of one-dimensional graphene antidot arrays

We investigate the thermoelectric properties of one-dimensional (1D) graphene antidot arrays by nonequilibrium Green?s function method. We show that by introducing antidots to the pristine graphene nanoribbon the thermal conductance can be reduced greatly while keeping the power factor still high, thus leading to an enhanced thermoelectric figure of merit (ZT). Our numerical results indicate that ZT values of 1D antidot graphene arrays can be up to unity, which means the 1D graphene antidot arrays may be promising for thermoelectric applications.     

First-principles study of manganese-stabilized hafnia

We present a first-principles study of the electronic and magnetic properties of cubic hafnium dioxide stabilized by Mn. We find this material to be ferromagnetic and half-metallic, with the Mn-impurity electronic states lying in the band gap of hafnia for a wide range of manganese concentration. Our ab initio calculations, within the local spin-density approximation, demonstrate that Mn-doped hafnia may be ferromagnetic at 700 K while its high-T_C ferromagnetism is robust to the oxygen vacancy defects and to how the Mn impurities are distributed over the cation sublattice.     

Modelling of a Nd:YAG laser Q-switched by a scanning interferometric mirror

We have modelled a continuously pumped Nd:YAG actively Q-switched by a variable interferometric mirror made up of a scanning Michelson or Fabry-Pérot mirror. We have characterised the three-mirror laser dynamics by using a bifurcation diagram constructed from the plot of peak power-enhancement factor as a function of mirror speed. One observes different chaotic windows separated by period-doubling bifurcations, and stable periodic regime. It is demonstrated that the best performance of the Q-switched laser is obtained rather for low than for high mirror speed (pulse width of 20 ns, and high peak power up to 400 times greater than the continuous emission).     

First-order transitions from singly peaked distributions

Suppose that, in the thermodynamic limit, a single-component particle system exhibits a standard first-order transition marked by a jump in the density, ρ, at a chemical potential μ_σ(T). In grand canonical simulations of model fluids that realize such a transition when L→∞ (where L is the linear dimension of the simulation volume) the presence of the transition is typically signaled by the appearance of a double-peaked structure in the distribution function, P_N(T,μ_σ;L), of the particle number, N. A simple, explicit counterexample is presented, however, that proves, contrary to popular beliefs, that the converse proposition is false: i.e., a single-peaked distribution, P_N(T,μ_σ;L), may, when L→∞, give rise to a first-order transition. Alternatively, the existence of a first-order transition does not imply a double-peaked distribution. Systems that may exhibit such single-peaked, first-order behavior are discussed and a possible route to constructing explicit models exhibiting the phenomenon is described. Strategies to use in simulating such systems are briefly considered in the light of related studies.     

Transition to sub-Planck structures through the superposition of q-oscillator stationary states

We investigate the superposition of four different quantum states based on the q-oscillator. These quantum states are expressed by means of Rogers-Szegö polynomials. We show that such a superposition has the properties of the quantum harmonic oscillator when q→1, and those of a compass state with the appearance of chessboard-type interference patterns when q→0.     

Extended verification of scaling behavior in split-ring resonators

We present an expanded LC-model for nanoscale split-ring resonators (SRR), including the influence of dielectric host materials. The LC-model is experimentally verified by changing the geometry of the SRR unit cell as well as by optofluidic tuning, where the SRR samples are covered with index oil. The extended model can be used as a general guideline for metal SRR structures with arbitrary dielectric host materials.