Volume fluctuations and geometrical constraints in granular packs

I study the structural organization and correlations in very large packings of equally sized spheres, reconstructed in three dimensions with x-ray computed tomography. I show that the geometrical structure can be conveniently studied as a packing of irregular tetrahedra with volume distribution that must decay exponentially with parameters controlled by the conditions of mechanical stability, nonoverlapping, and space filling. I argue that the system's structure can be described as constituted of two phases: (1) an "unconstrained" phase which freely shares the volume and (2) a "constrained" phase which assumes configurations accordingly with the geometrical constraints. It results that the granular system exploits heterogeneity maximizing freedom and entropy while constraining mechanical stability.     

Structural transitions in granular packs: statistical mechanics and statistical geometry investigations

We investigate equal spheres packings generated from several experiments and from a large number of different numerical simulations. The structural organization of these disordered packings is studied in terms of the network of common neighbours. This geometrical analysis reveals sharp changes in the network’s clustering occurring at the packing fractions (fraction of volume occupied by the spheres respect to the total volume, ρ) corresponding to the so called Random Loose Packing limit (RLP, ρ ～ 0.555) and Random Close Packing limit (RCP, ρ ～ 0.645). At these packing fractions we also observe abrupt changes in the fluctuations of the portion of free volume around each sphere. We analyze such fluctuations by means of a statistical mechanics approach and we show that these anomalies are associated to sharp variations in a generalized thermodynamical variable which is the analogous for these a-thermal systems to the specific heat in thermal systems.     

Correlation based networks of equity returns sampled at different time horizons

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001–2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.     

Interplay between topology and dynamics in the World Trade Web

We present an empirical analysis of the network formed by the trade relationships between all world countries, or World Trade Web (WTW). Each (directed) link is weighted by the amount of wealth flowing between two countries, and each country is characterized by the value of its Gross Domestic Product (GDP). By analysing a set of year-by-year data covering the time interval 1950–2000, we show that the dynamics of all GDP values and the evolution of the WTW (trade flow and topology) are tightly coupled. The probability that two countries are connected depends on their GDP values, supporting recent theoretical models relating network topology to the presence of a `hidden' variable (or fitness). On the other hand, the topology is shown to determine the GDP values due to the exchange between countries. This leads us to a new framework where the fitness value is a dynamical variable determining, and at the same time depending on, network topology in a continuous feedback.     

Resummation of Mass Terms in Perturbative Massless Quantum Field Theory

The neutral massless scalar quantum field Φ in four-dimensional space-time is considered, which is subject to a simple bilinear self-interaction. Is is well-known from renormalization theory that adding a term of the form to the Lagrangean has the formal effect of shifting the particle mass from the original zero value to m after resummation of all two-leg insertions in the Feynman graphs appearing in the perturbative expansion of the S-matrix. However, this resummation is accompanied by some subtleties if done in a proper mathematical manner. Although the model seems to be almost trivial, is shows many interesting features which are useful for the understanding of the convergence behavior of perturbation theory in general. Some important facts in connection with the basic principles of quantum field theory and distribution theory are highlighted, and a remark is made on possible generalizations of the distribution spaces used in local quantum field theory. A short discussion how one can view the spontaneous breakdown of gauge symmetry in massive gauge theories within a massless framework is presented.      

Information Theoretic Causality Detection between Financial and Sentiment Data

The interaction between the flow of sentiment expressed on blogs and media and the dynamics of the stock market prices are analyzed through an information-theoretic measure, the transfer entropy, to quantify causality relations. We analyzed daily stock price and daily social media sentiment for the top 50 companies in the Standard & Poor (S&P) index during the period from November 2018 to November 2020. We also analyzed news mentioning these companies during the same period. We found that there is a causal flux of information that links those companies. The largest fraction of significant causal links is between prices and between sentiments, but there is also significant causal information which goes both ways from sentiment to prices and from prices to sentiment. We observe that the strongest causal signal between sentiment and prices is associated with the Tech sector.     

Perturbative gauge invariance: electroweak theory II

A recent construction of the electroweak theory, based on perturbative quantum gauge invariance alone, is extended to the case of more generations of fermions with arbitrary mixing. The conditions implied by second order gauge invariance lead to an isolated solution for the fermionic couplings in agreement with the standard model. Third order gauge invariance determines the Higgs potential. The resulting massive gauge theory is manifestly gauge invariant, after construction.     

Heterogeneous Criticality in High Frequency Finance: A Phase Transition in Flash Crashes

Flash crashes in financial markets have become increasingly important, attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and the propagation of shocks in financial markets is also a topic of great relevance that has attracted increasing attention in recent years. In the present work, we bridge the gap between these two topics with an in-depth investigation of the systemic risk structure of co-crashes in high frequency trading. We find that large co-crashes are systemic in their nature and differ from small ones. We demonstrate that there is a phase transition between co-crashes of small and large sizes, where the former involves mostly illiquid stocks, while large and liquid stocks are the most represented and central in the latter. This suggests that systemic effects and shock propagation might be triggered by simultaneous withdrawals or movement of liquidity by HFTs, arbitrageurs and market makers with cross-asset exposures.