Modelling fluctuations of financial time series: from cascade process to stochastic volatility model

In this paper, we provide a simple, “generic” interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as recently observed in reference [23], naturally emerge. We then propose a simple solvable “stochastic volatility” model for return fluctuations. This model is able to reproduce most of recent empirical findings concerning financial time series: no correlation between price variations, long-range volatility correlations and multifractal statistics. Moreover, its extension to a multivariate context, in order to model portfolio behavior, is very natural. Comparisons to real data and other models proposed elsewhere are provided. Received 22 May 2000     

Detecting vorticity filaments using wavelet analysis: About the statistical contribution of vorticity filaments to intermittency in swirling turbulent flows

Swirling turbulent flows display intermittent pressure drops associated with intense vorticity filaments. Using the wavelet transform modulus maxima representation of pressure fluctuations, we propose a method of characterizing these pressure drop events from their time-scale properties. This method allows us to discriminate fluctuations induced by just formed (young) as well as by burst (old) filaments from background pressure fluctuations. The statistical characteristics of these filaments (core size, waiting time) are analyzed in details and compared with previously reported experimental and numerical findings. Their intermittent occurrence is found to be governed by a pure Poisson's law, the hallmark of independent events. Then we apply the wavelet transform modulus maxima (WTMM) method to the background pressure fluctuations. This study reveals that, once removed all the filaments, the “multifractal” nature of pressure fluctuations still persists. This is a clear indication that the statistical contribution of the filaments is not important enough to account for the intermittency phenomenon in turbulents flows. Received 27 July 1998 and Received in final form 23 November 1998     

Investigation of the quantitative properties of the quadrupole orthogonal acceleration time-of-flight mass spectrometer with electrospray ionisation using 3,4-methylenedioxymethamphetamine

This paper describes the investigation of the potential of a quadrupole orthogonal acceleration time-of-flight mass spectrometer (Q-TOF) equipped with an atmospheric pressure ionisation interface for quantitative measurements of small molecules separated by reversed phase liquid chromatography. To this end, the detection limits and linear dynamic range in particular were studied in an LC/MS/MS experiment using 3,4-methylenedioxymethamphetamine standards and 3,4-methylenedioxyethylamphetamine for internal standardisation. In a second phase, the experiment was repeated with real biological extracts (whole blood, serum, and vitreous humour). A calibration for 3,4-methylenedioxymethamphetamine and its metabolite 3,4-methylenedioxyamphetamine was prepared in each of these matrices again using 3,4-methylenedioxyethylamphetamine as internal standard. The resulting quantitative data were compared with those obtained by liquid chromatography with fluorescence detection for the same extracts. The Q-TOF results revealed excellent sensitivity and a linear dynamic range of nearly four decades (2-10 000 pg on-column, r(2) = 0.9998, 1/x weighting). Furthermore, all the calibration curves prepared in biological material were superimposable, LC/MS/MS and LC-fluorescence, and the quantitative results for actual samples compared very favourably. It was concluded that the Q-TOF achieves a linear dynamic range for quantitative LC/MS/MS work exceeding that of fluorescence detection and at much better absolute sensitivity. Copyright 1999 John Wiley & Sons, Ltd.     

Finite element approximation of a model for phase separation of a multi-component alloy with a concentration-dependent mobility matrix

We consider a model for phase separation of a multi-componentalloy with a concentration-dependent mobility matrix and logarithmicfree energy. In particular we prove that there exists a uniquesolution for sufficiently smooth initial data. Further, we provean error bound for a fully practical piecewise linear finiteelement approximation in one and two space dimensions. Finallynumerical experiments with three components in one space dimensionare presented.     

Measurement of the decay amplitudes of B0 --> J/psiK*0 and B(s)(0) --> J/psistraight phi decays

An angular analysis of B0-->J/psiK(*0) and B(0)(s)-->J/psistraight phi has been used to determine the decay amplitudes with parity-even longitudinal ( A0) and transverse ( A( parallel)) polarization and parity-odd transverse ( A( perpendicular)) polarization. The measurements are based on 190 B0 and 40 B(0)(s) candidates obtained from 89 pb(-1) of &pmacr;p collisions at the Fermilab Tevatron. The longitudinal decay amplitude dominates with |A0|(2) = 0.59+/-0. 06+/-0.01 for B0 and |A0|(2) = 0.61+/-0.14+/-0.02 for B(0)(s) decays. The parity-odd amplitude is found to be small with |A( perpendicular)|(2) = 0.13(+0.12)(-0.09)+/-0.06 for B0 and |A( perpendicular)|(2) = 0.23+/-0.19+/-0.04 for B(0)(s) decays.     

Search for new particles decaying to t&tmacr; in p&pmacr; collisions at radicals = 1.8 TeV

We use 106 pb (-1) of data collected with the Collider Detector at Fermilab to search for narrow-width, vector particles decaying to a top and an antitop quark. Model independent upper limits on the cross section for narrow, vector resonances decaying to t&tmacr; are presented. At the 95% confidence level, we exclude the existence of a leptophobic Z' boson in a model of top-color-assisted technicolor with mass M(Z')<480 GeV/c(2) for natural width gamma = 0.012M(Z'), and M(Z')<780 GeV/c(2) for gamma = 0.04M(Z').     

Search for second and third generation leptoquarks including production via technicolor interactions in p&pmacr; collisions at radicals = 1.8 TeV

We report the results of a search for second and third generation leptoquarks using 88 pb(-1) of data recorded by the Collider Detector at Fermilab. Color triplet technipions, which play the role of scalar leptoquarks, are investigated due to their potential production in decays of strongly coupled color octet technirhos. Events with a signature of two heavy flavor jets and missing energy may indicate the decay of a second (third) generation leptoquark to a charm (bottom) quark and a neutrino. As the data are found to be consistent with standard model expectations, mass limits are determined.