Emergence of correlations between securities at short time scales

Formation of correlations and energy-conservation at short time scales

The formation of correlations due to collisions in an interacting nucleonic system is investigated. Results from one-time kinetic equations are compared with the Kadanoff and Baym two-time equation with collisions included in Born approximation. A reasonable agreement is found for a proposed approximation of the memory effects by a finite duration of collisions. This form of collision integral ...

Formation of correlations at short time scales and consequences on interferometry methods

The formation of correlations due to collisions in an interacting nucleonic system is investigated shortly after a disturbance. Results from one-time kinetic equations are compared with the Kadanoff and Baym two-time equation with collisions included in second order Born approximation. A reasonable agreement is found for a proposed approximation of the memory effects by a finite duration of col...

Brownian motion at short time scales

Dynamic correlations at different time-scales with Empirical Mode Decomposition

The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three financial indices: the S&P 500 (USA), the IPC (Mexico) and the VIX (volatility index USA), obtaining time-varying multidimensional cross-correlations at different ti...

Generating Noble-Gas Diffusion Maps at Very Short Time Scales

observed, and D ∆ is the (time-dependent) diffusion coefficient measured at this diffusion time. Short-time-scale measurements of hyperpolarized He diffusion in the human lung typically use diffusion times between 1 and 2 ms. At this time scale, the He diffusion coefficient in normal lung airspaces is approximately 0.2 cm/s. Thus these measurements probe a length scale of approximately 350-500 ...