COVID anomaly in the correlation analysis of S&P 500 market states.

Analyzing market states of the S&P 500 components on a time horizon January 3, 2006 to August 10, 2023, we found the appearance of a new market state not previously seen and we shall discuss its possible implications as an isolated state or as a beginning of a new general market condition. We study this in terms of the Pearson correlation matrix and relative correlation with respect to the S&P 500 index. In both cases the anomaly shows strongly.

Multivariate analysis of short time series in terms of ensembles of correlation matrices.

When dealing with non-stationary systems, for which many time series are available, it is common to divide time in epochs, i.e. smaller time intervals and deal with short time series in the hope to have some form of approximate stationarity on that time scale.

Publisher's Note: Generalized Gaussian wave packet dynamics: Integrable and chaotic systems [Phys. Rev. E 93, 012213 (2016)].

This corrects the article DOI: 10.1103/PhysRevE.93.

Generalized Gaussian wave packet dynamics: Integrable and chaotic systems.

The ultimate semiclassical wave packet propagation technique is a complex, time-dependent Wentzel-Kramers-Brillouin method known as generalized Gaussian wave packet dynamics (GGWPD). It requires overcoming many technical difficulties in order to be carried out fully in practice. In its place roughly twenty years ago, linearized wave packet dynamics was generalized to methods that include sets of off-center, real trajectories for both classically integrable and chaotic dynamical systems that completely capture the dynamical transport.

Random matrix ensemble with random two-body interactions in the presence of a mean field for spin-one boson systems.

For bosons carrying spin-one degree of freedom, we introduce an embedded Gaussian orthogonal ensemble of random matrices generated by random two-body interactions in the presence of a mean field that is spin (S) scalar [called BEGOE(1+2)-S1]. Embedding algebra for the ensemble, for m bosons in Ω number of single-particle levels (each triply degenerate), is U(3Ω)⊃G⊃G1⊗SO(3) with SO(3) generating the spin S. A method for constructing the ensemble for a given (Ω,m,S) has been developed.

Transitions in eigenvalue and wavefunction structure in (1+2) -body random matrix ensembles with spin.

Finite interacting Fermi systems with a mean-field and a chaos generating two-body interaction are modeled by one plus two-body embedded Gaussian orthogonal ensemble of random matrices with spin degree of freedom [called EGOE(1+2)-s]. Numerical calculations are used to demonstrate that, as lambda , the strength of the interaction (measured in the units of the average spacing of the single-particle levels defining the mean-field), increases, generically there is Poisson to GOE transition in level fluctuations, Breit-Wigner to Gaussian transition in strength functions (also called local density of states) and also a duality region where information entropy will be the same in both the mean-field and interaction defined basis. Spin dependence of the transition points lambda_{c} , lambdaF, and lambdad , respectively, is described using the propagator for the spectral variances and the formula for the propagator is derived.