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.

An empirical data analysis of "price runs" in daily financial indices: Dynamically assessing market geometric distributional behavior.

In financial time series there are time periods in which market indices values or assets prices increase or decrease monotonically. We call those events "price runs", "elementary uninterrupted trends" or just "uninterrupted trends". In this paper we study the distribution of the duration of uninterrupted trends for the daily indices DJIA, NASDAQ, IPC and Nikkei 225 during the period of time from 10/30/1978 to 08/07/2020 and we compare the simple geometric statistical model with [Formula: see text] consistent with the EMH to the empirical data.

Rich structure in the correlation matrix spectra in non-equilibrium steady states.

It has been shown that, if a model displays long-range (power-law) spatial correlations, its equal-time correlation matrix will also have a power law tail in the distribution of its high-lying eigenvalues. The purpose of this paper is to show that the converse is generally incorrect: a power-law tail in the high-lying eigenvalues of the correlation matrix may exist even in the absence of equal-time power law correlations in the initial model. We may therefore view the study of the eigenvalue distribution of the correlation matrix as a more powerful tool than the study of spatial Correlations, one which may in fact uncover structure, that would otherwise not be apparent.

Emerging spectra of singular correlation matrices under small power-map deformations.

Correlation matrices are a standard tool in the analysis of the time evolution of complex systems in general and financial markets in particular. Yet most analysis assume stationarity of the underlying time series. This tends to be an assumption of varying and often dubious validity.

Identifying states of a financial market.

The understanding of complex systems has become a central issue because such systems exist in a wide range of scientific disciplines. We here focus on financial markets as an example of a complex system. In particular we analyze financial data from the S&P 500 stocks in the 19-year period 1992-2010.

Fidelity decay in interacting two-level boson systems: freezing and revivals.

We study the fidelity decay in the k-body embedded ensembles of random matrices for bosons distributed in two single-particle states, considering the reference or unperturbed Hamiltonian as the one-body terms and the diagonal part of the k-body embedded ensemble of random matrices and the perturbation as the residual off-diagonal part of the interaction. We calculate the ensemble-averaged fidelity with respect to an initial random state within linear response theory to second order on the perturbation strength and demonstrate that it displays the freeze of the fidelity. During the freeze, the average fidelity exhibits periodic revivals at integer values of the Heisenberg time t(H).

Decoherence of an n-qubit quantum memory.

We analyze decoherence of a quantum register in the absence of nonlocal operations, i.e., n noninteracting qubits coupled to an environment.