arXiv subjects

J. Perello

Publications and source records attributed to J. Perello.

4 recordsLinked to original sources

arXiv2023

$β^-$ decay of neutron-rich $^{45}$Cl at magic number N=28

Results from the study of $β^-$-decay of $^{45}$Cl, produced in the fragmentation of a 140-MeV/u $^{48}$Ca beam, are presented. The half-life for $^{45}$Cl $β$-decay is measured to be 513(36) ms. The $β^-$ and $β^- 1n$ decay of $^{45}$Cl populated excited states in $^{45,44}$Ar, respectively. On the basis of $γ$-ray singles and $γ$-$γ$ coincidence data, decay schemes for the two daughter nuclei have been established. They are compared with shell model calculations using the FSU interaction. The low-lying negative parity states for $^{45}$Ar are well described by a single particle (neutron) occupying orbitals near the Fermi surface, whereas neutron excitations across the $N = 20$ shell gap are needed to explain the positive-parity states which are expected to be populated in allowed Gamow-Teller $β$-decay of $^{45}$Cl. The highest $β$-feeding to the 5/2$^+$ state in $^{45}$Ar from the ground state of $^{45}$Cl points towards a 3/2$^+$ spin-parity assignment of the ground state of the parent over the other possibility of 1/2$^+$. The high Q$_{β^-}$ value of $^{45}$Cl decay allows for the population of $1p1h$ states above the neutron separation energy in $^{45}$Ar leading to positive parity states of $^{44}$Ar being populated by removal of one neutron from the $sd$ shell. The spin-parities of the excited levels in $^{44}$Ar are tentatively assigned for the first time by comparison with the shell model calculations. The 2978~keV level of $^{44}$Ar is identified as the excited 0$^+$ level which could correspond to a different configuration from the ground state.

nucl-ex↗

arXiv2008

A model for interevent times with long tails and multifractality in human communications: An application to financial trading

Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the Poissonian profile by being long-tailed distributed with resting and active periods interwoven. Understanding mechanisms generating consistent statistics have therefore become a central issue. The approach we present is taken from the Continuous Time Random Walk formalism and represents an analytical alternative to models of non-trivial priority that have been recently proposed. Our analysis also goes one step further by looking at the multifractal structure of the interevent times of human decisions. We here analyze the inter-transaction time intervals of several financial markets. We observe that empirical data describes a subtle multifractal behavior. Our model explains this structure by taking the pausing-time density in the form of a superstatistics where the integral kernel quantifies the heterogeneous nature of the executed tasks. An stretched exponential kernel provides a multifractal profile valid for a certain limited range. A suggested heuristic analytical profile is capable of covering a broader region.

q-fin.TR↗

arXiv2006

The continuous time random walk formalism in financial markets

We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price distribution from high-frequency data, and (ii) the inverse problem, obtaining information on the market microstructure as reflected by high-frequency data knowing only the daily volatility. We apply the formalism to financial data to show that the CTRW offers alternative tools to deal with several complex issues of financial markets.

physics.soc-ph↗

arXiv2000

Black-Scholes option pricing within Ito and Stratonovich conventions

Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option pricing method using stochastic differential equations within the Ito interpretation. Herein, we derive the Black-Scholes equation for the option price using the Stratonovich calculus along with a comprehensive review, aimed to physicists, of the classical option pricing method based on the Ito calculus. We show, as can be expected, that the Black-Scholes equation is independent of the interpretation chosen. We nonetheless point out the many subtleties underlying Black-Scholes option pricing method.

physics.soc-ph↗