arXiv subjects

J. Speth

Publications and source records attributed to J. Speth.

At least 73 records · Page 4Linked to original sources

arXiv2001

Dynamics of correlations in the stock market

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of trading days. This allows a clear identification of the resulting correlations. On both these markets the decreases turn out to be always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix, while increases are more competitive and thus less collective. Generically, however, the remaining eigenstates of the correlation matrix are, on average, consistent with predictions of the random matrix theory. Effects connected with the world globalization are also discussed and a leading role of the Dow Jones is quantified. This effect is particularly spectacular during the last few years, and it turns out to be crucial to properly account for the time-zone delays in order to identify it.

cond-mat.stat-mech↗

arXiv2001

Quantifying dynamics of the financial correlations

A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the financial time-series. The present study is based on the high-frequency Deutsche Aktienindex (DAX) data over the time-period between November 1997 and December 1999 and demonstrates a power of the method. In this way two significant new aspects of the DAX evolution are identified: (i) the memory effects turn out to be sizably shorter than what the standard autocorrelation function analysis seems to indicate and (ii) there exist short term repeatable structures in fluctuations that are governed by a distinct dynamics. The former of these results may provide an argument in favour of the market efficiency while the later one may indicate origin of the difficulty in reaching a Gaussian limit, expected from the central limit theorem, in the distribution of returns on longer time-horizons.

cond-mat.soft↗

arXiv2000

Towards identifying the world stock market cross-correlations: DAX versus Dow Jones

Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche Aktienindex (DAX) and the Dow Jones (DJ) industrial average comprised during the years 1990-1999. The time-dependence of the underlying cross-correlations is monitored using a time window of 60 trading days. Our study shows that if the time-zone delays are properly accounted for the two distant markets largely merge into one. This effect is particularly visible during the last few years. It is however the Dow Jones which dictates the trend.

cond-mat.stat-mech↗

arXiv2000

Mapping the proton unintegrated gluon distribution in dijets correlations in real and virtual photoproduction at HERA

We discuss how the dijet azimuthal correlations in DIS and real photoproduction at HERA probe the differential (unintegrated) gluon distribution in the proton. We find a strong dependence of the azimuthal correlation pattern on Bjorken-$x$, photon virtuality and the cut on the jet transverse momenta. A rise of the azimuthal decorrelations is observed with decreasing Bjorken-x due to the interplay of perturbative and nonperturbative effects. We predict a strong rise of the same-side jet rate with photon energy for real photoproduction. We discuss conditions for the correlation function to be dominated by hard perturbative gluons and ways of constraining the size of the nonperturbative soft component. We make some predictions for the THERA energy range. The analysis of the energy dependence of the isolated jet and two-jet cross sections in photoproduction would be a new way to study the not yet well constrained unintegrated gluon distributions and to explore the onset of the pQCD regime.

hep-ph↗

arXiv2000

$\bar d - \bar u$ asymmetry and semi-inclusive production of pions in DIS

We investigate unambiguities in the extraction of the $\bar d - \bar u$ asymmetry from semi-inclusive production of pions in DIS. The role of several effects beyond the quark-parton model (QPM) which lead to $N_p^{π^+} \ne N_n^{π^+}$ and $N_p^{π^-} \ne N_n^{π^-}$ and may therefore cloud such an extraction is studied. The results are discussed in the context of the recent HERMES data. We find that the interaction of the resolved photon with the nucleon significantly modifies the observed $\bar d - \bar u$ asymmetry. The exclusive elastic production of $ρ$ mesons plays a similar role for the large-$z$ data sample. Our estimate shows a rather small effect of the spectator mechanism. Nuclear effects in the deuteron also look potentially important but are difficult to estimate quantitatively. Throughout the paper we make in addition several general remarks concerning semi-inclusive and exclusive production of mesons.

hep-ph↗

arXiv2000

The reactions p + n --> d + omega and p + n --> d + phi near threshold

The reactions p+n-->d+omega and p+n-->d+phi are studied within a relativistic meson-exchange model of hadronic interactions. Predictions for the total cross sections and for the angular distributions of the vector mesons are presented. The resulting cross sections near threshold are around 10 - 30 microb for p+n-->d+omega$ and 200 - 250 nb for p+n-->d+phi. A moderate deviation of the cross section ratio sigma_{p+n-->d+phi} / sigma_{p+n-->d+omega} from that of the Okubo-Zweig-Iizuka rule is predicted.

nucl-th↗

arXiv2000

Semi-inclusive production of pions in DIS and $\bar d - \bar u$ asymmetry

We discuss the role of some nonpartonic effects which lead to $N_p^{π^+} \ne N_n^{π^+}$ and $N_p^{π^-} \ne N_n^{π^-}$ and may therefore modify the conclusionon the $\bar d - \bar u$ asymmetry extracted from semi-inclusive production of pions in DIS. Quantitative estimations for resolved photon and exclusive $ρ^0$ are given as examples. The results are discussed in the context of recent HERMES data.

hep-ph↗

arXiv2000

Near threshold Lambda and Sigma production in pp collisions

A model calculation for the reactions $pp\to pΛK^+$ and $pp\to NΣK$ near their thresholds is presented. It is argued that the experimentally observed strong suppression of $Σ^0$ production compared to $Λ$ production at the same excess energy could be due to a destructive interference between the $π$ and $K$ exchange contributions in the reaction $pp\to pΣ^0 K^+$. Predictions for $pp\to pΣ^+ K^0$ and $pp\to nΣ^+ K^+$ are given.

nucl-th↗

arXiv2000

On the Migdal-Watson approach to FSI effects in meson production in NN collisions

The influence of the nucleon-nucleon final state interaction (FSI) on properties of the meson production amplitude near threshold is discussed. For the nucleon-nucleon interaction a simple Yamaguchi potential as well as realistic potential models are considered. It is shown that FSI effects cannot be factorized from the production amplitude. The absolute magnitude of FSI effects depends on the momentum transfer (or on the mass of the produced meson) and hence is not universal. Only in the case of the production of rather heavy mesons like eta' or phi FSI effects become universal. The Jost function approach to FSI effects is critically examined.

nucl-th↗

arXiv2000

The reactions $pp\to pΛK^+$ and $pp\to pΣ^0K^+$ near their thresholds

The reactions $pp\to pΛK^+$ and $pp\to pΣ^0K^+$ are studied near their thresholds. The strangeness production process is described by the $π$- and $K$ exchange mechanisms. Effects from the final state interaction in the hyperon-nucleon system are taken into account rigorously. It is found that the $Λ$ production is dominated by $K$ exchange whereas $K$- as well as $π$ exchange play an important role for the $Σ^0$ case. It is shown that the experimentally observed strong suppression of $Σ^0$ production compared to $Λ$ production at the same excess energy can be explained by a destructive interference between $π$ and $K$ exchange in the reaction $pp\to pΣ^0K^+$. Implications of such an interference on the reaction $pp\to nΣ^+K^+$ are pointed out.

nucl-th↗

arXiv2000

Polarization phenomena in the reaction NN to NNpi near threshold

First calculations for spin-dependent observables of the reactions $pp \to ppπ^0$, $pp \to pnπ^+$ and $pp \to dπ^+$ near threshold are presented, employing the Jülich model for pion production. The influence of resonant (via the excitation of the $Δ(1232)$) and non-resonant p-wave pion production mechanisms on these observables is examined. For the reactions $pp \to pnπ^+$ and $pp \to dπ^+$ nice agreement of our predictions with the presently available data on spin correlation coefficents is observed whereas for $pp \to ppπ^0$ the description of the data is less satisfying.

nucl-th↗

arXiv2000

Final state interactions in $^{4}$He(e,e$^\prime$p)$^{3}$H at large proton energy

At large proton energy, the final state interactions of the knocked out nucleon in $\eep$ reactions off nuclear targets can be described within the eikonal approximation, treating the spectator particles as a collection of fixed scattering centers. We use a generalization of this approach, suitable to take into account the possible occurrence of color transparency, to carry out an accurate calculation of the missing momentum distribution of the process $^{4}He(e,e^\prime p)^{3}H$. The pattern of final state interaction effect is analyzed for different kinematical setups in the domain corresponding to $2 \le Q^2 \le 20$ (GeV/c)$^2$.

nucl-th↗

arXiv1999

The color dipole BFKL-Regge expansion: from DIS on protons to pions to rise of hadronic cross sections

As noticed by Fadin, Kuraev and Lipatov in 1975 incorporation of asymptotic freedom into the BFKL equation splits the QCD pomeron into a series of isolated poles in complex angular momentum plane. Following our earlier work on the proton structure function we explore the phenomenological consequences of the emerging BFKL-Regge factorized expansion for the small-$x$ structure function of the pion $F_{2π}(x,Q^2)$. We calculate $F_{2π}$ in a small-$x$ region and find good agreement with the recent H1 determination of $F_{2π}(x,Q^2)$. We also present the BFKL-Regge factorization based evaluation of the contribution from hard scattering to the observed rise of the $NN$, $πN$ and real photo-absorption $γN$ and $γπ$ total cross sections.

hep-ph↗

arXiv1999

What is the structure of the Roper resonance?

We investigate the structure of the nucleon resonance N^*(1440) (Roper) within a coupled-channel meson exchange model for pion-nucleon scattering. The coupling to pipiN states is realized effectively by the coupling to the sigmaN, piDelta and rhoN channels. The interaction within and between these channels is derived from an effective Lagrangian based on a chirally symmetric Lagrangian, which is supplemented by well known terms for the coupling of the Delta isobar, the omega meson and the 'sigma', which is the name given here to the strong correlation of two pions in the scalar-isoscalar channel. In this model the Roper resonance can be described by meson-baryon dynamics alone; no genuine N^*(1440) (3 quark) resonance is needed in order to fit piN phase shifts and inelasticities.

nucl-th↗

arXiv1999

Dynamics of competition between collectivity and noise in the stock market

Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial time-dependence of the resulting correlations. In addition, as a rule, the draw downs are always accompanied by a sizable separation of one strong collective eigenstate of the correlation matrix which, at the same time, reduces the variance of the noise states. The opposite applies to draw ups. In this case the dynamics spreads more uniformly over the eigenstates which results in an increase of the total information entropy.

cond-mat.stat-mech↗

arXiv1999

Nuclear-Medium Modification of the Rho(1S)- and Rhoprim(2S)-Mesons in Coherent Photo- and Electroproduction: Coupled Channel Analysis

We study medium modifications of the dilepton mass spectrum in coherent photo- and electroproduction of the Rho(1S)- and Rhoprim(2S)-meson resonances on nuclear targets. The analysis is performed within the coupled Rho, Rhoprim... channel formalism in which nuclear modifications derive from the off-diagonal rescatterings. We find that the effect of off-diagonal rescatterings on the shape of the dilepton mass spectrum in the Rho(1S)-meson mass region is only marginal but is very important in the Rhoprim mass region. The main off-diagonal contribution in the Rhoprim mass region comes from the sequential mechanism gamma* -> Rho -> Rhoprim(2S), which dominates the Rhoprim(2S) production for heavy nuclei. Our results show also that in the Rhoprim(2S) mass region there is a considerable effect of the interference of the Breit-Wigner tail of Rho(1S)-meson with the Rhoprim-meson.

hep-ph↗

arXiv1999

Nonperturbative effects in the proton sea

We revisit the evaluation of the pionic mechanism of the $\bar{u}-\bar{d}$-asymmetry in the proton structure function. Our analysis is based on the unitarity relation between contributions of different mechanisms to the inclusive particle production and the total photoabsorption cross-section (i.e. the proton structure function). We reanalyze the role of isovector reggeons in inclusive production of nucleons and Delta isobars in hadronic reactions. A rather large contribution of reggeon-exchange induced production of Delta isobars is found. This leaves much less room for the pion-exchange induced mechanism of $Δ$ production and provides a constraint on the $πN Δ$ form factor. The production of leading pions in proton-proton collisions puts additional constraints on the $πNN$ vertex form factors. All these constraints are used then to estimate the pion content of the nucleon and allow to calculate parameter-free the x-dependence of $\bar d - \bar u$. We discuss the violation of the Gottfried Sum Rule and $\bar d$-$\bar u$ asymmetry and compare to the one obtained from the E866 experiment at Fermilab.

hep-ph↗

arXiv1999

eta' meson production in proton-proton collisions

The pp -> pp eta' reaction is investigated within a relativistic meson-exchange model of hadronic interactions. We explore the role of nucleonic and mesonic, as well as the N* resonance currents, in producing eta' mesons. In order to learn more about the production mechanisms, new measurements in the energy region far from the threshold are required.

nucl-th↗