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M. Rosenbaum

Publications and source records attributed to M. Rosenbaum.

7 recordsLinked to original sources
arXiv2013

Estimation of the lead-lag parameter from non-synchronous data

We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\vartheta\in \mathbb{R}$, the process $(X_t,Y_{t+\vartheta})$ is a semi-martingale with respect to a certain filtration. The value of the time shift $\vartheta$ is the lead-lag parameter. Depending on the underlying filtration, the standard no-arbitrage case is obtained for $\vartheta=0$. We study the problem of estimating the unknown parameter $\vartheta\in \mathbb{R}$, given randomly sampled non-synchronous data from $(X_t)$ and $(Y_t)$. By applying a certain contrast optimization based on a modified version of the Hayashi-Yoshida covariation estimator, we obtain a consistent estimator of the lead-lag parameter, together with an explicit rate of convergence governed by the sparsity of the sampling design.

math.ST↗
arXiv2009

Lattice vortices induced by noncommutativity

We show that the Moyal *-product on the algebra of fields induces an effective lattice structure on vortex dynamics which can be explicitly constructed using recent asymptotic results.

math-ph↗
arXiv2003

Hopf Algebra Primitives in Perturbation Quantum Field Theory

The analysis of the combinatorics resulting from the perturbative expansion of the transition amplitude in quantum field theories, and the relation of this expansion to the Hausdorff series leads naturally to consider an infinite dimensional Lie subalgebra and the corresponding enveloping Hopf algebra, to which the elements of this series are associated. We show that in the context of these structures the power sum symmetric functionals of the perturbative expansion are Hopf primitives and that they are given by linear combinations of Hall polynomials, or diagrammatically by Hall trees. We show that each Hall tree corresponds to sums of Feynman diagrams each with the same number of vertices, external legs and loops. In addition, since the Lie subalgebra admits a derivation endomorphism, we also show that with respect to it these primitives are cyclic vectors generated by the free propagator, and thus provide a recursion relation by means of which the (n+1)-vertex connected Green functions can be derived systematically from the n-vertex ones.

hep-th↗
arXiv2001

Normal Coordinates and Primitive Elements in the Hopf Algebra of Renormalization

We introduce normal coordinates on the infinite dimensional group $G$ introduced by Connes and Kreimer in their analysis of the Hopf algebra of rooted trees. We study the primitive elements of the algebra and show that they are generated by a simple application of the inverse Poincaré lemma, given a closed left invariant 1-form on $G$. For the special case of the ladder primitives, we find a second description that relates them to the Hopf algebra of functionals on power series with the usual product. Either approach shows that the ladder primitives are given by the Schur polynomials. The relevance of the lower central series of the dual Lie algebra in the process of renormalization is also discussed, leading to a natural concept of $k$-primitiveness, which is shown to be equivalent to the one already in the literature.

hep-th↗
arXiv2000

The Effect of low Momentum Quantum Fluctuations on a Coherent Field Structure

In the present work the evolution of a coherent field structure of the Sine-Gordon equation under quantum fluctuations is studied. The basic equations are derived from the coherent state approximation to the functional Schrödinger equation for the field. These equations are solved asymptotically and numerically for three physical situations. The first is the study of the nonlinear mechanism responsible for the quantum stability of the soliton in the presence of low momentum fluctuations. The second considers the scattering of a wave by the Soliton. Finally the third problem considered is the collision of Solitons and the stability of a breather. It is shown that the complete integrability of the Sine-Gordon equation precludes fusion and splitting processes in this simplified model. The approximate results obtained are non-perturbative in nature, and are valid for the full nonlinear interaction in the limit of low momentum fluctuations. It is also found that these approximate results are in good agreement with full numerical solutions of the governing equations. This suggests that a similar approach could be used for the baby Skyrme model, which is not completely integrable. In this case the higher space dimensionality and the internal degrees of freedom which prevent the integrability will be responsable for fusion and splitting processes. This work provides a starting point in the numerical solution of the full quantum problem of the interaction of the field with a fluctuation.

hep-ph↗
arXiv1996

Quasi-Exactly-Solvable Many-Body Problems

Explicit examples of quasi-exactly-solvable $N$-body problems on the line are presented. These are related to the hidden algebra $sl_N$, and they are of two types -- containing up to $N$ (infinitely-many eigenstates are known, but not all) and up to 6 body interactions only (a finite number of eigenstates is known). Both types degenerate to the Calogero model.

hep-th↗