arXiv subjects

Siqi Shao

Publications and source records attributed to Siqi Shao.

5 recordsLinked to original sources

arXiv2026

Fitting Accumulated Stock Returns with Tempered Skew t-Distribution

We analyze distributions of historic S&P500 multi-day returns, for the number of days of accumulation from 20 to 120. With the increase of the number of days of accumulation, we observe clear tempering of power-law tails toward a seemingly finite value. To explain this phenomenon, we employ a model that produces a "capped Inverse Gamma" stationary (steady-state) distribution for stochastic volatility which, in turn, produces a "tempered Student-t" distribution for returns. We then employ Jones-Faddy-like symmetry breaking mechanism that produces a "tempered Skew-t" distribution. This distribution provides rather good fits to the distributions of accumulated multi-day S&P500 returns, which exhibit symmetry breaking between gains and losses -- as reflected by positive mean and negative skew. Tempered Skew-t fits are also consistent with near perfect linear dependence on the number of days of accumulation of the mean values and, even more so, of the variances (mean squared realized volatility) of the distributions.

q-fin.ST↗

arXiv2026

Broken Symmetry, Conservation Law, and Scaling in Accumulated Stock Returns -- a Modified Jones-Faddy Skew t-Distribution Perspective

We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of returns, resulting in its positive mean and negative skew, realized variance (volatility squared) exhibits remarkably good linear dependence on the number of days of accumulation. Mean of the distribution also shows near perfect linear dependence as well. We analyze this phenomenon both analytically and numerically using a modified Jones-Faddy skew t-distribution.

q-fin.ST↗

arXiv2026

Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution

We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns and for stochastic volatility we argue that the distribution of stock returns can be effectively split in two -- for gains and losses -- assuming difference in parameters of their respective stochastic volatilities. A modified Jones-Faddy skew t-distribution utilized here allows to reflect this in a single organic distribution which tends to meaningfully capture this asymmetry. We illustrate its application on distribution of daily S&P500 returns, including analysis of its tails.

q-fin.ST↗

arXiv2024

Dynamic-RKKY induced time-reversal symmetry breaking and chiral spin liquids

We study the Ruderman-Kittel-Kasuya-Yosida (RKKY) interaction in various Kondo lattice systems. We argue that the weak Kondo-coupling expansion contains certain physics which is lost in the usual static approximation to the spin susceptibility. Most notably, while the former is sensitive to the time-reversal symmetry breaking, the latter is blind to it. Using exact diagonalization on small systems, we show that this enables inducing spin chirality by an external magnetic field. To study larger systems, we use a large-N approximation to capture the effect of dynamic-RKKY interaction on U(1) spin liquids. On a honeycomb Kondo lattice with Haldane fluxes for electrons, we show that the non-trivial topology and chiral edge states are induced on the spinons. Our results suggest that dynamic RKKY in combination with external magnetic field or in proximity to topological electronic materials, can be used as a tunable Dzyaloshinskii-Moriya even in centrosymmetric materials.

cond-mat.str-el↗

arXiv2024

Towards Entanglement Entropy of Random Large-N Theories

A large class of strongly correlated quantum systems can be described in certain large-N limits by quadratic in field actions along with self-consistency equations that determine the two-point functions. We use the replica approach and the notion of shifted Matsubara frequency to compute von Neumann and Rényi entanglement entropies for generic bi-partitioning of such systems. We argue that the von Neumann entropy can be computed from equilibrium spectral functions w/o partitioning, while the Rényi entropy requires re-calculating the spectrum in the interacting case. We demonstrate the flexibility of the method by applying it to examples of a two-site problem in presence of decoherence, and coupled Sachdev-Ye-Kitaev models.

cond-mat.str-el↗