Time-Reversibility, Causality and Compression-Complexity

Detection of the temporal reversibility of a given process is an interesting time series analysis scheme that enables the useful characterisation of processes and offers an insight into the underlying processes generating the time series. Reversibility detection measures have been widely employed in the study of ecological, epidemiological and physiological time series. Further, the time reversal of given data provides a promising tool for analysis of causality measures as well as studying the causal properties of processes. In this work, the recently proposed Compression-Complexity Causality (CCC) measure (by the authors) is shown to be free of the assumption that the "cause precedes the effect", making it a promising tool for causal analysis of reversible processes. CCC is a data-driven interventional measure of causality (second rung on the Ladder of Causation) that is based on Effort-to-Compress (ETC), a well-established robust method to characterize the complexity of time series for analysis and classification. For the detection of the temporal reversibility of processes, we propose a novel measure called the Compressive Potential based Asymmetry Measure. This asymmetry measure compares the probability of the occurrence of patterns at different scales between the forward-time and time-reversed process using ETC. We test the performance of the measure on a number of simulated processes and demonstrate its effectiveness in determining the asymmetry of real-world time series of sunspot numbers, digits of the transcedental number π and heart interbeat interval variability.

Complex Sachdev-Ye-Kitaev model in the double scaling limit

We solve for the exact energy spectrum, 2-point and 4-point functions of the complex SYK model, in the double scaling limit at all energy scales. This model has a U(1) global symmetry. The analysis shows how to incorporate a chemical potential in the chord diagram picture, and we present results for the various observables also at a given fixed charge sector. In addition to matching to the spectral asymmetry, we consider an analogous asymmetry measure of the 2-point function obeying a non-trivial dependence on the operator’s dimension. We also provide the chord diagram structure for an SYK-like model that has a U(M) global symmetry at any disorder realization. We then show how to exactly compute the effect of inserting very heavy operators, with formally infinite conformal dimension. The latter separate the gravitational spacetime into several parts connected by an interface, whose properties are exactly computable at all scales. In particular, light enough states can still go between the spaces. This behavior has a simple description in the chord diagram picture.

Return spillover across Bitcoin markets and foreign exchange pairs dominated in major trading currencies

This study examines the dynamic nature of return spillover across Bitcoins indices and foreign exchange pairs denominated in 6 major trading currencies. The findings of spillover index, Spillover Asymmetry Measure (SAM) and frequency connectedness methodologies indicate that return spillover across Bitcoin markets and foreign exchange pairs dominated in six major trading currencies is very low. The intra-market return spillover for the Bitcoin markets and foreign exchange pairs is found to be significant. Presence of asymmetry in the return spillover is also found. Evidence indicates that return spillover are dominated in short horizon, with significant spillover occurring within 4 days of an event. The low integration of Bitcoin markets with the foreign exchange markets provide significant implication for portfolio diversification and risk minimization.

A Framework for Measuring Information Asymmetry

Information asymmetry occurs when an imbalance of knowledge exists between two parties, such as a buyer and a seller, a regulator and an operator, and an employer and an employee. It is a key concept in several domains, in particular, in economics. We propose in this work a general logic-based framework for measuring the information asymmetry between two parties. A situation of information asymmetry is represented by a knowledge base and a set of questions. We define the notion of information asymmetry measure through rationality postulates. We further introduce a syntactic concept, called minimal question subset (MQS), to take into consideration the fact that answering some questions allows avoiding others. This concept is used for defining rationality postulates and measures. Finally, we propose a method for computing the MQSes of a given situation of information asymmetry.

T2* relaxometry to characterize normal placental development over gestation in-vivo at 3T

Background: T2* relaxometry has been identified as a non-invasive way to study the placenta in-vivo with good potential to identify placental insufficiency. Typical interpretation links T2* values to oxygen concentrations. This study aimed to comprehensively assess T2* maps as a marker of placental oxygenation in-vivo. Methods: A multi-echo gradient echo echo planar imaging sequence is used in a cohort of 84 healthy pregnant women. Special emphasis is put on spatial analysis: histogram measures, Histogram Asymmetry Measure (HAM) and lacunarity. Influences of maternal, fetal and placental factors and experimental parameters on the proposed measures are evaluated. Results: T2* maps were obtained from each placenta in less than 30sec. The previously reported decreasing trend in mean T2* with gestation was confirmed (3.45 ms decline per week). Factors such as maternal age, BMI, fetal sex, parity, mode of delivery and placental location were shown to be uncorrelated with T2* once corrected for gestational age. Robustness of the obtained values with regard to variation in segmentation and voxel-size were established. The proposed spatially resolved measures reveal a change in T2* in late gestation. Conclusions: T2* mapping is a robust and quick technique allowing quantification of both whole volume and spatial quantification largely independent of confounding factors.

INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017. Diebold and Yilmaz (2012) volatility spillover index, Barunik, Kocenda, and Vacha (2017) Spillover Asymmetry Measure, and Barunik and Krehlik (2018) frequency connectedness methodologies are applied to investigate the time varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility spillover is also detected. The connectedness among the U.S. Bitcoin and financial markets is found to be concentrated at high frequency, suggesting that markets process information rapidly. Moreover, the turbulence in Bitcoin market will have insignificant effect on U.S. financial markets. This non-contagion nature of Bitcoin markets provides significant risk hedging and diversification benefits for domestic and foreign investors in the U.S.

Study on the Dispersion Characteristics of Surface TM Modes in Hollow Slab Waveguide with a Left-Handed Material Cover

The dispersion characteristics of surface TM modes in a hollow slab waveguide which consists of the core and substrate of right-handed material (RHM) and the cover of left-handed material (LHM) are investigated. Normalized frequency, normalized propagation constant and asymmetry measure are introduced to the left-handed material hollow slab waveguide. The dispersion relation is derived by using these normalized parameters, and universal dispersion curves are obtained by solving transcendental dispersion equations analytically. Existence condition and other dispersion characteristics of guided surface TM modes have been discussed in detail for different permittivity of three layers for this left-handed material hollow dielectric slab waveguide.