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We study truncation effects in the SU(3) gauge actions obtained by the Monte Carlo renormalization group method. By measuring the heavy quark potential we find that the truncation effects in the actions coarsen the lattice by 40-50 % from... more
We study truncation effects in the SU(3) gauge actions obtained by the Monte Carlo renormalization group method. By measuring the heavy quark potential we find that the truncation effects in the actions coarsen the lattice by 40-50 % from the original blocked lattice. On the other hand, we find that rotational symmetry of the heavy quark potentials is well recovered on such coarse lattices, which may indicate that rotational symmetry breaking terms are easily cancelled out by adding a short distance operator. We also discuss the possibility of reducing Recently a lot of attention has been devoted to improvements of lattice discretized actions. There exist two approaches to improving actions. One is the perturbative improvement program suggested by Symanzik[1] and the other the renormalization group improvement program by Wilson[2]. Early attempts at the perturbative improvement program did not appear practical for Monte Carlo
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent... more
This study investigates the time evolution of market efficiency in the Japanese stock markets, considering three indices: Tokyo Stock Price Index (TOPIX), Tokyo Stock Exchange Second Section Index, and TOPIX-Small. The Hurst exponent reveals that the Japanese markets are inefficient in their early stages and improve gradually. TOPIX and TOPIX-Small showed an anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not show that the Japanese markets are permanently efficient. The multifractal properties of the Japanese markets changed considerably around the year 2000; this may have been caused by the complete migration from the stock trading floor to the Tokyo Stock Exchange’s computer trading system and the financial system reform, also known as the “Japanese Big Bang”.
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Abstract. We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data... more
Abstract. We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the MCMC method itself. It turns out that autocorrelations between the data generated with our adaptive proposal density are greatly reduced. Thus it is concluded that the adaptive construction method is very efficient and works well for the MCMC simulations of the GARCH model.
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The comparison between unquenched SU(3) lattice QCD with chemical potential and random matrix theory can provide information on the pion decay constant Fπ. We calculated eigenvalue distributions of the Dirac operator on a 83×4 lattice... more
The comparison between unquenched SU(3) lattice QCD with chemical potential and random matrix theory can provide information on the pion decay constant Fπ. We calculated eigenvalue distributions of the Dirac operator on a 83×4 lattice using N f = 2 Kogut-Susskind fermions. We performed fits between the spectral density computed from random matrix theory and lattice data at coupling β = 5.30 for fixed quark mass ma = 0.05 and iso-vector chemical potential μa = 0.0, 0.004773, 0.1 and 0.2, finding good agreement. In particular our data indicate that Fπ decreases as the iso-vector chemical potential increases. For a more precise fit of the rescaled parameter μ2F2 πV we also compare to the first eigenvalue distribution from random matrix theory.
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ABSTRACT この論文は国立情報学研究所の電子図書館事業により電子化されました。 Bornholdtによって提唱された経済市場モデルを利用してさまざまなパラメータについて研究を行なった。磁化の時間差によって提議されたリターンのヒストグラムはファットテイルとなっており、そのテイルは小さな格子サイズほど顕著である。また、リターンの絶対値の自動相関関数は長時間相関を示す一方、リターン自身の相関は短時間相関でしかも負の相関となっていることがわかった。
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.... more
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness, average, serial correlation, and multifractal degree, also change over time. Thus, we argue that properties of the Bitcoin market are mostly time dependent. We examine efficiency-related measures: the Hurst exponent, multifractal degree, and kurtosis. We find that when these measures represent that the market is more efficient, the volatility asymmetry weakens. For the recent Bitcoin market, both efficiency-related measures and the volatility asymmetry prove that the market becomes more efficient.
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The rational GARCH (RGARCH) model has been proposed as an alternative GARCHmodel that captures the asymmetric property of volatility. In addition to the previously proposedRGARCH model, we propose an alternative RGARCH model called the... more
The rational GARCH (RGARCH) model has been proposed as an alternative GARCHmodel that captures the asymmetric property of volatility. In addition to the previously proposedRGARCH model, we propose an alternative RGARCH model called the RGARCH-Exp model thatis more stable when dealing with outliers. We measure the performance of the volatility estimationby a loss function calculated using realized volatility as a proxy for true volatility and compare theRGARCH-type models with other asymmetric type models such as the EGARCH and GJR models.We conduct empirical studies of six stocks on the Tokyo Stock Exchange and find that a volatilityestimation using the RGARCH-type models outperforms the GARCH model and is comparable toother asymmetric GARCH models.
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ABSTRACT We analyse temporal and spatial meson correlators in quenched lattice QCD at T| > 0. Above Tc we find different (temporal) pole masses and (spatial) screening masses, signals of plasma formation and indication of... more
ABSTRACT We analyse temporal and spatial meson correlators in quenched lattice QCD at T| > 0. Above Tc we find different (temporal) pole masses and (spatial) screening masses, signals of plasma formation and indication of persisting mesonic excitations.
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The standard hybrid Monte Carlo algorithm is known to simulate even flavors QCD only. Simulations of odd flavors QCD, however, can be also performed in the framework of the hybrid Monte Carlo algorithm where the inverse of the fermion... more
The standard hybrid Monte Carlo algorithm is known to simulate even flavors QCD only. Simulations of odd flavors QCD, however, can be also performed in the framework of the hybrid Monte Carlo algorithm where the inverse of the fermion matrix is approximated by a polynomial. In this exploratory study we perform three flavors QCD simulations. We make a comparison of the hybrid Monte Carlo algorithm and the R-algorithm which also simulates odd flavors systems but has step-size errors. We find that results from our hybrid Monte Carlo algorithm are in agreement with those from the R-algorithm obtained at very small step-size. 1
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A three-state model based on the Potts model is proposed to simulate financial markets. The three states are assigned to…
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SU(2) lattice gauge theory with dynamical fermion at non-zero chemical potential and at finite temperature is studied. We focus on the influence of chemical potential for quark condensate and mass of pseudoscalar meson at finite... more
SU(2) lattice gauge theory with dynamical fermion at non-zero chemical potential and at finite temperature is studied. We focus on the influence of chemical potential for quark condensate and mass of pseudoscalar meson at finite temperature. Hybrid Monte Carlo simulations with Nf = 8 staggered fermions are carried out on 12 × 12 × 24 × 4 lattice. At beta = 1.1 and mq =0.05,0.07,0.1, we calculate the quark condensate and masses of pseudoscalar meson consisting of light and heavier quarks for chemical potential mu = 0.0,0.02,0.05,0.1,0.2.
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ABSTRACT In finite density lattice QCD, once the quark chemical potential μ is introduced, the fermion determinant appearing in the path integral measure becomes complex. Therefore the numerical simulation becomes difficult due to the... more
ABSTRACT In finite density lattice QCD, once the quark chemical potential μ is introduced, the fermion determinant appearing in the path integral measure becomes complex. Therefore the numerical simulation becomes difficult due to the sign problem. To examine phase effects of the SU(3) lattice QCD, we study the range of μa from 0.1 to 1.4, where a is the lattice spacing. We confirmed that the conjugate gradient calculation is possible in the higher density region though it was difficult in the intermediate density region (approximately μa = 0.3 ∼ 1.0). We calculated the quark number density, the chiral condensate, Polyakov line and the phase effect as a function of μa at 6/g2 = 5.30. © 2005 American Institute of Physics