Message passing algorithms for non-linear nodes and data compression

The use of parity-check gates in information theory has proved to be very efficient. In particular, error correcting codes based on parity checks over low-density graphs show excellent performances. Another basic issue of information theory, namely data compression, can be addressed in a similar way by a kind of dual approach. The theoretical performance of such a Parity Source Coder can attain the optimal limit predicted by the general rate-distortion theory. However, in order to turn this approach into an efficient compression code (with fast encoding/decoding algorithms) one must depart from parity checks and use some general random gates. By taking advantage of analytical approaches from the statistical physics of disordered systems and SP-like message passing algorithms, we construct a compressor based on low-density non-linear gates with a very good theoretical and practical performance.Comment: 13 pages, European Conference on Complex Systems, Paris (Nov 2005

Quantum discord in finite XY chains

We examine the quantum discord between two spins in the exact ground state of finite spin 1/2 arrays with anisotropic XY couplings in a transverse field B. It is shown that in the vicinity of the factorizing field B_s, the discord approaches a common finite non-negligible limit which is independent of the pair separation and the coupling range. An analytic expression of this limit is provided. The discord of a mixture of aligned pairs in two different directions, crucial for the previous results, is analyzed in detail, including the evaluation of coherence effects, relevant in small samples and responsible for a parity splitting at B_s. Exact results for finite chains with first neighbor and full range couplings and their interpretation in terms of such mixtures are provided.Comment: 9 pages, 6 figure

Risk Minimization through Portfolio Replication

We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short with respect to the size of the portfolio. We also study the noise sensitivity of portfolio allocation when this transition is approached. We consider explicitely the cases where the absolute deviation and the conditional value-at-risk are chosen as a risk measure. We show how the replica method can study a wide range of risk measures, and deal with various types of time series correlations, including realistic ones with volatility clustering.Comment: 12 pages, APFA5 conferenc

Deconstructing the Low-Vol Anomaly

We study several aspects of the so-called low-vol and low-beta anomalies, some already documented (such as the universality of the effect over different geographical zones), others hitherto not clearly discussed in the literature. Our most significant message is that the low-vol anomaly is the result of two independent effects. One is the striking negative correlation between past realized volatility and dividend yield. Second is the fact that ex-dividend returns themselves are weakly dependent on the volatility level, leading to better risk-adjusted returns for low-vol stocks. This effect is further amplified by compounding. We find that the low-vol strategy is not associated to short term reversals, nor does it qualify as a Risk-Premium strategy, since its overall skewness is slightly positive. For practical purposes, the strong dividend bias and the resulting correlation with other valuation metrics (such as Earnings to Price or Book to Price) does make the low-vol strategies to some extent redundant, at least for equities.Comment: 21 pages, 7 figures, 7 tables -- 1 figure adde

Quantum correlations and least disturbing local measurements

We examine the evaluation of the minimum information loss due to an unread local measurement in mixed states of bipartite systems, for a general entropic form. Such quantity provides a measure of quantum correlations, reducing for pure states to the generalized entanglement entropy, while in the case of mixed states it vanishes just for classically correlated states with respect to the measured system, as the quantum discord. General stationary conditions are provided, together with their explicit form for general two-qubit states. Closed expressions for the minimum information loss as measured by quadratic and cubic entropies are also derived for general states of two-qubit systems. As application, we analyze the case of states with maximally mixed marginals, where a general evaluation is provided, as well as X states and the mixture of two aligned states.Comment: 10 pages, 3 figure

Linear Complexity Lossy Compressor for Binary Redundant Memoryless Sources

A lossy compression algorithm for binary redundant memoryless sources is presented. The proposed scheme is based on sparse graph codes. By introducing a nonlinear function, redundant memoryless sequences can be compressed. We propose a linear complexity compressor based on the extended belief propagation, into which an inertia term is heuristically introduced, and show that it has near-optimal performance for moderate block lengths.Comment: 4 pages, 1 figur

Quantum discord and related measures of quantum correlations in XY chains

We examine the quantum correlations of spin pairs in the ground state of finite XY chains in a transverse field, by evaluating the quantum discord as well as other related entropic measures of quantum correlations. A brief review of the latter, based on generalized entropic forms, is also included. It is shown that parity effects are of crucial importance for describing the behavior of these measures below the critical field. It is also shown that these measures reach full range in the immediate vicinity of the factorizing field, where they become independent of separation and coupling range. Analytical and numerical results for the quantum discord, the geometric discord and other measures in spin chains with nearest neighbor coupling and in fully connected spin arrays are also provided.Comment: accepted in Int. J. Mod. Phys. B, special issue "Classical Vs Quantum correlations in composite systems" edited by L. Amico, S. Bose, V. Korepin and V. Vedra

Generalized entropic measures of quantum correlations

We propose a general measure of non-classical correlations for bipartite systems based on generalized entropic functions and majorization properties. Defined as the minimum information loss due to a local measurement, in the case of pure states it reduces to the generalized entanglement entropy, i.e., the generalized entropy of the reduced state. However, in the case of mixed states it can be non-zero in separable states, vanishing just for states diagonal in a general product basis, like the Quantum Discord. Simple quadratic measures of quantum correlations arise as a particular case of the present formalism. The minimum information loss due to a joint local measurement is also discussed. The evaluation of these measures in a few simple relevant cases is as well provided, together with comparison with the corresponding entanglement monotones.Comment: 9 pages, 2 figure