CAN STRUCTURAL CHANGE EXPLAIN THE DECREASE IN RETURNS TO TECHNICAL ANALYSIS?

Practioners Abstract: Returns to managed futures funds and Commodity Trading Advisors (CTAs) have decreased dramatically during the last several years. Since these funds overwhelmingly use technical analysis, this research examines futures prices to determine if there is evidence of a structural change in futures price movements that could explain the reduction in fund returns. Bootstrap tests are used to test significance of a change in statistics related to daily returns, close-to-open changes, breakaway gaps, and serial correlation. Results indicate that several statistics have changed across a broad range of commodities indicating futures price fluctuations have changed. The lower price volatility, decreased price reaction time, and decreased serial correlation may partly explain the lower returns from technical analysis.Marketing,

Optimization of the magnetic dynamo

In stars and planets, magnetic fields are believed to originate from the motion of electrically conducting fluids in their interior, through a process known as the dynamo mechanism. In this Letter, an optimization procedure is used to simultaneously address two fundamental questions of dynamo theory: "Which velocity field leads to the most magnetic energy growth?" and "How large does the velocity need to be relative to magnetic diffusion?" In general, this requires optimization over the full space of continuous solenoidal velocity fields possible within the geometry. Here the case of a periodic box is considered. Measuring the strength of the flow with the root-mean-square amplitude, an optimal velocity field is shown to exist, but without limitation on the strain rate, optimization is prone to divergence. Measuring the flow in terms of its associated dissipation leads to the identification of a single optimal at the critical magnetic Reynolds number necessary for a dynamo. This magnetic Reynolds number is found to be only 15% higher than that necessary for transient growth of the magnetic field.Comment: Optimal velocity field given approximate analytic form. 4 pages, 4 figure

Conceptual design, evaluation and research identification for Remote Augmented Propulsive Lift Systems (RALS) with ejectors for VTOL aircraft

Ejector concepts for use with a remote augmented lift system (RALS) exhaust nozzle were studied. A number of concepts were considered and three were selected as having the greatest promise of providing the desired aircraft and exhaust gas cooling and lift enhancement. A scale model test program is recommended to explore the effects of the more important parameters on ejector performance

The pair distribution function for an array of screw dislocations

AbstractThe paper addresses the problem of correlation within an array of parallel dislocations in a crystalline solid. The first two of a hierarchy of equations for the multi-point distribution functions are derived by treating the random dislocation distributions and the corresponding stress fields in an ensemble average framework. Asymptotic reasoning, applicable when dislocations are separated by small distances, provides equations that are independent of any specific kinetic law relating the velocity of a dislocation to the force acting on it. The only assumption made is that the force acting on any dislocation remains finite. The hierarchy is closed by making a standard closure approximation. For the particular case of a population of parallel screw dislocations of the same sign moving on parallel slip planes the solution for the pair distribution function is found analytically. For the dislocations having opposite signs the system of equations suggests that in ensemble average only geometrically necessary dislocations correlate, while balanced positive and negative dislocations would create dipoles or annihilate. Direct numerical simulations support this conclusion. In addition, the relation of the dislocation correlation to strain gradient theories and size effect is shown and discussed

Price Endogeneity and Marginal Cost Effects on Incentive Compatible Stormwater Management Policies

Incentive based stormwater management policies offer the prospect of reducing urban stormwater runoff while increasing developer profits. An incentive compatible Stormwater Banking Program (SBP) is presented that allows developers to build at higher residential densities in exchange for including low impact stormwater Best Management Practices (BMPs) in the development’s stormwater management infrastructure. Price endogeneity presents itself when the smaller residential lots created by building at a greater density sell for a lower price than the original, larger lots. Stormwater management authorities must be aware of this and the effects of the program participation fee structure in designing voluntary incentive based policies that meet runoff reduction objectives.Farm Management,

Incentive Policies to Promote the Use of Enhanced Stormwater BMPs in New Residential Developments

A voluntary stormwater management program that is incentive compatible between residential developers and regulators produces an outcome that simultaneously protects/enhances water quality and increases developer profits. Developers pay a participation fee and the collected fees are used to retrofit ineffective stormwater management systems in older neighborhoods to improve water quality.Stormwater Best Management Practices, Economic Incentives, Urban Water Quality, Environmental Economics and Policy, Q25,

Benchmarking calculations of excitonic couplings between bacteriochlorophylls

Excitonic couplings between (bacterio)chlorophyll molecules are necessary for simulating energy transport in photosynthetic complexes. Many techniques for calculating the couplings are in use, from the simple (but inaccurate) point-dipole approximation to fully quantum-chemical methods. We compared several approximations to determine their range of applicability, noting that the propagation of experimental uncertainties poses a fundamental limit on the achievable accuracy. In particular, the uncertainty in crystallographic coordinates yields an uncertainty of about 20% in the calculated couplings. Because quantum-chemical corrections are smaller than 20% in most biologically relevant cases, their considerable computational cost is rarely justified. We therefore recommend the electrostatic TrEsp method across the entire range of molecular separations and orientations because its cost is minimal and it generally agrees with quantum-chemical calculations to better than the geometric uncertainty. We also caution against computationally optimizing a crystal structure before calculating couplings, as it can lead to large, uncontrollable errors. Understanding the unavoidable uncertainties can guard against striving for unrealistic precision; at the same time, detailed benchmarks can allow important qualitative questions--which do not depend on the precise values of the simulation parameters--to be addressed with greater confidence about the conclusions