Explicit computations of low lying eigenfunctions for the quantum trigonometric Calogero-Sutherland model related to the exceptional algebra E7

In the previous paper math-ph/0507015 we have studied the characters and Clebsch-Gordan series for the exceptional Lie algebra E7 by relating them to the quantum trigonometric Calogero-Sutherland Hamiltonian with coupling constant K=1. Now we extend that approach to the case of general K

Quantum fluctuations around low-dimensional topological defects

In these Lectures a method is described to analyze the effect of quantum fluctuations on topological defect backgrounds up to the one-loop level. The method is based on the spectral heat kernel/zeta function regularization procedure, and it is first applied to various types of kinks arising in several deformed linear and non-linear sigma models with different numbers of scalar fields. In the second part, the same conceptual framework is constructed for the topological solitons of the planar semilocal Abelian Higgs model, built from a doublet of complex scalar fields and one U(1) gauge field.Comment: 63 pages, 14 figures, expanded version of two lectures given by J.M.G. in 5th International School on Field Theory and Gravitation, Cuiaba, Brazi

Is idiosyncratic volatility priced in commodity futures markets?

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads to the puzzling finding that idiosyncratic volatility is significantly negatively priced cross-sectionally. However, idiosyncratic volatility is not priced when the phases of backwardation and contango are suitably factored in the pricing model. A time-series portfolio analysis similarly suggests that failing to recognize the fundamental risk associated with the inexorable phases of backwardation and contango leads to overstated profitability of the idiosyncratic volatility mimicking portfolios

Tactical allocation in commodity futures markets: Combining momentum and term structure signals

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66%, respectively, the momentum and term structure strategies appear profitable when implemented individually. With an abnormal return of 21.02%, our double-sort strategy that exploits both momentum and term structure signals clearly outperforms the single-sort strategies. This double-sort strategy can additionally be utilized as a portfolio diversification tool. The abnormal performance of the combined portfolios cannot be explained by a lack of liquidity, data mining or transaction costs

One-loop mass shift formula for kinks and self-dual vortices

A formula is derived that allows us to compute one-loop mass shifts for kinks and self-dual Abrikosov-Nielsen-Olesen vortices. The procedure is based in canonical quantization and heat kernel/zeta function regularization methods.Comment: LaTex file, 8 pages, 1 figure . Based on a talk given by J. M. G. at the 7th Workshop on Quantum Field Theory under the Influence of External Conditions (QFEXT05), Barcelona, Spain. Minor corrections. Version to appear in Journal of Physics

Quantum corrections to the mass of self-dual vortices

The mass shift induced by one-loop quantum fluctuations on self-dual ANO vortices is computed using heat kernel/generalized zeta function regularization methods.Comment: 4 pages RevTex, version to appear in Physical Review

Overnight news and daily equity trading risk limits

This paper proposes a new bivariate modeling approach for setting daily equity-trading risk limits using high-frequency data. We construct one-day-ahead Value-at-Risk (VaR) forecasts by taking into account the different dynamics of the overnight and daytime return processes and their covariance. The covariance is motivated by market microstructure effects such as price staleness and news spillover. Among the competitors we include a simpler bivariate model where the overnight return is redefined by moving the open price further into the trading day, and a univariate model based on the close-to-close return and an overnight-adjusted realized volatility. We illustrate the different approaches using data on the S&P 500 and Russell 2000 indices. The evidence in favour of modeling the covariance is more convincing for the latter index due to the lower trading volumes and, relatedly, the less efficient price discovery at market open for small-cap stocks

Some results on the eigenfunctions of the quantum trigonometric Calogero-Sutherland model related to the Lie algebra E6

The quantum trigonometric Calogero-Sutherland models related to Lie algebras admit a parametrization in which the dynamical variables are the characters of the fundamental representations of the algebra. We develop here this approach for the case of the exceptional Lie algebra E6.Comment: 17 pages, no figure