Momentum, Disposition, and tax-loss selling: the UK evidence

In this paper we explore the seasonality of UK momentum returns. We find evidence of very high momentum returns during March followed by negative returns during April. This seasonality is driven by substantial swings in performance for the Loser portfolio, with loser stocks performing very poorly during March before bouncing back in April. This pattern is what we would expect to result from tax-loss selling by individual investors and as such supports the Grinblatt and Han’s (2004) explanation for momentum that is based on disposition trading. Poor January momentum returns are not so easily explained

Non-Markovian quantum state diffusion for an open quantum system in fermionic environments

Non-Markovian quantum state diffusion (NMQSD) provides a powerful approach to the dynamics of an open quantum system in bosonic environments. Here we develop an NMQSD method to study the open quantum system in fermionic environments. This problem involves anticommutative noise functions (i.e., Grassmann variables) that are intrinsically different from the noise functions of bosonic baths. We obtain the NMQSD equation for quantum states of the system and the non-Markovian master equation. Moreover, we apply this NMQSD method to single and double quantum-dot systems.Comment: 9 pages, 1 figur

Dynamics of glass phases in the two-dimensional gauge glass model

Large-scale simulations have been performed on the current-driven two-dimensional XY gauge glass model with resistively-shunted-junction dynamics. It is observed that the linear resistivity at low temperatures tends to zero, providing strong evidence of glass transition at finite temperature. Dynamic scaling analysis demonstrates that perfect collapses of current-voltage data can be achieved with the glass transition temperature $T_{g}=0.22$, the correlation length critical exponent $\nu =1.8$, and the dynamic critical exponent $z=2.0$. A genuine continuous depinning transition is found at zero temperature. For creeping at low temperatures, critical exponents are evaluated and a non-Arrhenius creep motion is observed in the glass phase.Comment: 10 pages, 6 figure

Relative entropy and the stability of shocks and contact discontinuities for systems of conservation laws with non BV perturbations

We develop a theory based on relative entropy to show the uniqueness and L^2 stability (up to a translation) of extremal entropic Rankine-Hugoniot discontinuities for systems of conservation laws (typically 1-shocks, n-shocks, 1-contact discontinuities and n-contact discontinuities of large amplitude) among bounded entropic weak solutions having an additional trace property. The existence of a convex entropy is needed. No BV estimate is needed on the weak solutions considered. The theory holds without smallness condition. The assumptions are quite general. For instance, strict hyperbolicity is not needed globally. For fluid mechanics, the theory handles solutions with vacuum.Comment: 29 page

IEEE 802.11n MAC frame aggregation mechanisms for next-generation high-throughput WLANs [Medium access control protocols for wireless LANs]

IEEE 802.11n is an ongoing next-generation wireless LAN standard that supports a very highspeed connection with more than 100 Mb/s data throughput measured at the medium access control layer. This article investigates the key MAC enhancements that help 802.11n achieve high throughput and high efficiency. A detailed description is given for various frame aggregation mechanisms proposed in the latest 802.11n draft standard. Our simulation results confirm that A-MSDU, A-MPDU, and a combination of these methods improve extensively the channel efficiency and data throughput. We analyze the performance of each frame aggregation scheme in distinct scenarios, and we conclude that overall, the two-level aggregation is the most efficacious

Catastrophic eruption of magnetic flux rope in the corona and solar wind with and without magnetic reconnection

It is generally believed that the magnetic free energy accumulated in the corona serves as a main energy source for solar explosions such as coronal mass ejections (CMEs). In the framework of the flux rope catastrophe model for CMEs, the energy may be abruptly released either by an ideal magnetohydrodynamic (MHD) catastrophe, which belongs to a global magnetic topological instability of the system, or by a fast magnetic reconnection across preexisting or rapidly-developing electric current sheets. Both ways of magnetic energy release are thought to be important to CME dynamics. To disentangle their contributions, we construct a flux rope catastrophe model in the corona and solar wind and compare different cases in which we either prohibit or allow magnetic reconnection to take place across rapidly-growing current sheets during the eruption. It is demonstrated that CMEs, even fast ones, can be produced taking the ideal MHD catastrophe as the only process of magnetic energy release. Nevertheless, the eruptive speed can be significantly enhanced after magnetic reconnection sets in. In addition, a smooth transition from slow to fast eruptions is observed when increasing the strength of the background magnetic field, simply because in a stronger field there is more free magnetic energy at the catastrophic point available to be released during an eruption. This suggests that fast and slow CMEs may have an identical driving mechanism.Comment: 7 pages, 4 figures, ApJ, in press (vol. 666, Sept. 2007

Multidimensional Conservation Laws: Overview, Problems, and Perspective

Some of recent important developments are overviewed, several longstanding open problems are discussed, and a perspective is presented for the mathematical theory of multidimensional conservation laws. Some basic features and phenomena of multidimensional hyperbolic conservation laws are revealed, and some samples of multidimensional systems/models and related important problems are presented and analyzed with emphasis on the prototypes that have been solved or may be expected to be solved rigorously at least for some cases. In particular, multidimensional steady supersonic problems and transonic problems, shock reflection-diffraction problems, and related effective nonlinear approaches are analyzed. A theory of divergence-measure vector fields and related analytical frameworks for the analysis of entropy solutions are discussed.Comment: 43 pages, 3 figure