Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Reconstruction and measurement of (100) MeV energy electromagnetic activity from π0 arrow γγ decays in the MicroBooNE LArTPC

We present results on the reconstruction of electromagnetic (EM) activity from photons produced in charged current νμ interactions with final state π0s. We employ a fully-automated reconstruction chain capable of identifying EM showers of (100) MeV energy, relying on a combination of traditional reconstruction techniques together with novel machine-learning approaches. These studies demonstrate good energy resolution, and good agreement between data and simulation, relying on the reconstructed invariant π0 mass and other photon distributions for validation. The reconstruction techniques developed are applied to a selection of νμ + Ar → μ + π0 + X candidate events to demonstrate the potential for calorimetric separation of photons from electrons and reconstruction of π0 kinematics

Fermi Gamma-ray Imaging of a Radio Galaxy

The Fermi Gamma-ray Space Telescope has detected the gamma-ray glow emanating from the giant radio lobes of the radio galaxy Centaurus A. The resolved gamma-ray image shows the lobes clearly separated from the central active source. In contrast to all other active galaxies detected so far in high-energy gamma-rays, the lobe flux constitutes a considerable portion (>1/2) of the total source emission. The gamma-ray emission from the lobes is interpreted as inverse Compton scattered relic radiation from the cosmic microwave background (CMB), with additional contribution at higher energies from the infrared-to-optical extragalactic background light (EBL). These measurements provide gamma-ray constraints on the magnetic field and particle energy content in radio galaxy lobes, and a promising method to probe the cosmic relic photon fields.Comment: 27 pages, includes Supplementary Online Material; corresponding authors: C.C. Cheung, Y. Fukazawa, J. Knodlseder, L. Stawar

Detection of Gamma-Ray Emission from the Starburst Galaxies M82 and NGC 253 with the Large Area Telescope on Fermi

We report the detection of high-energy gamma-ray emission from two starburst galaxies using data obtained with the Large Area Telescope on board the Fermi Gamma-ray Space Telescope. Steady point-like emission above 200 MeV has been detected at significance levels of 6.8 sigma and 4.8 sigma respectively, from sources positionally coincident with locations of the starburst galaxies M82 and NGC 253. The total fluxes of the sources are consistent with gamma-ray emission originating from the interaction of cosmic rays with local interstellar gas and radiation fields and constitute evidence for a link between massive star formation and gamma-ray emission in star-forming galaxies.Comment: Submitted to ApJ Letter

Signatures of arithmetic simplicity in metabolic network architecture

Metabolic networks perform some of the most fundamental functions in living cells, including energy transduction and building block biosynthesis. While these are the best characterized networks in living systems, understanding their evolutionary history and complex wiring constitutes one of the most fascinating open questions in biology, intimately related to the enigma of life's origin itself. Is the evolution of metabolism subject to general principles, beyond the unpredictable accumulation of multiple historical accidents? Here we search for such principles by applying to an artificial chemical universe some of the methodologies developed for the study of genome scale models of cellular metabolism. In particular, we use metabolic flux constraint-based models to exhaustively search for artificial chemistry pathways that can optimally perform an array of elementary metabolic functions. Despite the simplicity of the model employed, we find that the ensuing pathways display a surprisingly rich set of properties, including the existence of autocatalytic cycles and hierarchical modules, the appearance of universally preferable metabolites and reactions, and a logarithmic trend of pathway length as a function of input/output molecule size. Some of these properties can be derived analytically, borrowing methods previously used in cryptography. In addition, by mapping biochemical networks onto a simplified carbon atom reaction backbone, we find that several of the properties predicted by the artificial chemistry model hold for real metabolic networks. These findings suggest that optimality principles and arithmetic simplicity might lie beneath some aspects of biochemical complexity

Calibration of the charge and energy loss per unit length of the MicroBooNE liquid argon time projection chamber using muons and protons

We describe a method used to calibrate the position- and time-dependent response of the MicroBooNE liquid argon time projection chamber anode wires to ionization particle energy loss. The method makes use of crossing cosmic-ray muons to partially correct anode wire signals for multiple effects as a function of time and position, including cross-connected TPC wires, space charge effects, electron attachment to impurities, diffusion, and recombination. The overall energy scale is then determined using fully-contained beam-induced muons originating and stopping in the active region of the detector. Using this method, we obtain an absolute energy scale uncertainty of 2% in data. We use stopping protons to further refine the relation between the measured charge and the energy loss for highly-ionizing particles. This data-driven detector calibration improves both the measurement of total deposited energy and particle identification based on energy loss per unit length as a function of residual range. As an example, the proton selection efficiency is increased by 2% after detector calibration

The Pandora multi-algorithm approach to automated pattern recognition of cosmic-ray muon and neutrino events in the MicroBooNE detector.

The development and operation of liquid-argon time-projection chambers for neutrino physics has created a need for new approaches to pattern recognition in order to fully exploit the imaging capabilities offered by this technology. Whereas the human brain can excel at identifying features in the recorded events, it is a significant challenge to develop an automated, algorithmic solution. The Pandora Software Development Kit provides functionality to aid the design and implementation of pattern-recognition algorithms. It promotes the use of a multi-algorithm approach to pattern recognition, in which individual algorithms each address a specific task in a particular topology. Many tens of algorithms then carefully build up a picture of the event and, together, provide a robust automated pattern-recognition solution. This paper describes details of the chain of over one hundred Pandora algorithms and tools used to reconstruct cosmic-ray muon and neutrino events in the MicroBooNE detector. Metrics that assess the current pattern-recognition performance are presented for simulated MicroBooNE events, using a selection of final-state event topologies

A change in the optical polarization associated with a gamma-ray flare in the blazar 3C 279

It is widely accepted that strong and variable radiation detected over all accessible energy bands in a number of active galaxies arises from a relativistic, Doppler-boosted jet pointing close to our line of sight. The size of the emitting zone and the location of this region relative to the central supermassive black hole are, however, poorly known, with estimates ranging from light-hours to a light-year or more. Here we report the coincidence of a gamma-ray flare with a dramatic change of optical polarization angle. This provides evidence for co-spatiality of optical and gamma-ray emission regions and indicates a highly ordered jet magnetic field. The results also require a non-axisymmetric structure of the emission zone, implying a curved trajectory for the emitting material within the jet, with the dissipation region located at a considerable distance from the black hole, at about 10^5 gravitational radii.Comment: Published in Nature issued on 18 February 2010. Corresponding authors: Masaaki Hayashida and Greg Madejsk

Search for gamma-ray emission from magnetars with the Fermi Large Area Telescope

We report on the search for 0.1-10 GeV emission from magnetars in 17 months of Fermi Large Area Telescope (LAT) observations. No significant evidence for gamma-ray emission from any of the currently-known magnetars is found. The most stringent upper limits to date on their persistent emission in the Fermi-LAT energy range are estimated between ~10^{-12}-10^{-10} erg/s/cm2, depending on the source. We also searched for gamma-ray pulsations and possible outbursts, also with no significant detection. The upper limits derived support the presence of a cut-off at an energy below a few MeV in the persistent emission of magnetars. They also show the likely need for a revision of current models of outer gap emission from strongly magnetized pulsars, which, in some realizations, predict detectable GeV emission from magnetars at flux levels exceeding the upper limits identified here using the Fermi-LAT observations.Comment: ApJ Letters in press; Corresponding authors: Caliandro G. A., Hadasch D., Rea N., Burnett

Sex-specific Trans-regulatory Variation on the Drosophila melanogaster X Chromosome

The X chromosome constitutes a unique genomic environment because it is present in one copy in males, but two copies in females. This simple fact has motivated several theoretical predictions with respect to how standing genetic variation on the X chromosome should differ from the autosomes. Unmasked expression of deleterious mutations in males and a lower census size are expected to reduce variation, while allelic variants with sexually antagonistic effects, and potentially those with a sex-specific effect, could accumulate on the X chromosome and contribute to increased genetic variation. In addition, incomplete dosage compensation of the X chromosome could potentially dampen the male-specific effects of random mutations, and promote the accumulation of X-linked alleles with sexually dimorphic phenotypic effects. Here we test both the amount and the type of genetic variation on the X chromosome within a population of Drosophila melanogaster, by comparing the proportion of X linked and autosomal trans-regulatory SNPs with a sexually concordant and discordant effect on gene expression. We find that the X chromosome is depleted for SNPs with a sexually concordant effect, but hosts comparatively more SNPs with a sexually discordant effect. Interestingly, the contrasting results for SNPs with sexually concordant and discordant effects are driven by SNPs with a larger influence on expression in females than expression in males. Furthermore, the distribution of these SNPs is shifted towards regions where dosage compensation is predicted to be less complete. These results suggest that intrinsic properties of dosage compensation influence either the accumulation of different types of trans-factors and/or their propensity to accumulate mutations. Our findings document a potential mechanistic basis for sex-specific genetic variation, and identify the X as a reservoir for sexually dimorphic phenotypic variation. These results have general implications for X chromosome evolution, as well as the genetic basis of sex-specific evolutionary change