Cyclic electric field stress on bipolar resistive switching devices

We have studied the effects of accumulating cyclic electrical pulses of increasing amplitude on the non-volatile resistance state of interfaces made by sputtering a metal (Au, Pt) on top of the surface of a cuprate superconductor YBa$_2$Cu$_3$O$_{7-\delta}$ (YBCO). We have analyzed the influence of the number of applied pulses $N$ on the relative amplitude of the remnant resistance change between the high ($R_H$) and the low ($R_L$) state [$\alpha=(R_{H}-R_{L})/R_{L}$] at different temperatures ($T$). We show that the critical voltage ($V_c$) needed to produce a resistive switching (RS, i.e. $\alpha >0$) decreases with increasing $N$ or $T$. We also find a power law relation between the voltage of the pulses and the number of pulses $N_{\alpha_0}$ required to produce a RS of $\alpha=\alpha_0$. This relation remains very similar to the Basquin equation used to describe the stress-fatigue lifetime curves in mechanical tests. This points out to the similarity between the physics of the RS, associated with the diffusion of oxygen vacancies induced by electrical pulses, and the propagation of defects in materials subjected to repeated mechanical stress.Comment: 5 pages, 5 figures. To be published in JAP. Corresponding author: [email protected]

Portfolio Optimization and Long-Term Dependence

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite financial literature provides evidence of long-term’s memory existence, serial-independence assumption prevails. This document’s long-term dependence assessment relies on rescaled range analysis (R/S), a popular and robust methodology designed for Geophysics but extensively used in financial literature. Results correspond to most of the previous evidence of significant long-term dependence, particularly for small and illiquid markets, where persistence is its most common kind. Persistence conveys that the range of possible future values of the variable will be wider than the range of purely random and independent variables. Ahead of R/S financial literature, authors estimate an adjusted Hurst exponent in order to properly estimate the covariance matrix at higher investment horizons, avoiding the traditional -independence reliant- square-root-of-time rule. Ignoring long-term dependence within the mean-variance portfolio optimization results in concealed risk taking; conversely, by adjusting for long-term dependence the weight of high (low) persistence risk factors decreases (increases) as the investment horizon widens. This alleviates some well-known shortcomings of conventional portfolio optimization for long-term investors (e.g. central banks, pension funds and sovereign wealth managers), such as excessive risk taking in long-term portfolios, extreme weights, home bias, and reluctance to hold foreign currency-denominated assets.Portfolio optimization, Hurst exponent, long-term dependence, biased random walk, rescaled range analysis. Classification JEL: G11, G32, G20, C14.

Latin American Debt: I Don't Think We Are in Kansas Anymore

macroeconomics, international, Latin America, debt, recession

Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix could partially account for this. To overcome some of the limitations of the mean-variance framework, mainly the choice of the risk metric and the inconvenience of using an estimated correlation matrix typical of tranquil or euphoria periods, this paper proposes an alternative risk measure: the maximum drawdown (MDD), and combines it with a wealth creation measure to define a new portfolio optimization space. Like other market practitioners’ measures, MDD lacks of a complete and solid theoretical foundation. In an effort to contribute to its theoretical foundation, this paper uses common sense and financial intuition to introduce such measure, followed by a review of its technical advantages and coherence for risk management. Finally, an application of a MDD risk metric based portfolio optimization model is presented. The main findings indicate this proposal may effectively help overcome some of the traditional mean-variance shortcomings and provide some useful tools for portfolio optimization in practice. For long-term performance driven portfolios, such as pension funds, this approach may yield interesting results because it focuses on wealth creation over the long run.Portfolio Optimization, Asset Allocation, Downside Risk, Maximum Drawdown, mean-variance Criteria, Diversification. Classification JEL: G11; G23; G32; D81.