On-Line Portfolio Selection with Moving Average Reversion

On-line portfolio selection has attracted increasing interests in machine learning and AI communities recently. Empirical evidences show that stock's high and low prices are temporary and stock price relatives are likely to follow the mean reversion phenomenon. While the existing mean reversion strategies are shown to achieve good empirical performance on many real datasets, they often make the single-period mean reversion assumption, which is not always satisfied in some real datasets, leading to poor performance when the assumption does not hold. To overcome the limitation, this article proposes a multiple-period mean reversion, or so-called Moving Average Reversion (MAR), and a new on-line portfolio selection strategy named "On-Line Moving Average Reversion" (OLMAR), which exploits MAR by applying powerful online learning techniques. From our empirical results, we found that OLMAR can overcome the drawback of existing mean reversion algorithms and achieve significantly better results, especially on the datasets where the existing mean reversion algorithms failed. In addition to superior trading performance, OLMAR also runs extremely fast, further supporting its practical applicability to a wide range of applications.Comment: ICML201

Fault tolerant quantum key distribution protocol with collective random unitary noise

We propose an easy implementable prepare-and-measure protocol for robust quantum key distribution with photon polarization. The protocol is fault tolerant against collective random unitary channel noise. The protocol does not need any collective quantum measurement or quantum memory. A security proof and a specific linear optical realization using spontaneous parametric down conversion are given.Comment: Accepted by PRA as a Rapid Communicatio

Charm elliptic flow at RHIC

Charm elliptic flow in heavy ion collisions at the Relativistic Heavy Ion Collider (RHIC) is studied in a multiphase transport model. Assuming that the cross section for charm quark scattering with other light quarks is the same as that between light quarks, we find that both charm and light quark elliptic flows are sensitive to the value of the cross section. Compared to that of light quarks, the elliptic flow of charm quarks is smaller at low transverse momentum but approaches comparable values at high transverse momentum. Similar features are seen in the elliptic flow of charmed mesons as well as that of the electrons from their semileptonic decays when the charmed mesons are produced from quark coalescence during hadronization of the partonic matter. To describe the large electron elliptic flow observed in available experimental data requires a charm quark scattering cross section that is much larger than that given by the perturbative QCD

Analytic Expression for Exact Ground State Energy Based on an Operator Method for a Class of Anharmonic Potentials

A general procedure based on shift operators is formulated to deal with anharmonic potentials. It is possible to extract the ground state energy analytically using our method provided certain consistency relations are satisfied. Analytic expressions for the exact ground state energy have also been derived specifically for a large class of the one-dimensional oscillator with cubic-quartic anharmonic terms. Our analytical results can be used to check the accuracy of existing numerical methods, for instance the method of state-dependent diagonalization. Our results also agree with the asymptotic behavior in the divergent pertubative expansion of quartic harmonic oscillator.Comment: LaTeX with six figure (gif) files; Submitted to Phys. Rev.

Resummation of High Order Corrections in ZZ Boson Plus Jet Production at the LHC

We study the multiple soft gluon radiation effects in $Z$ boson plus jet production at the LHC. By applying the transverse momentum dependent factorization formalism, the large logarithms introduced by the small total transverse momentum of the $Z$ boson plus jet final state system, are resummed to all orders in the expansion of the strong interaction coupling at the accuracy of Next-to-Leading Logarithm(NLL). We also compare the prediction of our resummation calculation to the CMS data by employing a reweighting procedure to estimate the effect from imposing kinematic cuts on the leptons from $Z$ boson decay, and find good agreement for both the imbalance transverse momentum and the azimuthal angle correlation of the final state $Z$ boson and jet system, for $pp\to Z+jet$ production at the LHC.Comment: 7 pages, published versio