Filtering and forecasting commodity futures prices under an HMM framework

We propose a model for the evolution of arbitrage-free futures prices under a regime-switching framework. The estimation of model parameters is carried out using the hidden Markov filtering algorithms. Comprehensive numerical experiments on real financial market data are provided to illustrate the effectiveness of our algorithm. In particular, the model is calibrated with data from heating oil futures and its forecasting performance as well as statistical validity is investigated. The proposed model is parsimonious, self-calibrating and can be very useful in predicting futures prices. © 2013 Elsevier B.V

Formation of ultracold LiRb molecules by photoassociation near the Li (2s 2S1/2) + Rb (5p 2P1/2) asymptote

We report the production of ultracold 7Li85Rb molecules by photoassociation (PA) below the Li (2s 2S1/2) + Rb (5p 2P1/2) asymptote. We perform PA spectroscopy in a dual-species 7Li-85Rb magneto-optical trap (MOT) and detect the PA resonances using trap loss spectroscopy. We observe several strong PA resonances corresponding to the last few bound states, assign the lines and derive the long range C6 dispersion coefficients for the Li (2s 2S1/2) + Rb (5p 2P1/2) asymptote. We also report an excited-state molecule formation rate (P_LiRb) of ~10^7 s^-1 and a PA rate coefficient (K_PA) of ~4x10^-11 cm^3/s, which are both among the highest observed for heteronuclear bi-alkali molecules. These suggest that PA is a promising route for the creation of ultracold ground state LiRb molecules.Comment: 6 page

Error analysis for full discretizations of quasilinear parabolic problems on evolving surfaces

Convergence results are shown for full discretizations of quasilinear parabolic partial differential equations on evolving surfaces. As a semidiscretization in space the evolving surface finite element method is considered, using a regularity result of a generalized Ritz map, optimal order error estimates for the spatial discretization is shown. Combining this with the stability results for Runge--Kutta and BDF time integrators, we obtain convergence results for the fully discrete problems.Comment: -. arXiv admin note: text overlap with arXiv:1410.048

Mapping the Geometry of Law using Document Embeddings

Recent work in natural language processing represents language objects (words and documents) as dense vectors that encode the relations between those objects. This paper explores the application of these methods to legal language, with the goal of understanding judicial reasoning and the relations between judges. In an application to federal appellate courts, we show that these vectors encode information that distinguishes courts, time, and legal topics. The vectors do not reveal spatial distinctions in terms of political party or law school attended, but they do highlight generational differences across judges. We conclude the paper by outlining a range of promising future applications of these methods