Forecasting Equicorrelation

We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets. Building on the existing Dynamic Conditional Correlation and Linear Dynamic Equicorrelation models, we propose a model that uses proxies for equicorrelation based on high-frequency intraday data, and the level of equicorrelation implied by options prices. Using state-of-the-art statistical evaluation technology, we find that the use of both realized and implied equicorrelations outperform models that use daily data alone. However, the out-of-sample forecasting benefits of implied equicorrelation disappear when used in conjunction with the realized measures.Equicorrelation, Implied Correlation, Multivariate GARCH, DCC

Excitations in confined helium

We design models for helium in matrices like aerogel, Vycor or Geltech from a manifestly microscopic point of view. For that purpose, we calculate the dynamic structure function of 4He on Si substrates and between two Si walls as a function of energy, momentum transfer, and the scattering angle. The angle--averaged results are in good agreement with the neutron scattering data; the remaining differences can be attributed to the simplified model used here for the complex pore structure of the materials. A focus of the present work is the detailed identification of coexisting layer modes and bulk--like excitations, and, in the case of thick films, ripplon excitations. Involving essentially two--dimensional motion of atoms, the layer modes are sensitive to the scattering angle.Comment: Phys. Rev. B (2003, in press

Early Aspects at ICSE 2007: Workshop on Aspect-Oriented Requirements Engineering and Architecture Design

The “Early Aspects @ ICSE’07” is the 11th workshop in the series of Early Aspects workshops [1] which focuses on aspect identification during the requirements engineering and architecture derivation activities. The specific aim of the present workshop is twofold: (a) to initiate creation of an Early Aspects application demonstration and comparisons benchmark; and (b) to solicit submission of new research

Diffusion Monte Carlo study of two-dimensional liquid 4^4He

The ground-state properties of two-dimensional liquid $^4$He at zero temperature are studied by means of a quadratic diffusion Monte Carlo method. As interatomic potential we use a revised version of the HFDHE2 Aziz potential which is expected to give a better description of the interaction between helium atoms. The equation of state is determined with great accuracy over a wide range of densities in the liquid phase from the spinodal point up to the freezing density. The spinodal decomposition density is estimated and other properties of the liquid, such as radial distribution function, static form factor, momentum distribution and density dependence of the condensate fraction are all presented.Comment: 19 pages, RevTex 3.0, 7 figures available upon reques

Quantum sticking, scattering and transmission of 4He atoms from superfluid 4He surfaces

We develop a microscopic theory of the scattering, transmission, and sticking of 4He atoms impinging on a superfluid 4He slab at near normal incidence, and inelastic neutron scattering from the slab. The theory includes coupling between different modes and allows for inelastic processes. We find a number of essential aspects that must be observed in a physically meaningful and reliable theory of atom transmission and scattering; all are connected with multiparticle scattering, particularly the possibility of energy loss. These processes are (a) the coupling to low-lying (surface) excitations (ripplons/third sound) which is manifested in a finite imaginary part of the self energy, and (b) the reduction of the strength of the excitation in the maxon/roton region

Disease modification and other trials in systemic sclerosis have come a long way, but have to go further

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/92019/1/21673_ftp.pd

The Double Quasar Q2138-431: Lensing by a Dark Galaxy?

We report the discovery of a new gravitational lens candidate Q2138-431AB, comprising two quasar images at a redshift of 1.641 separated by 4.5 arcsecs. The spectra of the two images are very similar, and the redshifts agree to better than 115 km.sec$^{-1}$. The two images have magnitudes $B_J = 19.8$ and $B_J = 21.0$, and in spite of a deep search and image subtraction procedure, no lensing galaxy has been found with $R < 23.8$. Modelling of the system configuration implies that the mass-to-light ratio of any lensing galaxy is likely to be around $1000 M_{\odot}/L_{\odot}$, with an absolute lower limit of $200 M_{\odot}/L_{\odot}$ for an Einstein-de Sitter universe. We conclude that the most likely explanation of the observations is gravitational lensing by a dark galaxy, although it is possible we are seeing a binary quasar.Comment: 17 pages (Latex), 8 postscript figures included, accepted by MNRA