On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This paper first documents that appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to replicate closely not only U.S. market returns and the corresponding momentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value risk factors. We then build novel pan-European and country-specific momentum, size, and value risk factors. By comparing our pan-European market returns and risk factors with their counterparts in the U.S., we find that they are astonishingly highly correlated. The factors we compute are made available to other researchers.Risk factors; value, size, momentum, international equity markets, asset pricing anomalies

09131 Abstracts Collection -- Service Level Agreements in Grids

From 22.03. to 27.03.09, the Dagstuhl Seminar 09131 ``Service Level Agreements in Grids \u27\u27 was held in Schloss Dagstuhl~--~Leibniz Center for Informatics. During the seminar, several participants presented their current research, and ongoing work and open problems were discussed. Abstracts of the presentations given during the seminar as well as abstracts of seminar results and ideas are put together in this paper. The first section describes the seminar topics and goals in general. Links to extended abstracts or full papers are provided, if available

Characterization of the Local Density of States Fluctuations near the Integer Quantum Hall Transition in a Quantum Dot Array

We present a calculation for the second moment of the local density of states in a model of a two-dimensional quantum dot array near the quantum Hall transition. The quantum dot array model is a realistic adaptation of the lattice model for the quantum Hall transition in the two-dimensional electron gas in an external magnetic field proposed by Ludwig, Fisher, Shankar and Grinstein. We make use of a Dirac fermion representation for the Green functions in the presence of fluctuations for the quantum dot energy levels. A saddle-point approximation yields non-perturbative results for the first and second moments of the local density of states, showing interesting fluctuation behaviour near the quantum Hall transition. To our knowledge we discuss here one of the first analytic characterizations of chaotic behaviour for a two-dimensional mesoscopic structure. The connection with possible experimental investigations of the local density of states in the quantum dot array structures (by means of NMR Knight-shift or single-electron-tunneling techniques) and our work is also established.Comment: 11 LaTeX pages, 1 postscript figure, to appear in Phys.Rev.

A Precision Measurement of pp Elastic Scattering Cross Sections at Intermediate Energies

We have measured differential cross sections for \pp elastic scattering with internal fiber targets in the recirculating beam of the proton synchrotron COSY. Measurements were made continuously during acceleration for projectile kinetic energies between 0.23 and 2.59 GeV in the angular range $30 \leq \theta_{c.m.} \leq 90$ deg. Details of the apparatus and the data analysis are given and the resulting excitation functions and angular distributions presented. The precision of each data point is typically better than 4%, and a relative normalization uncertainty of only 2.5% within an excitation function has been reached. The impact on phase shift analysis as well as upper bounds on possible resonant contributions in lower partial waves are discussed.Comment: 23 pages 29 figure

Measurement of Spin Correlation Parameters ANN_{NN}, ASS_{SS}, and A_SL{SL} at 2.1 GeV in Proton-Proton Elastic Scattering

At the Cooler Synchrotron COSY/J\"ulich spin correlation parameters in elastic proton-proton (pp) scattering have been measured with a 2.11 GeV polarized proton beam and a polarized hydrogen atomic beam target. We report results for A$_{NN}$, A$_{SS}$, and A_${SL}$ for c.m. scattering angles between 30$^o$ and 90$^o$. Our data on A$_{SS}$ -- the first measurement of this observable above 800 MeV -- clearly disagrees with predictions of available of pp scattering phase shift solutions while A$_{NN}$ and A_${SL}$ are reproduced reasonably well. We show that in the direct reconstruction of the scattering amplitudes from the body of available pp elastic scattering data at 2.1 GeV the number of possible solutions is considerably reduced.Comment: 4 pages, 4 figure

Response function analysis of excited-state kinetic energy functional constructed by splitting k-space

Over the past decade, fundamentals of time independent density functional theory for excited state have been established. However, construction of the corresponding energy functionals for excited states remains a challenging problem. We have developed a method for constructing functionals for excited states by splitting k-space according to the occupation of orbitals. In this paper we first show the accuracy of kinetic energy functional thus obtained. We then perform a response function analysis of the kinetic energy functional proposed by us and show why method of splitting the k-space could be the method of choice for construction of energy functionals for excited states.Comment: 11 page

Coexistence of 'alpha+ 208Pb' cluster structures and single-particle excitations in 212Po

Excited states in 212Po have been populated by alpha transfer using the 208Pb(18O,14C) reaction at 85MeV beam energy and studied with the EUROBALL IV gamma multidetector array. The level scheme has been extended up to ~ 3.2 MeV excitation energy from the triple gamma coincidence data. Spin and parity values of most of the observed states have been assigned from the gamma angular distributions and gamma -gamma angular correlations. Several gamma lines with E(gamma) < 1 MeV have been found to be shifted by the Doppler effect, allowing for the measurements of the associated lifetimes by the DSAM method. The values, found in the range [0.1-0.6] ps, lead to very enhanced E1 transitions. All the emitting states, which have non-natural parity values, are discussed in terms of alpha-208Pb structure. They are in the same excitation-energy range as the states issued from shell-model configurations.Comment: 21 pages, 19 figures, corrected typos, revised arguments in Sect. III

Charge and current-sensitive preamplifiers for pulse shape discrimination techniques with silicon detectors

New charge and current-sensitive preamplifiers coupled to silicon detectors and devoted to studies in nuclear structure and dynamics have been developed and tested. For the first time shapes of current pulses from light charged particles and carbon ions are presented. Capabilities for pulse shape discrimination techniques are demonstrated.Comment: 14 pages, 12 figures, to be published in Nucl. Inst. Meth.

First direct detection of an exoplanet by optical interferometry; Astrometry and K-band spectroscopy of HR8799 e

To date, infrared interferometry at best achieved contrast ratios of a few times $10^{-4}$ on bright targets. GRAVITY, with its dual-field mode, is now capable of high contrast observations, enabling the direct observation of exoplanets. We demonstrate the technique on HR8799, a young planetary system composed of four known giant exoplanets. We used the GRAVITY fringe tracker to lock the fringes on the central star, and integrated off-axis on the HR8799e planet situated at 390 mas from the star. Data reduction included post-processing to remove the flux leaking from the central star and to extract the coherent flux of the planet. The inferred K band spectrum of the planet has a spectral resolution of 500. We also derive the astrometric position of the planet relative to the star with a precision on the order of 100$\,\mu$as. The GRAVITY astrometric measurement disfavors perfectly coplanar stable orbital solutions. A small adjustment of a few degrees to the orbital inclination of HR 8799 e can resolve the tension, implying that the orbits are close to, but not strictly coplanar. The spectrum, with a signal-to-noise ratio of $\approx 5$ per spectral channel, is compatible with a late-type L brown dwarf. Using Exo-REM synthetic spectra, we derive a temperature of $1150\pm50$\,K and a surface gravity of $10^{4.3\pm0.3}\,$cm/s$^{2}$. This corresponds to a radius of $1.17^{+0.13}_{-0.11}\,R_{\rm Jup}$ and a mass of $10^{+7}_{-4}\,M_{\rm Jup}$, which is an independent confirmation of mass estimates from evolutionary models. Our results demonstrate the power of interferometry for the direct detection and spectroscopic study of exoplanets at close angular separations from their stars.Comment: published in A&

Observation of Electron-Hole Puddles in Graphene Using a Scanning Single Electron Transistor

The electronic density of states of graphene is equivalent to that of relativistic electrons. In the absence of disorder or external doping the Fermi energy lies at the Dirac point where the density of states vanishes. Although transport measurements at high carrier densities indicate rather high mobilities, many questions pertaining to disorder remain unanswered. In particular, it has been argued theoretically, that when the average carrier density is zero, the inescapable presence of disorder will lead to electron and hole puddles with equal probability. In this work, we use a scanning single electron transistor to image the carrier density landscape of graphene in the vicinity of the neutrality point. Our results clearly show the electron-hole puddles expected theoretically. In addition, our measurement technique enables to determine locally the density of states in graphene. In contrast to previously studied massive two dimensional electron systems, the kinetic contribution to the density of states accounts quantitatively for the measured signal. Our results suggests that exchange and correlation effects are either weak or have canceling contributions.Comment: 13 pages, 5 figure