Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

Despite the availability of very detailed data on financial market, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempts. This work is a contribution to the building of a set of stylized facts about the traders themselves. Using the client database of Swissquote Bank SA, the largest on-line Swiss broker, we find empirical relationships between turnover, account values and the number of assets in which a trader is invested. A theory based on simple mean-variance portfolio optimization that crucially includes variable transaction costs is able to reproduce faithfully the observed behaviors. We finally argue that our results bring into light the collective ability of a population to construct a mean-variance portfolio that takes into account the structure of transaction costsComment: 26 pages, 9 figures, Fig. 8 fixe

Roots of the derivative of the Riemann zeta function and of characteristic polynomials

We investigate the horizontal distribution of zeros of the derivative of the Riemann zeta function and compare this to the radial distribution of zeros of the derivative of the characteristic polynomial of a random unitary matrix. Both cases show a surprising bimodal distribution which has yet to be explained. We show by example that the bimodality is a general phenomenon. For the unitary matrix case we prove a conjecture of Mezzadri concerning the leading order behavior, and we show that the same follows from the random matrix conjectures for the zeros of the zeta function.Comment: 24 pages, 6 figure

Automatically proving equivalence by type-safe reflection

We are also grateful for the support of the Scottish Informatics and Computer Science Alliance (SICSA) and EPSRC grant EP/N024222/1.One difficulty with reasoning and programming with dependent types is that proof obligations arise naturally once programs become even moderately sized. For example, implementing an adder for binary numbers indexed over their natural number equivalents naturally leads to proof obligations for equalities of expressions over natural numbers. The need for these equality proofs comes, in intensional type theories, from the fact that the propositional equality enables us to prove as equal terms that are not judgementally equal, which means that the typechecker can’t always obtain equalities by reduction. As far as possible, we would like to solve such proof obligations automatically. In this paper, we show one way to automate these proofs by reflection in the dependently typed programming language Idris. We show how defining reflected terms indexed by the original Idris expression allows us to construct and manipulate proofs. We build a hierarchy of tactics for proving equivalences in semi-groups, monoids, commutative monoids, groups, commutative groups, semi-rings and rings. We also show how each tactic reuses those from simpler structures, thus avoiding duplication of code and proofs.Postprin

Spelling in adolescents with dyslexia: errors and modes of assessment

In this study we focused on the spelling of high-functioning students with dyslexia. We made a detailed classification of the errors in a word and sentence dictation task made by 100 students with dyslexia and 100 matched control students. All participants were in the first year of their bachelor’s studies and had Dutch as mother tongue. Three main error categories were distinguished: phonological, orthographic, and grammatical errors (on the basis of morphology and language-specific spelling rules). The results indicated that higher-education students with dyslexia made on average twice as many spelling errors as the controls, with effect sizes of d ≥ 2. When the errors were classified as phonological, orthographic, or grammatical, we found a slight dominance of phonological errors in students with dyslexia. Sentence dictation did not provide more information than word dictation in the correct classification of students with and without dyslexia

Rare Events and Scale--Invariant Dynamics of Perturbations in Delayed Dynamical Systems

We study the dynamics of perturbations in time delayed dynamical systems. Using a suitable space-time coordinate transformation, we find that the time evolution of the linearized perturbations (Lyapunov vector) can be mapped to the linear Zhang surface growth model [Y.-C. Zhang, J. Phys. France {\bf 51}, 2129 (1990)], which is known to describe surface roughening driven by power-law distributed noise. As a consequence, Lyapunov vector dynamics is dominated by rare random events that lead to non-Gaussian fluctuations and multiscaling properties.Comment: Final version to appear in Phys. Rev. Lett., 4 pages, 3 eps fig

A Foundational View on Integration Problems

The integration of reasoning and computation services across system and language boundaries is a challenging problem of computer science. In this paper, we use integration for the scenario where we have two systems that we integrate by moving problems and solutions between them. While this scenario is often approached from an engineering perspective, we take a foundational view. Based on the generic declarative language MMT, we develop a theoretical framework for system integration using theories and partial theory morphisms. Because MMT permits representations of the meta-logical foundations themselves, this includes integration across logics. We discuss safe and unsafe integration schemes and devise a general form of safe integration

Chirped pulse Raman amplification in warm plasma: towards controlling saturation

Stimulated Raman backscattering in plasma is potentially an efficient method of amplifying laser pulses to reach exawatt powers because plasma is fully broken down and withstands extremely high electric fields. Plasma also has unique nonlinear optical properties that allow simultaneous compression of optical pulses to ultra-short durations. However, current measured efficiencies are limited to several percent. Here we investigate Raman amplification of short duration seed pulses with different chirp rates using a chirped pump pulse in a preformed plasma waveguide. We identify electron trapping and wavebreaking as the main saturation mechanisms, which lead to spectral broadening and gain saturation when the seed reaches several millijoules for durations of 10's - 100's fs for 250 ps, 800 nm chirped pump pulses. We show that this prevents access to the nonlinear regime and limits the efficiency, and interpret the experimental results using slowly-varying-amplitude, current-averaged particle-in-cell simulations. We also propose methods for achieving higher efficiencies.close0

Ultrathin Oxide Films by Atomic Layer Deposition on Graphene

In this paper, a method is presented to create and characterize mechanically robust, free standing, ultrathin, oxide films with controlled, nanometer-scale thickness using Atomic Layer Deposition (ALD) on graphene. Aluminum oxide films were deposited onto suspended graphene membranes using ALD. Subsequent etching of the graphene left pure aluminum oxide films only a few atoms in thickness. A pressurized blister test was used to determine that these ultrathin films have a Young's modulus of 154 \pm 13 GPa. This Young's modulus is comparable to much thicker alumina ALD films. This behavior indicates that these ultrathin two-dimensional films have excellent mechanical integrity. The films are also impermeable to standard gases suggesting they are pinhole-free. These continuous ultrathin films are expected to enable new applications in fields such as thin film coatings, membranes and flexible electronics.Comment: Nano Letters (just accepted

Designing all-graphene nanojunctions by covalent functionalization

We investigated theoretically the effect of covalent edge functionalization, with organic functional groups, on the electronic properties of graphene nanostructures and nano-junctions. Our analysis shows that functionalization can be designed to tune electron affinities and ionization potentials of graphene flakes, and to control the energy alignment of frontier orbitals in nanometer-wide graphene junctions. The stability of the proposed mechanism is discussed with respect to the functional groups, their number as well as the width of graphene nanostructures. The results of our work indicate that different level alignments can be obtained and engineered in order to realize stable all-graphene nanodevices

Solar 8B and hep Neutrino Measurements from 1258 Days of Super-Kamiokande Data

Solar neutrino measurements from 1258 days of data from the Super-Kamiokande detector are presented. The measurements are based on recoil electrons in the energy range 5.0-20.0MeV. The measured solar neutrino flux is 2.32 +- 0.03(stat.) +0.08-0.07(sys.)*10^6cm^{-2}s^{-1}, which is 45.1+-0.5(stat.)+1.6-1.4(sys.)% of that predicted by the BP2000 SSM. The day vs night flux asymmetry is 0.033+-0.022(stat.)+0.013-0.012(sys.). The recoil electron energy spectrum is consistent with no spectral distortion (\chi^2/d.o.f. = 19.0/18). The seasonal variation of the flux is consistent with that expected from the eccentricity of the Earth's orbit (\chi^2/d.o.f. = 3.7/7). For the hep neutrino flux, we set a 90% C.L. upper limit of 40 *10^3cm^{-2}s^{-1}, which is 4.3 times the BP2000 SSM prediction.Comment: 7 pages, 5 figures, submitted to PRL (part of this paper