Explicit computations of low lying eigenfunctions for the quantum trigonometric Calogero-Sutherland model related to the exceptional algebra E7

In the previous paper math-ph/0507015 we have studied the characters and Clebsch-Gordan series for the exceptional Lie algebra E7 by relating them to the quantum trigonometric Calogero-Sutherland Hamiltonian with coupling constant K=1. Now we extend that approach to the case of general K

Generating functions and multiplicity formulas: the case of rank two simple Lie algebras

A procedure is described that makes use of the generating function of characters to obtain a new generating function $H$ giving the multiplicities of each weight in all the representations of a simple Lie algebra. The way to extract from $H$ explicit multiplicity formulas for particular weights is explained and the results corresponding to rank two simple Lie algebras shown

Is idiosyncratic volatility priced in commodity futures markets?

This article investigates the relationship between expected returns and past idiosyncratic volatility in commodity futures markets. Measuring the idiosyncratic volatility of 27 commodity futures contracts with traditional pricing models that fail to account for backwardation and contango leads to the puzzling finding that idiosyncratic volatility is significantly negatively priced cross-sectionally. However, idiosyncratic volatility is not priced when the phases of backwardation and contango are suitably factored in the pricing model. A time-series portfolio analysis similarly suggests that failing to recognize the fundamental risk associated with the inexorable phases of backwardation and contango leads to overstated profitability of the idiosyncratic volatility mimicking portfolios

Combining Nearest Neighbor Predictions and Model-Based Predictions of Realized Variance: Does it Pay?

The increasing availability of intraday financial data has led to improvements in daily volatility forecasting through long-memory models of realized volatility. This paper demonstrates the merit of the non-parametric Nearest Neighbor (NN) approach for S&P 100 realized variance forecasting. A priori the NN approach is appealing because it can reproduce complex dynamic dependencies while largely avoiding misspecification and parameter estimation uncertainty, unlike model-based methods. We evaluate the forecasts through straddle trading profitability metrics and using conventional statistical accuracy criteria. The ranking of individual forecasts confirms that statistical accuracy does not have a one-to-one mapping into profitability. In turbulent markets, the NN forecasts lead to higher risk-adjusted profitability even though the model-based forecasts are statistically superior. In both calm and turbulent market conditions, the directional combination of NN and model-based forecasts is more profitable than any of the individual forecasts

A Comprehensive Appraisal of Style-Integration Methods

The paper provides a comprehensive appraisal of style-integration methods in equity index, fixed income, currency, and commodity futures markets. We confront the naïve equal-weight integration (EWI) method with a host of ‘sophisticated’ style-integrations that derive the style exposures using past data according to utility maximization, style rotation, volatility timing, cross-sectional pricing, style momentum or principal components criteria. The analysis, conducted separately per futures market and cross-markets, reveals that the EWI portfolio is unrivalled in terms of risk-adjusted performance while it sustains a relatively low turnover. The findings are robust to analyses that entertain variants of the sophisticated integrations, longer estimation windows, several asset scoring schemes, data snooping tests, sub-periods evaluation and equities in place of futures

The Trp73 Mutant Mice: A Ciliopathy Model That Uncouples Ciliogenesis From Planar Cell Polarity

p73 transcription factor belongs to one of the most important gene families in vertebrate biology, the p53-family. Trp73 gene, like the other family members, generates multiple isoforms named TA and DNp73, with different and, sometimes, antagonist functions. Although p73 shares many biological functions with p53, it also plays distinct roles during development. Trp73 null mice (p73KO from now on) show multiple phenotypes as gastrointestinal and cranial hemorrhages, rhinitis and severe central nervous system defects. Several groups, including ours, have revisited the apparently unrelated phenotypes observed in total p73KO and revealed a novel p73 function in the organization of ciliated epithelia in brain and trachea, but also an essential role as regulator of ependymal planar cell polarity. Unlike p73KO or TAp73KO mice, tumor-prone Trp53−/− mice (p53KO) do not present ependymal ciliary or planar cell polarity defects, indicating that regulation of ciliogenesis and PCP is a p73-specific function. Thus, loss of ciliary biogenesis and epithelial organization might be a common underlying cause of the diverse p73KO-phenotypes, highlighting Trp73 role as an architect of the epithelial tissue. In this review we would like to discuss the data regarding p73 role as regulator of ependymal cell ciliogenesis and PCP, supporting the view of the Trp73-mutant mice as a model that uncouples ciliogenesis from PCP and a possible model of human congenital hydrocephalus

Physics and Mathematics of Calogero particles

We give a review of the mathematical and physical properties of the celebrated family of Calogero-like models and related spin chains.Comment: Version to appear in Special Issue of Journal of Physics A: Mathematical and Genera

Current status of MELCOR 2.2 for fusion safety analyses

MELCOR is an integral code developed by Sandia National Laboratories (SNL) for the US Nuclear Regulatory Commission (USNRC) to perform severe accident analyses of Light Water Reactors (LWR). More recently, MELCOR capabilities are being extended also to analyze non-LWR fission technologies. Within the European MELCOR User Group (EMUG), organized in the framework of USNRC Cooperative Severe Accident Research Program (CSARP), an activity on the evaluation of the applicability of MELCOR 2.2 for fusion safety analyses has been launched and it has been coordinated by ENEA. The aim of the activity was to identify the physical models to be possibly implemented in MELCOR 2.2 necessary for fusion safety analyses, and to check if those models are already available in MELCOR 1.8.6 for fusion version, developed by Idaho National Laboratory (INL). From this activity, a list of modeling needs emerged from the safety analyses of fusion-related installations have been identified and described. Then, the importance of the various needs, intended as the priority for model implementation in the MELCOR 2.2 code, has been evaluated according to the technical expert judgement of the authors. In the present paper, the identified modeling needs are discussed. The ultimate goal would be to propose to have a single integrated MELCOR 2.2 code release capable to cover both fission and fusion applications

Current status of Melcor 2.2 for fusion safety analyses

MELCOR is an integral code developed by Sandia National Laboratories (SNL) for the US Nuclear Regulatory Commission (USNRC) to perform severe accident analyses of Light Water Reactors (LWR). More recently, MELCOR capabilities are being extended also to analyze non-LWR fission technologies. Within the European MELCOR User Group (EMUG), organized in the framework of the USNRC Cooperative Severe Accident Research Program (CSARP), an activity on the evaluation of the applicability of MELCOR 2.2 for fusion safety analyses has been launched and it has been coordinated by ENEA. The aim of the activity was to identify the physical models to be possibly implemented in MELCOR 2.2 necessary for fusion safety analyses, and to check if those models are already available in MELCOR 1.8.6 fusion version, developed by Idaho National Laboratory (INL). From this activity, a list of modeling needs that emerged from the safety analyses of fusion-related installations has been identified and described. Then, the importance of the various needs, intended as the priority for model implementation in the MELCOR 2.2 code, has been evaluated according to the technical expert judgment of the authors. In the present paper, the identified modeling needs are discussed. The ultimate goal would be to propose to have a single integrated MELCOR 2.2 code release capable to cover both fission and fusion applications