On the Perils of Security Pricing by Financial Intermediaries: The Case of Open-End Mutual Funds

There are many instances where financial claims trade at prices set by intermediaries. Pricing by an intermediary introduces the potential for economic distortions from innumerable sources. As one example, we show that nonsynchronous-trading generates predictable, readily exploitable, changes in mutual fund-share prices (NAV). The exploitation of predictable changes in mutual fund NAVs involved a wealth transfer from buy-and-hold fund investors to active fund traders and is costly to all fund investors. A simple modification to the mutual fund pricing algorithm eliminates much of this predictability, but nonsynchronous trading is just one of the issues intermediaries face when setting prices.

de Sitter thermodynamics and the braneworld

The de Sitter thermodynamics of cosmological models with a modified Friedmann equation is considered, with particular reference to high-energy Randall-Sundrum and Gauss-Bonnet braneworlds. The Friedmann equation can be regarded as the first law of thermodynamics of an effective gravitational theory in quasi de Sitter spacetime. The associated entropy provides some selection rules for the range of the parameters of the models, and is proposed for describing tunneling processes in the class of high-energy gravities under consideration.Comment: 16 pages JHEP style, no figures. v2: references added; v3: typo corrected in Eq.(3.1), supersedes published versio

Localized Tachyons and the Quantum McKay Correspondence

The condensation of closed string tachyons localized at the fixed point of a C^d/\Gamma orbifold can be studied in the framework of renormalization group flow in a gauged linear sigma model. The evolution of the Higgs branch along the flow describes a resolution of singularities via the process of tachyon condensation. The study of the fate of D-branes in this process has lead to a notion of a ``quantum McKay correspondence.'' This is a hypothetical correspondence between fractional branes in an orbifold singularity in the ultraviolet with the Coulomb and Higgs branch branes in the infrared. In this paper we present some nontrivial evidence for this correspondence in the case C^2/Z_n by relating the intersection form of fractional branes to that of ``Higgs branch branes,'' the latter being branes which wrap nontrivial cycles in the resolved space.Comment: 25 pages; harvma

Type 0A 2D Black Hole Thermodynamics and the Deformed Matrix Model

Recently, it has been proposed that the deformed matrix model describes a two-dimensional type 0A extremal black hole. In this paper, the thermodynamics of 0A charged non-extremal black holes is investigated. We observe that the free energy of the deformed matrix model to leading order in 1/q can be seen to agree to that of the extremal black hole. We also speculate on how the deformed matrix model is able to describe the thermodynamics of non-extremal black holes.Comment: 12 page

Gauge Theory and the Excision of Repulson Singularities

We study brane configurations that give rise to large-N gauge theories with eight supersymmetries and no hypermultiplets. These configurations include a variety of wrapped, fractional, and stretched branes or strings. The corresponding spacetime geometries which we study have a distinct kind of singularity known as a repulson. We find that this singularity is removed by a distinctive mechanism, leaving a smooth geometry with a core having an enhanced gauge symmetry. The spacetime geometry can be related to large-N Seiberg-Witten theory.Comment: 31 pages LaTeX, 2 figures (v3: references added

Open String Star as a Continuous Moyal Product

We establish that the open string star product in the zero momentum sector can be described as a continuous tensor product of mutually commuting two dimensional Moyal star products. Let the continuous variable $\kappa \in [~0,\infty)$ parametrize the eigenvalues of the Neumann matrices; then the noncommutativity parameter is given by $\theta(\kappa) =2\tanh(\pi\kappa/4)$. For each $\kappa$, the Moyal coordinates are a linear combination of even position modes, and the Fourier transform of a linear combination of odd position modes. The commuting coordinate at $\kappa=0$ is identified as the momentum carried by half the string. We discuss the relation to Bars' work, and attempt to write the string field action as a noncommutative field theory.Comment: 30 pages, LaTeX. One reference adde

NS5-Branes, T-Duality and Worldsheet Instantons

The equivalence of NS5-branes and ALF spaces under T-duality is well known. However, a naive application of T-duality transforms the ALF space into a smeared NS5-brane, de-localized on the dual, transverse, circle. In this paper we re-examine this duality, starting from a two-dimensional N=(4,4) gauged linear sigma model describing Taub-NUT space. After dualizing the circle fiber, we find that the smeared NS5-brane target space metric receives corrections from multi-worldsheet instantons. These instantons are identified as Nielsen-Olesen vortices. We show that their effect is to break the isometry of the target space, localizing the NS5-brane at a point. The contribution from the k-instanton sector is shown to be proportional to the weighted integral of the Euler form over the k-vortex moduli space. The duality also predicts the, previously unknown, asymptotic exponential decay coefficient of the BPS vortex solution.Comment: 26 pages. v2: Fourier modes of multi-vortex fermion zero mode corrected. Reference added. v3: typo correcte