Evolutionary multi-stage financial scenario tree generation

Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper

The flux distribution of the three quark system in SU(3)

We study the abelian color-flux distribution of the three quark system in the maximally abelian gauge on SU(3) lattices. The distribution of the color electric field suggests $Y Ansatz$, which might be interpreted through the dual superconductor picture as the result of the vacuum pressure in the confined phase. In order to clarify the flux structure, we investigate the color electric field in the three quark system also in the monopole part and in the photon part.Comment: 3pages, 5figures, Lattice2002(topology

Flux-tube structure and beta-functions in SU(2)

The spatial distribution of the action and energy in the colour fields of flux-tubes is studied in lattice SU(2) field theory for static quarks at separations up to 1 fm at beta=2.4, 2.5. The ground and excited states of the colour fields are considered. Sum rules are used to get estimates of generalised beta-functions.Comment: 31 pages, 14 eps figure

Tadpole-improved SU(2) lattice gauge theory

A comprehensive analysis of tadpole-improved SU(2) lattice gauge theory is made. Simulations are done on isotropic and anisotropic lattices, with and without improvement. Two tadpole renormalization schemes are employed, one using average plaquettes, the other using mean links in Landau gauge. Simulations are done with spatial lattice spacings $a_s$ in the range of about 0.1--0.4 fm. Results are presented for the static quark potential, the renormalized lattice anisotropy $a_t/a_s$ (where $a_t$ is the ``temporal'' lattice spacing), and for the scalar and tensor glueball masses. Tadpole improvement significantly reduces discretization errors in the static quark potential and in the scalar glueball mass, and results in very little renormalization of the bare anisotropy that is input to the action. We also find that tadpole improvement using mean links in Landau gauge results in smaller discretization errors in the scalar glueball mass (as well as in the static quark potential), compared to when average plaquettes are used. The possibility is also raised that further improvement in the scalar glueball mass may result when the coefficients of the operators which correct for discretization errors in the action are computed beyond tree level.Comment: 14 pages, 7 figures (minor changes to overall scales in Fig.1; typos removed from Eqs. (3),(4),(15); some rewording of Introduction

Arbitrage and deflators in illiquid markets

This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with transaction costs or bid-ask spreads, our framework covers markets with nonlinear illiquidity effects for large instantaneous trades. In the presence of nonlinearities, the classical notion of arbitrage turns out to have two equally meaningful generalizations, a marginal and a scalable one. We study their relations to state price deflators by analyzing two auxiliary market models describing the local and global behavior of the cost functions and constraints

Measurement of tau polarization in e+ e- annihilation at sqrt{s}=58 GeV

The polarization of tau leptons in the reaction e+ e- --> tau+ tau- has been measured using a e+e- collider, TRISTAN, at the center-of-mass energy of 58 GeV. From the kinematical distributions of daughter particles in tau --> e nu nu-bar, mu nu nu-bar, rho nu or pi(K) nu decays, the average polarization of tau- and its forward-backward asymmetry have been evaluated to be 0.012 +- 0.058 and 0.029 +- 0.057, respectively.Comment: 18 pages, 5 figure

Hadronic Interactions from Lattice QCD

We present an overview of recent efforts to calculate the interactions among hadrons using lattice QCD. After outlining the techniques that are used to extract scattering parameters, we detail the latest calculations of meson-meson scattering, baryon-baryon scattering and multi-meson systems obtained with domain-wall valence quarks on the staggered MILC lattices by the NPLQCD collaboration. Estimates of the computational resources required to achieve precision results in the baryon sector are presented.Comment: 60 pages. Review prepared for the International Journal of Modern Physics

Confining QCD Strings, Casimir Scaling, and a Euclidean Approach to High-Energy Scattering

We compute the chromo-field distributions of static color-dipoles in the fundamental and adjoint representation of SU(Nc) in the loop-loop correlation model and find Casimir scaling in agreement with recent lattice results. Our model combines perturbative gluon exchange with the non-perturbative stochastic vacuum model which leads to confinement of the color-charges in the dipole via a string of color-fields. We compute the energy stored in the confining string and use low-energy theorems to show consistency with the static quark-antiquark potential. We generalize Meggiolaro's analytic continuation from parton-parton to gauge-invariant dipole-dipole scattering and obtain a Euclidean approach to high-energy scattering that allows us in principle to calculate S-matrix elements directly in lattice simulations of QCD. We apply this approach and compute the S-matrix element for high-energy dipole-dipole scattering with the presented Euclidean loop-loop correlation model. The result confirms the analytic continuation of the gluon field strength correlator used in all earlier applications of the stochastic vacuum model to high-energy scattering.Comment: 65 pages, 13 figures, extended and revised version to be published in Phys. Rev. D (results unchanged, 2 new figures, 1 new table, additional discussions in Sec.2.3 and Sec.5, new appendix on the non-Abelian Stokes theorem, old Appendix A -> Sec.3, several references added