Hedge fund replication strategies: implications for investors and regulators.

Over the past decade, academic research has identified a number of replication strategies capable of capturing between 40% to 80% of the average return of many popular hedge fund strategies. Investors are beginning to take notice of these replication strategies, especially because of their rule based, transparent features and the fact that they can be executed at low cost. Armed with this alternative way of accessing passive hedge fund returns, investors can effectively structure incentive fee contracts to reward skill-based returns (i.e., alternative alpha) differently from passive index-liked returns (i.e., alternative beta). This can raise the barrier to entry for new funds to the industry in that hedge fund managers must demonstrate skill in order to participate in profi t sharing. This should reduce the risk of herding by hedge fund managers who may otherwise be enticed by incentive fee contracts that rewards them for taking popular factor bets.

High-speed measurement of rotational anisotropy nonlinear optical harmonic generation using position sensitive detection

We present a method of performing high-speed rotational anisotropy nonlinear optical harmonic generation experiments at rotational frequencies of several hertz by projecting the harmonic light reflected at different angles from a sample onto a stationary position sensitive detector. The high rotational speed of the technique, $10^3$ to $10^4$ times larger than existing methods, permits precise measurements of the crystallographic and electronic symmetries of samples by averaging over low frequency laser power, beam pointing, and pulse width fluctuations. We demonstrate the sensitivity of our technique by resolving the bulk four-fold rotational symmetry of GaAs about its [001] axis using second harmonic generation

A parity-breaking electronic nematic phase transition in the spin-orbit coupled metal Cd2_2Re2_2O7_7

Strong electron interactions can drive metallic systems toward a variety of well-known symmetry-broken phases, but the instabilities of correlated metals with strong spin-orbit coupling have only recently begun to be explored. We uncovered a multipolar nematic phase of matter in the metallic pyrochlore Cd$_2$Re$_2$O$_7$ using spatially resolved second-harmonic optical anisotropy measurements. Like previously discovered electronic nematic phases, this multipolar phase spontaneously breaks rotational symmetry while preserving translational invariance. However, it has the distinguishing property of being odd under spatial inversion, which is allowed only in the presence of spin-orbit coupling. By examining the critical behavior of the multipolar nematic order parameter, we show that it drives the thermal phase transition near 200 kelvin in Cd$_2$Re$_2$O$_7$ and induces a parity-breaking lattice distortion as a secondary order.Comment: 9 pages main text, 4 figures, 10 pages supplementary informatio

Nonlinear optical probe of tunable surface electrons on a topological insulator

We use ultrafast laser pulses to experimentally demonstrate that the second-order optical response of bulk single crystals of the topological insulator Bi$_2$Se$_3$ is sensitive to its surface electrons. By performing surface doping dependence measurements as a function of photon polarization and sample orientation we show that second harmonic generation can simultaneously probe both the surface crystalline structure and the surface charge of Bi$_2$Se$_3$. Furthermore, we find that second harmonic generation using circularly polarized photons reveals the time-reversal symmetry properties of the system and is surprisingly robust against surface charging, which makes it a promising tool for spectroscopic studies of topological surfaces and buried interfaces

A Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles

Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic finite-time singularity formula transforms a Gaussian white noise into a rich time series possessing all the stylized facts of empirical prices, as well as accelerated speculative bubbles preceding crashes. We use the formula to invert the two years of price history prior to the recent crash on the Nasdaq (april 2000) and prior to the crash in the Hong Kong market associated with the Asian crisis in early 1994. These complex price dynamics are captured using only one exponent controlling the explosion, the variance and mean of the underlying random walk. This offers a new and powerful detection tool of speculative bubbles and herding behavior.Comment: Latex document of 24 pages including 5 eps figure

NP-hardness of decoding quantum error-correction codes

Though the theory of quantum error correction is intimately related to the classical coding theory, in particular, one can construct quantum error correction codes (QECCs) from classical codes with the dual containing property, this does not necessarily imply that the computational complexity of decoding QECCs is the same as their classical counterparts. Instead, decoding QECCs can be very much different from decoding classical codes due to the degeneracy property. Intuitively, one expect degeneracy would simplify the decoding since two different errors might not and need not be distinguished in order to correct them. However, we show that general quantum decoding problem is NP-hard regardless of the quantum codes being degenerate or non-degenerate. This finding implies that no considerably fast decoding algorithm exists for the general quantum decoding problems, and suggests the existence of a quantum cryptosystem based on the hardness of decoding QECCs.Comment: 5 pages, no figure. Final version for publicatio

Semimetal to semimetal charge density wave transition in 1T-TiSe2_2

We report an infrared study on 1$T$-TiSe$_2$, the parent compound of the newly discovered superconductor Cu$_x$TiSe$_2$. Previous studies of this compound have not conclusively resolved whether it is a semimetal or a semiconductor: information that is important in determining the origin of its unconventional CDW transition. Here we present optical spectroscopy results that clearly reveal that the compound is metallic in both the high-temperature normal phase and the low-temperature CDW phase. The carrier scattering rate is dramatically different in the normal and CDW phases and the carrier density is found to change with temperature. We conclude that the observed properties can be explained within the scenario of an Overhauser-type CDW mechanism.Comment: 4 pages, 4 page

Don't bleach chaotic data

A common first step in time series signal analysis involves digitally filtering the data to remove linear correlations. The residual data is spectrally white (it is ``bleached''), but in principle retains the nonlinear structure of the original time series. It is well known that simple linear autocorrelation can give rise to spurious results in algorithms for estimating nonlinear invariants, such as fractal dimension and Lyapunov exponents. In theory, bleached data avoids these pitfalls. But in practice, bleaching obscures the underlying deterministic structure of a low-dimensional chaotic process. This appears to be a property of the chaos itself, since nonchaotic data are not similarly affected. The adverse effects of bleaching are demonstrated in a series of numerical experiments on known chaotic data. Some theoretical aspects are also discussed.Comment: 12 dense pages (82K) of ordinary LaTeX; uses macro psfig.tex for inclusion of figures in text; figures are uufile'd into a single file of size 306K; the final dvips'd postscript file is about 1.3mb Replaced 9/30/93 to incorporate final changes in the proofs and to make the LaTeX more portable; the paper will appear in CHAOS 4 (Dec, 1993

Study of HST counterparts to Chandra X-ray sources in the Globular Cluster M71

We report on archival Hubble Space Telescope (HST) observations of the globular cluster M71 (NGC 6838). These observations, covering the core of the globular cluster, were performed by the Advanced Camera for Surveys (ACS) and the Wide Field Planetary Camera 2 (WFPC2). Inside the half-mass radius (r_h = 1.65') of M71, we find 33 candidate optical counterparts to 25 out of 29 Chandra X-ray sources while outside the half-mass radius, 6 possible optical counterparts to 4 X-ray sources are found. Based on the X-ray and optical properties of the identifications, we find 1 certain and 7 candidate cataclysmic variables (CVs). We also classify 2 and 12 X-ray sources as certain and potential chromospherically active binaries (ABs), respectively. The only star in the error circle of the known millisecond pulsar (MSP) is inconsistent with being the optical counterpart. The number of X-ray faint sources with L_x>4x10^{30} ergs/s (0.5-6.0 keV) found in M71 is higher than extrapolations from other clusters on the basis of either collision frequency or mass. Since the core density of M71 is relatively low, we suggest that those CVs and ABs are primordial in origin.Comment: 12 pages, 6 figures. Accepted for publication in Astronomy and Astrophysic

Anomalous metallic state of Cu0.07_{0.07}TiSe2_2: an optical spectroscopy study

We report an optical spectroscopy study on the newly discovered superconductor Cu$_{0.07}$TiSe$_2$. Consistent with the development from a semimetal or semiconductor with a very small indirect energy gap upon doping TiSe$_2$, it is found that the compound has a low carrier density. Most remarkably, the study reveals a substantial shift of the "screened" plasma edge in reflectance towards high energy with decreasing temperature. This phenomenon, rarely seen in metals, indicates either a sizeable increase of the conducting carrier concentration or/and a decrease of the effective mass of carriers with reducing temperature. We attribute the shift primarily to the later effect.Comment: 4 figures, 4+ page