Shrinkers, expanders, and the unique continuation beyond generic blowup in the heat flow for harmonic maps between spheres

Using mixed analytical and numerical methods we investigate the development of singularities in the heat flow for corotational harmonic maps from the $d$-dimensional sphere to itself for $3\leq d\leq 6$. By gluing together shrinking and expanding asymptotically self-similar solutions we construct global weak solutions which are smooth everywhere except for a sequence of times $T_1<T_2<...<T_k<\infty$ at which there occurs the type I blow-up at one of the poles of the sphere. We show that in the generic case the continuation beyond blow-up is unique, the topological degree of the map changes by one at each blow-up time $T_i$, and eventually the solution comes to rest at the zero energy constant map.Comment: 24 pages, 8 figures, minor corrections, matches published versio

Investigating Off-shell Stability of Anti-de Sitter Space in String Theory

We propose an investigation of stability of vacua in string theory by studying their stability with respect to a (suitable) world-sheet renormalization group (RG) flow. We prove geometric stability of (Euclidean) anti-de Sitter (AdS) space (i.e., $\mathbf{H}^n$) with respect to the simplest RG flow in closed string theory, the Ricci flow. AdS space is not a fixed point of Ricci flow. We therefore choose an appropriate flow for which it is a fixed point, prove a linear stability result for AdS space with respect to this flow, and then show this implies its geometric stability with respect to Ricci flow. The techniques used can be generalized to RG flows involving other fields. We also discuss tools from the mathematics of geometric flows that can be used to study stability of string vacua.Comment: 29 pages, references added in this version to appear in Classical and Quantum Gravit

Term structure information and bond strategies

We examine term structure theories by using a novel approach. We form bond investment strategies based on different theories of the term structure in order to determine which strategy performs best. When using a manipulation-proof performance measure, we find that consistent with prior literature, an active strategy that is based on time varying term premiums can indeed form the basis of a successful bond strategy that outperforms an unbiased expectation inspired passive bond buy and hold strategy. This is true, however, for an earlier time period when the literature first made this claim. In a later time period, we find that the passive buy and hold strategy is significantly superior to all active strategies. This result is confirmed by statistical tests and it suggests that once it became known that an active strategy based on time varying term premiums could outperform a passive buy and hold strategy, the markets adjusted and arbitraged away this opportunity. Overall, it appears that the unbiased expectation hypothesis is the most likely explanation of the behaviour of the term structure during more recent times. This is because economically and statistically significant superior performance cannot be achieved if one uses information from the forward curve or the term structure as a guide to adjusting bond portfolios in response to changes in the term premium.This work was supported by Junta de Comunidades de Castilla-La Mancha [grant number PEII11-0031-6939]; Ministerio de Ciencia e Innovación [grant number ECO2011-28134] and partially supported by Fondo Europeo de Desarrollo Regional (FEDER) funds.

Breaking into the blackbox: Trend following, stop losses and the frequency of trading - The case of the S&P500

In this article, we compare a variety of technical trading rules in the context of investing in the S&P500 index. These rules are increasingly popular, both among retail investors and CTAs and similar investment funds. We find that a range of fairly simple rules, including the popular 200-day moving average (MA) trading rule, dominate the long-only, passive investment in the index. In particular, using the latter rule we find that popular stop-loss rules do not add value and that monthly end-of-month investment decision rules are superior to those which trade more frequently: this adds to the growing view that trading can damage your wealth. Finally, we compare the MA rule with a variety of simple fundamental metrics and find the latter far inferior to the technical rules over the last 60 years of investing

Symmetry of Traveling Wave Solutions to the Allen-Cahn Equation in \Er^2

In this paper, we prove even symmetry of monotone traveling wave solutions to the balanced Allen-Cahn equation in the entire plane. Related results for the unbalanced Allen-Cahn equation are also discussed

Critical behavior of collapsing surfaces

We consider the mean curvature evolution of rotationally symmetric surfaces. Using numerical methods, we detect critical behavior at the threshold of singularity formation resembling the one of gravitational collapse. In particular, the mean curvature simulation of a one-parameter family of initial data reveals the existence of a critical initial surface that develops a degenerate neckpinch. The limiting flow of the Type II singularity is accurately modeled by the rotationally symmetric translating soliton.Comment: 23 pages, 10 figure

Can Sustainable Withdrawal Rates be Enhanced by Trend Following?

We examine the consequences of alternative popular investment strategies for the decumulation of funds invested for retirement through a defined contribution pension scheme. We examine in detail the viability of specific ‘safe’ withdrawal rates including the ‘4%-rule’ of Bengen (1994). We find two powerful conclusions. First that smoothing the returns on individual assets by simple trend following techniques is a potent tool to enhance withdrawal rates. Second, we show that while diversification across asset classes does lead to higher withdrawal rates than simple equity/bond portfolios, “smoothing” returns in itself is far more powerful a tool for raising withdrawal rates. In fact, smoothing the popular equity/bond portfolios (such as the 60/40 portfolio) is in itself an excellent and simple solution to constructing a retirement portfolio. Alternatively, trend following enables portfolios to contain more risky assets, and the greater upside they offer, for the same level of overall risk compared to standard portfolios

Another View on U.S. Treasury Term Premiums

The consensus suggests that subdued nominal U.S. Treasury yields on balance since the onset of the global financial crisis primarily reflect exceptionally low, if not occasionally negative, term premiums as opposed to low anticipated short rates. Depressed term premiums plausibly owe to unconventional Federal Reserve policy as well as to net flight-to-quality flows after 2007. However, two strands of evidence raise questions about this story. First, a purely survey-based expected forward term premium measure, as opposed to an approximate spot estimate, has increased rather than decreased in recent years. Second, with respect to the time-series dynamics of factors underlying affine term structure models, simple econometrics of recent data produce not only a more persistent level of the term structure but also a depressed long-run mean, which in turn implies an implausibly low expected short rate path. Strong caveats aside, an implication for central bankers is that unconventional monetary policy measures may have worked in more conventional ways, and an inference for investors is that longer-dated yields embed meaningful compensation for bearing duration risk