Foreign Currency Futures

The theoretical nature of risk premiums in foreign currency futures markets is derived and studied empirically. Estimation problems encountered in using futures data are discussed. Since forward rates and futures prices are demonstrated to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiums in the futures market. Unbiasedness of daily futures prices as predictors of the following day's futures price is rejected for all currencies. Reconciliation of daily and monthly data requires positive serial correlation in daily risk premiums.

An Investigation of Risk and Return in Forward Foreign Exchange

This paper examines the determination of risk premiums in foreign exchange markets. The statistical model is based on a theoretical model of asset pricing, which leads to severe cross-equation constraints. Statistical tests lead to a rejection of these constraints. We examine the robustness of these tests to time variation in parameters and to the presence of heteroskedasticity. We find that there is evidence for heteroskedasticity and that the conditional expectation of the risk premium is a nonlinear function of the forward premium. Accounting for this nonlinearity, the specification appears to be time invariant. Out of sample portfolio speculaton is profItable but risky.

The Covariation of Risk Premiums and Expected Future Spot Exchange Rates

Fama(1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama's analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results are not necessarily at variance with the predictions of a theoretical model of the risk premium. Increases in expected rates of depreciation of the dollar relative to five foreign currencies are positively correlated with increases in the expected profitability of purchasing these currencies in the forward market, and risk premiums have larger variances than expected rates of depreciation.

Integrated flight/propulsion control design for a STOVL aircraft using H-infinity control design techniques

Results are presented from an application of H-infinity control design methodology to a centralized integrated flight propulsion control (IFPC) system design for a supersonic Short Takeoff and Vertical Landing (STOVL) fighter aircraft in transition flight. The emphasis is on formulating the H-infinity control design problem such that the resulting controller provides robustness to modeling uncertainties and model parameter variations with flight condition. Experience gained from a preliminary H-infinity based IFPC design study performed earlier is used as the basis to formulate the robust H-infinity control design problem and improve upon the previous design. Detailed evaluation results are presented for a reduced order controller obtained from the improved H-infinity control design showing that the control design meets the specified nominal performance objectives as well as provides stability robustness for variations in plant system dynamics with changes in aircraft trim speed within the transition flight envelope. A controller scheduling technique which accounts for changes in plant control effectiveness with variation in trim conditions is developed and off design model performance results are presented

Polarization Measurements and the Pairing Gap in the Universal Regime

We analyze recent cold-atom experiments on imbalanced Fermi systems using a minimal model with a BCS-like superfluid phase coexisting with a normal phase. This model is used to extract the T=0 pairing gap in the fully paired superfluid state. The recently measured particle density profiles are in good agreement with the theoretical predictions obtained from the universal parameters from previous Quantum Monte Carlo calculations. We find that the T=0 pairing gap is greater than 0.4 times the Fermi energy $E_F$, with a preferred value of $0.45 \pm 0.05$ $E_F$. The ratio of the pairing gap $\Delta$ to the Fermi Energy $E_F$ is larger here than in any other system of strongly-paired fermions in which individual pairs are unbound.Comment: 4 pages, 3 figures. Revised verison includes cosmetic changes to the text and figures. One reference adde

A modified approach to controller partitioning

The idea of computing a decentralized control law for the integrated flight/propulsion control of an aircraft by partitioning a given centralized controller is investigated. An existing controller partitioning methodology is described, and a modified approach is proposed with the objective of simplifying the associated controller approximation problem. Under the existing approach, the decentralized control structure is a variable in the partitioning process; by contrast, the modified approach assumes that the structure is fixed a priori. Hence, the centralized controller design may take the decentralized control structure into account. Specifically, the centralized controller may be designed to include all the same inputs and outputs as the decentralized controller; then, the two controllers may be compared directly, simplifying the partitioning process considerably. Following the modified approach, a centralized controller is designed for an example aircraft mode. The design includes all the inputs and outputs to be used in a specified decentralized control structure. However, it is shown that the resulting centralized controller is not well suited for approximation by a decentralized controller of the given structure. The results indicate that it is not practical in general to cast the controller partitioning problem as a direct controller approximation problem