3,360 research outputs found
Two centuries of trend following
We establish the existence of anomalous excess returns based on trend
following strategies across four asset classes (commodities, currencies, stock
indices, bonds) and over very long time scales. We use for our studies both
futures time series, that exist since 1960, and spot time series that allow us
to go back to 1800 on commodities and indices. The overall t-stat of the excess
returns is since 1960 and since 1800, after accounting
for the overall upward drift of these markets. The effect is very stable, both
across time and asset classes. It makes the existence of trends one of the most
statistically significant anomalies in financial markets. When analyzing the
trend following signal further, we find a clear saturation effect for large
signals, suggesting that fundamentalist traders do not attempt to resist "weak
trends", but step in when their own signal becomes strong enough. Finally, we
study the performance of trend following in the recent period. We find no sign
of a statistical degradation of long trends, whereas shorter trends have
significantly withered.Comment: 17 pages, 9 figures, 9 table
Induced two-photon decay of the 2s level and the rate of cosmological hydrogen recombination
Induced emission due to the presence of soft CMB photons slightly increases
the two-photon decay rate of the 2s level of hydrogen defining the rate of
cosmological recombination. This correspondingly changes the degree of
ionization, the visibility function and the resulting primordial temperature
anisotropies and polarization of the CMB on the percent level. These changes
exceed the precision of the widely used CMBFAST and CAMB codes by more than one
order of magnitude and can be easily taken into account.Comment: 5 pages, 5 figure, accepted by Astronomy and Astrophysic
On the Unique Solution of Planet and Star Parameters from an Extrasolar Planet Transit Light Curve
There is a unique solution of the planet and star parameters from a planet
transit light curve with two or more transits if the planet has a circular
orbit and the light curve is observed in a band pass where limb darkening is
negligible. The existence of this unique solution is very useful for current
planet transit surveys for several reasons. First, there is an analytic
solution that allows a quick parameter estimate, in particular of Rp. Second,
the stellar density can be uniquely derived from the transit light curve alone.
The stellar density can be used to immediately rule out a giant star (and hence
a much larger than planetary companion) and can also be used to put an upper
limit on the stellar and planet radius even considering slightly evolved stars.
Third, the presence of an additional fully blended star that contaminates an
eclipsing system to mimic a planet transit can be largely ruled out from the
transit light curve given a spectral type for the central star. Fourth, the
period can be estimated from a single-transit light curve and a measured
spectral type. All of these applications can be used to select the best planet
transit candidates for mass determination by radial velocity follow-up. To use
these applications in practice, the photometric precision and time sampling of
the light curve must be high (better than 0.005 mag precision and 5 minute time
sampling).Comment: 26 pages incl. 11 figs, submitted to Ap
Delayed Recombination
Under the standard model for recombination of the primeval plasma, and the
cold dark matter model for structure formation, recent measurements of the
first peak in the angular power spectrum of the cosmic microwave background
temperature indicate the spatial geometry of the universe is nearly flat. If
sources of Lya resonance radiation, such as stars or active galactic nuclei,
were present at z ~ 1000 they would delay recombination, shifting the first
peak to larger angular scales, and producing a positive bias in this measure of
space curvature. It can be distinguished from space curvature by its
suppression of the secondary peaks in the spectrum.Comment: submitted to ApJ
Detection of Close-In Extrasolar Giant Planets Using the Fourier-Kelvin Stellar Interferometer
We evaluate the direct detection of extrasolar giant planets with a
two-aperture nulling infrared interferometer, working at angles
, and using a new `ratio-of-two-wavelengths' technique.
Simple arguments suggest that interferometric detection and characterization
should be quite possible for planets much closer than the conventional inner
working angle, or angular resolution limit. We show that the peak signal from a
nulling infrared interferometer of baseline ( meters) will often
occur `inside the null', and that the signal variations from path-difference
fluctuations will cancel to first order in the ratio of two wavelengths. Using
a new interferometer simulation code, we evaluate the detectability of all the
known extrasolar planets as observed using this two-color method with the
proposed {\it Fourier Kelvin Stellar Interferometer (FKSI)}. In its minimum
configuration {\it FKSI} uses two 0.5-meter apertures on a 12.5-meter baseline,
and a field-of-regard. We predict that known
extrasolar planets are directly detectable using {\it FKSI}, with
low-resolution spectroscopy () being possible in the most favorable
cases. Spaceborne direct detection of extrasolar giant planets is possible with
meter baselines, and does not require the much longer baselines
provided by formation flying.Comment: Accepted for publication in ApJ Letter
The phase-dependent Infrared brightness of the extrasolar planet upsilon Andromedae b
The star upsilon Andromeda is orbited by three known planets, the innermost
of which has an orbital period of 4.617 days and a mass at least 0.69 that of
Jupiter. This planet is close enough to its host star that the radiation it
absorbs overwhelms its internal heat losses. Here we present the 24 micron
light curve of this system, obtained with the Spitzer Space Telescope. It shows
a clear variation in phase with the orbital motion of the innermost planet.
This is the first demonstration that such planets possess distinct hot
substellar (day) and cold antistellar (night) faces.Comment: "Director's cut" of paper to appear in Science, 27 October, 200
Cosmological hydrogen recombination: Lyn line feedback and continuum escape
We compute the corrections to the cosmological hydrogen recombination history
due to delayed feedback of Lyman-series photons and the escape in the
Lyman-continuum. The former process is expected to slightly delay
recombination, while the latter should allow the medium to recombine a bit
faster. It is shown that the subsequent feedback of released Lyman-n photons on
the lower lying Lyman-(n-1) transitions yields a maximal correction of DN_e/N_e
0.22% at z~ 1050. Including only Lyman-\beta feedback onto the Lyman-\alpha
transition, accounts for most of the effect. We find corrections to the cosmic
microwave background TT and EE power spectra \change{with typical peak to peak
amplitude |DC^{TT}_l/C^{TT}_l|~0.15% and |\Delta C^{EE}_l/C^{EE}_l|~0.36% at
l<~3000. The escape in the Lyman-continuum and feedback of Lyman-\alpha photons
on the photoionization rate of the second shell lead to modifications of the
ionization history which are very small (less than |DN_e/N_e|~few x 10^{-6}).Comment: 5+epsilon pages, 7 figures, accepted versio
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