Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes

In this paper, we study the Kelly criterion in the continuous time framework building on the work of E.O. Thorp and others. The existence of an optimal strategy is proven in a general setting and the corresponding optimal wealth process is found. A simple formula is provided for calculating the optimal portfolio for a set of price processes satisfying some simple conditions. Properties of the optimal investment strategy for assets governed by multiple Ornstein-Uhlenbeck processes are studied. The paper ends with a short discussion of the implications of these ideas for financial markets.Comment: presented at Complex'2009 (Shanghai, Feb. 23-25

Стандартизация в сфере менеджмента информационной безопасности

Описано сучасний стан стандартизації в сфері менеджменту інформаційної безпеки. Розглянуто вимоги до стандартів, що розробляються, типи стандартів, принципи, яких слід дотримуватись під час розроблення стандартів. Робота грунтується на матеріалах, прийнятих в підкомітеті ПК 27 «Методи захисту» об’єднаного технічного комітету ІСО/ МЕК ОТК 1 «Інформаційні технології».The article describes state of the art of the standardization in information security area. The requirements to the standards being developed, the types of standards, the principles to which it is required to follow are discussed. The contents of the article is based on the documents adopted within subcommittee 27 ”Security techniques” of the joint technical committee ISO/IEC JTC 1 “Information technology”

Nuclear currents based on the integral form of the continuity equation

We present an approach to obtain new forms of the nuclear electromagnetic current, which is based on an integral form of the continuity equation. The procedure can be used to restore current conservation in model calculations in which the continuity equation is not verified. Besides, it provides, as a particular result, the so-called Siegert's form of the nuclear current, first obtained by Friar and Fallieros by extending Siegert's theorem to arbitrary values of the momentum transfer. The new currents are explicitly conserved and permit a straightforward analysis of their behavior at both low and high momentum transfers. The results are illustrated with a simple nuclear model which includes a harmonic oscillator mean potential.Comment: 19 pages, revtex, plus 2 PS figure

Advance telephone calls ahead of reminder questionnaires increase response rate in non-responders compared to questionnaire reminders only : The RECORD phone trial

Peer reviewedPublisher PD

The influence of fibre length, diameter and concentration on the strength and strain to failure of glass fibre-reinforced polyamide 6,6

Results of an investigation of the mechanical performance of injection moulded long glass fibre-reinforced polyamide 6,6 composites are presented. The glass fibre content in these composites was varied over the range 10-50% by weight using fibres with average diameters of 10, 14, and 17 μm. Mechanical testing and analysis of the apparent interfacial shear strength was carried out at 23 and 150 °C on dry-as-moulded and boiling water conditioned samples. The results from these composites are compared with standard extrusion compounded short glass fibre materials. The influence of fibre diameter and concentration on the residual fibre length, fibre orientation distribution and composite strength and elongation to failure is presented and discussed in comparison to the predictions of some of the available micromechanical models

Improved lower bounds for the ground-state energy of many-body systems

New lower bounds for the binding energy of a quantum-mechanical system of interacting particles are presented. The new bounds are expressed in terms of two-particle quantities and improve the conventional bounds of the Hall-Post type. They are constructed by considering not only the energy in the two-particle system, but also the structure of the pair wave function. We apply the formal results to various numerical examples, and show that in some cases dramatic improvement over the existing bounds is reached.Comment: 29 pages, 5 figures, to be published in Phys. Rev.

Superscaling analysis of the Coulomb Sum Rule in quasielastic electron-nucleus scattering

The Coulomb sum rule for inclusive quasielastic electron scattering in $^{12}$C, $^{40}$Ca and $^{56}$Fe is analyzed based on scaling and superscaling properties. Results obtained in the relativistic impulse approximation with various descriptions of the final state interactions are shown. A comparison with experimental data measured at Bates and Saclay is provided. The theoretical description based on strong scalar and vector terms present in the relativistic mean field, which has been shown to reproduce the experimental asymmetric superscaling function, leads to results that are in fair agreement with Bates data while it sizeably overestimates Saclay data. We find that the Coulomb sum rule for a momentum transfer $q\geq 500$ $MeV/c$ saturates to a value close to 0.9, being very similar for the three nuclear systems considered. This is in accordance with Bates data, which indicates that these show no significative quenching in the longitudinal response.Comment: 22 pages, 6 figures. To be published in Phys. Lett.

Differential transport and local translation of cytoskeletal, injury-response, and neurodegeneration protein mRNAs in axons

Recent studies have begun to focus on the signals that regulate axonal protein synthesis and the functional significance of localized protein synthesis. However, identification of proteins that are synthesized in mammalian axons has been mainly based on predictions. Here,weusedaxonspurifiedfromculturesofinjury-conditionedadultdorsalrootganglion(DRG)neuronsandproteomicsmethodology to identify axonally synthesized proteins. Reverse transcription (RT)-PCR from axonal preparations was used to confirm that the mRNA for each identified protein extended into the DRG axons. Proteins and the encoding mRNAs for the cytoskeletal proteins �-actin, peripherin, vimentin, �-tropomyosin 3, and cofilin 1 were present in the axonal preparations. In addition to the cytoskeletal elements, several heat shock proteins (HSP27, HSP60, HSP70, grp75, �B crystallin), resident endoplasmic reticulum (ER) proteins (calreticulin, grp78/BiP, ERp29), proteins associated with neurodegenerative diseases (ubiquitin C-terminal hydrolase L1, rat ortholog of human DJ-1/Park7, �-synuclein, superoxide dismutase 1), anti-oxidant proteins (peroxiredoxins 1 and 6), and metabolic proteins (e.g., phosphoglycerate kinase 1 (PGK 1), � enolase, aldolase C/Zebrin II) were included among the axonally synthesized proteins. Detection of the mRNAs encoding each of the axonally synthesized proteins identified by mass spectrometry in the axonal compartment indicates that th

How model sets can be determined by their two-point and three-point correlations

We show that real model sets with real internal spaces are determined, up to translation and changes of density zero by their two- and three-point correlations. We also show that there exist pairs of real (even one dimensional) aperiodic model sets with internal spaces that are products of real spaces and finite cyclic groups whose two- and three-point correlations are identical but which are not related by either translation or inversion of their windows. All these examples are pure point diffractive. Placed in the context of ergodic uniformly discrete point processes, the result is that real point processes of model sets based on real internal windows are determined by their second and third moments.Comment: 19 page

Does the Charm Flow at RHIC?

Recent PHENIX Au+Au -> e- + X data from open charm decay are shown to be consistent with two extreme opposite dynamical scenarios of ultra-relativistic nuclear reactions. Perturbative QCD without final state interactions was previously shown to be consistent with the data. However, we show that the data are also consistent with zero mean free path hydrodynamics characterized by a common transverse flow velocity field. The surprising coincidence of both D and B hydrodynamic flow spectra with pQCD up to p_T ~ 3 and 5 GeV, respectively, suggests that heavy quarks may be produced essentially at rest in the rapidly expanding gluon plasma. Possible implications and further tests of collective heavy quark dynamics are discussed.Comment: 10 pages, 3 figures, submitted to Phys. Lett.