Testing Investment Strategies for Superior Predictive Ability

When different models are tested on one data sample and repeatedly altered in order to be found significant, the results are likely spurious. This is data-snooping – an ever-growing problem in the finance industry likely due to fierce competition and developments in data processing capacity. In academia, although recognized as a deplorable practice, data-snooping is likewise pervasive perhaps as a result of poor incentive structures at both the university and publisher levels. I manifest the problem of data-snooping through multiple academic and industry examples and then summarize Halbert White and Peter Hansen’s offered solutions, White’s Reality Check and Hansen’s Test for Superior Predictive Ability. I demonstrate the application of their tests by examining several passive investment strategies applicable to recent market moves and report my results

Locally Optimally-emitting Clouds and the Narrow Emission Lines in Seyfert Galaxies

The narrow emission line spectra of active galactic nuclei are not accurately described by simple photoionization models of single clouds. Recent Hubble Space Telescope images of Seyfert 2 galaxies show that these objects are rich with ionization cones, knots, filaments, and strands of ionized gas. Here we extend to the narrow line region the ``locally optimally emitting cloud'' (LOC) model, in which the observed spectra are predominantly determined by powerful selection effects. We present a large grid of photoionization models covering a wide range of physical conditions and show the optimal conditions for producing many of the strongest emission lines. We show that the integrated narrow line spectrum can be predicted by an integration of an ensemble of clouds, and we present these results in the form of diagnostic line ratio diagrams making comparisons with observations. We also predict key diagnostic line ratios as a function of distance from the ionizing source, and compare these to observations. The predicted radial dependence of the [O III]/[O II] ratio may be matched to the observed one in NGC4151, if the narrow line clouds see a more intense continuum than we see. The LOC scenario when coupled with a simple Keplerian gravitational velocity field will quite naturally predict the observed line width versus critical density relationship. The influence of dust within the ionized portion of the clouds is discussed and we show that the more neutral gas is likely to be dusty, although a high ionization dust-free region is most likely present too. This argues for a variety of NLR cloud origins.Comment: 29 pages plus 16 figures, accepted for publication in Ap

First-principles high pressure structure searching, longitudinal-transverse mode coupling and absence of simple cubic phase in sulfur

Abstract: We use first-principles density functional theory to conduct an extensive structure search using the AIRSS package for elemental sulfur in the range 50–550 GPa. We then obtain the low-temperature phase diagram of sulfur in the same pressure range, including vibrational effects through the harmonic approximation. We do not find any structures lower in energy than those already reported in experiment, although the phase diagram below 100 GPa is found to be crowded with structures separated by only a few meV. We report the transition sequence I 4 1 / acd → P 1 ¯ → ICM → C 2 / m → R 3 ¯ m → I m 3 ¯ m and obtain accurate pressures for each transition, although we find the second-order C 2 / m → R 3 ¯ m transition particularly difficult to define. Contrary to previous first-principles works (Pavel et al; Rudin and Liu 1999 Phys. Rev. Lett. 83 3049–52), we do not reproduce a trigonal → simple cubic transition at either the static lattice or harmonic level. We also undertake a detailed analysis of the incommensurately modulated (ICM) phase of sulfur phase using a commensurate approximant found in the structure search. We find that the modulation amplitude is zero above 96 GPa; some 40 GPa below the experimentally reported transition to the unmodulated phase. We find that the body-centred atoms in the relaxed ICM approximant are, in addition to the dominant transverse modulation (which is a frozen-in optical phonon mode), slightly displaced longitudinally in the b-direction. We subsequently discover that this (small) longitudinal modulation is coupled to the transverse mode, and hence report previously unnoticed weak-mode coupling between transverse and longitudinal optical phonons in the ICM phase

Classification and analysis of emission-line galaxies using mean field independent component analysis

We present an analysis of the optical spectra of narrow emission-line galaxies, based on mean field independent component analysis (MFICA). Samples of galaxies were drawn from the Sloan Digital Sky Survey (SDSS) and used to generate compact sets of `continuum' and `emission-line' component spectra. These components can be linearly combined to reconstruct the observed spectra of a wider sample of galaxies. Only 10 components - five continuum and five emission line - are required to produce accurate reconstructions of essentially all narrow emission-line galaxies; the median absolute deviations of the reconstructed emission-line fluxes, given the signal-to-noise ratio (S/N) of the observed spectra, are 1.2-1.8 sigma for the strong lines. After applying the MFICA components to a large sample of SDSS galaxies we identify the regions of parameter space that correspond to pure star formation and pure active galactic nucleus (AGN) emission-line spectra, and produce high S/N reconstructions of these spectra. The physical properties of the pure star formation and pure AGN spectra are investigated by means of a series of photoionization models, exploiting the faint emission lines that can be measured in the reconstructions. We are able to recreate the emission line strengths of the most extreme AGN case by assuming the central engine illuminates a large number of individual clouds with radial distance and density distributions, f(r) ~ r^gamma and g(n) ~ n^beta, respectively. The best fit is obtained with gamma = -0.75 and beta = -1.4. From the reconstructed star formation spectra we are able to estimate the starburst ages. These preliminary investigations serve to demonstrate the success of the MFICA-based technique in identifying distinct emission sources, and its potential as a tool for the detailed analysis of the physical properties of galaxies in large-scale surveys.Comment: MNRAS accepted. 29 pages, 24 figures, 3 table