408 research outputs found
Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can
deliver substantial abnormal returns and offer some degree of tail risk
protection during extreme market events. The performance of existing TSMOM
strategies, however, relies not only on the quality of the momentum signal but
also on the efficacy of the volatility estimator. Yet many of the existing
studies have always considered these two factors to be independent. Inspired by
recent progress in Multi-Task Learning (MTL), we present a new approach using
MTL in a deep neural network architecture that jointly learns portfolio
construction and various auxiliary tasks related to volatility, such as
forecasting realized volatility as measured by different volatility estimators.
Through backtesting from January 2000 to December 2020 on a diversified
portfolio of continuous futures contracts, we demonstrate that even after
accounting for transaction costs of up to 3 basis points, our approach
outperforms existing TSMOM strategies. Moreover, experiments confirm that
adding auxiliary tasks indeed boosts the portfolio's performance. These
findings demonstrate that MTL can be a powerful tool in finance
Red Giant Rotational Inversion Kernels Need Nonlinear Surface Corrections
Asteroseismology is our only means of measuring stellar rotation in their
interiors, rather than at their surfaces. Some techniques for measurements of
this kind -- "rotational inversions" -- require the shapes of linear response
kernels computed from reference stellar models to be representative of those in
the stars they are intended to match. This is not the case in evolved stars
exhibiting gravitoacoustic mixed modes: we show that the action of the
asteroseismic surface term -- systematic errors in the modelling of
near-surface layers -- changes the shapes of their inversion kernels.
Corrections for the surface term are not ordinarily considered necessary for
rotational inversions. We show how this may have caused previous estimates of
red-giant envelope rotation rates from mixed-mode asteroseismic inversions to
have been unintentionally contaminated by core rotation as a result, with
errors comparable to the entire reported estimates. We derive a mitigation
procedure for this hitherto unaccounted systematic error, and demonstrate its
viability and effectiveness. We recommend this mitigation be applied when
revising existing rotational inversions. Finally, we discuss both the prospects
for applying such mitigation to the harder problem of inversions for stellar
structure (rather than rotation), as well as the broader implications of this
systematic error with regards to the longstanding problem of internal angular
momentum transport.Comment: 9 pages, 3 figures; accepted to Ap
Vicarious Calibration of EO-1 Hyperion
The Hyperion imaging spectrometer on the Earth Observing-1 satellite is the first high-spatial resolution imaging spectrometer to routinely acquire science-grade data from orbit. Data gathered with this instrument needs to be quantitative and accurate in order to derive meaningful information about ecosystem properties and processes. Also, comprehensive and long-term ecological studies require these data to be comparable over time, between coexisting sensors and between generations of follow-on sensors. One method to assess the radiometric calibration is the reflectance-based approach, a common technique used for several other earth science sensors covering similar spectral regions. This work presents results of radiometric calibration of Hyperion based on the reflectance-based approach of vicarious calibration implemented by University of Arizona during 2001 2005. These results show repeatability to the 2% level and accuracy on the 3 5% level for spectral regions not affected by strong atmospheric absorption. Knowledge of the stability of the Hyperion calibration from moon observations allows for an average absolute calibration based on the reflectance-based results to be determined and applicable for the lifetime of Hyperion
Mode Mixing and Rotational Splittings: II. Reconciling Different Approaches to Mode Coupling
In the mixed-mode asteroseismology of subgiants and red giants, the coupling
between the p- and g-mode cavities must be understood well in order to derive
localised estimates of interior rotation from measurements of mode multiplet
rotational splittings. There exist now two different descriptions of this
coupling: one based on an asymptotic quantisation condition, and the other
arising from coupling matrices associated with "acoustic molecular orbitals".
We examine the analytic properties of both, and derive closed-form expressions
for various quantities -- such as the period-stretching function --
which previously had to be solved for numerically. Using these, we reconcile
both formulations for the first time, deriving relations by which quantities in
each formulation may be translated to and interpreted within the other. This
yields an information criterion for whether a given configuration of mixed
modes meaningfully constrains the parameters of the asymptotic construction,
which is likely not satisfied by the majority of first-ascent red giant stars
in our observational sample. Since this construction has been already used to
make rotational measurements of such red giants, we examine -- through a
hare-and-hounds exercise -- whether, and how, such limitations affect existing
measurements. While averaged estimates of core rotation seem fairly robust,
template-matching using the asymptotic construction has difficulty reliably
assigning rotational splittings to individual multiplets, or estimating mixing
fractions of the most p-dominated mixed modes, where such estimates are
most needed. We finally discuss implications for extending the two-zone model
of radial differential rotation, e.g. via rotational inversions, with these
methods.Comment: 23 pages, 13 figures. Accepted for publication in Ap
Writing and Resisting Colonial Genocide
Canada has pursued policies of Indigenous assimilation and annihilation, many of which continue today. Among others, these include ‘Indian residential schools’, the Indian Act, welfare-state child removals, the Sixties Scoop, the prohibition of cultural practices, forced sterilization and environmental destruction. We are scholars co-leading a large interdisciplinary programme of research studying ‘colonial genocide’. Our research seeks to understand how historic colonialism and its contemporary manifestations rely on genocidal logic for power and profit. While we begin in Turtle Island, our work has global application. The act of naming is a powerful analytical and political tool, and ‘genocide’ is one of the most compelling – and controversial – names in the business of writing international law and policy. This contribution uses personal narrative to perform how reflexivity shapes choices around both how we make meaning and what we make meaning of
Mode Mixing and Rotational Splittings: I. Near-Degeneracy Effects Revisited
Rotation is typically assumed to induce strictly symmetric rotational
splitting into the rotational multiplets of pure p- and g-modes. However, for
evolved stars exhibiting mixed modes, avoided crossings between different
multiplet components are known to yield asymmetric rotational splitting,
particularly for near-degenerate mixed-mode pairs, where notional pure p-modes
are fortuitiously in resonance with pure g-modes. These near-degeneracy effects
have been described in subgiants, but their consequences for the
characterisation of internal rotation in red giants has not previously been
investigated in detail, in part owing to theoretical intractability. We employ
new developments in the analytic theory of mixed-mode coupling to study these
near-resonance phenomena. In the vicinity of the most p-dominated mixed modes,
the near-degenerate intrinsic asymmetry from pure rotational splitting
increases dramatically over the course of stellar evolution, and depends
strongly on the mode mixing fraction . We also find that a linear
treatment of rotation remains viable for describing the underlying p- and
g-modes, even when it does not for the resulting mixed modes undergoing these
avoided crossings. We explore observational consequences for potential
measurements of asymmetric mixed-mode splitting, which has been proposed as a
magnetic-field diagnostic. Finally, we propose improved measurement techniques
for rotational characterisation, exploiting the linearity of rotational effects
on the underlying p/g modes, while still accounting for these mixed-mode
coupling effects.Comment: 21 pages, 13 figures. Accepted to Ap
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