Linear and Nonlinear Predictability of International Securitized Real Estate Returns: A Reality Check

This paper examines short-horizon return predictability of ten largest international securitized real estate markets, with special attention paid to exploring possible nonlinearity-in-mean as well as nonlinearity-in-variance predictability. Although international securitized real estate returns are generally not predictable based on commonly used statistical criteria, there is much evidence for the predictability based on economic criteria (i.e., direction of price changes and trading rule profitability), which is more often due to nonlinearity-in-mean. The forecast combinations for various models appear to improve the forecasting performance, while the allowance of data-snooping bias using White’s Reality Check substantially mitigates spurious out-of-sample forecasting performance and weakens otherwise overwhelmingly strong predictability. Overall, there is robust evidence for the predictability in many international securitized real estate markets.

Ultrastrong coupling few-photon scattering theory

We study the scattering of photons by a two-level system ultrastrongly coupled to a one-dimensional waveguide. Using a combination of the polaron transformation with scattering theory we can compute the one-photon scattering properties of the qubit for a broad range of coupling strengths, estimating resonance frequencies, lineshapes and linewidths. We validate numerically and analytically the accuracy of this technique up to $\alpha=0.3$, close to the Toulouse point $\alpha=1/2$, where inelastic scattering becomes relevant. These methods model recent experiments with superconducting circuits [P. Forn-D{\'\i}az et al., Nat. Phys. (2016)]

Experimental non-local generation of entanglement from independent sources

We experimentally demonstrate a non-local generation of entanglement from two independent photonic sources in an ancilla-free process . Two bosons (photons) are entangled in polarization space by steering into a novel interferometer setup, in which they have never meet each other. The entangled photons are delivered to polarization analyzers in different sites, respectively, and a non-local interaction is observed. Entanglement is further verified by the way of the measured violation of a CHSH type Bell's inequality with S-values of 2.54 and 27 standard deviations. Our results will shine a new light into the understanding on how quantum mechanics works, have possible philosophic consequences on the one hand and provide an essential element for quantum information processing on the other hand. Potential applications of our results are briefly discussed.Comment: 5 pages, 4 figure

Structural vector autoregressions: theory of identification and algorithms for inference

Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic general equilibrium models. Yet there have been no workable rank conditions to ascertain whether an SVAR is globally identified. When identifying restrictions such as long-run restrictions are imposed on impulse responses, there have been no efficient algorithms for small-sample estimation and inference. To fill these important gaps in the literature, this paper makes four contributions. First, we establish general rank conditions for global identification of both overidentified and exactly identified models. Second, we show that these conditions can be checked as a simple matrix-filling exercise and that they apply to a wide class of identifying restrictions, including linear and certain nonlinear restrictions. Third, we establish a very simple rank condition for exactly identified models that amounts to a straightforward counting exercise. Fourth, we develop a number of efficient algorithms for small-sample estimation and inference.Vector autoregression

Doubly heavy baryon production at polarized photon collider

We study the inclusive production of doubly heavy baryon $\Xi_{cc}$ at polarized photon collider. Our results show that proper choice of the initial beam polarizations may increase the production rate of $\Xi_{cc}$ approximately 10%.Comment: 9 pages, 5 figure