Dynamic Asset Allocation With Event Risk

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy. An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both have important effects.

Improving the security of quantum direct communication with authentication

Two protocols of quantum direct communication with authentication [Phys. Rev. A {\bf 73}, 042305 (2006)] are recently proposed by Lee, Lim and Yang. In this paper we will show that in the two protocols the authenticator Trent should be prevented from knowing the secret message of communication. The first protocol can be eavesdropped by Trent using the the intercept-measure-resend attack, while the second protocol can be eavesdropped by Trent using single-qubit measurement. To fix these leaks, I revise the original versions of the protocols by using the Pauli-Z operation $\sigma_z$ instead of the original bit-flip operation $X$. As a consequence, the protocol securities are improved.Comment: Any suggestion,comment or help is welcome

Current and fluctuation in a two-state stochastic system under non-adiabatic periodic perturbation

We calculate a current and its fluctuation in a two-state stochastic system under a periodic perturbation. The system could be interpreted as a channel on a cell surface or a single Michaelis-Menten catalyzing enzyme. It has been shown that the periodic perturbation induces so-called pump current, and the pump current and its fluctuation are calculated with the aid of the geometrical phase interpretation. We give a simple calculation recipe for the statistics of the current, especially in a non-adiabatic case. The calculation scheme is based on the non-adiabatic geometrical phase interpretation. Using the Floquet theory, the total current and its fluctuation are calculated, and it is revealed that the average of the current shows a stochastic-resonance-like behavior. In contrast, the fluctuation of the current does not show such behavior.Comment: 7 pages, 1 figur

Threshold Resummation Effects in Direct Top Quark Production at Hadron Colliders

We investigate the threshold-enhanced QCD corrections to the cross sections for direct top quark productions induced by model-independent flavor changing neutral current couplings at hadron colliders. We use the soft-collinear effective theory to describe the incoming massless partons and use the heavy quark effective theory to treat the top quark. Then we construct the flavor changing operator based on the above effective theories, and resum the large logarithms near threshold arising from soft gluon emission. Our results show that the resummed QCD corrections further enhance the next-to-leading order cross sections significantly. Moreover, the resummation effects vastly reduce the dependence of the cross sections on the renormalization and factorization scales, especially in cases where the next-to-leading order results behave worse than the leading order results. Our results are more sensitive to the new physics effects. If signals of direct top quark production are found in future experiments, it is more appropriate to use our results as the theoretical inputs for extracting the anomalous couplings.Comment: 5 pages, 4 figures, use revtex4 and amsmath; version to appear in Phys. Rev.

Local Unitary Classification of Arbitrary Dimensional Multipartite Pure States

We propose a practical entanglement classification scheme for general multipartite pure states in arbitrary dimensions under local unitary equivalence by exploiting the high order singular value decomposition technique and local symmetries of the states. By virtue of this scheme, the method of determining the local unitary equivalence of $n$-qubit states proposed by Kraus is extended to the case for arbitrary dimensional multipartite states.Comment: 10 pages; published in Phys. Rev. Let