Pairs Trading: A Cointegration Approach

This study uses the Johansen test for cointegration to select trading pairs for use within a pairs trading framework. A long-run equilibrium price relationship is then estimated for the identified trading pairs, and the resulting mean-reverting residual spread is modeled as a Vector-Error-Correction model (VECM). The study uses 5 years of daily stock prices starting from the beginning of July, 2002. The search for trading pairs is restricted to 17 financial stocks listed on the ASX200. The results show that two cointegrated stocks can be combined in a certain linear combination so that the dynamics of the resulting portfolio are governed by a stationary process. Although a trading rule is not employed to access the profitability of this trading strategy, plots of the residual series show a high rate of zero crossings and large deviations around the mean. This would suggest that this strategy would likely be profitable. It can also be concluded that in the presence of cointegration, at least one of the speed of adjustment coefficients must be significantly different from zero

Analytic Amplitudes for Hadronic Forward Scattering : COMPETE Update

We consider several classes of analytic parametrizations of hadronic scattering amplitudes, and compare their predictions to all available forward data in hadron-hadron, gamma-p and gamma-gamma reactions. Although these parametrizations are very close for SQRTs larger than 9 GeV, it turns out that they differ markedly at low energy, where a universal Pomeron term like ln**2 s enables one to extend the fit down to SQRTs equal to 4 GeV. We present predictions on the total cross sections and on the ratio of the real part to the imaginary part of the elastic amplitude (RHO parameter) for present and future pp and antipp colliders, and on total cross sections for gamma-p into hadrons at cosmic-ray energies and for gamma-gamma into hadrons up to SQRTs equal to 1 TeV.Comment: 3 pages, 3 tables. To be published in the Proceedings of the 31st International Conference on High Energy Physics (ICHEP 2002), Amsterdam, The Netherlands, 24-31 July 200

Higgs Boson Bounds in Three and Four Generation Scenarios

In light of recent experimental results, we present updated bounds on the lightest Higgs boson mass in the Standard Model (SM) and in the Minimal Supersymmetric extension of the Standard Model (MSSM). The vacuum stability lower bound on the pure SM Higgs boson mass when the SM is taken to be valid up to the Planck scale lies above the MSSM lightest Higgs boson mass upper bound for a large amount of SUSY parameter space. If the lightest Higgs boson is detected with a mass M_{H} < 134 GeV (150 GeV) for a top quark mass M_{top} = 172 GeV (179 GeV), it may indicate the existence of a fourth generation of fermions. The region of inconsistency is removed and the MSSM is salvagable for such values of M_{H} if one postulates the existence of a fourth generation of leptons and quarks with isodoublet degenerate masses M_{L} and M_{Q} such that 60 GeV 170 GeV.Comment: 7 pages, 4 figures. To be published in Physical Review

Investigations of the pi N total cross sections at high energies using new FESR: log nu or (log nu)^2

We propose to use rich informations on pi p total cross sections below N= 10 GeV in addition to high-energy data in order to discriminate whether these cross sections increase like log nu or (log nu)^2 at high energies, since it is difficult to discriminate between asymptotic log nu and (log nu)^2 fits from high-energy data alone. A finite-energy sum rule (FESR) which is derived in the spirit of the P' sum rule as well as the n=1 moment FESR have been required to constrain the high-energy parameters. We then searched for the best fit of pi p total cross sections above 70 GeV in terms of high-energy parameters constrained by these two FESR. We can show from this analysis that the (log nu)^2 behaviours is preferred to the log nu behaviours.Comment: to be published in Phys. Rev. D 5 pages, 2 eps figure

Photoemission and x-ray absorption spectroscopy study of electron-doped colossal magnetoresistance manganite: La0.7Ce0.3MnO3 film

The electronic structure of La0.7Ce0.3MnO3 (LCeMO) thin film has been investigated using photoemission spectroscopy (PES) and x-ray absorption spectroscopy (XAS). The Ce 3d core-level PES and XAS spectra of LCeMO are very similar to those of CeO2, indicating that Ce ions are far from being trivalent. A very weak 4f resonance is observed around the Ce 4d $\to$ 4f absorption edge, suggesting that the localized Ce 4f states are almost empty in the ground state. The Mn 2p XAS spectrum reveals the existence of the Mn(2+) multiplet feature, confirming the Mn(2+)-Mn(3+) mixed-valent states of Mn ions in LCeMO. The measured Mn 3d PES/XAS spectra for LCeMO agrees reasonably well with the calculated Mn 3d PDOS using the LSDA+U method. The LSDA+U calculation predicts a half-metallic ground state for LCeMO.Comment: 7 pages, 7 figure

Suppression of Superconducting Critical Current Density by Small Flux Jumps in MgB2MgB_2 Thin Films

By doing magnetization measurements during magnetic field sweeps on thin films of the new superconductor $MgB_2$, it is found that in a low temperature and low field region small flux jumps are taking place. This effect strongly suppresses the central magnetization peak leading to reduced nominal superconducting critical current density at low temperatures. A borderline for this effect to occur is determined on the field-temperature (H-T) phase diagram. It is suggested that the small size of the flux jumps in films is due to the higher density of small defects and the relatively easy thermal diffusion in thin films in comparison with bulk samples.Comment: 7 figures Phys. Rev. B accepted scheduled issue: 01 Feb 200

Nearly degenerate neutrinos, Supersymmetry and radiative corrections

If neutrinos are to play a relevant cosmological role, they must be essentially degenerate with a mass matrix of the bimaximal mixing type. We study this scenario in the MSSM framework, finding that if neutrino masses are produced by a see-saw mechanism, the radiative corrections give rise to mass splittings and mixing angles that can accommodate the atmospheric and the (large angle MSW) solar neutrino oscillations. This provides a natural origin for the $\Delta m^2_{sol} << \Delta m^2_{atm}$ hierarchy. On the other hand, the vacuum oscillation solution to the solar neutrino problem is always excluded. We discuss also in the SUSY scenario other possible effects of radiative corrections involving the new neutrino Yukawa couplings, including implications for triviality limits on the Majorana mass, the infrared fixed point value of the top Yukawa coupling, and gauge coupling and bottom-tau unification.Comment: 32 pages, 12 Postscript figures, uses psfig.st

Bulk experimental evidence of half-metallic ferromagnetism in doped manganites

We report precise measurements and quantitative data analysis on the low-temperature resistivity of several ferromagnetic manganite films. We clearly show that there exists a T^{4.5} term in low-temperature resistivity, and that this term is in quantitative agreement with the quantum theory of two-magnon scattering for half metallic ferromagnets. Our present results provide the first bulk experimental evidence of half-metallic ferromagnetism in doped manganites.Comment: 4 pages, 4 figure

Naturalness of nearly degenerate neutrinos

If neutrinos are to play a relevant cosmological role, they must be essentially degenerate. We study whether radiative corrections can or cannot be responsible for the small mass splittings, in agreement with all the available experimental data. We perform an exhaustive exploration of the bimaximal mixing scenario, finding that (i) the vacuum oscillations solution to the solar neutrino problem is always excluded; (ii) if the mass matrix is produced by a see-saw mechanism, there are large regions of the parameter space consistent with the large angle MSW solution, providing a natural origin for the $\Delta m^2_{sol} << \Delta m^2_{atm}$ hierarchy; (iii) the bimaximal structure becomes then stable under radiative corrections. We also provide analytical expressions for the mass splittings and mixing angles and present a particularly simple see-saw ansatz consistent with all observations.Comment: 25 pages, LaTeX, 6 ps figures, psfig.sty. Typos, references and minor details corrected. Additional condition for the MSW mechanism incorporated. New viable textures adde

Electromigration-Induced Flow of Islands and Voids on the Cu(001) Surface

Electromigration-induced flow of islands and voids on the Cu(001) surface is studied at the atomic scale. The basic drift mechanisms are identified using a complete set of energy barriers for adatom hopping on the Cu(001) surface, combined with kinetic Monte Carlo simulations. The energy barriers are calculated by the embedded atom method, and parameterized using a simple model. The dependence of the flow on the temperature, the size of the clusters, and the strength of the applied field is obtained. For both islands and voids it is found that edge diffusion is the dominant mass-transport mechanism. The rate limiting steps are identified. For both islands and voids they involve detachment of atoms from corners into the adjacent edge. The energy barriers for these moves are found to be in good agreement with the activation energy for island/void drift obtained from Arrhenius analysis of the simulation results. The relevance of the results to other FCC(001) metal surfaces and their experimental implications are discussed.Comment: 9 pages, 13 ps figure