On pricing kernels, information and risk

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we argue that evidence in favour of characteristic based pricing implies that information is more likely assimilated by means of nonlinear pricing kernels for the markets considered.Comment: 20 pages, 3 figures, 1 tabl

The Limits on Cosmological Anisotropies and Inhomogeneities from COBE Data

Assuming that the cosmological principle holds, Maartens, Ellis and Stoeger (MES) recently constructed a detailed scheme linking anisotropies in the cosmic background radiation (CMB) with anisotropies and inhomogeneities in the large scale structure of the universe and showed how to place limits on those anisotropies and inhomogeneities simply by using CMB quadrupole and octupole limits. First we indicate and discuss the connection between the covariant multipole moments of the temperature anisotropy used in the MES scheme and the quadrupole and octupole results from COBE. Then we introduce those results into the MES limit equations to obtain definite quantitative limits on the complete set of cosmological measures of anisotropy and inhomogeneity. We find that all the anisotropy measures are less than 10^{-4} in the case of those not affected by the expansion rate H, and less than 10^{-6} Mpc^{-1} in the case of those which are. These results quantitatively demonstrate that the observable universe is indeed close to Friedmann-Lemaitre-Robertson-Walker (FLRW) on the largest scales, and can be adequately modelled by an almost-FLRW model -- that is, the anisotropies and inhomogeneities characterizing the observable universe on the largest scales are not too large to be considered perturbations to FLRW.Comment: Original paper with corrections. ApJ 476 435 (1997) erratum to appear ApJ Sept 199

How many independent bets are there?

The benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available to an investor. Conventionally applications us- ing breadth frequently assume only the number of separate bets. There may be a large discrepancy between these two interpretations. We uti- lize a simple singular-value decomposition (SVD) and the Keiser-Gutman stopping criterion to select the integer-valued effective dimensionality of the correlation matrix of returns. In an emerging market such as South African we document an estimated breadth that is considerably lower than anticipated. This lack of diversification may be because of market concentration, exposure to the global commodity cycle and local currency volatility. We discuss some practical extensions to a more statistically correct interpretation of market breadth, and its theoretical implications for both global and domestic investors.Comment: Less technical rewrite. 12 Pages, 6 Figures (.eps

Head Wave Correlations in Ambient Noise

Ambient ocean noise is processed with a vertical line array to reveal coherent time-separated arrivals suggesting the presence of head wave multipath propagation. Head waves, which are critically propagating water waves created by seabed waves traveling parallel to the water-sediment interface, can propagate faster than water-only waves. Such eigenrays are much weaker than water-only eigenrays, and are often completely overshadowed by them. Surface-generated noise is different whereby it amplifies the coherence between head waves and critically propagating water-only waves, which is measured by cross-correlating critically steered beams. This phenomenon is demonstrated both experimentally and with a full wave simulation

Benthic foraminiferal stable carbon isotope constraints on deglacial ocean circulation and carbon-cycle changes

How does deep-ocean circulation influence atmospheric CO2 across deglacial transitions? Although biogeochemical and physical processes complicate interpretation of foraminiferal stable carbon isotope data, these complications can be addressed with expanded data compilations, multiproxy approaches, and model-data assimilation efforts.Fil: Peterson, Carlye D.. University of California Riverside; Estados UnidosFil: Gebbie, G.. Woods Hole Oceanographic Institution; Estados UnidosFil: Lisiecki, L. E.. University of California Santa Barbara; Estados UnidosFil: Lynch Stieglitz, J.. School of Earth and Atmospheric Sciences; Estados UnidosFil: Oppo, D.. Woods Hole Oceanographic Institution; Estados UnidosFil: Muglia, Juan. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Centro Nacional Patagónico. Centro para el Estudio de Sistemas Marinos; ArgentinaFil: Repschläger, Janne. Max Planck Institute for Chemistry; AlemaniaFil: Schmittner, A.. University of Oregon; Estados Unido

Physical Electronics

Contains research objectives and reports on two research projects

How is the ocean anthropogenic carbon reservoir filled?

About a quarter of the total anthropogenic CO2 emissions during the industrial era has been absorbed by the ocean. The rate limiting step for this uptake is the transport of the anthropogenic carbon (Cant) from the ocean mixed layer where it is absorbed to the interior ocean where it is stored. While it is generally known that deep water formation sites are important for vertical carbon transport, the exact magnitude of the fluxes across the base of the mixed layer in different regions is uncertain. Here, we determine where, when, and how much Cant has been injected across the mixed-layer base and into the interior ocean since the start of the industrialized era. We do this by combining a transport matrix derived from observations with a time-evolving boundary condition obtained from already published estimates of ocean Cant. Our results show that most of the Cant stored below the mixed layer are injected in the subtropics (40.1%) and the Southern Ocean (36.0%), while the Subpolar North Atlantic has the largest fluxes. The Subpolar North Atlantic is also the most important region for injecting Cant into the deep ocean with 81.6% of the Cant reaching depths greater than 1,000 m. The subtropics, on the other hand, have been the most efficient in transporting Cant across the mixed-layer base per volume of water ventilated. This study shows how the oceanic Cant uptake relies on vertical transports in a few oceanic regions and sheds light on the pathways that fill the ocean Cant reservoir