Design of a Multi-Moon Orbiter

The Multi-Moon Orbiter concept is introduced, wherein a single spacecraft orbits several moons of Jupiter, allowing long duration observations. The ΔV requirements for this mission can be low if ballistic captures and resonant gravity assists by Jupiter’s moons are used. For example, using only 22 m/s, a spacecraft initially injected in a jovian orbit can be directed into a capture orbit around Europa, orbiting both Callisto and Ganymede enroute. The time of flight for this preliminary trajectory is four years, but may be reduced by striking a compromise between fuel and time optimization during the inter-moon transfer phases

Application of dynamical systems theory to a very low energy transfer

We use lobe dynamics in the restricted three-body problem to design orbits with prescribed itineraries with respect to the resonance regions within a Hill’s region. The application we envision is the design of a low energy trajectory to orbit three of Jupiter’s moons using the patched three-body approximation (P3BA). We introduce the “switching region,” the P3BA analogue to the “sphere of influence.” Numerical results are given for the problem of finding the fastest trajectory from an initial region of phase space (escape orbits from moon A) to a target region (orbits captured by moon B) using small controls

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures options from 1987 to 1991.

Invariant Manifolds, the Spatial Three-Body Problem and Space Mission Design

The invariant manifold structures of the collinear libration points for the spatial restricted three-body problem provide the framework for understanding complex dynamical phenomena from a geometric point of view. In particular, the stable and unstable invariant manifold \tubes" associated to libration point orbits are the phase space structures that provide a conduit for orbits between primary bodies for separate three-body systems. These invariant manifold tubes can be used to construct new spacecraft trajectories, such as a \Petit Grand Tour" of the moons of Jupiter. Previous work focused on the planar circular restricted three-body problem. The current work extends the results to the spatial case

Systemic Risk and Hedge Funds

Systemic risk is commonly used to describe the possibility of a series of correlated defaults among financial institutions---typically banks---that occur over a short period of time, often caused by a single major event. However, since the collapse of Long Term Capital Management in 1998, it has become clear that hedge funds are also involved in systemic risk exposures. The hedge-fund industry has a symbiotic relationship with the banking sector, and many banks now operate proprietary trading units that are organized much like hedge funds. As a result, the risk exposures of the hedge-fund industry may have a material impact on the banking sector, resulting in new sources of systemic risks. In this paper, we attempt to quantify the potential impact of hedge funds on systemic risk by developing a number of new risk measures for hedge funds and applying them to individual and aggregate hedge-fund returns data. These measures include: illiquidity risk exposure, nonlinear factor models for hedge-fund and banking-sector indexes, logistic regression analysis of hedge-fund liquidation probabilities, and aggregate measures of volatility and distress based on regime-switching models. Our preliminary findings suggest that the hedge-fund industry may be heading into a challenging period of lower expected returns, and that systemic risk is currently on the rise.

The long-term forecast of station view periods

Using dynamical systems theory, a definite integral is obtained that gives the average view period of a ground station for spacecraft in circular orbits. Minor restrictions exist on the class of circular orbits to which this method can be applied. This method avoids the propagation of the orbit, which requires a lot of resources, and simplifies the algorithm used to compute the mean station view period. The integral is used for long-term station load forecast studies. It also provides a quantitative measure of the effectiveness of a ground station as a function of its latitude

Two-way quantum communication channels

We consider communication between two parties using a bipartite quantum operation, which constitutes the most general quantum mechanical model of two-party communication. We primarily focus on the simultaneous forward and backward communication of classical messages. For the case in which the two parties share unlimited prior entanglement, we give inner and outer bounds on the achievable rate region that generalize classical results due to Shannon. In particular, using a protocol of Bennett, Harrow, Leung, and Smolin, we give a one-shot expression in terms of the Holevo information for the entanglement-assisted one-way capacity of a two-way quantum channel. As applications, we rederive two known additivity results for one-way channel capacities: the entanglement-assisted capacity of a general one-way channel, and the unassisted capacity of an entanglement-breaking one-way channel.Comment: 21 pages, 3 figure

When do stop-loss rules stop losses?

We propose a simple analytical framework to measure the value added or subtracted by stop-loss rules-predetermined policies that reduce a portfolio's exposure after reaching a certain threshold of cumulative losses-on the expected return and volatility of an arbitrary portfolio strategy. Using daily futures price data, we provide an empirical analysis of stop-loss policies applied to a buy-and-hold strategy using index futures contracts. At longer sampling frequencies, certain stop-loss policies can increase expected return while substantially reducing volatility, consistent with their objectives in practical applications. Keywords: Investments; Portfolio management; Risk management; Asset allocation; Performance attribution; Behavioral financ