Neutral Hydrogen and Star Formation in the Coma-Abell1367 Supercluster

We present preliminary results of a multi-wavelength study focused on the evolution of spiral galaxies in the UV-optical colour-magnitude (CM) diagram. By combining HI, UV and optical observations of the Coma-Abell1367 supercluster we are able to identify galaxies at different stages of their evolution: from healthy star-forming galaxies, to blue HI-poor spirals and transition objects. Our analysis shows that galaxies in the transition region are likely to be the progeny of healthy spirals, whose star-formation has been quenched by the harsh cluster environment. This result suggests that, at least in clusters of galaxies, the migration of galaxies from the blue to the red sequence might be due to environmental processes.Comment: To appear in AIP Conf. Proc., "The Evolution of Galaxies through the Neutral Hydrogen Window", Feb 1-3 2008, Arecibo, eds. R. Minchin & E. Momjian. 4 pages, 2 figure

Intrinsic random walks and sub-Laplacians in sub-Riemannian geometry

On a sub-Riemannian manifold we define two type of Laplacians. The \emph{macroscopic Laplacian} $\Delta_\omega$, as the divergence of the horizontal gradient, once a volume $\omega$ is fixed, and the \emph{microscopic Laplacian}, as the operator associated with a sequence of geodesic random walks. We consider a general class of random walks, where \emph{all} sub-Riemannian geodesics are taken in account. This operator depends only on the choice of a complement $\mathbf{c}$ to the sub-Riemannian distribution, and is denoted $L^c$. We address the problem of equivalence of the two operators. This problem is interesting since, on equiregular sub-Riemannian manifolds, there is always an intrinsic volume (e.g. Popp's one $P$) but not a canonical choice of complement. The result depends heavily on the type of structure under investigation. On contact structures, for every volume $\omega$, there exists a unique complement $c$ such that $\Delta_\omega=L^c$. On Carnot groups, if $H$ is the Haar volume, then there always exists a complement $c$ such that $\Delta_H=L^c$. However this complement is not unique in general. For quasi-contact structures, in general, $\Delta_P \neq L^c$ for any choice of $c$. In particular, $L^c$ is not symmetric w.r.t. Popp's measure. This is surprising especially in dimension 4 where, in a suitable sense, $\Delta_P$ is the unique intrinsic macroscopic Laplacian. A crucial notion that we introduce here is the N-intrinsic volume, i.e. a volume that depends only on the set of parameters of the nilpotent approximation. When the nilpotent approximation does not depend on the point, a N-intrinsic volume is unique up to a scaling by a constant and the corresponding N-intrinsic sub-Laplacian is unique. This is what happens for dimension smaller or equal than 4, and in particular in the 4-dimensional quasi-contact structure mentioned above.Comment: 42 pages, 1 figure. v2: minor revisions; v3: minor typos corrected; v4: final version, to appear on Advances in Mathematic

Rethinking the Effective Sample Size

The effective sample size (ESS) is widely used in sample-based simulation methods for assessing the quality of a Monte Carlo approximation of a given distribution and of related integrals. In this paper, we revisit and complete the approximation of the ESS in the specific context of importance sampling (IS). The derivation of this approximation, that we will denote as $\widehat{\text{ESS}}$, is only partially available in Kong [1992]. This approximation has been widely used in the last 25 years due to its simplicity as a practical rule of thumb in a wide variety of importance sampling methods. However, we show that the multiple assumptions and approximations in the derivation of $\widehat{\text{ESS}}$, makes it difficult to be considered even as a reasonable approximation of the ESS. We extend the discussion of the ESS in the multiple importance sampling (MIS) setting, and we display numerical examples. This paper does not cover the use of ESS for MCMC algorithms

Use of soil and climate data to assess the risk of agricultural drought for policy support in Europe.

This paper describes the use of soil and climatic data for assessing the risk of drought in Europe. Soil moisture regimes are defined for soil classification purposes and these can be used to delineate areas with the same type of soil climate. Maps showing the distribution of arid soils in USA and dry areas in Southern Europe are presented. In the case of agricultural drought, it is the soil water available to plants (SWAP) that is the most important soil factor in assessing this risk and a simple model for estimating this is described. This model can be linked to spatial and point data from the European Soil Database. In the absence of sufficient soil water retention measurements, preliminary maps of SWAP in Europe have been produced using pedotransfer rules. The study concludes that basic soil maps can be used to identify some areas where agricultural drought is likely to be a problem. However more precise modelling of droughtiness, based on interactions of soil available water with the average soil moisture deficit, estimated from meteorological data, is needed, to support policy making today

Openflow switching: data plane performance

Abstract—OpenFlow is an open standard that can be implemented in Ethernet switches, routers and wireless access points (AP). In the OpenFlow framework, packet forwarding (data plane) and routing decisions (control plane) run on different devices. OpenFlow switches are in charge of packet forwarding, whereas a controller sets up switch forwarding tables on a perflow basis, to enable flow isolation and resource slicing. We focus on the data path and analyze the OpenFlow implementation in Linux based PCs. We compare OpenFlow switching, layer-2 Ethernet switching and layer-3 IP routing performance. Forwarding throughput and packet latency in underloaded and overloaded conditions are analyzed, with different traffic patterns. System scalability is analyzed using different forwarding table size, and fairness in resource distribution is measured. I

Can standard preferences explain the prices of out-of-the-money S&P 500 put options?

The 1987 stock market crash occurred with minimal impact on observable economic variables (e.g., consumption), yet dramatically and permanently changed the shape of the implied volatility curve for equity index options. Here, we propose a general equilibrium model that captures many salient features of the U.S. equity and options markets before, during, and after the crash. The representative agent is endowed with Epstein-Zin preferences and the aggregate dividend and consumption processes are driven by a persistent stochastic growth variable that can jump. In reaction to a market crash, the agent updates her beliefs about the distribution of the jump component. We identify a realistic calibration of the model that matches the prices of shortmaturity at-the-money and deep out-of-the-money S&P 500 put options, as well as the prices of individual stock options. Further, the model generates a steep shift in the implied volatility ‘smirk’ for S&P 500 options after the 1987 crash. This ‘regime shift’ occurs in spite of a minimal impact on observable macroeconomic fundamentals. Finally, the model’s implications are consistent with the empirical properties of dividends, the equity premium, as well as the level and standard deviation of the risk-free rate. Overall, our findings show that it is possible to reconcile the stylized properties of the equity and option markets in the framework of rational expectations, consistent with the notion that these two markets are integrated.Money ; Macroeconomics ; Pricing

Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income

Empirical evidence shows that changes in aggregate labor income and stock market returns exhibit only weak correlation at short horizons. As we document below, however, this correlation increases substantially at longer horizons, which provides at least suggestive evidence that stock returns and labor income are cointegrated. In this paper, we investigate the implications of such a cointegrated relation for life-cycle optimal portfolio and consumption decisions of an agent whose non-tradable labor income faces permanent and temporary idiosyncratic shocks. We find that, under economically plausible calibrations, the optimal portfolio choice for the young investor is to take a substantial {\em short} position in the risky portfolio, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes the present value of future labor income flows `stock-like' for the young agent. However, for older agents who have shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital becomes more `bond-like.' Together, these effects create a hump-shaped optimal portfolio decision for the agent over the life cycle, consistent with empirical observation.

Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options

Prior to the stock market crash of 1987, Black-Scholes implied volatilities of S&P 500 index options were relatively constant across moneyness. Since the crash, however, deep out-of-the-money S&P 500 put options have become %u2018expensive%u2019 relative to the Black-Scholes benchmark. Many researchers (e.g., Liu, Pan and Wang (2005)) have argued that such prices cannot be justified in a general equilibrium setting if the representative agent has %u2018standard preferences%u2019 and the endowment is an i.i.d. process. Below, however, we use the insight of Bansal and Yaron (2004) to demonstrate that the %u2018volatility smirk%u2019 can be rationalized if the agent is endowed with Epstein-Zin preferences and if the aggregate dividend and consumption processes are driven by a persistent stochastic growth variable that can jump. We identify a realistic calibration of the model that simultaneously matches the empirical properties of dividends, the equity premium, the prices of both at-the-money and deep out-of-the-money puts, and the level of the risk-free rate. A more challenging question (that to our knowledge has not been previously investigated) is whether one can explain within a standard preference framework the stark regime change in the volatility smirk that has maintained since the 1987 market crash. To this end, we extend the model to a Bayesian setting in which the agent updates her beliefs about the average jump size in the event of a jump. Note that such beliefs only update at crash dates, and hence can explain why the volatility smirk has not diminished over the last eighteen years. We find that the model can capture the shape of the implied volatility curve both pre- and post-crash while maintaining reasonable estimates for expected returns, price-dividend ratios, and risk-free rates.

Portfolio choice over the life-cycle when the stock and labor markets are cointegrated

We study portfolio choice when labor income and dividends are cointegrated. Economically plausible calibrations suggest young investors should take substantial short positions in the stock market. Because of cointegration the young agent's human capital effectively becomes.Portfolio management ; Stock market ; Labor market