The Predictability of Excess Returns on UK Bonds: a Non-Linear Approach

This paper provides an empirical description of the behaviour of excess returns on UK government discount bonds in terms of risk factors such as the forward premium, the slope of the term structure, dividend yields and excess stock returns. We identify the existence of a time-varying term structure of expected excess returns. Further, the dynamics of the expected returns are characterised by regime-switching behaviour where the transition from one regime to the other is controlled by the slope of the term structure of interest rates. The first regime, which is characterised by flat or downward sloping term structures, occurs during periods of economic recession. The second regime, which is characterised by upward sloping term structures, occurs during periods of economic expansion. The main risk factors explaining expected returns are the slope of the term structure in the recessionary regime and the excess stock returns in the expansionary regime

Quantum Phase Transition in a Graphene Model

We present results for the equation of state of a graphene-like model in an effort to understand the properties of its quantum phase transition. The N_f fermion species interact through a three dimensional instantaneous Coulomb potential. Since there are no reliable analytical tools that work for all values of N_f and the coupling constant g, we rely on Monte Carlo simulations to calculate the critical properties of the model near the phase transition. We consider the four-component formulation for the fermion fields, which arises naturally as the continuum limit of the staggered fermion construction in (2+1) dimensions. In the limit of infinitely strong Coulomb interaction, the system undergoes a quantum phase transition at a critical number of fermion species N_fc ~ 4.7. We also calculate the values of the critical exponents at the quantum phase transition.Comment: 4 pages, 3 figures, presented at the 25th international conference on Low Temperature Physics, 6-13 August 2008, Amsterda

The oscillatory distribution of distances in random tries

We investigate \Delta_n, the distance between randomly selected pairs of nodes among n keys in a random trie, which is a kind of digital tree. Analytical techniques, such as the Mellin transform and an excursion between poissonization and depoissonization, capture small fluctuations in the mean and variance of these random distances. The mean increases logarithmically in the number of keys, but curiously enough the variance remains O(1), as n\to\infty. It is demonstrated that the centered random variable \Delta_n^*=\Delta_n-\lfloor2\log_2n\rfloor does not have a limit distribution, but rather oscillates between two distributions.Comment: Published at http://dx.doi.org/10.1214/105051605000000106 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Magnetic and Electric Excitations in Split Ring Resonators

We studied the electric and magnetic resonance of U-shaped SRRs. We showed that higher order excitation modes exist in both of the electric and magnetic resonances. The nodes in the current distribution were found for all the resonance modes. It turns out that the magnetic resonances are the modes with odd-number of half-wavelength of the current wave, i.e. 1/2, 3/2 and 5/2 wavelengths modes, and the electric resonances are modes with integer number of whole-wavelength of current wave, i.e. 1, 2 and 3 wavelengths modes. We discussed the electric moment and magnetic moment of the electric and magnetic resonances, and their dependence to the length of two parallel side arms. We show that the magnetic moment of magnetic resonance vanishes as the length side arms of the SRR reduces to zero, i.e. a rod does not give any magnetic moment or magnetic resonance.Comment: Journal-ref and DOI link adde

Effective material parameter retrieval for thin sheets: theory and application to graphene, thin silver films, and single-layer metamaterials

An important tool in the field of metamaterials is the extraction of effective material parameters from simulated or measured scattering parameters of a sample. Here we discuss a retrieval method for thin-film structures that can be approximated by a two-dimensional scattering sheet. We determine the effective sheet conductivity from the scattering parameters and we point out the importance of the magnetic sheet current to avoid an overdetermined inversion problem. Subsequently, we present two applications of the sheet retrieval method. First, we determine the effective sheet conductivity of thin silver films and we compare the resulting conductivities with the sheet conductivity of graphene. Second, we apply the method to a cut-wire metamaterial with an electric dipole resonance. The method is valid for thin-film structures such as two-dimensional metamaterials and frequency-selective surfaces and can be easily generalized for anisotropic or chiral media.Comment: 5 pages, 5 figure

Lagoon water-level oscillations driven by rainfall and wave climate

Barrier breaching and subsequent inlet formation represent critical processes that ensure the temporary or permanent connection and transference of water, nutrients, or living organisms between a lagoon and the open sea. Here, we investigate the conditions inducing natural barrier breaching through a 34 months monitoring program of water-level oscillations within a shallow lagoon and the adjacent nearshore, at the Northern coast of the Iberian Peninsula, Louro lagoon. Seven natural openings were identified to have occurred during the three monitored wet seasons, from the 2009 to 2012, (Wet1, Wet2 and Wet3); four in the Wetl, two in the Wet2 and one in. the Wet3. The openings were grouped in three types depending on the observed relation between the lagoon water-level (L-wl), the estimated berm height (B-h) and the water-level at the beach (B-wl): (i) openings by lagoon outflow, which include those characterized by L-wl higher than B-h and lower B-wl; (ii) openings by wave inundation, including those induced by B-wl higher than B-h, and (iii) mixed openings, which result from a combination of the two previous conditions. We observed that L-wl is modulated by the rainfall regime (R-f) and can be explained by the accumulated precipitation. We estimated applying runup equations to obtain B-h and B-wl which depend on the wave climate and tidal level. The inlet lifespan was found to be regulated by the wave climate and rainfall regime; in particular barrier sealing was associated with a sudden increase in wave period and a reduction in precipitation. This work proves that the natural openings could be predicted successfully with support to medium term water-level monitoring programs, which in turn may significantly contribute to strategic decision making for management and conservation purposes.Xunta de Galicia [08MDS036000PR, PlanI2C-ED481B 2014/132-0]MICINN [CTM2012-39599-C03-01]Portuguese Science Foundation [IF/01047/2014]info:eu-repo/semantics/publishedVersio