Time-Consistent No-Arbitrage Models of the Term Structure

We present an econometric procedure for calibrating no-arbitrage term structure models in a way that is time-consistent and robust to measurement errors. Typical no-arbitrage models are time-inconsistent because their parameters are assumed constant for pricing purposes despite the fact that the parameters change whenever the model is recalibrated. No-arbitrage models are also sensitive to measurement errors because they fit exactly each potentially contaminated bond price in the cross-section. We overcome both problems by evaluating bond prices using the joint dynamics of the factors and calibrated parameters and by locally averaging out the measurement errors. Our empirical application illustrates the trade-off between fitting as well as possible and overfitting the cross-section of bond prices due to measurement errors. After optimizing this trade-off, our approach fits almost exactly the cross-section of bond prices at each date and produces out-of-sample forecast errors that beat a random walk benchmark and are comparable to the results in the affine term structure literature. We find that non-linearities in the pricing kernel are important, lending support to quadratic term structure models.

Empirical analysis of vegetation dynamics and the possibility of a catastrophic desertification transition

The process of desertification in the semi-arid climatic zone is considered by many as a catastrophic regime shift, since the positive feedback of vegetation density on growth rates yields a system that admits alternative steady states. Some support to this idea comes from the analysis of static patterns, where peaks of the vegetation density histogram were associated with these alternative states. Here we present a large-scale empirical study of vegetation dynamics, aimed at identifying and quantifying directly the effects of positive feedback. To do that, we have analyzed vegetation density across $~2.5 \times 10^6 \ \rm{km}^2$ of the African Sahel region, with spatial resolution of $30 \times 30$ meters, using three consecutive snapshots. The results are mixed. The local vegetation density (measured at a single pixel) moves towards the average of the corresponding rainfall line, indicating a purely negative feedback. On the other hand, the chance of spatial clusters (of many "green" pixels) to expand in the next census is growing with their size, suggesting some positive feedback. We show that these apparently contradicting results emerge naturally in a model with positive feedback and strong demographic stochasticity, a model that allows for a catastrophic shift only in a certain range of parameters. Static patterns, like the double peak in the histogram of vegetation density, are shown to vary between censuses, with no apparent correlation with the actual dynamical features

Non-Equipartition of Energy, Masses of Nova Ejecta, and Type Ia Supernovae

The total masses ejected during classical nova eruptions are needed to answer two questions with broad astrophysical implications: Can accreting white dwarfs be pushed towards the Chandrasekhar mass limit to yield type Ia supernovae? Are Ultra-luminous red variables a new kind of astrophysical phenomenon, or merely extreme classical novae? We review the methods used to determine nova ejecta masses. Except for the unique case of BT Mon (nova 1939), all nova ejecta mass determinations depend on untested assumptions and multi-parameter modeling. The remarkably simple assumption of equipartition between kinetic and radiated energy (E_kin and E_rad, respectively) in nova ejecta has been invoked as a way around this conundrum for the ultra-luminous red variable in M31. The deduced mass is far larger than that produced by any classical nova model. Our nova eruption simulations show that radiation and kinetic energy in nova ejecta are very far from being in energy equipartition, with variations of four orders of magnitude in the ratio E_kin/E_rad being commonplace. The assumption of equipartition must not be used to deduce nova ejecta masses; any such "determinations" can be overestimates by a factor of up to 10,000. We data-mined our extensive series of nova simulations to search for correlations that could yield nova ejecta masses. Remarkably, the mass ejected during a nova eruption is dependent only on (and is directly proportional to) E_rad. If we measure the distance to an erupting nova and its bolometric light curve then E_rad and hence the mass ejected can be directly measured.Comment: 9 pages, 4 figures, awaiting publication in ApJ

SNAP: Stateful Network-Wide Abstractions for Packet Processing

Early programming languages for software-defined networking (SDN) were built on top of the simple match-action paradigm offered by OpenFlow 1.0. However, emerging hardware and software switches offer much more sophisticated support for persistent state in the data plane, without involving a central controller. Nevertheless, managing stateful, distributed systems efficiently and correctly is known to be one of the most challenging programming problems. To simplify this new SDN problem, we introduce SNAP. SNAP offers a simpler "centralized" stateful programming model, by allowing programmers to develop programs on top of one big switch rather than many. These programs may contain reads and writes to global, persistent arrays, and as a result, programmers can implement a broad range of applications, from stateful firewalls to fine-grained traffic monitoring. The SNAP compiler relieves programmers of having to worry about how to distribute, place, and optimize access to these stateful arrays by doing it all for them. More specifically, the compiler discovers read/write dependencies between arrays and translates one-big-switch programs into an efficient internal representation based on a novel variant of binary decision diagrams. This internal representation is used to construct a mixed-integer linear program, which jointly optimizes the placement of state and the routing of traffic across the underlying physical topology. We have implemented a prototype compiler and applied it to about 20 SNAP programs over various topologies to demonstrate our techniques' scalability

An operational view of intercellular signaling pathways

Animal cells use a conserved repertoire of intercellular signaling pathways to communicate with one another. These pathways are well-studied from a molecular point of view. However, we often lack an “operational” understanding that would allow us to use these pathways to rationally control cellular behaviors. This requires knowing what dynamic input features each pathway perceives and how it processes those inputs to control downstream processes. To address these questions, researchers have begun to reconstitute signaling pathways in living cells, analyzing their dynamic responses to stimuli, and developing new functional representations of their behavior. Here we review important insights obtained through these new approaches, and discuss challenges and opportunities in understanding signaling pathways from an operational point of view

The Red Nova-like Variable in M31 - A Blue Candidate in Quiescence

M31-RV was an extraordinarily luminous (~10^6 Lsun) eruptive variable, displaying very cool temperatures (roughly 1000 Kelvins) as it faded. The photometric behavior of M31-RV (and several other very red novae, i.e. luminous eruptive red variables) has led to several models of this apparently new class of astrophysical object. One of the most detailed models is that of "mergebursts": hypothetical mergers of close binary stars. These are predicted to rival or exceed the brightest classical novae in luminosity, but to be much cooler and redder than classical novae, and to become slowly hotter and bluer as they age. This prediction suggests two stringent and definitive tests of the mergeburst hypothesis. First, there should always be a cool red remnant, and NOT a hot blue remnant at the site of such an outburst. Second, the inflated envelope of a mergeburst event should be slowly contracting, hence it must display a slowly rising effective temperature. We have located a luminous, UV-bright object within 0.4 arcsec (1.5 sigma of the astrometric position) of M31-RV in archival WFPC2 images taken 10 years after the outburst: it resembles an old nova. Twenty years after the outburst, the object remains much too hot to be a mergeburst. Its behavior remains consistent with that of theoretical nova models which erupt on a low mass white dwarf. Future Hubble UV and visible images could determine if the M31-RV analogs (in M85 and in M99) are also behaving like old novae.Comment: Accepted for publication in ApJ, comments welcom

Inapproximability of combinatorial public projects

We study the Combinatorial Public Project Problem (CPPP) in which n agents are assigned a subset of m resources of size k so as to maximize the social welfare. Combinatorial public projects are an abstraction of many resource-assignment problems (Internet-related network design, elections, etc.). It is known that if all agents have submodular valuations then a constant approximation is achievable in polynomial time. However, submodularity is a strong assumption that does not always hold in practice. We show that (unlike similar problems such as combinatorial auctions) even slight relaxations of the submodularity assumption result in non-constant lower bounds for approximation