Mean Reversion in Equilibrium Asset Prices

Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors display only a moderate degree of risk aversion, commonly used measures of mean reversion in stock prices calculated from actual returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions. From this evidence, we conclude that the degree of serial correlation in the data could plausibly have been generated by our model.

Quantum geometry from 2+1 AdS quantum gravity on the torus

Wilson observables for 2+1 quantum gravity with negative cosmological constant, when the spatial manifold is a torus, exhibit several novel features: signed area phases relate the observables assigned to homotopic loops, and their commutators describe loop intersections, with properties that are not yet fully understood. We describe progress in our study of this bracket, which can be interpreted as a q-deformed Goldman bracket, and provide a geometrical interpretation in terms of a quantum version of Pick's formula for the area of a polygon with integer vertices.Comment: 19 pages, 11 figures, revised with more explanations, improved figures and extra figures. To appear GER

Price Level Convergence Among United States Cities: Lessons for the European Central Bank

We study the dynamics of price indices for major U.S. cities using panel econometric methods and find that relative price levels among cities mean revert at an exceptionally slow rate. In a panel of 19 cities from 1918 to 1995, we estimate the half-life of convergence to be approximately nine years. These estimates provide an upper bound on speed of convergence that participants in European Monetary Union are likely to experience. The surprisingly slow rate of convergence can be explained by a combination of the presence of transportation costs, differential speeds of adjustment to small and large shocks, and the inclusion of non-traded good prices in the overall price index.

Biogeochemical Changes During Bio-cementation Mediated by Stimulated and Augmented Ureolytic Microorganisms.

Microbially Induced Calcite Precipitation (MICP) is a bio-mediated cementation process that can improve the engineering properties of granular soils through the precipitation of calcite. The process is made possible by soil microorganisms containing urease enzymes, which hydrolyze urea and enable carbonate ions to become available for precipitation. While most researchers have injected non-native ureolytic bacteria to complete bio-cementation, enrichment of native ureolytic microorganisms may enable reductions in process treatment costs and environmental impacts. In this study, a large-scale bio-cementation experiment involving two 1.7-meter diameter tanks and a complementary soil column experiment were performed to investigate biogeochemical differences between bio-cementation mediated by either native or augmented (Sporosarcina pasteurii) ureolytic microorganisms. Although post-treatment distributions of calcite and engineering properties were similar between approaches, the results of this study suggest that significant differences in ureolysis rates and related precipitation rates between native and augmented microbial communities may influence the temporal progression and spatial distribution of bio-cementation, solution biogeochemical changes, and precipitate microstructure. The role of urea hydrolysis in enabling calcite precipitation through sustained super-saturation following treatment injections is explored

Topological low-temperature limit of Z(2) spin-gauge theory in three dimensions

We study Z(2) lattice gauge theory on triangulations of a compact 3-manifold. We reformulate the theory algebraically, describing it in terms of the structure constants of a bidimensional vector space H equipped with algebra and coalgebra structures, and prove that in the low-temperature limit H reduces to a Hopf Algebra, in which case the theory becomes equivalent to a topological field theory. The degeneracy of the ground state is shown to be a topological invariant. This fact is used to compute the zeroth- and first-order terms in the low-temperature expansion of Z for arbitrary triangulations. In finite temperatures, the algebraic reformulation gives rise to new duality relations among classical spin models, related to changes of basis of H.Comment: 10 pages, no figure

Three Numerical Puzzles and the Top Quark's Chiral Weak-Moment

Versus the standard model's t --> W b decay helicity amplitudes, three numerical puzzles occur at the 0.1 % level when one considers the amplitudes in the case of an additional (f_M + f_E) coupling of relative strength 53 GeV. The puzzles are theoretical ones which involve the t --> W b decay helicity amplitudes in the two cases, the relative strength of this additional coupling, and the observed masses of these three particles. A deeper analytic realization is obtained for two of them. Equivalent realizations are given for the remaining one. An empirical consequence of these analytic realizations is that it is important to search for effects of a large chiral weak-moment of the top-quark, the effective mass-scale is about 53 GeV. A full theoretical resolution would include relating the origin of such a chiral weak-moment and the mass generation of the top-quark, the W-boson, and probably the b-quark.Comment: 18 pages, 1 postscript table (revised to better explain notation, model #1, add a little material...

How Much of the Web Is Archived?

Although the Internet Archive's Wayback Machine is the largest and most well-known web archive, there have been a number of public web archives that have emerged in the last several years. With varying resources, audiences and collection development policies, these archives have varying levels of overlap with each other. While individual archives can be measured in terms of number of URIs, number of copies per URI, and intersection with other archives, to date there has been no answer to the question "How much of the Web is archived?" We study the question by approximating the Web using sample URIs from DMOZ, Delicious, Bitly, and search engine indexes; and, counting the number of copies of the sample URIs exist in various public web archives. Each sample set provides its own bias. The results from our sample sets indicate that range from 35%-90% of the Web has at least one archived copy, 17%-49% has between 2-5 copies, 1%-8% has 6-10 copies, and 8%-63% has more than 10 copies in public web archives. The number of URI copies varies as a function of time, but no more than 31.3% of URIs are archived more than once per month.Comment: This is the long version of the short paper by the same title published at JCDL'11. 10 pages, 5 figures, 7 tables. Version 2 includes minor typographical correction

First-principles calculation of DNA looping in tethered particle experiments

We calculate the probability of DNA loop formation mediated by regulatory proteins such as Lac repressor (LacI), using a mathematical model of DNA elasticity. Our model is adapted to calculating quantities directly observable in Tethered Particle Motion (TPM) experiments, and it accounts for all the entropic forces present in such experiments. Our model has no free parameters; it characterizes DNA elasticity using information obtained in other kinds of experiments. [...] We show how to compute both the "looping J factor" (or equivalently, the looping free energy) for various DNA construct geometries and LacI concentrations, as well as the detailed probability density function of bead excursions. We also show how to extract the same quantities from recent experimental data on tethered particle motion, and then compare to our model's predictions. [...] Our model successfully reproduces the detailed distributions of bead excursion, including their surprising three-peak structure, without any fit parameters and without invoking any alternative conformation of the LacI tetramer. Indeed, the model qualitatively reproduces the observed dependence of these distributions on tether length (e.g., phasing) and on LacI concentration (titration). However, for short DNA loops (around 95 basepairs) the experiments show more looping than is predicted by the harmonic-elasticity model, echoing other recent experimental results. Because the experiments we study are done in vitro, this anomalously high looping cannot be rationalized as resulting from the presence of DNA-bending proteins or other cellular machinery. We also show that it is unlikely to be the result of a hypothetical "open" conformation of the LacI tetramer.Comment: See the supplement at http://www.physics.upenn.edu/~pcn/Ms/TowlesEtalSuppl.pdf . This revised version accepted for publication at Physical Biolog