Linear Gaussian Affine Term Structure Models with Unobservable Factors: Calibration and Yield Forecasting

This paper provides a significant numerical evidence for out-of-sample forecasting ability of linear Gaussian interest rate models with unobservable underlying factors. We calibrate one, two and three factor linear Gaussian models using the Kalman filter on two different bond yield data sets and compare their out-of-sample forecasting performance. One step ahead as well as four step ahead out-of-sample forecasts are analyzed based on the weekly data. When evaluating the one step ahead forecasts, it is shown that a one factor model may be adequate when only the short-dated or only the long-dated yields are considered, but two and three factor models performs significantly better when the entire yield spectrum is considered. Furthermore, the results demonstrate that the predictive ability of multi-factor models remains intact far ahead out-of-sample, with accurate predictions available up to one year after the last calibration for one data set and up to three months after the last calibration for the second, more volatile data set. The experimental data denotes two different periods with different yield volatilities, and the stability of model parameters after calibration in both the cases is deemed to be both significant and practically useful. When it comes to four step ahead predictions, the quality of forecasts deteriorates for all models, as can be expected, but the advantage of using a multi-factor model as compared to a one factor model is still significant. In addition to the empirical study above, we also suggest a nonlinear filter based on linear programming for improving the term structure matching at a given point in time. This method, when used in place of a Kalman filter update, improves the term structure fit significantly with a minimal added computational overhead. The improvement achieved with the proposed method is illustrated for out-of-sample data for both the data sets. This method can be used to model a parameterized yield curve consistently with the underlying short rate dynamics

Semimetallic molecular hydrogen at pressure above 350 GPa

According to the theoretical predictions, insulating molecular hydrogen dissociates and transforms to an atomic metal at pressures P~370-500 GPa. In another scenario, the metallization first occurs in the 250-500 GPa pressure range in molecular hydrogen through overlapping of electronic bands. The calculations are not accurate enough to predict which option is realized. Here we show that at a pressure of ~360 GPa and temperatures <200 K the hydrogen starts to conduct, and that temperature dependence of the electrical conductivity is typical of a semimetal. The conductivity, measured up to 440 GPa, increases strongly with pressure. Raman spectra, measured up to 480 GPa, indicate that hydrogen remains a molecular solid at pressures up to 440 GPa, while at higher pressures the Raman signal vanishes, likely indicating further transformation to a good molecular metal or to an atomic state

Concurrence in collective models

We review the entanglement properties in collective models and their relationship with quantum phase transitions. Focusing on the concurrence which characterizes the two-spin entanglement, we show that for first-order transition, this quantity is singular but continuous at the transition point, contrary to the common belief. We also propose a conjecture for the concurrence of arbitrary symmetric states which connects it with a recently proposed criterion for bipartite entanglement.Comment: 8 pages, 2 figures, published versio

The Foaming Three-Charge Black Hole

We find a very large set of smooth horizonless geometries that have the same charges and angular momenta as the five-dimensional, maximally-spinning, three-charge, BPS black hole (J^2 = Q^3). Our solutions are constructed using a four-dimensional Gibbons-Hawking base space that has a very large number of two-cycles. The entropy of our solutions is proportional to Q^(1/2). In the same class of solutions we also find microstates corresponding to zero-entropy black rings, and these are related to the microstates of the black hole by continuous deformations.Comment: 14 pages, harvma

Jet Physics in Heavy Ion Collisions with Compact Muon Solenoid detector at the LHC

The status of CMS jet simulations and physics analysis in heavy ion collisions is presented. Jet reconstruction and high transverse momentum particle tracking in the high multiplicity environment of heavy ion collisions at the LHC using the CMS calorimetry and tracking system are described. The Monte Carlo tools used to simulate jet quenching are discussed.Comment: Talk given at 5th International Conference on Physics and Astrophysics of Quark Gluon Plasma, Salt Lake City, Kolkata, India, February 8-12, 2005; 4 pages including 4 figures as EPS-files; prepared using LaTeX package for Journal of Physics

The mean velocity of two-state models of molecular motor

The motion of molecular motor is essential to the biophysical functioning of living cells. In principle, this motion can be regraded as a multiple chemical states process. In which, the molecular motor can jump between different chemical states, and in each chemical state, the motor moves forward or backward in a corresponding potential. So, mathematically, the motion of molecular motor can be described by several coupled one-dimensional hopping models or by several coupled Fokker-Planck equations. To know the basic properties of molecular motor, in this paper, we will give detailed analysis about the simplest cases: in which there are only two chemical states. Actually, many of the existing models, such as the flashing ratchet model, can be regarded as a two-state model. From the explicit expression of the mean velocity, we find that the mean velocity of molecular motor might be nonzero even if the potential in each state is periodic, which means that there is no energy input to the molecular motor in each of the two states. At the same time, the mean velocity might be zero even if there is energy input to the molecular motor. Generally, the velocity of molecular motor depends not only on the potentials (or corresponding forward and backward transition rates) in the two states, but also on the transition rates between the two chemical states

Band structure and magnetotransport of a two-dimensional electron gas in the presence of spin-orbit interaction

The band structure and magnetotransport of a two-dimensional electron gas (2DEG), in the presence of the Rashba (RSOI) and Dresselhaus (DSOI) terms of the spin-orbit interaction and of a perpendicular magnetic field, is investigated. Exact and approximate analytical expressions for the band structure are obtained and used to calculate the density of states (DOS) and the longitudinal magnetoresitivity assuming a Gaussian type of level broadening. The interplay between the Zeeman coupling and the two terms of the SOI is discussed. If the strengths $\alpha$ and $\beta$, of the RSOI and DSOI, respectively, are equal and the $g$ factor vanishes, the two spin states are degenerate and a shifted Landau-level structure appears. With the increase of the difference $\alpha- \beta$, a novel beating pattern of the DOS and of the Shubnikov-de Haas (SdH) oscillations appears distinctly different from that occurring when one of these strengths vanishes

Critical entanglement of XXZ Heisenberg chains with defects

We study the entanglement properties of anisotropic open spin one-half Heisenberg chains with a modified central bond. The entanglement entropy between the two half-chains is calculated with the density-matrix renormalization method (DMRG).We find a logarithmic behaviour with an effective central charge c' varying with the length of the system. It flows to one in the ferromagnetic region and to zero in the antiferromagnetic region of the model. In the XX case it has a non-universal limit and we recover previous results.Comment: 8 pages, 15 figure

Anomaly of Film Porosity Dependence on Deposition Rate

This Letter reports an anomaly of film porosity dependence on deposition rate during physical vapor deposition - the porosity increases as deposition rate decreases. Using glancing angle deposition of Cu on SiO2 substrate, the authors show that the Cu film consists of well separated nanorods when the deposition rate is 1 nm/second, and that the Cu films consists of a more uniform (or lower porosity) film when the deposition rate is 6 nm/second; all other deposition conditions remain the same. This anomaly is the result of interplay among substrate non-wetting, density of Cu nuclei on the substrate, and the minimum diameter of nanorods