2,567 research outputs found
Two centuries of trend following
We establish the existence of anomalous excess returns based on trend
following strategies across four asset classes (commodities, currencies, stock
indices, bonds) and over very long time scales. We use for our studies both
futures time series, that exist since 1960, and spot time series that allow us
to go back to 1800 on commodities and indices. The overall t-stat of the excess
returns is since 1960 and since 1800, after accounting
for the overall upward drift of these markets. The effect is very stable, both
across time and asset classes. It makes the existence of trends one of the most
statistically significant anomalies in financial markets. When analyzing the
trend following signal further, we find a clear saturation effect for large
signals, suggesting that fundamentalist traders do not attempt to resist "weak
trends", but step in when their own signal becomes strong enough. Finally, we
study the performance of trend following in the recent period. We find no sign
of a statistical degradation of long trends, whereas shorter trends have
significantly withered.Comment: 17 pages, 9 figures, 9 table
Delayed Recombination
Under the standard model for recombination of the primeval plasma, and the
cold dark matter model for structure formation, recent measurements of the
first peak in the angular power spectrum of the cosmic microwave background
temperature indicate the spatial geometry of the universe is nearly flat. If
sources of Lya resonance radiation, such as stars or active galactic nuclei,
were present at z ~ 1000 they would delay recombination, shifting the first
peak to larger angular scales, and producing a positive bias in this measure of
space curvature. It can be distinguished from space curvature by its
suppression of the secondary peaks in the spectrum.Comment: submitted to ApJ
A Semi-Analytical Model of Visible-Wavelength Phase Curves of Exoplanets and Applications to Kepler-7 b and Kepler-10 b
Kepler has detected numerous exoplanet transits by precise measurements of
stellar light in a single visible-wavelength band. In addition to detection,
the precise photometry provides phase curves of exoplanets, which can be used
to study the dynamic processes on these planets. However, the interpretation of
these observations can be complicated by the fact that visible-wavelength phase
curves can represent both thermal emission and scattering from the planets.
Here we present a semi-analytical model framework that can be applied to study
Kepler and future visible-wavelength phase curve observations of exoplanets.
The model efficiently computes reflection and thermal emission components for
both rocky and gaseous planets, considering both homogeneous and inhomogeneous
surfaces or atmospheres. We analyze the phase curves of the gaseous planet
Kepler-7 b and the rocky planet Kepler-10 b using the model. In general, we
find that a hot exoplanet's visible-wavelength phase curve having a significant
phase offset can usually be explained by two classes of solutions: one class
requires a thermal hot spot shifted to one side of the substellar point, and
the other class requires reflective clouds concentrated on the same side of the
substellar point. The two solutions would require very different Bond albedos
to fit the same phase curve; atmospheric circulation models or eclipse
observations at longer wavelengths can effectively rule out one class of
solutions, and thus pinpoint the albedo of the planet, allowing decomposition
of the reflection and the thermal emission components in the phase curve.
Particularly for Kepler-7 b, reflective clouds located on the west side of the
substellar point can best explain its phase curve. We further derive that the
reflectivity of the clear part of the atmosphere should be less than 7% and
that of the cloudy part should be greater than 80% (abridged)Comment: 16 pages, 7 figures, accepted for publication in Ap
Constraining holographic inflation with WMAP
In a class of recently proposed models, the early universe is strongly
coupled and described holographically by a three-dimensional, weakly coupled,
super-renormalizable quantum field theory. This scenario leads to a power
spectrum of scalar perturbations that differs from the usual empirical LCDM
form and the predictions of generic models of single field, slow roll
inflation. This spectrum is characterized by two parameters: an amplitude, and
a parameter g related to the coupling constant of the dual theory. We estimate
these parameters, using WMAP and other astrophysical data. We compute Bayesian
evidence for both the holographic model and standard LCDM and find that their
difference is not significant, although LCDM provides a somewhat better fit to
the data. However, it appears that Planck will permit a definitive test of this
holographic scenario.Comment: 24 pages, 9 figs, published versio
Pupil remapping for high contrast astronomy: results from an optical testbed
The direct imaging and characterization of Earth-like planets is among the
most sought-after prizes in contemporary astrophysics, however current optical
instrumentation delivers insufficient dynamic range to overcome the vast
contrast differential between the planet and its host star. New opportunities
are offered by coherent single mode fibers, whose technological development has
been motivated by the needs of the telecom industry in the near infrared. This
paper presents a new vision for an instrument using coherent waveguides to
remap the pupil geometry of the telescope. It would (i) inject the full pupil
of the telescope into an array of single mode fibers, (ii) rearrange the pupil
so fringes can be accurately measured, and (iii) permit image reconstruction so
that atmospheric blurring can be totally removed. Here we present a laboratory
experiment whose goal was to validate the theoretical concepts underpinning our
proposed method. We successfully confirmed that we can retrieve the image of a
simulated astrophysical object (in this case a binary star) though a pupil
remapping instrument using single mode fibers.Comment: Accepted in Optics Expres
Predicting tipping points in mutualistic networks through dimension reduction
This article contains supporting information online at www.pnas.org/lookup/suppl/doi:10.1073/pnas.1714958115/-/DCSupplemental.Peer reviewedPublisher PD
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