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 $\approx 5$ since 1960 and $\approx 10$ 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