Reconfigurable Optically Interconnected Systems

With the immense growth of data consumption in today's data centers and high-performance computing systems driven by the constant influx of new applications, the network infrastructure supporting this demand is under increasing pressure to enable higher bandwidth, latency, and flexibility requirements. Optical interconnects, able to support high bandwidth wavelength division multiplexed signals with extreme energy efficiency, have become the basis for long-haul and metro-scale networks around the world, while photonic components are being rapidly integrated within rack and chip-scale systems. However, optical and photonic interconnects are not a direct replacement for electronic-based components. Rather, the integration of optical interconnects with electronic peripherals allows for unique functionalities that can improve the capacity, compute performance and flexibility of current state-of-the-art computing systems. This requires physical layer methodologies for their integration with electronic components, as well as system level control planes that incorporates the optical layer characteristics. This thesis explores various network architectures and the associated control plane, hardware infrastructure, and other supporting software modules needed to integrate silicon photonics and MEMS based optical switching into conventional datacom network systems ranging from intra-data center and high-performance computing systems to the metro-scale layer networks between data centers. In each of these systems, we demonstrate dynamic bandwidth steering and compute resource allocation capabilities to enable significant performance improvements. The key accomplishments of this thesis are as follows. In Part 1, we present high-performance computing network architectures that integrate silicon photonic switches for optical bandwidth steering, enabling multiple reconfigurable topologies that results in significant system performance improvements. As high-performance systems rely on increased parallelism by scaling up to greater numbers of processor nodes, communication between these nodes grows rapidly and the interconnection network becomes a bottleneck to the overall performance of the system. It has been observed that many scientific applications operating on high-performance computing systems cause highly skewed traffic over the network, congesting only a small percentage of the total available links while other links are underutilized. This mismatch of the traffic and the bandwidth allocation of the physical layer network presents the opportunity to optimize the bandwidth resource utilization of the system by using silicon photonic switches to perform bandwidth steering. This allows the individual processors to perform at their maximum compute potential and thereby improving the overall system performance. We show various testbeds that integrates both microring resonator and Mach-Zehnder based silicon photonic switches within Dragonfly and Fat-Tree topology networks built with conventional equipment, and demonstrate 30-60% reduction in execution time of real high-performance benchmark applications. Part 2 presents a flexible network architecture and control plane that enables autonomous bandwidth steering and IT resource provisioning capabilities between metro-scale geographically distributed data centers. It uses a software-defined control plane to autonomously provision both network and IT resources to support different quality of service requirements and optimizes resource utilization under dynamically changing load variations. By actively monitoring both the bandwidth utilization of the network and CPU or memory resources of the end hosts, the control plane autonomously provisions background or dynamic connections with different levels of quality of service using optical MEMS switching, as well as initializing live migrations of virtual machines to consolidate or distribute workload. Together these functionalities provide flexibility and maximize efficiency in processing and transferring data, and enables energy and cost savings by scaling down the system when resources are not needed. An experimental testbed of three data center nodes was built to demonstrate the feasibility of these capabilities. Part 3 presents Lightbridge, a communications platform specifically designed to provide a more seamless integration between processor nodes and an optically switched network. It addresses some of the crucial issues faced by the works presented in the previous chapters related to optical switching. When optical switches perform switching operations, they change the physical topology of the network, and they lack the capability to buffer packets, resulting in certain optical circuits being unavailable. This prompts the question of whether it is safe to transmit packets by end hosts at any given time. Lightbridge was developed to coordinate switching and routing of optical circuits across the network, by having the processors gain information about the current state of the optical network before transmitting packets, and being able to buffer packets when the optical circuit is not available. This part describes details of Lightbridge which is constituted by a loadable Linux kernel module along with other supporting modifications to the Linux kernel in order to achieve the necessary functionalities

Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets

This paper establishes a new decomposition of optimal dynamic portfolio choice under general incomplete-market diffusion models by disentangling the fundamental impacts on optimal policy from market incompleteness and flexible wealth-dependent utilities. We derive explicit dynamics of the components for the optimal policy, and obtain an equation system for solving the shadow price of market incompleteness, which is found to be dependent on both market state and wealth level. We identify a new important hedge component for non-myopic investors to hedge the uncertainty in shadow price due to variation in wealth level. As an application, we establish and compare the decompositions of optimal policy under general models with the prevalent HARA and CRRA utilities. Under nonrandom but possibly time-varying interest rate, we solve in closed-form the HARA policy as a combination of a bond holding scheme and a corresponding CRRA strategy. Finally, we develop a simulation method to implement the decomposition of optimal policy under the general incomplete market setting, whereas existing approaches remain elusive

Credit Information in Earnings Calls

We develop a novel technique to extract credit-relevant information from the text of quarterly earnings calls. This information is not spanned by fundamental or market variables and forecasts future credit spread changes. One reason for such forecastability is that our text-based measure predicts future credit spread risk and firm profitability. More firm- and call-level complexity increase the forecasting power of our measure for spread changes. Out-of-sample portfolio tests show the information in our measure is valuable for investors. Both results suggest that investors do not fully internalize the credit-relevant information contained in earnings calls

Empirical Modeling and Applications in Financial Economics and Healthcare Management

With increased availability of data in various fields, researchers often need to combine efficient empirical methods with innovative analytical modeling techniques to make data-driven decisions and gain managerial insights from the large-scale raw data. In light of this, my thesis combines empirical methods and analytical modeling to study several data-related problems in the fields of financial economics and healthcare management. The first two parts of the thesis focus on two topics in financial economics: the role of dynamic information in asset pricing and the link between index-based investment and intraday stock dynamics. The last two parts of the thesis study the ICU admission decisions and cardiac surgery scheduling using data from different hospital units. The first part of the thesis focuses on the role of information in financial market. As a fundamental topic in asset pricing, information is known to play an important role in determining asset prices and market volatility. In most of the existing literature, the information environment, i.e., the amount of knowable information, is assumed to be fixed and independent of investor's choice. However, in a dynamic market, the level of available information can vary substantially due to changes in technology and regulations. On the other hand, rational news producers may respond to investors' demand for information. Such effects are commonly seen in the reality, but are less studied in the literature. To bridge this gap, we develop a model of investor information choices and asset prices where the availability of information about fundamentals is time-varying. A competitive research sector produces more information when more investors are willing to pay for that research. This feedback, from investor willingness to pay for information to more information production, generates two regimes in equilibrium, one having high prices and low volatility, the other the opposite. Information dynamics move the market between regimes, creating large price drops even with no change in fundamentals. In our calibration, the model suggests an important role for information dynamics in financial crises. In the second part of this thesis, we investigate how the growth of index-based investing impacts the intraday stock dynamics using a large high-frequency dataset, which consists of 1-second level trade data for all S&P 500 constituents from 2004 to 2018 (500GB). We estimate intraday trading volume, volatility, correlation, and beta using estimators that are statistically efficient under market microstructure noise and observation asynchronicity. We find the intraday patterns indeed change substantially over time. For example, in the recent decade, the trading volume and correlation significantly increase at the end of trading session; the betas of different stocks start dispersed in the morning, but generally move towards one during the day. Besides, the daily dispersion in trading volume is high at the market open and low near the market close. These intraday patterns demonstrate the implication of the growth of index-based strategies and the active-open, passive-close intraday trading profile. We theoretically support our interpretation via a market impact model with time-varying liquidity provision from both single-stock and index-fund investors. In the third part of the thesis, we study the intensive care units (ICUs) admission decisions in a large hospital system. In the case of ICUs, which provide the highest level of care for the most severe patients, it is known that admission rates of some patients decrease as occupancy increases. It is also known that, for at least some conditions, ICU admission is not just a function of patients’ illness, and that a significant proportion of the variation in ICU admission rates is due to hospital, not patient, factors. To understand such variation, we employ two years of data from patients admitted to 21 Kaiser Permanente Northern California ICUs from the ED. We quantify the variation in ICU admission from the ED under varying degrees of ICU and ED occupancy. We find that substantial heterogeneity in admission rates is present, and that it cannot be explained either by patient factors or occupancy levels alone. We use a structural model to understand the extent that intertemporal externalities could account for some of this variation. Using counterfactual simulations, we find that, if hospitals had more information regarding their behaviors, and if it were possible to alter hospital admission processes to incorporate such information, hospitals could reduce their ICU congestion in a safe way. The last part of the thesis focuses on the impact of system workload on service time and quality in the context of cardiac surgeries. Using a detailed data set of more than 5,600 cardiac surgeries in a large hospital, we quantify how surgeon's daily workload level (e.g., number of surgeries) affects surgery duration and patient outcomes. To handle the endogeneity of surgeon's daily workload, we construct instrument variables using hospital operational factors, including the block schedule of surgeons. We find high daily workload of surgeons is associated with longer incision times and worse patient outcomes. Specifically, increased daily workload of surgeons leads to longer post-surgery length-of-stay in ICU and hospital, as well as higher likelihoods of reoperation and readmission for their patients. These results highlight the potential negative impact of surgeon's fatigue under long working hours. We then develop a surgery scheduling model that incorporates the effects of surgeon's daily workload levels

Positivity from Cosmological Correlators

Effective field theories in flat space and in anti-de Sitter space are constrained by causality and unitarity, often in the form of positivity bounds. Similar bounds have been harder to demonstrate in cosmological backgrounds, where the roles of unitarity and causality are more obscure. Fortunately, the expansion of the universe ensures that late-time cosmological correlators are effectively classical and the role of unitarity is played by classical statistical inequalities. For multi-field inflation, the resulting positivity constraints have long been known in terms of the Suyama-Yamaguchi inequality. In this paper, we demonstrate that similar statistical bounds imply nontrivial constraints for massive fields in the early universe. We show that any real anomalous dimensions for principal series fields in de Sitter space must be positive. We also derive a limit on the amplitude of oscillatory signals from inflation, including those arising in cosmological collider physics. Finally, we demonstrate that these constraints manifest themselves directly in the two-point statistics of matter and galaxies that will be measured in upcoming surveys.Comment: 36 pages; v2: Minor correction

Thermodynamics, geometrothermodynamics and critical behavior of (2+1)-dimensional black holes

In this paper, we study the properties of the (2+1)-dimensional black holes from the viewpoint of geometrothermodynamics. We show that the Legendre invariant metric of the (2+1)-dimensional black holes can produce correctly the behavior of the thermodynamic interaction and phase transition structure of the corresponding black hole configurations. We find that they are both curved and the curvature scalar gives the information about the phase transition point.Comment: Accepted by PLB. arXiv admin note: text overlap with arXiv:0811.2524, arXiv:0902.4488, arXiv:0805.3003 by other author

Total genetic contribution assessment across the human genome

Quantifying the overall magnitude of every single locus' genetic effect on the widely measured human phenome is of great challenge. We introduce a unified modelling technique that can consistently provide a total genetic contribution assessment (TGCA) of a gene or genetic variant without thresholding genetic association signals. Genome-wide TGCA in five UK Biobank phenotype domains highlights loci such as the HLA locus for medical conditions, the bone mineral density locus WNT16 for physical measures, and the skin tanning locus MC1R and smoking behaviour locus CHRNA3 for lifestyle. Tissue-specificity investigation reveals several tissues associated with total genetic contributions, including the brain tissues for mental health. Such associations are driven by tissue-specific gene expressions, which share genetic basis with the total genetic contributions. TGCA can provide a genome-wide atlas for the overall genetic contributions in each particular domain of human complex traits. Quantifying the effects of individual loci on the human phenome is a challenging task. Here, the authors introduce a modelling technique, TGCA, that assesses total genetic contribution per locus and apply this to UK Biobank phenotype domains, revealing top loci and links to tissue-specific gene expression