Cointegration and Price Discovery between Equity and Mortgage REITs

This study analyzes the relationship between equity and mortgage real estate investment trust (REIT) stock prices by performing cointegration tests and causality tests, and estimating an error correction model. Evidence is found that a stable long-run linear relationship exists based on their common reactions to changes in market returns, interest rates and other additional factors. Geweke causality test results indicate a causal relationship running from EREIT stock prices to MREIT stock prices. This may reflect the quicker response of equity REIT stock prices to changes including real estate returns. In addition, the results suggest overall linear dependence (total linear causality) and instantaneous linear feedback between changes in EREIT and MREIT stock prices. The results of the error correction model not only indicate a significant increase in the explanatory power of the model compared with the vector autoregression model but also reveals how the price discovery processes in REIT security markets maintain long-run equilibrium.

Superbalance of holographic entropy inequalities

The domain of allowed von Neumann entropies of a holographic field theory carves out a polyhedral cone — the holographic entropy cone — in entropy space. Such polyhedral cones are characterized by their extreme rays. For an arbitrary number of parties, it is known that the so-called perfect tensors are extreme rays. In this work, we constrain the form of the remaining extreme rays by showing that they correspond to geometries with vanishing mutual information between any two parties, ensuring the absence of Bell pair type entanglement between them. This is tantamount to proving that besides subadditivity, all non-redundant holographic entropy inequalities are superbalanced, i.e. not only do UV divergences cancel in the inequality itself (assuming smooth entangling surfaces), but also in the purification thereof

A Template for Implementing Fast Lock-free Trees Using HTM

Algorithms that use hardware transactional memory (HTM) must provide a software-only fallback path to guarantee progress. The design of the fallback path can have a profound impact on performance. If the fallback path is allowed to run concurrently with hardware transactions, then hardware transactions must be instrumented, adding significant overhead. Otherwise, hardware transactions must wait for any processes on the fallback path, causing concurrency bottlenecks, or move to the fallback path. We introduce an approach that combines the best of both worlds. The key idea is to use three execution paths: an HTM fast path, an HTM middle path, and a software fallback path, such that the middle path can run concurrently with each of the other two. The fast path and fallback path do not run concurrently, so the fast path incurs no instrumentation overhead. Furthermore, fast path transactions can move to the middle path instead of waiting or moving to the software path. We demonstrate our approach by producing an accelerated version of the tree update template of Brown et al., which can be used to implement fast lock-free data structures based on down-trees. We used the accelerated template to implement two lock-free trees: a binary search tree (BST), and an (a,b)-tree (a generalization of a B-tree). Experiments show that, with 72 concurrent processes, our accelerated (a,b)-tree performs between 4.0x and 4.2x as many operations per second as an implementation obtained using the original tree update template

EFFICIENCY OF FOREST COMMODITY FUTURES MARKETS

Market efficiency and unbiasedness tests are performed for the first time for three forest commodity futures markets: softwood lumber, oriented strand board (OSB), and northern bleached softwood kraft pulp (NBSK). The Johansen cointegration procedure is applied to test long-term market efficiency, while the standard error correction models (ECM) and ECM with GQARCH-in-mean process are also used to examine short-term market efficiency and unbiasedness. Results show that these markets are inefficient and biased in both the long-term and short-term. Results also indicate that no short-term time-varying risk premiums are found in these commodity futures markets.Marketing,

Fast network configuration in Software Defined Networking

Software Defined Networking (SDN) provides a framework to dynamically adjust and re-program the data plane with the use of flow rules. The realization of highly adaptive SDNs with the ability to respond to changing demands or recover after a network failure in a short period of time, hinges on efficient updates of flow rules. We model the time to deploy a set of flow rules by the update time at the bottleneck switch, and formulate the problem of selecting paths to minimize the deployment time under feasibility constraints as a mixed integer linear program (MILP). To reduce the computation time of determining flow rules, we propose efficient heuristics designed to approximate the minimum-deployment-time solution by relaxing the MILP or selecting the paths sequentially. Through extensive simulations we show that our algorithms outperform current, shortest path based solutions by reducing the total network configuration time up to 55% while having similar packet loss, in the considered scenarios. We also demonstrate that in a networked environment with a certain fraction of failed links, our algorithms are able to reduce the average time to reestablish disrupted flows by 40%

Selective Equal-Spin Andreev Reflections Induced by Majorana Fermions

In this work, we find that Majorana fermions induce selective equal spin Andreev reflections (SESARs), in which incoming electrons with certain spin polarization in the lead are reflected as counter propagating holes with the same spin. The spin polarization direction of the electrons of this Andreev reflected channel is selected by the Majorana fermions. Moreover, electrons with opposite spin polarization are always reflected as electrons with unchanged spin. As a result, the charge current in the lead is spin-polarized. Therefore, a topological superconductor which supports Majorana fermions can be used as a novel device to create fully spin-polarized currents in paramagnetic leads. We point out that SESARs can also be used to detect Majorana fermions in topological superconductors.Comment: 5 pages, 3 figures. Comments are welcome. Title changed to match published versio