Momentum Strategies with L1 Filter

In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in order to obtain the filtered signal composed by a set of straight trends or steps. This penalty condition, which determines the number of breaks, is implemented in a constrained least square problem and is represented by a regularization parameter ? which is estimated by a cross-validation procedure. Financial time series are usually characterized by a long-term trend (called the global trend) and some short-term trends (which are named local trends). A combination of these two time scales can form a simple model describing the process of a global trend process with some mean-reverting properties. Explicit applications to momentum strategies are also discussed in detail with appropriate uses of the trend configurations.Comment: 22 pages, 15 figures. Submitted to The Journal of Investment Strategies, reference code: JOIS140227T

Trade Openness and Economic Growth

Trade liberalization has been central to the discussion of development policy in recent decades. In the 1990s, the Washington Consensus, a set of 10 major development policy recommendations from Washington-based institutions such as the International Monetary Fund (IMF) and the World Bank (WB), regarded trade openness as essential to the achieve higher economic growth. Trade policy, according to the Washington Consensus, should focus on lowering tariffs on imports, especially cheap intermediate inputs that give countries competitive edges in export industries. Although acknowledging the negative effects this type of policy could have on competing domestic industries, the Consensus believed that protection would create “costly distortions that end up penalizing exports and impoverishing the domestic economy” while generating a “massive potential” of corruption (Williamson 1990). This pro-trade-liberalization view garnered early support from academia, as evidenced through a host of cross-country econometric studies by Sachs and Warner (1995), Harrison (1996) and Edwards (1998), among others. All these papers suggest that trade liberalization has a positive impact on economic growth

Trade Openness and Economic Growth

Trade liberalization has been central to the discussion of development policy in recent decades. In the 1990s, the Washington Consensus, a set of 10 major development policy recommendations from Washington-based institutions such as the International Monetary Fund (IMF) and the World Bank (WB), regarded trade openness as essential to achieve higher economic growth. Trade policy, according to the Washington Consensus, should focus on lowering tariffs on imports, especially cheap intermediate inputs that give countries competitive edges in export industries. Although acknowledging the negative effects this type of policy could have on competing domestic industries, the Consensus believed that protection would create “costly distortions that end up penalizing exports and impoverishing the domestic economy” while generating a “massive potential” of corruption (Williamson 1990). This pro-trade-liberalization view garnered early support from academia, as evidenced through a host of cross-country econometric studies by Sachs and Warner (1995), Harrison (1996) and Edwards (1998), among others. All these papers suggest that trade liberalization has a positive impact on economic growth

Two-component Bose gases with one-body and two-body couplings

We study the competition between one-body and two-body couplings in weakly-interacting two-component Bose gases, in particular as regards field correlations. We derive the meanfield theory for both ground state and low-energy pair excitations in the general case where both one-body and two-body couplings are position-dependent and the fluid is subjected to a state-dependent trapping potential. General formulas for phase and density correlations are also derived. Focusing on the case of homogeneous systems, we discuss the pair-excitation spectrum and the corresponding excitation modes, and use them to calculate correlation functions, including both quantum and thermal fluctuation terms. We show that the relative phase of the two components is imposed by that of the one-body coupling, while its fluctuations are determined by the modulus of the one-body coupling and by the two-body coupling. One-body coupling and repulsive two-body coupling cooperate to suppress relative-phase fluctuations, while attractive two-body coupling tends to enhance them. Further applications of the formalism presented here and extensions of our work are also discussed.Comment: published versio

Competing superfluid and density-wave ground-states of fermionic mixtures with mass imbalance in optical lattices

We study the effect of mass imbalance on the phase diagram of a two-component fermionic mixture with attractive interactions in optical lattices. Using static and dynamical mean-field theories, we show that the pure superfluid phase is stable for all couplings when the mass imbalance is smaller than a limiting value. For larger imbalance, phase separation between a superfluid and a charge-density wave takes place when the coupling exceeds a critical strength. The harmonic trap induces a spatial segregation of the two phases, with a rapid variation of the density at the boundary.Comment: e.g.:4 pages, 3 figure

Thermometry and signatures of strong correlations from Raman spectroscopy of fermionic atoms in optical lattices

We propose a method to directly measure the temperature of a gas of weakly interacting fermionic atoms loaded into an optical lattice. This technique relies on Raman spectroscopy and is applicable to experimentally relevant temperature regimes. Additionally, we show that a similar spectroscopy scheme can be used to obtain information on the quasiparticle properties and Hubbard bands of the metallic and Mott-insulating states of interacting fermionic spin mixtures. These two methods provide experimentalists with novel probes to accurately characterize fermionic quantum gases confined to optical lattices.Comment: 13 pages, 22 figure

Aerodynamic Load Analysis of a Variable Camber Continuous Trailing Edge Flap System on a Flexible Wing Aircraft

This paper presents an investigative aerodynamic analysis conducted on the novel control surface known as a Variable Camber Continuous Trailing Edge Flap (VCCTEF). The VCCTEF is modeled as a control effector on the NASA Generic Transport Model (GTM) where wing flexibility is considered. Aerodynamic modeling of the aircraft is conducted using vortex-lattice method (VLM), and an aeroelastic model of the aircraft that utilizes a coupled finite-element analysis (FEA) vortex-lattice solution is employed. VLM solutions are used to determine quasi-steady aerodynamic loading over the aeroelastic wing structures with VCCTEF. The load data is used to calculate aerodynamic sensitivities to control surface deployment and is also integrated to determine overall hinge moments. This analysis is conducted for different flight conditions, where control sensitivities compare the VCCTEF effectiveness against conventional control surfaces. Hinge moment results provide insight into aeroelastic wing loads, and worst case hinge moments for the VCCTEF can be estimated. Results show that the VCCTEF offers greater control authority than conventional ailerons at cruise, and nominal flap settings are determined for a low-speed take-off condition where the VCCTEF maintains comparable control effectiveness. Worst case hinge moment values are presented, where for a possible VCCTEF configuration, the stiff wing model demonstrates up to a 5.90 percent increase in flap hinge moment relative to a rigid model, and a reduced stiffness model demonstrates up to an 11.42 percent increase

Atomes froids fortement corrélés dans un réseau optique.

This thesis is concerned with the theoretical study of strongly correlated quantum states of ultra-cold fermionic atoms trapped in optical lattices. This field has grown considerably in recent years, following the experimental progress made in cooling and controlling atomic gases, which has led to the observation of the first Bose-Einstein condensation (in 1995 [4]). The trapping of these gases in optical lattices has opened a new field of research at the interface between atomic physics and condensed matter physics. The observation of the transition from a superfluid to a Mott insulator for bosonic atoms [46] paved the way for the study of strongly correlated phases and quantum phase transitions in these systems. Very recently, the investigation of the Mott insulator state of fermionic atoms [63] provides additional motivation to conduct such theoretical studies. This thesis can be divided broadly into two types of work: • On the one hand, we have proposed a new type of spectroscopy to measure single-particle correlators and associated physical observables in these strongly correlated states. • On the other hand, we have studied the ground state of the fermionic Hubbard model under different conditions (mass imbalance, population imbalance) by using analytical techniques and numerical simulations. In a collaboration with J. Dalibard and C. Salomon (LKB at the ENS Paris) and I. Carusotto (Trento, Italy), we have proposed and studied a novel spectroscopic method for the measurement and characterization of single particle excitations (in particular, the low energy excitations, namely the quasiparticles) in systems of cold fermionic atoms, with energy and momentum resolution. This type of spectroscopy is an analogue of angular-resolved photoemission in solid state physics (ARPES). We have shown, via simple models, that this method of measurement can characterize quasiparticles not only in the "conventional" phases such as the weakly interacting gas in the lattice or in Fermi liquids, but also in unusual phases such as the normal state of high-temperature superconductivity with a pseudogap (leading to a differentiation between nodes and anti-nodes) observed in condensed mater physics. The first experiment implementing a type of spectroscopy (RF spectroscopy) very closely related to our proposal has been recently realized at Boulder in D. S. Jin's group, just as this thesis was being written up. In the second part of this thesis, we have performed theoretical studies of several phases of strongly correlated fermions in optical lattices in the framework of theoretical models such as the Hubbard model. We have implemented and developed analytical methods (Hartree-Fock mean field theory at weak coupling, mapping on a effective spin model at strong coupling) and numerical methods (the dynamic mean field theory approach). This work has led to two particular types of studies. The first one studies the competition between a superfluid phase and a density wave (or phase separation) for fermions with mass imbalance and attractive interaction. We have shown that the superfluid phase is unstable beyond a certain value of the mass ratio, which depends on the interaction. The second study treats a gas with imbalanced populations (polarized gas) with an attractive interaction in a three dimensional optical lattice. The main result is a phase diagram showing the stability of a uniform superfluid phase with polarization (Sarma phase or breached pair phase) in a certain parameter regime. Via an energetic argument, we concluded that the stability of the polarized superfluid phase is due to the reduction of the polarizability and the critical field of the non-polarized superfluid phase. In the strong coupling regime of the Hubbard model, within the DMFT method, we have shown that the formation of the preformed pair in the normal state reduces the polarizability and favors the stability of the breached pair phase. Although some aspects have been addressed in this thesis, many interesting questions still remain open for future work. In the first part, the framework of the novel spectroscopy method established in chapter 2 can allow for different concrete studies of the nature of strongly correlated states. For example, it should be very interesting to understand the spectra of single particle excitation in non trivial phases such as the Mott insulator, the preformed-pairs or phases with long range order. In the second part, the construction of the improved (BCS-Slater) mean field theory including the Hartree correction allows for a better comparison to modern methods (DMFT and Slave Bosons). For the system with the same population for both species, the region close to the Falicov-Kimball model is not yet well understood in our DMFT analysis because of problems in numerical convergence within the exact-diagonalization method. However, within the mean field theory analysis, we see that a novel uniform phase of charge density wave (doped-CDW) can be stabilized thanks to the high asymmetry of hopping. In order to clarify this question, a study by Slave Boson mean-field theory could be very useful. This method has two advantages: First, it contains the strongly correlated physics (including quantum fluctuations); second, in some simple cases we can extract the analytical behavior of the solution. In addition, a full treatment within MFT for both order parameters, the superfluid and the CDW, should be useful for understanding the nature of the phase transition in this limit. Another perspective of this thesis is the understanding of the nature of the polarized superfluid phase. The mismatch of the Fermi surfaces considered in this thesis is due to the population imbalance. We can always control this mismatch by introducing furthermore a mass imbalance. In the region with high mass imbalance, it is likely that the stability of the polarized uniform superfluid phase may be further enhanced. Within this thesis, the effects of the confining potential have been included via the local density approximation. For a weak and smooth potential, this approximation is expected to be accurate. However, for stronger confinement, it may become more questionable. Indeed, this issue has been recently debated in the literature, in the context of the interpretation of experiments with population imbalance [92, 126]. Dynamical Mean-Field Theory can be implemented in an inhomogeneous framework, beyond LDA [53, 95, 102] and this could be used to assess the validity of the LDA approximation for problems such as those studied in this thesis. This could be relevant in particular to the current debate on the phases of the fermionic systems with population imbalance.Cette thèse est consacrée à l'étude théorique des états quantiques fortement corrélés de ultra-froids piégés atomes fermioniques dans les réseaux optiques. Ce champ a considérablement augmenté Ces dernières années, suite aux progrès expérimentaux réalisés dans le refroidissement et le contrôle des gaz atomiques, qui a conduit à l'observation de la première condensation de Bose-Einstein (en 1995 [4]). Le le piégeage de ces gaz dans les réseaux optiques a ouvert un nouveau champ de recherche à l'interface entre la physique atomique et physique de la matière condensée. L'observation de la transition à partir d'un superfluide à un isolant de Mott d'atomes bosoniques [46] a ouvert la voie pour l'étude de fortement corrélée phases et transitions de phase quantique dans ces systèmes. Très récemment, le enquête sur l'état isolant de Mott d'atomes fermioniques [63] fournit une motivation supplémentaire de procéder à ces études théoriques. Cette thèse peut être divisée en deux grandes catégories de travail: • D'une part, nous avons proposé un nouveau type de spectroscopie pour mesurer une particule observables corrélateurs et physiques associés à ces états fortement corrélés. • D'autre part, nous avons étudié l'état fondamental du modèle Hubbard fermionique dans des conditions différentes (déséquilibre de masse déséquilibre de population), à l'aide d'analyse techniques et des simulations numériques. En collaboration avec J. Dalibard et C. Salomon (LKB à l'ENS Paris) et I. Carusotto (Trento, Italie), nous avons proposé et étudié une nouvelle méthode de spectroscopie de la mesure et la caractérisation des excitations particule unique (en particulier, la faible excitations de l'énergie, à savoir la quasi-particules) dans les systèmes d'atomes froids fermioniques, avec l'énergie résolution en impulsion et. Ce type de spectroscopie est un analogue de la cinétique résolue photoémission en physique des solides (ARPES). Nous avons montré, via des modèles simples, que ce méthode de mesure permet de caractériser les quasiparticules non seulement dans les "classiques" phases tels que le gaz interagissent faiblement dans le réseau ou dans des liquides de Fermi, mais aussi dans les phases inhabituelles tels que l'état normal de la supraconductivité à haute température avec un pseudogap (leader à une différenciation entre les nœuds et anti-nœuds) ont observé en physique mater condensé. Le première expérience d'application d'un type de spectroscopie (spectroscopie RF) très étroitement liés à notre proposition a été récemment réalisée à Boulder dans le groupe DS Jin, tout comme cette thèse était en cours de rédaction. Dans la deuxième partie de cette thèse, nous avons effectué des études théoriques de plusieurs phases de fermions fortement corrélés dans les réseaux optiques dans le cadre de modèles théoriques tels que le modèle de Hubbard. Nous avons mis en place et développé des méthodes d'analyse (Hartree-Fock théorie du champ moyen à faible couplage, la cartographie sur un modèle de spin effectif à couplage fort) et des méthodes numériques (approche de la dynamique signifie la théorie des champs). Ce travail a conduit à deux certains types d'études. Le premier étudie la concurrence entre une phase superfluide et une onde de densité (ou la séparation de phase) pour des fermions à un déséquilibre de masse et attrayant interaction. Nous avons montré que la phase superfluide est instable au-delà d'une certaine valeur du rapport de masse, qui dépend de l'interaction. La seconde étude traite d'un gaz à déséquilibrée des populations (polarisée gaz) avec une interaction attractive en trois dimensions réseau optique. Le résultat principal est un diagramme de phase montrant la stabilité d'un superfluide uniforme phase avec la polarisation (phase Sarma ou violé deux phases) dans un certain paramètre régime. Via un argument énergétique, nous avons conclu que la stabilité du superfluide polarisé phase est due à la réduction de la polarisabilité et le champ critique de la non-polarisée phase superfluide. Dans le régime de couplage fort du modèle de Hubbard, au sein de l'indice CAOD méthode, nous avons montré que la formation de la paire préformé à l'état normal réduit la polarisabilité et favorise la stabilité de la phase deux violée. Bien que certains aspects ont été abordés dans cette thèse, beaucoup de questions intéressantes restent ouvertes pour les travaux futurs. Dans la première partie, le cadre de la spectroscopie roman méthode établie dans le chapitre 2 peut permettre de différentes études concrètes de la nature de vivement les États de corrélation. Par exemple, il devrait être très intéressante pour comprendre les spectres d'excitation à une particule dans les phases non triviales comme l'isolant de Mott, la préformées ou des paires de phases avec ordre à longue portée. Dans la deuxième partie, la construction de la améliorée (BCS-Slater) la théorie du champ moyen, y compris la correction Hartree permet une meilleure Comparaison des méthodes modernes (CAOD et Slave bosons). Pour le système avec la même population pour les deux espèces, la région proche du modèle Falicov-Kimball n'est pas encore bien compris dans notre analyse CAOD en raison de problèmes de la convergence numérique au sein de la méthode exacte-diagonalisation. Toutefois, au sein de l'analyse de la théorie du champ moyen, nous voyons qu'un nouvelle phase uniforme de la vague de densité de charge (CDW-dopé) peut être stabilisé Merci à la haute asymétrie des sauts. Afin de clarifier cette question, une étude réalisée par l'esclave Boson de champ moyen la théorie pourrait être très utile. Cette méthode a deux avantages: d'abord, il contient la forte Physique corrélation (y compris les fluctuations quantiques), d'autre part, dans certains cas simples que nous pouvons extraire le comportement analytique de la solution. En outre, un traitement complet au sein de MFT pour les deux paramètres d'ordre, le superfluide et de la CEP, devrait être utile pour comprendre la nature de la transition de phase dans cette limite. Une autre perspective de cette thèse est l' compréhension de la nature de la phase superfluide polarisé. L'inadéquation de l'Fermi surfaces considérées dans cette thèse est dû au déséquilibre de la population. Nous pouvons toujours contrôler ce décalage en introduisant en outre un déséquilibre de masse. Dans la région, avec la grand-messe déséquilibre, il est probable que la stabilité de la phase superfluide polarisé uniforme peut être encore renforcée. Dans cette thèse, les effets du potentiel de confinement ont été inclus par le biais du local approximation de la densité. Pour un faible potentiel et lisse, ce rapprochement devrait être précis. Toutefois, pour renforcer l'accouchement, il peut devenir plus discutable. En effet, Cette question a récemment été débattu dans la littérature, dans le cadre de l'interprétation d'expériences avec la population déséquilibre [92, 126]. Dynamiques de champ moyen théorie peut être mis en œuvre dans un cadre homogène, au-delà de LDA [53, 95, 102], ce qui pourrait être utilisés pour évaluer la validité de l'approximation LDA pour des problèmes tels que ceux étudiés dans cette thèse. Cela pourrait être pertinent, en particulier pour le débat actuel sur les phases de la systèmes fermioniques à un déséquilibre de la population