Market efficiency in the age of big data

Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our equilibrium model, N assets have cash flows that are linear in J characteristics, with unknown coefficients. Risk-neutral Bayesian investors learn these coefficients and determine market prices. If J and N are comparable in size, returns are cross-sectionally predictable ex post. In-sample tests of market efficiency reject the no-predictability null with high probability, even though investors use information optimally in real time. In contrast, out-of-sample tests retain their economic meaning

Status of Vectorized Monte Carlo for Particle Transport Analysis

The conventional particle transport Monte Carlo algorithm is ill suited for modem vector supercomputers because the random nature of the particle transport process in the history based algorithm in hibits construction of vectors. An alterna tive, event-based algorithm is suitable for vectorization and has been used recently to achieve impressive gains in perfor mance on vector supercomputers. This re view describes the event-based algorithm and several variations of it Implementa tions of this algorithm for applications in particle transport are described, and their relative merits are discussed. The imple mentation of Monte Carlo methods on multiple vector parallel processors is con sidered, as is the potential of massively parallel processors for Monte Carlo par ticle transport simulations.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/67177/2/10.1177_109434208700100203.pd

Third-order relativistic many-body calculations of energies and lifetimes of levels along the silver isoelectronic sequence

Energies of 5l_j (l= s, p, d, f, g) and 4f_j states in neutral Ag and Ag-like ions with nuclear charges Z = 48 - 100 are calculated using relativistic many-body perturbation theory. Reduced matrix elements, oscillator strengths, transition rates and lifetimes are calculated for the 17 possible 5l_j-5l'_{j'} and 4f_j-5l_{j'} electric-dipole transitions. Third-order corrections to energies and dipole matrix elements are included for neutral Ag and for ions with Z60. Comparisons are made with available experimental data for transition energies and lifetimes. Correlation energies and transition rates are shown graphically as functions of nuclear charge Z for selected cases. These calculations provide a theoretical benchmark for comparison with experiment and theory.Comment: 8 page

Investigating Gravity Wave Characteristics and Mesospheric Temperature Variability over Antarctica

第2回極域科学シンポジウム/第35回極域宙空圏シンポジウム 11月14日（月） 国立極地研究所 2階大会議

An eddy-stimulated hotspot for fixed nitrogen-loss from the Peru oxygen minimum zone

Fixed nitrogen (N) loss to biogenic N2 in intense oceanic O2 minimum zones (OMZ) accounts for a large fraction of the global N sink and is an essential control on the ocean's N budget. However, major uncertainties exist regarding microbial pathways as well as net impact on the magnitude of N-loss and the ocean's overall N budget. Here we report the discovery of a N-loss hotspot in the Peru OMZ associated with a coastally trapped mesoscale eddy that is marked by an extreme N deficit matched by biogenic N2 production, high NO2− levels, and the highest isotope enrichments observed so far in OMZ's for the residual NO3−. High sea surface chlorophyll (SSC) in seaward flowing streamers provides evidence for offshore eddy transport of highly productive, inshore water. Resulting pulses in the downward flux of particles likely stimulated heterotrophic dissimilatory NO3− reduction and subsequent production of biogenic N2. The associated temporal/spatial heterogeneity of N-loss, mediated by a local succession of microbial processes, may explain inconsistencies observed among prior studies. Similar transient enhancements of N-loss likely occur within all other major OMZ's exerting a major influence on global ocean N and N isotope budgets

Diapycnal diffusivity at the upper boundary of the tropical North Atlantic oxygen minimum zone

A deliberate tracer release experiment in 2008–2010 was used to study diapycnal mixing in the tropical northeastern Atlantic. The tracer (CF3SF5) was injected on the isopycnal surface σΘ = 26.88 kg m−3, which corresponds to about 330 m depth. Three surveys, performed 7, 20, and 30 months after the release, sampled the vertically and laterally expanding tracer patch. The mean diapycnal mixing estimate over the entire region occupied by the tracer and the period of 30 months was found to be (1.19 ± 0.18) × 10−5 m2 s−1, or, alternatively, (3.07 ± 0.58) × 10−11 (kg m−3)2 s−1 as computed from the advection-diffusion equation in isopycnal coordinates with the thickness-weighted averaging. The latter method is preferable in the regions of different stratification for it yields local diapycnal mixing estimates varying less with stratification than their Cartesian coordinate counterparts. Results of this study are comparable to the results of the North Atlantic tracer release experiment (NATRE). However, the internal wave-wave interaction models predict reduced mixing from the breaking of internal waves at low latitudes. Thus, the diapycnal diffusivity found in this study is higher than parameterized by the low latitude of the site (4°N–12°N)

Moments of the Virtual Photon Structure Function

The photon structure function is a useful testing ground for QCD. It is perturbatively computable apart from a contribution from what is usually called the hadronic component of the photon. There have been many proposals for this nonperturbative part of the real photon structure function. By studying moments of the virtual photon structure function, we explore the extent to which these proposed nonperturbative contributions can be identified experimentally.Comment: LaTeX, 16 pages + 14 compressed and uuencoded postscript figures, UMN-TH-1111/9

Monte Carlo Photon Transport On Shared Memory and Distributed Memory Parallel Processors

Parallelized Monte Carlo algorithms for analyzing photon transport in an inertially confined fusion (ICF) plasma are consid ered. Algorithms were developed for shared memory (vector and scalar) and distributed memory (scalar) parallel pro cessors. The shared memory algorithm was implemented on the IBM 3090/400, and timing results are presented for dedi cated runs with two, three, and four pro cessors. Two alternative distributed memory algorithms (replication and dis patching) were implemented on a hyper cube parallel processor (1 through 64 nodes). The replication algorithm yields essentially full efficiency for all cube sizes; with the 64-node configuration, the absolute performance is nearly the same as with the CRAY X-MP The dispatching algorithm also yields efficiencies above 80% in a large simulation for the 64-pro cessor configuration.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/67146/2/10.1177_109434208700100306.pd

Open ocean dead zones in the tropical North Atlantic Ocean

Here we present first observations, from instrumentation installed on moorings and a float, of unexpectedly low (<2 μmol kg−1) oxygen environments in the open waters of the tropical North Atlantic, a region where oxygen concentration does normally not fall much below 40 μmol kg−1. The low-oxygen zones are created at shallow depth, just below the mixed layer, in the euphotic zone of cyclonic eddies and anticyclonic-modewater eddies. Both types of eddies are prone to high surface productivity. Net respiration rates for the eddies are found to be 3 to 5 times higher when compared with surrounding waters. Oxygen is lowest in the centre of the eddies, in a depth range where the swirl velocity, defining the transition between eddy and surroundings, has its maximum. It is assumed that the strong velocity at the outer rim of the eddies hampers the transport of properties across the eddies boundary and as such isolates their cores. This is supported by a remarkably stable hydrographic structure of the eddies core over periods of several months. The eddies propagate westward, at about 4 to 5 km day−1, from their generation region off the West African coast into the open ocean. High productivity and accompanying respiration, paired with sluggish exchange across the eddy boundary, create the "dead zone" inside the eddies, so far only reported for coastal areas or lakes. We observe a direct impact of the open ocean dead zones on the marine ecosystem as such that the diurnal vertical migration of zooplankton is suppressed inside the eddies

Kang-Redner Anomaly in Cluster-Cluster Aggregation

The large time, small mass, asymptotic behavior of the average mass distribution \pb is studied in a $d$-dimensional system of diffusing aggregating particles for $1\leq d \leq 2$. By means of both a renormalization group computation as well as a direct re-summation of leading terms in the small reaction-rate expansion of the average mass distribution, it is shown that \pb \sim \frac{1}{t^d} (\frac{m^{1/d}}{\sqrt{t}})^{e_{KR}} for $m \ll t^{d/2}$, where $e_{KR}=\epsilon +O(\epsilon ^2)$ and $\epsilon =2-d$. In two dimensions, it is shown that \pb \sim \frac{\ln(m) \ln(t)}{t^2} for $m \ll t/ \ln(t)$. Numerical simulations in two dimensions supporting the analytical results are also presented.Comment: 11 pages, 6 figures, Revtex