When “time varying” volatility meets “transaction cost” in portfolio selection

We propose a new strategy for mean–variance portfolio selection that tackles transaction costs and change detection in covariance matrix simultaneously. The new strategy solely rebalances the portfolio when change points are detected in the covariance matrix, striking an optimal trade-off between rebalancing the portfolio to capturing the recent information in return data and avoiding excessive trading. Our empirical results suggest favorable out-of-sample performance of the new strategy in terms of portfolio variance, portfolio turnovers and portfolio sharpe ratio with transaction cost. We also show that these gains come from the improved accuracy for covariance matrix prediction and the ability for tracking significant changes in covariance matrix

Topological charge fluctuations in the Glasma

The early-time evolution of the system generated in ultra-relativistic heavy ion collisions is dominated by the presence of strong color fields known as Glasma fields. These can be described following the classical approach embodied in the Color Glass Condensate effective theory, which approximates QCD in the high gluon density regime. In this framework we perform an analytical first-principles calculation of the two-point correlator of the divergence of the Chern-Simons current at proper time T = 0+, which characterizes the early fluctuations of axial charge density in the plane transverse to the collision axis. This object plays a crucial role in the description of anomalous transport phenomena such as the Chiral Magnetic Effect. We compare our results to those obtained under the Glasma Graph approximation, which assumes gluon field correlators to obey Gaussian statistics. While this approach proves to be equivalent to the exact calculation in the limit of short transverse separations, important differences arise at larger distances, where our expression displays a remarkably slower fall-off than the Glasma Graph result (1=r4 vs. 1=r8 power-law decay). This discrepancy emerges from the non-linear dynamics mapping the Gaussianly-distributed color source densities onto the Glasma fields, encoded in the classical Yang-Mills equations. Our results support the conclusions reached in a previous work, where we found indications that the color screening of correlations in the transverse plane occurs at relatively large distances.Partial funding by a FP7-PEOPLE-2013-CIG Grant of the European Commission, reference QCDense/631558, the MINECO project FPA2016-78220 of the Spanish Government, and the `La Caixa' Banking Foundation is gratefully acknowledged by the author

Additively manufactured hierarchical stainless steels with high strength and ductility

Many traditional approaches for strengthening steels typically come at the expense of useful ductility, a dilemma known as strength–ductility trade-off. New metallurgical processing might offer the possibility of overcoming this. Here we report that austenitic 316L stainless steels additively manufactured via a laser powder-bed-fusion technique exhibit a combination of yield strength and tensile ductility that surpasses that of conventional 316L steels. High strength is attributed to solidification-enabled cellular structures, low-angle grain boundaries, and dislocations formed during manufacturing, while high uniform elongation correlates to a steady and progressive work-hardening mechanism regulated by a hierarchically heterogeneous microstructure, with length scales spanning nearly six orders of magnitude. In addition, solute segregation along cellular walls and low-angle grain boundaries can enhance dislocation pinning and promote twinning. This work demonstrates the potential of additive manufacturing to create alloys with unique microstructures and high performance for structural applications

Dual-barrel conductance micropipet as a new approach to the study of ionic crystal dissolution kinetics

A new approach to the study of ionic crystal dissolution kinetics is described, based on the use of a dual-barrel theta conductance micropipet. The solution in the pipet is undersaturated with respect to the crystal of interest, and when the meniscus at the end of the micropipet makes contact with a selected region of the crystal surface, dissolution occurs causing the solution composition to change. This is observed, with better than 1 ms time resolution, as a change in the ion conductance current, measured across a potential bias between an electrode in each barrel of the pipet. Key attributes of this new technique are: (i) dissolution can be targeted at a single crystal surface; (ii) multiple measurements can be made quickly and easily by moving the pipet to a new location on the surface; (iii) materials with a wide range of kinetics and solubilities are open to study because the duration of dissolution is controlled by the meniscus contact time; (iv) fast kinetics are readily amenable to study because of the intrinsically high mass transport rates within tapered micropipets; (v) the experimental geometry is well-defined, permitting finite element method modeling to allow quantitative analysis of experimental data. Herein, we study the dissolution of NaCl as an example system, with dissolution induced for just a few milliseconds, and estimate a first-order heterogeneous rate constant of 7.5 (±2.5) × 10–5 cm s–1 (equivalent surface dissolution flux ca. 0.5 μmol cm–2 s–1 into a completely undersaturated solution). Ionic crystals form a huge class of materials whose dissolution properties are of considerable interest, and we thus anticipate that this new localized microscale surface approach will have considerable applicability in the future

Roadmap on Superoscillations

Superoscillations are band-limited functions with the counterintuitive property that they can vary arbitrarily faster than their fastest Fourier component, over arbitrarily long intervals. Modern studies originated in quantum theory, but there were anticipations in radar and optics. The mathematical understanding—still being explored—recognises that functions are extremely small where they superoscillate; this has implications for information theory. Applications to optical vortices, sub-wavelength microscopy and related areas of nanoscience are now moving from the theoretical and the demonstrative to the practical. This Roadmap surveys all these areas, providing background, current research, and anticipating future developments

Fifteen new risk loci for coronary artery disease highlight arterial-wall-specific mechanisms

Coronary artery disease (CAD) is a leading cause of morbidity and mortality worldwide. Although 58 genomic regions have been associated with CAD thus far, most of the heritability is unexplained, indicating that additional susceptibility loci await identification. An efficient discovery strategy may be larger-scale evaluation of promising associations suggested by genome-wide association studies (GWAS). Hence, we genotyped 56,309 participants using a targeted gene array derived from earlier GWAS results and performed meta-analysis of results with 194,427 participants previously genotyped, totaling 88,192 CAD cases and 162,544 controls. We identified 25 new SNP-CAD associations (P < 5 × 10(-8), in fixed-effects meta-analysis) from 15 genomic regions, including SNPs in or near genes involved in cellular adhesion, leukocyte migration and atherosclerosis (PECAM1, rs1867624), coagulation and inflammation (PROCR, rs867186 (p.Ser219Gly)) and vascular smooth muscle cell differentiation (LMOD1, rs2820315). Correlation of these regions with cell-type-specific gene expression and plasma protein levels sheds light on potential disease mechanisms