Nonlinearities and cyclical behavior: the role of chartists and fundamentalists

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the market. In contrast to previous findings, our paper indicates that due to the nonlinear presence of fundamentalists, market stability decreases with increasing misalignments. A stabilization policy such as central bank interventions may help to deflate bubbles

On the Evidence for Clustering in the Arrival Directions of AGASA's Ultrahigh Energy Cosmic Rays

Previous analyses of cosmic rays above 40 EeV observed by the AGASA experiment have suggested that their arrival directions may be clustered. However, estimates of the chance probability of this clustering signal vary from 10^{-2} to 10^{-6} and beyond. It is essential that the strength of this evidence be well understood in order to compare it with anisotropy studies in other cosmic ray experiments. We apply two methods for extracting a meaningful significance from this data set: one can scan for the cuts which optimize the clustering signal, using simulations to determine the appropriate statistical penalty for the scan. This analysis finds a chance probability of about 0.3%. Alternatively, one can optimize the cuts with a first set of data, and then apply them to the remaining data directly without statistical penalty. One can extend the statistical power of this test by considering cross-correlation between the initial data and the remaining data, as long as the initial clustering signal is not included. While the scan is more useful in general, in the present case only splitting the data set offers an unbiased test of the clustering hypothesis. Using this test we find that the AGASA data is consistent at the 8% level with the null hypothesis of isotropically distributed arrival directions.Comment: 14 pages, 3 figures. Unbiased test expanded to include cross-correlation between initial and later data sets for greater statistical power; minor revisions to discussion. Accepted by Astropart. Phy

Gamma Hadron Separation using Pairwise Compactness Method with HAWC

The High-Altitude Water Cherenkov (HAWC) Observatory is a ground based air-shower array deployed on the slopes of Volcan Sierra Negra in the state of Puebla, Mexico. While HAWC is optimized for the detection of gamma-ray induced air-showers, the background flux of hadronic cosmic-rays is four orders of magnitude greater, making background rejection paramount for gamma-ray observations. On average, gamma-ray and cosmic-ray showers are characterized by different topologies at ground level. We will present a method to identify the primary particle type in an air-shower that uses the spatial relationship of triggered PMTs (or "hits") in the detector. For a given event hit-pattern on the HAWC array, we calculate the mean separation distance of the hits for a subset of hit pairs weighted by their charges. By comparing the mean charge and mean separating distance for the selected hits, we infer the identity of the event's primary. We will report on the efficiency for identifying gamma-rays and the performance of the technique with simulation.Comment: Presented at the 34th International Cosmic Ray Conference (ICRC2015), The Hague, The Netherlands. See arXiv:1508.03327 for all HAWC contribution

Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the market. In contrast to previous findings, our paper indicates that due to the nonlinear presence of fundamentalists, market stability decreases with increasing misalignments. A stabilization policy such as central bank interventions may help to deflate bubbles.nonlinearities, technical and fundamental trading, STAR GARCH

Target Zone Interventions and Coordination of Expectations

Foreign exchange markets regularly display severe bubbles. This paper explores whether or not so-called target zone interventions are an effective tool for central banks to stabilize the exchange rate. We define such intervention operations as buying/selling an undervalued/overvalued currency when the distance between the exchange rate and its fundamental value exceeds a critical threshold value. On the basis of a non-linear empirical exchange rate model with chartists and fundamentalists, we find that target zone interventions not only have the power to reduce misalignments but also earn profitstechnical and fundamental analysis, heterogeneous agents, central bank intervention, target zone

Commodity price cycles and heterogeneous speculators: a STAR-GARCH model

Running title: Commodity price cycle

Search for Small-Scale Anisotropy of Cosmic Rays above 10^19 eV with HiRes Stereo

We present the results of a search for small-scale anisotropy in the distribution of arrival directions of cosmic rays above 10^19 eV measured in stereo by the High Resolution Fly's Eye (HiRes) experiment. Performing an autocorrelation scan in energy and angular separation, we find that the strongest correlation signal in the HiRes stereo data set recorded between December 1999 and January 2004 is consistent with the null hypothesis of isotropically distributed arrival directions. These results are compared to previous claims of significant small-scale clustering in the AGASA data set.Comment: 6 pages, 4 figures; to appear in the proceedings of CRIS 2004, Catania, Italy, 31 May - 4 June 2004 (Nuclear Phys. B