Two centuries of trend following

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is $\approx 5$ since 1960 and $\approx 10$ since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.Comment: 17 pages, 9 figures, 9 table

Vorticity dynamics near sharp topographic features

In ocean models, the interaction with boundaries is often parameterized as it involves small-scale processes that are usually hard to capture in a large-scale model. However, such interactions can play important roles in the model dynamics. For example, the choice of boundary conditions (free-slip vs. no-slip) has a direct impact on the vorticity (enstrophy) budget: with no-slip boundary conditions, vorticity is injected into the system, whereas with free-slip boundary conditions, there should be no vorticity injection as long as the coastline is smooth. However, we show here that at boundary singularities (e.g., corners), vorticity is injected into the domain even for free-slip boundary conditions. In this article, we use North Brazil Current rings to better understand the dynamics of eddy-topography interaction. This complex interaction is first analyzed in terms of a point vortex interacting with a wall. Within this simplified framework, we can describe the vorticity generation mechanism as a pseudoinviscid process. To quantify this vorticity injection, we first consider the inviscid limit for which we can derive an analytical formula. This theoretical prediction is then evaluated in conventional gridded ocean models. In such models, the representation of such a viscous boundary interaction may be affected by the grid representation and the discretization of the advection and viscous operators

Le vitrail médiéval, un document pour l'historien

Un nouvel art du récit en images : l'exemple de Chartres À la fin du xiie siècle, des incendies successifs ravagent une série de grandes cathédrales, – à Chartres le 10 juin 1194 –. En quelques années, il a fallu tout reconstruire. L'architecture se faisait alors révolutionnaire ; de ce fait, la décoration intérieure – le vitrail en particulier – était entièrement renouvelée, dans son ampleur, dans son esprit esprit, ses thèmes, et son style. Certes, on a pu réutiliser pour les nouvelles fenê..

Oceanic fluid dynamics under location uncertainty Part.I : Towards a stochastic modeling for the Quasi-Geostrophic system

International audienc

Monitoring CO2 migration in an injection well: Evidence from MovECBM

Carbon dioxide (CO2) geological storage relies on safe, long-term injection of large quantities of CO2 in underground porous rocks. Wells, whether they are the conduit of the pumped fluid or are exposed to CO2 in the storage reservoir (observation and old wells) are man-made disturbances to the geological storage complex, and are thus viewed by some as a possible risk factor to the containment of the injected CO 2. Wells are composite structures, with an inner steel pipe separated from the borehole rock wall by a thin cement sheath (∼2 cm) that prevents vertical fluid migration. Both carbon steel and cement react in the presence of CO2, although evidence from production of CO2-rich fluids in the oil and gas industry and from lab experiments suggests that competent, defect-free cement offers an effective barrier to CO2 migration and leaks. However, reactivity of cement and steel may result in CO2 migration pathways degrading over time, thus in the leakage risk increasing during the life of the storage project. The issue then becomes how to best integrate preventive verification of zonal isolation/well integrity in the storage site monitoring plan. An analysis of the order of magnitude of possible CO2 leaks, and of their path to potable aquifers or the atmosphere, is also necessary to optimize the assurance (mitigation) monitoring of the storage site. Evidence gathered during the MovECBM project indicates that migration of small quantities of CO2 happened during injection in a coal seam in Southwest Poland. The evidence, gathered from casing and cement logging as well as soil gas monitoring over a 3-year period, was coupled with laboratory testing and extensive modeling of the chemo-mechanical behavior of cement and steel to determine if CO2 migration might have been responsible of the observed behavior. The three lines of evidence were: the detection of very small CO2 fluxes, coupled with less controversial helium concentration in soil; the occurrence of a thin pathway at the interface between cement and casing; and the change in mechanical properties of cement, suggestive of partial carbonation. Whereas the observations suggest that limited CO2 migration might have happened in the well, they are by no means proof that the migration did happen. Nonetheless, the integration of measurement and modeling yields important lessons for wellbore monitoring. First, it puts a probable ceiling on the order of magnitude of expected leaks from reasonably well-cemented wells at around 100 metric tons per year (less than 0.05% of the injected mass in a well like Sleipner or In Salah). It also suggests that cement may be a very effective leak detector: exposure to CO2 modifies its mechanical properties, which in turn can be detected using cement evaluation logs. Finally, coupling with dispersion modeling suggests the precision and accuracy required from soil gas and atmospheric monitoring, as well as the placement of sampling points; it also suggest that hysteresis, due to the accumulation in CO2 in surface aquifers and to the time required for it to be transported to the survey points, may delay initial detection; the same hysteresis may at the same time prolong the occurrence of CO2 shows long after the leak has stopped. © 2010 Elsevier Ltd. © 2011 Published by Elsevier Ltd

Mozambique Channel Eddies in GCMs: A question of resolution and slippage

Hydrographic observations in the 21st century have shown that the flow within the MozambiqueChannel is best described by a series of large poleward-propagating anticyclonic eddies, rather than, aspreviously thought, a continuous intense western boundary current. The portrayal of this region in various runs of the NEMO 75-level model is found to vary between those two descriptions depending upon the resolution used and the implementation of the model's lateral boundary conditions. In a comparison of 1/4 ? resolution runs, the change of these conditions from free-slip to no-slip leads to the mean southward flow moving further offshore, with greater variability in the zonal and meridional velocities as the flow organises itself into eddies, and a reduction in total transport. If a realization of a model is unable to get these aspects of the physical flow correct, then this will significantly reduce its ability to show a realistic biological signal or long-term response to climate change. Further south, beyond Durban, the application of no-slip conditions similarly causes the mean Agulhas Current to lie further offshore, making it much more able to simulate Natal Pulses.<br/

Ensemble Dynamics and Bred Vectors

We introduce the new concept of an EBV to assess the sensitivity of model outputs to changes in initial conditions for weather forecasting. The new algorithm, which we call the "Ensemble Bred Vector" or EBV, is based on collective dynamics in essential ways. By construction, the EBV algorithm produces one or more dominant vectors. We investigate the performance of EBV, comparing it to the BV algorithm as well as the finite-time Lyapunov Vectors. We give a theoretical justification to the observed fact that the vectors produced by BV, EBV, and the finite-time Lyapunov vectors are similar for small amplitudes. Numerical comparisons of BV and EBV for the 3-equation Lorenz model and for a forced, dissipative partial differential equation of Cahn-Hilliard type that arises in modeling the thermohaline circulation, demonstrate that the EBV yields a size-ordered description of the perturbation field, and is more robust than the BV in the higher nonlinear regime. The EBV yields insight into the fractal structure of the Lorenz attractor, and of the inertial manifold for the Cahn-Hilliard-type partial differential equation.Comment: Submitted to Monthly Weather Revie

Subglacial discharge‐driven renewal of tidewater glacier fjords

The classic model of fjord renewal is complicated by tidewater glacier fjords, where submarine melt and subglacial discharge provide substantial buoyancy forcing at depth. Here we use a suite of idealized, high‐resolution numerical ocean simulations to investigate how fjord circulation driven by subglacial plumes, tides, and wind stress depends on fjord width, grounding line depth, and sill height. We find that the depth of the grounding line compared to the sill is a primary control on plume‐driven renewal of basin waters. In wide fjords the plume exhibits strong lateral recirculation, increasing the dilution and residence time of glacially‐modified waters. Rapid drawdown of basin waters by the subglacial plume in narrow fjords allows for shelf waters to cascade deep into the basin; wide fjords result in a thin, boundary current of shelf waters that flow toward the terminus slightly below sill depth. Wind forcing amplifies the plume‐driven exchange flow; however, wind‐induced vertical mixing is limited to near‐surface waters. Tidal mixing over the sill increases in‐fjord transport of deep shelf waters and erodes basin stratification above the sill depth. These results underscore the first‐order importances of fjord‐glacier geometry in controlling circulation in tidewater glacier fjords and, thus, ocean heat transport to the ice.NNX12AP50G150452