Sparse and stable Markowitz portfolios

We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e. portfolios with only few active positions), and allows to account for transaction costs. Our approach recovers as special cases the no-short-positions portfolios, but does allow for short positions in limited number. We implement this methodology on two benchmark data sets constructed by Fama and French. Using only a modest amount of training data, we construct portfolios whose out-of-sample performance, as measured by Sharpe ratio, is consistently and significantly better than that of the naive evenly-weighted portfolio which constitutes, as shown in recent literature, a very tough benchmark.Comment: Better emphasis of main result, new abstract, new examples and figures. New appendix with full details of algorithm. 17 pages, 6 figure

General entanglement scaling laws from time evolution

We establish a general scaling law for the entanglement of a large class of ground states and dynamically evolving states of quantum spin chains: we show that the geometric entropy of a distinguished block saturates, and hence follows an entanglement-boundary law. These results apply to any ground state of a gapped model resulting from dynamics generated by a local hamiltonian, as well as, dually, to states that are generated via a sudden quench of an interaction as recently studied in the case of dynamics of quantum phase transitions. We achieve these results by exploiting ideas from quantum information theory and making use of the powerful tools provided by Lieb-Robinson bounds. We also show that there exist noncritical fermionic systems and equivalent spin chains with rapidly decaying interactions whose geometric entropy scales logarithmically with block length. Implications for the classical simulatability are outlined.Comment: 4 pages, 1 figure (see also related work by S. Bravyi, M. Hastings, and F. Verstraete, quant-ph/0603121); replaced with final versio

Solitary waves on a ferrofluid jet

The propagation of axisymmetric solitary waves on the surface of an otherwise cylindrical ferrofluid jet subjected to a magnetic field is investigated. An azimuthal magnetic field is generated by an electric current flowing along a stationary metal rod which is mounted along the axis of the moving jet. A numerical method is used to compute fully-nonlinear travelling solitary waves and predictions of elevation waves and depression waves by Rannacher & Engel (2006) using a weakly-nonlinear theory are confirmed in the appropriate ranges of the magnetic Bond number. New nonlinear branches of solitary wave solutions are identified. As the Bond number is varied, the solitary wave profiles may approach a limiting configuration with a trapped toroidal-shaped bubble, or they may approach a static wave (i.e. one with zero phase speed). For a sufficiently large axial rod, the limiting profile may exhibit a cusp

Pragmatic Ontology Evolution: Reconciling User Requirements and Application Performance

Increasingly, organizations are adopting ontologies to describe their large catalogues of items. These ontologies need to evolve regularly in response to changes in the domain and the emergence of new requirements. An important step of this process is the selection of candidate concepts to include in the new version of the ontology. This operation needs to take into account a variety of factors and in particular reconcile user requirements and application performance. Current ontology evolution methods focus either on ranking concepts according to their relevance or on preserving compatibility with existing applications. However, they do not take in consideration the impact of the ontology evolution process on the performance of computational tasks – e.g., in this work we focus on instance tagging, similarity computation, generation of recommendations, and data clustering. In this paper, we propose the Pragmatic Ontology Evolution (POE) framework, a novel approach for selecting from a group of candidates a set of concepts able to produce a new version of a given ontology that i) is consistent with the a set of user requirements (e.g., max number of concepts in the ontology), ii) is parametrised with respect to a number of dimensions (e.g., topological considerations), and iii) effectively supports relevant computational tasks. Our approach also supports users in navigating the space of possible solutions by showing how certain choices, such as limiting the number of concepts or privileging trendy concepts rather than historical ones, would reflect on the application performance. An evaluation of POE on the real-world scenario of the evolving Springer Nature taxonomy for editorial classification yielded excellent results, demonstrating a significant improvement over alternative approaches

Ecophysiological traits of grasses: resolving the effects of photosynthetic pathway and phylogeny

C4 photosynthesis is an important example of convergent evolution in plants, having arisen in eudicots, monocots and diatoms. Comparisons between such diverse groups are confounded by phylogenetic and ecological differences, so that only broad generalisations can be made about the role of C4 photosynthesis in
determining ecophysiological traits. However, 60% of C4 species occur in the grasses (Poaceae) and molecular phylogenetic techniques confirm that there are between 8 and 17 independent origins of C4 photosynthesis in the Poaceae. In a screening experiment, we compared leaf physiology and growth traits across several major
independent C3 & C4 groups within the Poaceae, asking 1) which traits differ consistently between photosynthetic
types and 2) which traits differ consistently between clades within each photosynthetic type

Interplay of topological order and spin glassiness in the toric code under random magnetic fields

We analyze the toric code model in the presence of quenched disorder, which is introduced via different types of random magnetic fields. In general, close to a quantum phase transition between a spin polarized phase and a topologically ordered one, we find that increasing the amount of disorder favors the topological phase. For some realizations of disorder, topological order can be robust against arbitrarily strong magnetic fields. In the case of the toric code in a random +/- h field, we show that the system exhibits a quantum phase transition to a spin-glass phase in an appropriate dual variables description. The survival of topological order in the spin-glass phase is directly related to the percolation properties of the rigid lattice in the Edwards-Anderson bimodal spin-glass model. According to recent numerical results for this model [ F. Roma et al., Phys. Rev. B 82, 214401 (2010)], it is likely that the rigid lattice does not percolate and, as a result, a new intermediate quantum phase appears in the random-field toric code. In this intermediate quantum phase, topological order coexists with spin glassiness

Grazynes: carbon-based two-dimensional composites with anisotropic properties

A new family of two-dimensional carbon allotropes is presented, based on graphene stripes linked to each other by acetylenic connections. The large amount of allowed connectivities demands for a family name to them: Grazynes. The present study reports the energetic, structural, elastic, and electronic physicochemical properties of a set of simple grazynes by means of density functional theory based calculations, suggesting also possible synthetic routes. The main results conclude that these are exotic yet stable materials, stiffer than graphene in the acetylenic direction, highly anisotropic, and with the presence of Dirac points in the reciprocal space along the graphene stripes direction resistant to strain, regardless of its direction. Thus, grazynes infer directionality in electron conductivity and resilience to the materials stretching/compression, quite important, for instance, in the nanoelectronics applicability point of view

Calves Weaned and Backgrounded on Pasture Respond to Pasture Nutritive Value and Supplements

How forage quality and feed supplementation effect average daily gain of calves backgrounded on pastur