Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning

A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however, relies not only on the quality of the momentum signal but also on the efficacy of the volatility estimator. Yet many of the existing studies have always considered these two factors to be independent. Inspired by recent progress in Multi-Task Learning (MTL), we present a new approach using MTL in a deep neural network architecture that jointly learns portfolio construction and various auxiliary tasks related to volatility, such as forecasting realized volatility as measured by different volatility estimators. Through backtesting from January 2000 to December 2020 on a diversified portfolio of continuous futures contracts, we demonstrate that even after accounting for transaction costs of up to 3 basis points, our approach outperforms existing TSMOM strategies. Moreover, experiments confirm that adding auxiliary tasks indeed boosts the portfolio's performance. These findings demonstrate that MTL can be a powerful tool in finance

Red Giant Rotational Inversion Kernels Need Nonlinear Surface Corrections

Asteroseismology is our only means of measuring stellar rotation in their interiors, rather than at their surfaces. Some techniques for measurements of this kind -- "rotational inversions" -- require the shapes of linear response kernels computed from reference stellar models to be representative of those in the stars they are intended to match. This is not the case in evolved stars exhibiting gravitoacoustic mixed modes: we show that the action of the asteroseismic surface term -- systematic errors in the modelling of near-surface layers -- changes the shapes of their inversion kernels. Corrections for the surface term are not ordinarily considered necessary for rotational inversions. We show how this may have caused previous estimates of red-giant envelope rotation rates from mixed-mode asteroseismic inversions to have been unintentionally contaminated by core rotation as a result, with errors comparable to the entire reported estimates. We derive a mitigation procedure for this hitherto unaccounted systematic error, and demonstrate its viability and effectiveness. We recommend this mitigation be applied when revising existing rotational inversions. Finally, we discuss both the prospects for applying such mitigation to the harder problem of inversions for stellar structure (rather than rotation), as well as the broader implications of this systematic error with regards to the longstanding problem of internal angular momentum transport.Comment: 9 pages, 3 figures; accepted to Ap

Vicarious Calibration of EO-1 Hyperion

The Hyperion imaging spectrometer on the Earth Observing-1 satellite is the first high-spatial resolution imaging spectrometer to routinely acquire science-grade data from orbit. Data gathered with this instrument needs to be quantitative and accurate in order to derive meaningful information about ecosystem properties and processes. Also, comprehensive and long-term ecological studies require these data to be comparable over time, between coexisting sensors and between generations of follow-on sensors. One method to assess the radiometric calibration is the reflectance-based approach, a common technique used for several other earth science sensors covering similar spectral regions. This work presents results of radiometric calibration of Hyperion based on the reflectance-based approach of vicarious calibration implemented by University of Arizona during 2001 2005. These results show repeatability to the 2% level and accuracy on the 3 5% level for spectral regions not affected by strong atmospheric absorption. Knowledge of the stability of the Hyperion calibration from moon observations allows for an average absolute calibration based on the reflectance-based results to be determined and applicable for the lifetime of Hyperion

Mode Mixing and Rotational Splittings: II. Reconciling Different Approaches to Mode Coupling

In the mixed-mode asteroseismology of subgiants and red giants, the coupling between the p- and g-mode cavities must be understood well in order to derive localised estimates of interior rotation from measurements of mode multiplet rotational splittings. There exist now two different descriptions of this coupling: one based on an asymptotic quantisation condition, and the other arising from coupling matrices associated with "acoustic molecular orbitals". We examine the analytic properties of both, and derive closed-form expressions for various quantities -- such as the period-stretching function $\tau$ -- which previously had to be solved for numerically. Using these, we reconcile both formulations for the first time, deriving relations by which quantities in each formulation may be translated to and interpreted within the other. This yields an information criterion for whether a given configuration of mixed modes meaningfully constrains the parameters of the asymptotic construction, which is likely not satisfied by the majority of first-ascent red giant stars in our observational sample. Since this construction has been already used to make rotational measurements of such red giants, we examine -- through a hare-and-hounds exercise -- whether, and how, such limitations affect existing measurements. While averaged estimates of core rotation seem fairly robust, template-matching using the asymptotic construction has difficulty reliably assigning rotational splittings to individual multiplets, or estimating mixing fractions $\zeta$ of the most p-dominated mixed modes, where such estimates are most needed. We finally discuss implications for extending the two-zone model of radial differential rotation, e.g. via rotational inversions, with these methods.Comment: 23 pages, 13 figures. Accepted for publication in Ap

Writing and Resisting Colonial Genocide

Canada has pursued policies of Indigenous assimilation and annihilation, many of which continue today. Among others, these include ‘Indian residential schools’, the Indian Act, welfare-state child removals, the Sixties Scoop, the prohibition of cultural practices, forced sterilization and environmental destruction. We are scholars co-leading a large interdisciplinary programme of research studying ‘colonial genocide’. Our research seeks to understand how historic colonialism and its contemporary manifestations rely on genocidal logic for power and profit. While we begin in Turtle Island, our work has global application. The act of naming is a powerful analytical and political tool, and ‘genocide’ is one of the most compelling – and controversial – names in the business of writing international law and policy. This contribution uses personal narrative to perform how reflexivity shapes choices around both how we make meaning and what we make meaning of

Mode Mixing and Rotational Splittings: I. Near-Degeneracy Effects Revisited

Rotation is typically assumed to induce strictly symmetric rotational splitting into the rotational multiplets of pure p- and g-modes. However, for evolved stars exhibiting mixed modes, avoided crossings between different multiplet components are known to yield asymmetric rotational splitting, particularly for near-degenerate mixed-mode pairs, where notional pure p-modes are fortuitiously in resonance with pure g-modes. These near-degeneracy effects have been described in subgiants, but their consequences for the characterisation of internal rotation in red giants has not previously been investigated in detail, in part owing to theoretical intractability. We employ new developments in the analytic theory of mixed-mode coupling to study these near-resonance phenomena. In the vicinity of the most p-dominated mixed modes, the near-degenerate intrinsic asymmetry from pure rotational splitting increases dramatically over the course of stellar evolution, and depends strongly on the mode mixing fraction $\zeta$. We also find that a linear treatment of rotation remains viable for describing the underlying p- and g-modes, even when it does not for the resulting mixed modes undergoing these avoided crossings. We explore observational consequences for potential measurements of asymmetric mixed-mode splitting, which has been proposed as a magnetic-field diagnostic. Finally, we propose improved measurement techniques for rotational characterisation, exploiting the linearity of rotational effects on the underlying p/g modes, while still accounting for these mixed-mode coupling effects.Comment: 21 pages, 13 figures. Accepted to Ap