U-statistic Type Tests for Structural Breaks in Linear Regression Models

This article introduces a U-statistic type process that is based on a kernel function which can depend on nuisance parameters. It is shown here that this process can accommodate very easily anti-symmetric kernels very useful for detecting changing patterns in the dynamics of time series. This theory is applied to structural break hypothesis tests in linear regression models. In particular, the flexibility of these processes will be exploited to introduce a simultaneous and joint test that exhibit statistical power against changes in either intercept or slope. In contrast to the literature, these tests are able to distinguish between rejections due to changes in intercept from rejections due to changes in slope; allow control of global errors rate; and are explicitly designed to have power when the distribution error is asymmetric. These tests can also incorporate different weight functions devised to detect changes early as well as later on in the sample, and show very good performance in small samples. These tests, therefore, outperform CUSUM type tests widely employed in this literature

Early Detection Techniques for Market Risk Failure

The implementation of appropriate statistical techniques for monitoring conditional VaR models, i.e, backtesting, reported by institutions is fundamental to determine their exposure to market risk. Backtesting techniques are important since the severity of the departures of the VaR model from market results determine the penalties imposed for inadequate VaR models. In this paper we make six contributions to backtesting techniques. In particular, we show that the Kupiec test can be viewed as a combination of CUSUM change point tests; we detail the lack of power of CUSUM methods in detecting violations of VaR as soon as these occur; we develop an alternative technique based on weighted U-statistic type processes that have power against wrong specifications of the risk measure and early detection; we show these new backtesting techniques are robust to the presence of estimation risk; we construct a new class of weight functions that can be used to weight our processes; and our methods are applicable both under conditional and unconditional VaR settings

Detecting the Presence of Informed Price Trading Via Structural Break Tests

The occurrence of abnormal returns before unscheduled announcements is usually identified with informed price movements. Therefore, the detection of these observations beyond the range of returns due to the normal day-to-day activity of financial markets is a concern for regulators monitoring the right functioning of financial markets and for investors concerned about their investment portfolios. In this article we introduce a novel method to detect informed price movements via structural break tests for the intercept of an extended CAPM model describing the risk premium of financial returns. These tests are based on the use of a U-statistic type process that is sensitive to detecting changes in the intercept that occur very early in the evaluation period and that can be used to construct a consistent estimator of the timing of the change. As a byproduct, we show that estimators of the timing of change constructed from standard CUSUM statistics are inconsistent and therefore fail to provide useful information about the presence of informed price movements

Patterns of Duality in N=1 SUSY Gauge Theories

We study the patterns in the duality of a wide class of N=1 supersymmetric gauge theories in four dimensions. We present many new generalizations of the classic duality models of Kutasov and Schwimmer, which have themselves been generalized numerous times in works of Intriligator, Leigh and the present authors. All of these models contain one or two fields in a two-index tensor representation, along with fields in the defining representation. The superpotential for the two-index tensor(s) resembles A_k or D_k singularity forms, generalized from numbers to matrices. Looking at the ensemble of these models, classifying them by superpotential, gauge group, and ``level'' -- for terminology we appeal to the architecture of a typical European-style theatre -- we identify emerging patterns and note numerous interesting puzzles.Comment: 34 pages, 4 figures, uses harvmac and table

More on Chiral-Nonchiral Dual Pairs

Expanding upon earlier work of Pouliot and Strassler, we construct chiral magnetic duals to nonchiral supersymmetric electric theories based upon SO(7), SO(8) and SO(9) gauge groups with various numbers of vector and spinor matter superfields. Anomalies are matched and gauge invariant operators are mapped within each dual pair. Renormalization group flows along flat directions are also examined. We find that confining phase quantum constraints in the electric theories are recovered from semiclassical equations of motion in their magnetic counterparts when the dual gauge groups are completely Higgsed.Comment: 25 pages, harvmac and tables macros, 1 figur

Systematic Study of Theories with Quantum Modified Moduli

We begin the process of classifying all supersymmetric theories with quantum modified moduli. We determine all theories based on a single SU or Sp gauge group with quantum modified moduli. By flowing among theories we have calculated the precise modifications to the algebraic constraints that determine the moduli at the quantum level. We find a class of theories, those with a classical constraint that is covariant but not invariant under global symmetries, that have a singular modification to the moduli, which consists of a new branch.Comment: 21 pages, ReVTeX (or Latex, etc), corrected typos and cQMM discusio

A Comment on Zero-brane Quantum Mechanics

We consider low energy, non-relativistic scattering of two Dirichlet zero-branes as an exercise in quantum mechanics. For weak string coupling and sufficiently small velocity, the dynamics is governed by an effective U(2) gauge theory in 0+1 dimensions. At low energies, D-brane scattering can reliably probe distances much shorter than the string scale. The only length scale in the quantum mechanics problem is the eleven dimensional Planck length. This provides evidence for the role of scales shorter than the string length in the weakly coupled dynamics of type IIA strings.Comment: 9 pages, harvmac, improved treatment of 2+1 proble

On the Z_2 Monopole of Spin(10) Gauge Theories

An "expanded" description is introduced to examine the spinor-monopole identification proposed by Strassler for four-dimensional $\cal N$ = 1 supersymmetric Spin(10) gauge theories with matter in F vector and N spinor representations. It is shown that a Z_2 monopole in the "expanded" theory is associated with massive spinors of the Spin(10) theory. For N=2, two spinor case, we confirm this identification by matching the transformation properties of the two theories under SU(2) flavor symmetry. However, for N $\ge$ 3, the transformation properties are not matched between the spinors and the monopole. This disagreement might be due to the fact that the SU(N) flavor symmetry of the Spin(10) theory is partially realized as an SU(2) symmetry in the "expanded" theory.Comment: 16 pages, LaTex, no figur