Efficiently Learning from Revealed Preference

In this paper, we consider the revealed preferences problem from a learning perspective. Every day, a price vector and a budget is drawn from an unknown distribution, and a rational agent buys his most preferred bundle according to some unknown utility function, subject to the given prices and budget constraint. We wish not only to find a utility function which rationalizes a finite set of observations, but to produce a hypothesis valuation function which accurately predicts the behavior of the agent in the future. We give efficient algorithms with polynomial sample-complexity for agents with linear valuation functions, as well as for agents with linearly separable, concave valuation functions with bounded second derivative.Comment: Extended abstract appears in WINE 201

Realizing lateral wrap-gated nanowire FETs: Controlling gate length with chemistry rather than lithography

An important consideration in miniaturizing transistors is maximizing the coupling between the gate and the semiconductor channel. A nanowire with a coaxial metal gate provides optimal gate-channel coupling, but has only been realized for vertically oriented nanowire transistors. We report a method for producing laterally oriented wrap-gated nanowire field-effect transistors that provides exquisite control over the gate length via a single wet etch step, eliminating the need for additional lithography beyond that required to define the source/drain contacts and gate lead. It allows the contacts and nanowire segments extending beyond the wrap-gate to be controlled independently by biasing the doped substrate, significantly improving the sub-threshold electrical characteristics. Our devices provide stronger, more symmetric gating of the nanowire, operate at temperatures between 300 to 4 Kelvin, and offer new opportunities in applications ranging from studies of one-dimensional quantum transport through to chemical and biological sensing.Comment: 16 pages, 5 figures. Submitted version, published version available at http://http://pubs.acs.org/journal/nalef

Volatility and dividend risk in perpetual American options

American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and dividend policy-- of the underlaying stock can change at a random instant of time, but in such a way that we can forecast their final values. Under this assumption we can model actual market conditions because some of the most relevant facts that may potentially affect a firm will entail sharp predictable effects. We will analyse the consequences of this potential risk on perpetual American derivatives, a topic connected with a wide class of recurrent problems in physics: holders of American options must look for the fair price and the optimal exercise strategy at once, a typical question of free absorbing boundaries. We present explicit solutions to the most common contract specifications and derive analytical expressions concerning the mean and higher moments of the exercise time.Comment: 21 pages, 5 figures, iopart, submitted for publication; deep revision, two new appendice

Volatility term structures in commodity markets

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of commodities. Accounting for intra‐commodity‐market spillovers significantly improves out‐of‐sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets

The Hall algebras of annuli

We refine and prove the central conjecture of our first paper for annuli with at least two marked intervals on each boundary component by computing the derived Hall algebras of their Fukaya categories

Imaging a 1-electron InAs quantum dot in an InAs/InP nanowire

Nanowire heterostructures define high-quality few-electron quantum dots for nanoelectronics, spintronics and quantum information processing. We use a cooled scanning probe microscope (SPM) to image and control an InAs quantum dot in an InAs/InP nanowire, using the tip as a movable gate. Images of dot conductance vs. tip position at T = 4.2 K show concentric rings as electrons are added, starting with the first electron. The SPM can locate a dot along a nanowire and individually tune its charge, abilities that will be very useful for the control of coupled nanowire dots

Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model

We define an activity dependent branching ratio that allows comparison of different time series $X_{t}$. The branching ratio $b_x$ is defined as $b_x= E[\xi_x/x]$. The random variable $\xi_x$ is the value of the next signal given that the previous one is equal to $x$, so $\xi_x=\{X_{t+1}|X_t=x\}$. If $b_x>1$, the process is on average supercritical when the signal is equal to $x$, while if $b_x<1$, it is subcritical. For stock prices we find $b_x=1$ within statistical uncertainty, for all $x$, consistent with an ``efficient market hypothesis''. For stock volumes, solar X-ray flux intensities, and the Bak-Tang-Wiesenfeld (BTW) sandpile model, $b_x$ is supercritical for small values of activity and subcritical for the largest ones, indicating a tendency to return to a typical value. For stock volumes this tendency has an approximate power law behavior. For solar X-ray flux and the BTW model, there is a broad regime of activity where $b_x \simeq 1$, which we interpret as an indicator of critical behavior. This is true despite different underlying probability distributions for $X_t$, and for $\xi_x$. For the BTW model the distribution of $\xi_x$ is Gaussian, for $x$ sufficiently larger than one, and its variance grows linearly with $x$. Hence, the activity in the BTW model obeys a central limit theorem when sampling over past histories. The broad region of activity where $b_x$ is close to one disappears once bulk dissipation is introduced in the BTW model -- supporting our hypothesis that it is an indicator of criticality.Comment: 7 pages, 11 figure