Focusing of timelike worldsheets in a theory of strings

An analysis of the generalised Raychaudhuri equations for string world sheets is shown to lead to the notion of focusing of timelike worldsheets in the classical Nambu-Goto theory of strings. The conditions under which such effects can occur are obtained . Explicit solutions as well as the Cauchy initial value problem are discussed. The results closely resemble their counterparts in the theory of point particles which were obtained in the context of the analysis of spacetime singularities in General Relativity many years ago.Comment: 14 pages, RevTex, no figures, extended, to appear in Phys Rev

The merit of high-frequency data in portfolio allocation

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the proposed approach yields less risky and more diversified portfolio allocations as prevailing methods employing daily data. These performance gains hold over longer horizons than previous studies have shown

Scaling of the distribution of fluctuations of financial market indices

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0 < \alpha < 2$. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-97. We find estimates of $\alpha$ consistent with those describing the distribution of S&P 500 daily-returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than $(\Delta t)_{\times} \approx 4$ days, our results are consistent with slow convergence to Gaussian behavior.Comment: 12 pages in multicol LaTeX format with 27 postscript figures (Submitted to PRE May 20, 1999). See http://polymer.bu.edu/~amaral/Professional.html for more of our work on this are

Multiple agency perspective, family control, and private information abuse in an emerging economy

Using a comprehensive sample of listed companies in Hong Kong this paper investigates how family control affects private information abuses and firm performance in emerging economies. We combine research on stock market microstructure with more recent studies of multiple agency perspectives and argue that family ownership and control over the board increases the risk of private information abuse. This, in turn, has a negative impact on stock market performance. Family control is associated with an incentive to distort information disclosure to minority shareholders and obtain private benefits of control. However, the multiple agency roles of controlling families may have different governance properties in terms of investors’ perceptions of private information abuse. These findings contribute to our understanding of the conflicting evidence on the governance role of family control within a multiple agency perspectiv

Peculiar Velocity Limits from Measurements of the Spectrum of the Sunyaev-Zel'dovich Effect in Six Clusters of Galaxies

We have made measurements of the Sunyaev-Zel'dovich (SZ) effect in six galaxy clusters at z > 0.2 using the Sunyaev-Zel'dovich Infrared Experiment (SuZIE II) in three frequency bands between 150 and 350 GHz. Simultaneous multi-frequency measurements have been used to distinguish between thermal and kinematic components of the SZ effect, and to significantly reduce the effects of variations in atmospheric emission which can otherwise dominate the noise. We have set limits to the peculiar velocities of each cluster with respect to the Hubble flow, and have used the cluster sample to set a 95% confidence limit of < 1410 km/s to the bulk flow of the intermediate-redshift universe in the direction of the CMB dipole. This is the first time that SZ measurements have been used to constrain bulk flows. We show that systematic uncertainties in peculiar velocity determinations from the SZ effect are likely to be dominated by submillimeter point sources and we discuss the level of this contamination.Comment: Submitted to Astrophysical Journal. 32 pages, 13 tables, 9 figure

Search for the Higgs boson in events with missing transverse energy and b quark jets produced in proton-antiproton collisions at s**(1/2)=1.96 TeV

We search for the standard model Higgs boson produced in association with an electroweak vector boson in events with no identified charged leptons, large imbalance in transverse momentum, and two jets where at least one contains a secondary vertex consistent with the decay of b hadrons. We use ~1 fb-1 integrated luminosity of proton-antiproton collisions at s**(1/2)=1.96 TeV recorded by the CDF II experiment at the Tevatron. We find 268 (16) single (double) b-tagged candidate events, where 248 +/- 43 (14.4 +/- 2.7) are expected from standard model background processes. We place 95% confidence level upper limits on the Higgs boson production cross section for several Higgs boson masses ranging from 110 GeV/c2 to 140 GeV/c2. For a mass of 115 GeV/c2 the observed (expected) limit is 20.4 (14.2) times the standard model prediction.Comment: 8 pages, 2 figures, submitted to Phys. Rev. Let

On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven

In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of exchange rate variations on trade growth is found to be weak. In periods of large exchange rate variations, trade growth forecasts gain from conditioning on volatility. Empirical results support the view that the relationship of interest might be nonlinear and, moreover, lacks homogeneity across countries and imports vs. export

Search for Neutral Higgs Bosons in Events with Multiple Bottom Quarks at the Tevatron

The combination of searches performed by the CDF and D0 collaborations at the Fermilab Tevatron Collider for neutral Higgs bosons produced in association with b quarks is reported. The data, corresponding to 2.6 fb-1 of integrated luminosity at CDF and 5.2 fb-1 at D0, have been collected in final states containing three or more b jets. Upper limits are set on the cross section multiplied by the branching ratio varying between 44 pb and 0.7 pb in the Higgs boson mass range 90 to 300 GeV, assuming production of a narrow scalar boson. Significant enhancements to the production of Higgs bosons can be found in theories beyond the standard model, for example in supersymmetry. The results are interpreted as upper limits in the parameter space of the minimal supersymmetric standard model in a benchmark scenario favoring this decay mode.Comment: 10 pages, 2 figure

Measurement of Ratios of Fragmentation Fractions for Bottom Hadrons in p-pbar Collisions at sqrt{s}=1.96 TeV

This paper describes the first measurement of b-quark fragmentation fractions into bottom hadrons in Run II of the Tevatron Collider at Fermilab. The result is based on a 360 pb-1 sample of data collected with the CDF II detector in p-pbar collisions at sqrt{s}=1.96 TeV. Semileptonic decays of B0, B+, and B_s mesons, as well as Lambda_b baryons, are reconstructed. For an effective bottom hadron p_T threshold of 7 GeV/c, the fragmentation fractions are measured to be f_u/f_d=1.054 +/- 0.018 (stat) +0.025-0.045(sys) +/- 0.058 (Br), f_s/(f_u+f_d)=0.160 +/- 0.005 (stat) +0.011-0.010 (sys) +0.057-0.034 (Br), and f_{Lambda_b}/(f_u+f_d)=0.281\pm0.012 (stat) +0.058-0.056 (sys) +0.128-0.086 (Br), where the uncertainty (Br) is due to uncertainties on measured branching ratios. The value of f_s/(f_u+f_d) agrees within one standard deviation with previous CDF measurements and the world average of this quantity, which is dominated by LEP measurements. However, the ratio f_{Lambda_b}/(f_u+f_d) is approximately twice the value previously measured at LEP. The approximately 2 sigma discrepancy is examined in terms of kinematic differences between the two production environments.Comment: Submitted to PRD, 54 pages, 53 plot