A simple scheme for allocating capital in a foreign exchange proprietary trading firm

We present a model of capital allocation in a foreign exchange proprietary trading firm. The owner allocates capital to individual traders, who operate within strict risk limits. Traders specialize in individual currencies, but are given discretion over their choice of trading rule. The owner provides the simple formula that determines position sizes – a formula that does not require estimation of the firm-level covariance matrix. We provide supporting empirical evidence of excess risk-adjusted returns to the firm-level portfolio, and we discuss a modification of the model in which the owner dictates the choice of trading rule

Expanding direction of the period doubling operator

We prove that the period doubling operator has an expanding direction at the fixed point. We use the induced operator, a ``Perron-Frobenius type operator'', to study the linearization of the period doubling operator at its fixed point. We then use a sequence of linear operators with finite ranks to study this induced operator. The proof is constructive. One can calculate the expanding direction and the rate of expansion of the period doubling operator at the fixed point

On Empirical Validation of Compactness Measures for Electoral Redistricting and Its Significance for Application of Models in the Social Sciences

Use of optimization models in science and policy applications is often problematic because the best available models are very inaccurate representations of the originating problems. Such is the case with electoral districting models, for which there exist no generally accepted measures of compactness, in spite of many proposals and much analytical study. This article reports on an experimental investigation of subjective judgments of compactness for electoral districts. The experiment draws on a unique database of 116 distinct, legally valid districting plans for the Philadelphia City Council, discovered with evolutionary computation. Subjects in the experiment displayed, in the aggregate, remarkable agreement with several standard measures of compactness, thus providing warrant for use of these measures that has heretofore been unavailable. The exercise also lends support to the underlying methodology on display here, which proposes to use models based on subjective judgments in combination with algorithms that find multiple solutions in order to support application of optimization models in contexts in which they are only very approximate representations

Recent Decisions

Comments on recent decisions by John H. Wilson, Leon L. Lancaster, Jr., John C. O\u27Connor, Richard F. Sullivan, and Louis Da Pra

Complex maps without invariant densities

We consider complex polynomials $f(z) = z^\ell+c_1$ for $\ell \in 2\N$ and $c_1 \in \R$, and find some combinatorial types and values of $\ell$ such that there is no invariant probability measure equivalent to conformal measure on the Julia set. This holds for particular Fibonacci-like and Feigenbaum combinatorial types when $\ell$ sufficiently large and also for a class of `long-branched' maps of any critical order.Comment: Typos corrected, minor changes, principally to Section

Minimal size of a barchan dune

Barchans are dunes of high mobility which have a crescent shape and propagate under conditions of unidirectional wind. However, sand dunes only appear above a critical size, which scales with the saturation distance of the sand flux [P. Hersen, S. Douady, and B. Andreotti, Phys. Rev. Lett. {\bf{89,}} 264301 (2002); B. Andreotti, P. Claudin, and S. Douady, Eur. Phys. J. B {\bf{28,}} 321 (2002); G. Sauermann, K. Kroy, and H. J. Herrmann, Phys. Rev. E {\bf{64,}} 31305 (2001)]. It has been suggested by P. Hersen, S. Douady, and B. Andreotti, Phys. Rev. Lett. {\bf{89,}} 264301 (2002) that this flux fetch distance is itself constant. Indeed, this could not explain the proto size of barchan dunes, which often occur in coastal areas of high litoral drift, and the scale of dunes on Mars. In the present work, we show from three dimensional calculations of sand transport that the size and the shape of the minimal barchan dune depend on the wind friction speed and the sand flux on the area between dunes in a field. Our results explain the common appearance of barchans a few tens of centimeter high which are observed along coasts. Furthermore, we find that the rate at which grains enter saltation on Mars is one order of magnitude higher than on Earth, and is relevant to correctly obtain the minimal dune size on Mars.Comment: 11 pages, 10 figure

Whole Earth Telescope observations of the hot helium atmosphere pulsating white dwarf EC 20058-5234

We present the analysis of a total of 177h of high-quality optical time-series photometry of the helium atmosphere pulsating white dwarf (DBV) EC 20058-5234. The bulk of the observations (135h) were obtained during a WET campaign (XCOV15) in July 1997 that featured coordinated observing from 4 southern observatory sites over an 8-day period. The remaining data (42h) were obtained in June 2004 at Mt John Observatory in NZ over a one-week observing period. This work significantly extends the discovery observations of this low-amplitude (few percent) pulsator by increasing the number of detected frequencies from 8 to 18, and employs a simulation procedure to confirm the reality of these frequencies to a high level of significance (1 in 1000). The nature of the observed pulsation spectrum precludes identification of unique pulsation mode properties using any clearly discernable trends. However, we have used a global modelling procedure employing genetic algorithm techniques to identify the n, l values of 8 pulsation modes, and thereby obtain asteroseismic measurements of several model parameters, including the stellar mass (0.55 M_sun) and T_eff (~28200 K). These values are consistent with those derived from published spectral fitting: T_eff ~ 28400 K and log g ~ 7.86. We also present persuasive evidence from apparent rotational mode splitting for two of the modes that indicates this compact object is a relatively rapid rotator with a period of 2h. In direct analogy with the corresponding properties of the hydrogen (DAV) atmosphere pulsators, the stable low-amplitude pulsation behaviour of EC 20058 is entirely consistent with its inferred effective temperature, which indicates it is close to the blue edge of the DBV instability strip. (abridged)Comment: 19 pages, 8 figures, 5 tables, MNRAS accepte

Field of a Radiation Distributuion

General relativistic spherically symmetric matter field with a vanishing stress energy scalar is analyzed. Procedure for generating exact solutions of the field equations for such matter distributions is given. It is further pointed out that all such type I spherically symmetric fields with distinct eignvalues in the radial two space can be treated as a mixture of isotropic and directed radiations. Various classes of exact solutions are given. Junction conditions for such a matter field to the possible exterior solutions are also discussed.Comment: Latex file, 13 pages, no figures. Accepted for publication in Phys. Rev.

Heterogeneous ice nucleation properties of natural desert dust particles coated with a surrogate of secondary organic aerosol

Ice nucleation abilities of surface collected mineral dust particles from the Sahara (SD) and Asia (AD) are investigated for the temperature (T) range 253–233&thinsp;K and for supersaturated relative humidity (RH) conditions in the immersion freezing regime. The dust particles were also coated with a proxy of secondary organic aerosol (SOA) from the dark ozonolysis of α-pinene to better understand the influence of atmospheric coatings on the immersion freezing ability of mineral dust particles. The measurements are conducted on polydisperse particles in the size range 0.01–3&thinsp;µm with three different ice nucleation chambers. Two of the chambers follow the continuous flow diffusion chamber (CFDC) principle (Portable Ice Nucleation Chamber, PINC) and the Colorado State University CFDC (CSU-CFDC), whereas the third was the Aerosol Interactions and Dynamics in the Atmosphere (AIDA) cloud expansion chamber. From observed activated fractions (AFs) and ice nucleation active site (INAS) densities, it is concluded within experimental uncertainties that there is no significant difference between the ice nucleation ability of the particular SD and AD samples examined. A small bias towards higher INAS densities for uncoated versus SOA-coated dusts is found but this is well within the 1σ (66&thinsp;% prediction bands) region of the average fit to the data, which captures 75&thinsp;% of the INAS densities observed in this study. Furthermore, no systematic differences are observed between SOA-coated and uncoated dusts in both SD and AD cases, regardless of coating thickness (3–60&thinsp;nm). The results suggest that any differences observed are within the uncertainty of the measurements or differences in cloud chamber parameters such as size fraction of particles sampled, and residence time, as well as assumptions in using INAS densities to compare polydisperse aerosol measurements which may show variable composition with particle size. Coatings with similar properties to that of the SOA in this work and with coating thickness up to 60&thinsp;nm are not expected to impede or enhance the immersion mode ice nucleation ability of mineral dust particles.</p

Source Dimensions in Ultrarelativistic Heavy Ion Collisions

Recent experiments on pion correlations, interpreted as interferometric measurements of the collision zone, are compared with models that distinguish a prehadronic phase and a hadronic phase. The models include prehadronic longitudinal expansion, conversion to hadrons in local kinetic equilibrium, and rescattering of the produced hadrons. We find that the longitudinal and outward radii are surprisingly sensitive to the algorithm used for two-body collisions. The longitudinal radius measured in collisions of 200 GeV/u sulfur nuclei on a heavy target requires the existence of a prehadronic phase which converts to the hadronic phase at densities around 0.8-1.0 GeV/fm$^3$. The transverse radii cannot be reproduced without introducing more complex dynamics into the transverse expansion.Comment: RevTeX 3.0, 28 pages, 6 figures, not included, revised version, major change is an additional discussion of the classical two-body collision algorithm, a (compressed) postscript file of the complete paper including figures can be obtained from Authors or via anonymous ftp at ftp://ftp_int.phys.washington.edu/pub/herrmann/pisource.ps.