Two centuries of trend following

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time series, that exist since 1960, and spot time series that allow us to go back to 1800 on commodities and indices. The overall t-stat of the excess returns is $\approx 5$ since 1960 and $\approx 10$ since 1800, after accounting for the overall upward drift of these markets. The effect is very stable, both across time and asset classes. It makes the existence of trends one of the most statistically significant anomalies in financial markets. When analyzing the trend following signal further, we find a clear saturation effect for large signals, suggesting that fundamentalist traders do not attempt to resist "weak trends", but step in when their own signal becomes strong enough. Finally, we study the performance of trend following in the recent period. We find no sign of a statistical degradation of long trends, whereas shorter trends have significantly withered.Comment: 17 pages, 9 figures, 9 table

On the Unique Solution of Planet and Star Parameters from an Extrasolar Planet Transit Light Curve

There is a unique solution of the planet and star parameters from a planet transit light curve with two or more transits if the planet has a circular orbit and the light curve is observed in a band pass where limb darkening is negligible. The existence of this unique solution is very useful for current planet transit surveys for several reasons. First, there is an analytic solution that allows a quick parameter estimate, in particular of Rp. Second, the stellar density can be uniquely derived from the transit light curve alone. The stellar density can be used to immediately rule out a giant star (and hence a much larger than planetary companion) and can also be used to put an upper limit on the stellar and planet radius even considering slightly evolved stars. Third, the presence of an additional fully blended star that contaminates an eclipsing system to mimic a planet transit can be largely ruled out from the transit light curve given a spectral type for the central star. Fourth, the period can be estimated from a single-transit light curve and a measured spectral type. All of these applications can be used to select the best planet transit candidates for mass determination by radial velocity follow-up. To use these applications in practice, the photometric precision and time sampling of the light curve must be high (better than 0.005 mag precision and 5 minute time sampling).Comment: 26 pages incl. 11 figs, submitted to Ap

Induced two-photon decay of the 2s level and the rate of cosmological hydrogen recombination

Induced emission due to the presence of soft CMB photons slightly increases the two-photon decay rate of the 2s level of hydrogen defining the rate of cosmological recombination. This correspondingly changes the degree of ionization, the visibility function and the resulting primordial temperature anisotropies and polarization of the CMB on the percent level. These changes exceed the precision of the widely used CMBFAST and CAMB codes by more than one order of magnitude and can be easily taken into account.Comment: 5 pages, 5 figure, accepted by Astronomy and Astrophysic

Delayed Recombination

Under the standard model for recombination of the primeval plasma, and the cold dark matter model for structure formation, recent measurements of the first peak in the angular power spectrum of the cosmic microwave background temperature indicate the spatial geometry of the universe is nearly flat. If sources of Lya resonance radiation, such as stars or active galactic nuclei, were present at z ~ 1000 they would delay recombination, shifting the first peak to larger angular scales, and producing a positive bias in this measure of space curvature. It can be distinguished from space curvature by its suppression of the secondary peaks in the spectrum.Comment: submitted to ApJ

Detection of Close-In Extrasolar Giant Planets Using the Fourier-Kelvin Stellar Interferometer

We evaluate the direct detection of extrasolar giant planets with a two-aperture nulling infrared interferometer, working at angles ${\theta}<{\lambda}/2B$, and using a new `ratio-of-two-wavelengths' technique. Simple arguments suggest that interferometric detection and characterization should be quite possible for planets much closer than the conventional inner working angle, or angular resolution limit. We show that the peak signal from a nulling infrared interferometer of baseline ($\lesssim 40$ meters) will often occur `inside the null', and that the signal variations from path-difference fluctuations will cancel to first order in the ratio of two wavelengths. Using a new interferometer simulation code, we evaluate the detectability of all the known extrasolar planets as observed using this two-color method with the proposed {\it Fourier Kelvin Stellar Interferometer (FKSI)}. In its minimum configuration {\it FKSI} uses two 0.5-meter apertures on a 12.5-meter baseline, and a $\pm 20^{\circ}$ field-of-regard. We predict that $\sim 7$ known extrasolar planets are directly detectable using {\it FKSI}, with low-resolution spectroscopy ($R \sim 20$) being possible in the most favorable cases. Spaceborne direct detection of extrasolar giant planets is possible with $\sim 12$ meter baselines, and does not require the much longer baselines provided by formation flying.Comment: Accepted for publication in ApJ Letter

The phase-dependent Infrared brightness of the extrasolar planet upsilon Andromedae b

The star upsilon Andromeda is orbited by three known planets, the innermost of which has an orbital period of 4.617 days and a mass at least 0.69 that of Jupiter. This planet is close enough to its host star that the radiation it absorbs overwhelms its internal heat losses. Here we present the 24 micron light curve of this system, obtained with the Spitzer Space Telescope. It shows a clear variation in phase with the orbital motion of the innermost planet. This is the first demonstration that such planets possess distinct hot substellar (day) and cold antistellar (night) faces.Comment: "Director's cut" of paper to appear in Science, 27 October, 200

Cosmological hydrogen recombination: Lyn line feedback and continuum escape

We compute the corrections to the cosmological hydrogen recombination history due to delayed feedback of Lyman-series photons and the escape in the Lyman-continuum. The former process is expected to slightly delay recombination, while the latter should allow the medium to recombine a bit faster. It is shown that the subsequent feedback of released Lyman-n photons on the lower lying Lyman-(n-1) transitions yields a maximal correction of DN_e/N_e 0.22% at z~ 1050. Including only Lyman-\beta feedback onto the Lyman-\alpha transition, accounts for most of the effect. We find corrections to the cosmic microwave background TT and EE power spectra \change{with typical peak to peak amplitude |DC^{TT}_l/C^{TT}_l|~0.15% and |\Delta C^{EE}_l/C^{EE}_l|~0.36% at l<~3000. The escape in the Lyman-continuum and feedback of Lyman-\alpha photons on the photoionization rate of the second shell lead to modifications of the ionization history which are very small (less than |DN_e/N_e|~few x 10^{-6}).Comment: 5+epsilon pages, 7 figures, accepted versio