Multiscaled Cross-Correlation Dynamics in Financial Time-Series

The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding time windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of timescale information in the context of risk management

A Clumpy Stellar Wind and Luminosity-Dependent Cyclotron Line Revealed by The First Suzaku Observation of the High-Mass X-ray Binary 4U 1538-522

We present results from the first Suzaku observation of the high-mass X-ray binary 4U 1538-522. The broad-band spectral coverage of Suzaku allows for a detailed spectral analysis, characterizing the cyclotron resonance scattering feature at $23.0 \pm 0.4$ keV and the iron K$\alpha$ line at $6.426 \pm 0.008$ keV, as well as placing limits on the strengths of the iron K$\beta$ line and the iron K edge. We track the evolution of the spectral parameters both in time and in luminosity, notably finding a significant positive correlation between cyclotron line energy and luminosity. A dip and spike in the lightcurve is shown to be associated with an order-of-magnitude increase in column density along the line of sight, as well as significant variation in the underlying continuum, implying the accretion of a overdense region of a clumpy stellar wind. We also present a phase-resolved analysis, with most spectral parameters of interest showing significant variation with phase. Notably, both the cyclotron line energy and the iron K$\alpha$ line intensity vary significantly with phase, with the iron line intensity significantly out-of-phase with the pulse profile. We discuss the implications of these findings in the context of recent work in the areas of accretion column physics and cyclotron resonance scattering feature formation.Comment: 15 pages, 8 figures. Accepted to ApJ on 2 July 201

Theory and Applications of Robust Optimization

In this paper we survey the primary research, both theoretical and applied, in the area of Robust Optimization (RO). Our focus is on the computational attractiveness of RO approaches, as well as the modeling power and broad applicability of the methodology. In addition to surveying prominent theoretical results of RO, we also present some recent results linking RO to adaptable models for multi-stage decision-making problems. Finally, we highlight applications of RO across a wide spectrum of domains, including finance, statistics, learning, and various areas of engineering.Comment: 50 page

A redshifted Fe Kα\alpha line from the unusual gamma-ray source PMN J1603-4904

Multiwavelength observations have revealed the highly unusual properties of the gamma-ray source PMN J1603-4904, which are difficult to reconcile with any other well established gamma-ray source class. The object is either a very atypical blazar or compact jet source seen at a larger angle to the line of sight. In order to determine the physical origin of the high-energy emission processes in PMN J1603-4904, we study the X-ray spectrum in detail. We performed quasi-simultaneous X-ray observations with XMM-Newton and Suzaku in 2013 September, resulting in the first high signal-to-noise X-ray spectrum of this source. The 2-10 keV X-ray spectrum can be well described by an absorbed power law with an emission line at 5.44$\pm$0.05 keV (observed frame). Interpreting this feature as a K{\alpha} line from neutral iron, we determine the redshift of PMN J1603-4904 to be z=0.18$\pm$0.01, corresponding to a luminosity distance of 872$\pm$54 Mpc. The detection of a redshifted X-ray emission line further challenges the original BL Lac classification of PMN J1603-4904. This result suggests that the source is observed at a larger angle to the line of sight than expected for blazars, and thus the source would add to the elusive class of gamma-ray loud misaligned-jet objects, possibly a {\gamma}-ray bright young radio galaxy.Comment: 5 pages, 1 figure, A&A accepte

Black hole mass estimation from X-ray variability measurements in AGN

We propose a new method of estimation of the black hole masses in AGN based on the normalized excess variance, sigma_{nxs}^2. We derive a relation between sigma_{nxs}^2, the length of the observation, T, the light curve bin size, Delta t, and the black hole mass, assuming that (i) the power spectrum above the high frequency break, f_{bf}, has a slope of -2, (ii) the high frequency break scales with black hole mass, (iii) the power spectrum amplitude (in 'frequency x power' space) is universal and (iv) sigma_{nxs}^2 is calculated from observations of length T < 1/f_{bf}. Values of black hole masses in AGN obtained with this method are consistent with estimates based on other techniques such as reverberation mapping or the Mbh-stellar velocity dispersion relation. The method is formally equivalent to methods based on power spectrum scaling with mass but the use of the normalized excess variance has the big advantage of being applicable to relatively low quality data.Comment: 5 pages, 1 figure, 1 table, accepted for publication in MNRAS Letter. Added minor change on page 5 - corrected mistake (1/T 1/T > nu

Plasma microRNA levels following resection of metastatic melanoma

Melanoma remains the leading cause of skin cancer–related deaths. Surgical resection and adjuvant therapies can result in disease-free intervals for stage III and stage IV disease; however, recurrence is common. Understanding microRNA (miR) dynamics following surgical resection of melanomas is critical to accurately interpret miR changes suggestive of melanoma recurrence. Plasma of 6 patients with stage III (n = 2) and stage IV (n = 4) melanoma was evaluated using the NanoString platform to determine pre- and postsurgical miR expression profiles, enabling analysis of more than 800 miRs simultaneously in 12 samples. Principal component analysis detected underlying patterns of miR expression between pre- vs postsurgical patients. Group A contained 3 of 4 patients with stage IV disease (pre- and postsurgical samples) and 2 patients with stage III disease (postsurgical samples only). The corresponding preoperative samples to both individuals with stage III disease were contained in group B along with 1 individual with stage IV disease (pre- and postsurgical samples). Group A was distinguished from group B by statistically significant analysis of variance changes in miR expression ( P < .0001). This analysis revealed that group A vs group B had downregulation of let-7b-5p, miR-520f, miR-720, miR-4454, miR-21-5p, miR-22-3p, miR-151a-3p, miR-378e, and miR-1283 and upregulation of miR-126-3p, miR-223-3p, miR-451a, let-7a-5p, let-7g-5p, miR-15b-5p, miR-16-5p, miR-20a-5p, miR-20b-5p, miR-23a-3p, miR-26a-5p, miR-106a-5p, miR-17-5p, miR-130a-3p, miR-142-3p, miR-150-5p, miR-191-5p, miR-199a-3p, miR-199b-3p, and miR-1976. Changes in miR expression were not readily evident in individuals with distant metastatic disease (stage IV) as these individuals may have prolonged inflammatory responses. Thus, inflammatory-driven miRs coinciding with tumor-derived miRs can blunt anticipated changes in expression profiles following surgical resection

Optimal leverage from non-ergodicity

In modern portfolio theory, the balancing of expected returns on investments against uncertainties in those returns is aided by the use of utility functions. The Kelly criterion offers another approach, rooted in information theory, that always implies logarithmic utility. The two approaches seem incompatible, too loosely or too tightly constraining investors' risk preferences, from their respective perspectives. The conflict can be understood on the basis that the multiplicative models used in both approaches are non-ergodic which leads to ensemble-average returns differing from time-average returns in single realizations. The classic treatments, from the very beginning of probability theory, use ensemble-averages, whereas the Kelly-result is obtained by considering time-averages. Maximizing the time-average growth rates for an investment defines an optimal leverage, whereas growth rates derived from ensemble-average returns depend linearly on leverage. The latter measure can thus incentivize investors to maximize leverage, which is detrimental to time-average growth and overall market stability. The Sharpe ratio is insensitive to leverage. Its relation to optimal leverage is discussed. A better understanding of the significance of time-irreversibility and non-ergodicity and the resulting bounds on leverage may help policy makers in reshaping financial risk controls.Comment: 17 pages, 3 figures. Updated figures and extended discussion of ergodicit

Evaluating Greek equity funds using data envelopment analysis

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the e¤ect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund selection process since we are able to identify potential sources of inefficiencies for the funds. The most striking result is that the percentage of assets under management affects performance negatively, a conclusion which may be related to the structure of the domestic stock market. Furthermore, we provide evidence against the notion of funds' mean-variance efficiency

Role of disclinations in determining the morphology of deformable fluid interfaces

We study the equilibrium shapes of vesicles, with an in-plane nematic order, using a Monte-Carlo scheme and show that highly curved shapes, like tubes and discs, with a striking similarity to the structures engendered by certain curvature sensing peripheral membrane proteins, can be spontaneously generated by anisotropic directional curvature with nematic disclinations playing and important role. We show that the coupling between nematic order and local curvature could lead to like defects moving towards each other and unlike defects moving away, in turn leading to tube formation. Thermally induced defect pair production lead to branched tubular structures. It is also shown that helical arrangement of the membrane tubes, with nematic field spiraling around it, is a dominant soft mode of the system.Comment: 6 Figures; Soft Matter, Advance Article 201