On pricing kernels, information and risk

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we argue that evidence in favour of characteristic based pricing implies that information is more likely assimilated by means of nonlinear pricing kernels for the markets considered.Comment: 20 pages, 3 figures, 1 tabl

The Limits on Cosmological Anisotropies and Inhomogeneities from COBE Data

Assuming that the cosmological principle holds, Maartens, Ellis and Stoeger (MES) recently constructed a detailed scheme linking anisotropies in the cosmic background radiation (CMB) with anisotropies and inhomogeneities in the large scale structure of the universe and showed how to place limits on those anisotropies and inhomogeneities simply by using CMB quadrupole and octupole limits. First we indicate and discuss the connection between the covariant multipole moments of the temperature anisotropy used in the MES scheme and the quadrupole and octupole results from COBE. Then we introduce those results into the MES limit equations to obtain definite quantitative limits on the complete set of cosmological measures of anisotropy and inhomogeneity. We find that all the anisotropy measures are less than 10^{-4} in the case of those not affected by the expansion rate H, and less than 10^{-6} Mpc^{-1} in the case of those which are. These results quantitatively demonstrate that the observable universe is indeed close to Friedmann-Lemaitre-Robertson-Walker (FLRW) on the largest scales, and can be adequately modelled by an almost-FLRW model -- that is, the anisotropies and inhomogeneities characterizing the observable universe on the largest scales are not too large to be considered perturbations to FLRW.Comment: Original paper with corrections. ApJ 476 435 (1997) erratum to appear ApJ Sept 199

How many independent bets are there?

The benefits of portfolio diversification is a central tenet implicit to modern financial theory and practice. Linked to diversification is the notion of breadth. Breadth is correctly thought of as the number of in- dependent bets available to an investor. Conventionally applications us- ing breadth frequently assume only the number of separate bets. There may be a large discrepancy between these two interpretations. We uti- lize a simple singular-value decomposition (SVD) and the Keiser-Gutman stopping criterion to select the integer-valued effective dimensionality of the correlation matrix of returns. In an emerging market such as South African we document an estimated breadth that is considerably lower than anticipated. This lack of diversification may be because of market concentration, exposure to the global commodity cycle and local currency volatility. We discuss some practical extensions to a more statistically correct interpretation of market breadth, and its theoretical implications for both global and domestic investors.Comment: Less technical rewrite. 12 Pages, 6 Figures (.eps

Physical Electronics

Contains research objectives and reports on two research projects

Identification of the protein kinases Pyk3 and Phg2 as regulators of the STATc-mediated response to hyperosmolarity

Cellular adaptation to changes in environmental osmolarity is crucial for cell survival. In Dictyostelium, STATc is a key regulator of the transcriptional response to hyperosmotic stress. Its phosphorylation and consequent activation is controlled by two signaling branches, one cGMP- and the other Ca(2+)-dependent, of which many signaling components have yet to be identified. The STATc stress signalling pathway feeds back on itself by upregulating the expression of STATc and STATc-regulated genes. Based on microarray studies we chose two tyrosine-kinase like proteins, Pyk3 and Phg2, as possible modulators of STATc phosphorylation and generated single and double knock-out mutants to them. Transcriptional regulation of STATc and STATc dependent genes was disturbed in pyk3(-), phg2(-), and pyk3(-)/phg2(-) cells. The absence of Pyk3 and/or Phg2 resulted in diminished or completely abolished increased transcription of STATc dependent genes in response to sorbitol, 8-Br-cGMP and the Ca(2+) liberator BHQ. Also, phospho-STATc levels were significantly reduced in pyk3(-) and phg2(-) cells and even further decreased in pyk3(-)/phg2(-) cells. The reduced phosphorylation was mirrored by a significant delay in nuclear translocation of GFP-STATc. The protein tyrosine phosphatase 3 (PTP3), which dephosphorylates and inhibits STATc, is inhibited by stress-induced phosphorylation on S448 and S747. Use of phosphoserine specific antibodies showed that Phg2 but not Pyk3 is involved in the phosphorylation of PTP3 on S747. In pull-down assays Phg2 and PTP3 interact directly, suggesting that Phg2 phosphorylates PTP3 on S747 in vivo. Phosphorylation of S448 was unchanged in phg2(-) cells. We show that Phg2 and an, as yet unknown, S448 protein kinase are responsible for PTP3 phosphorylation and hence its inhibition, and that Pyk3 is involved in the regulation of STATc by either directly or indirectly activating it. Our results add further complexities to the regulation of STATc, which presumably ensure its optimal activation in response to different environmental cues

Paleophysical Oceanography with an Emphasis on Transport Rates

Paleophysical oceanography is the study of the behavior of the fluid ocean of the past, with a specific emphasis on its climate implications, leading to a focus on the general circulation. Even if the circulation is not of primary concern, heavy reliance on deep-sea cores for past climate information means that knowledge of the oceanic state when the sediments were laid down is a necessity. Like the modern problem, paleoceanography depends heavily on observations, and central difficulties lie with the very limited data types and coverage that are, and perhaps ever will be, available. An approximate separation can be made into static descriptors of the circulation (e.g., its water-mass properties and volumes) and the more difficult problem of determining transport rates of mass and other properties. Determination of the circulation of the Last Glacial Maximum is used to outline some of the main challenges to progress. Apart from sampling issues, major difficulties lie with physical interpretation of the proxies, transferring core depths to an accurate timescale (the “age-model problem”), and understanding the accuracy of time-stepping oceanic or coupled-climate models when run unconstrained by observations. Despite the existence of many plausible explanatory scenarios, few features of the paleocirculation in any period are yet known with certainty.National Science Foundation (U.S.) (grant OCE-0645936

Eddy-mediated transport of warm Circumpolar Deep Water across the Antarctic Shelf Break

The Antarctic Slope Front (ASF) modulates ventilation of the abyssal ocean via the export of dense Antarctic Bottom Water (AABW) and constrains shoreward transport of warm Circumpolar Deep Water (CDW) toward marine-terminating glaciers. Along certain stretches of the continental shelf, particularly where AABW is exported, density surfaces connect the shelf waters to the middepth Circumpolar Deep Water offshore, offering a pathway for mesoscale eddies to transport CDW directly onto the continental shelf. Using an eddy-resolving process model of the ASF, the authors show that mesoscale eddies can supply a dynamically significant transport of heat and mass across the continental shelf break. The shoreward transport of surface waters is purely wind driven, while the shoreward CDW transport is entirely due to mesoscale eddy transfer. The CDW flux is sensitive to all aspects of the model's surface forcing and geometry, suggesting that shoreward eddy heat transport may be localized to favorable sections of the continental slope