Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

The superluminous supernova PS1-11ap: bridging the gap between low and high redshift

We present optical photometric and spectroscopic coverage of the superluminous supernova (SLSN) PS1-11ap, discovered with the Pan-STARRS1 Medium Deep Survey at z = 0.524. This intrinsically blue transient rose slowly to reach a peak magnitude of Mu = −21.4 mag and bolometric luminosity of 8 × 1043 erg s−1 before settling on to a relatively shallow gradient of decline. The observed decline is significantly slower than those of the SLSNe-Ic which have been the focus of much recent attention. Spectroscopic similarities with the lower redshift SN2007bi and a decline rate similar to 56Co decay time-scale initially indicated that this transient could be a candidate for a pair instability supernova (PISN) explosion. Overall the transient appears quite similar to SN2007bi and the lower redshift object PTF12dam. The extensive data set, from 30 d before peak to 230 d after, allows a detailed and quantitative comparison with published models of PISN explosions. We find that the PS1-11ap data do not match these model explosion parameters well, supporting the recent claim that these SNe are not pair instability explosions. We show that PS1-11ap has many features in common with the faster declining SLSNe-Ic, and the light-curve evolution can also be quantitatively explained by the magnetar spin-down model. At a redshift of z = 0.524, the observer-frame optical coverage provides comprehensive rest-frame UV data and allows us to compare it with the SLSNe recently found at high redshifts between z = 2 and 4. While these high-z explosions are still plausible PISN candidates, they match the photometric evolution of PS1-11ap and hence could be counterparts to this lower redshift transient.

Rape Myths, Law, and Feminist Research: 'Myths About Myths?'

In an article recently published in the Oxford Journal of Legal Studies, the legal scholar Helen Reece argues that the prevalence and effects of rape myths have been overstated and the designation of certain beliefs and attitudes as myths is simply wrong. Feminist researchers, she argues, are engaged 'in a process of creating myths about myths' in a way that serves to close down and limit productive debate in this 'vexed' area. In this article we argue that Reece's analysis is methodologically flawed, crudely reductionist and rhetorically unyielding. We locate Reece's analysis within the wider theoretical field to show how her failure to engage with feminist literature on rape other than in the narrowest, most exclusionary terms, yields an approach which impedes rather than advances public understanding and panders to a kind of simplistic thinking which cannot begin to grapple with the complexity of the phenomenon that is rape. We conclude by emphasizing the continuing commitment of feminist researchers carefully to theorizing and (re)mapping the fraught field of progressive legal strategizing in order to identify and counter the kinds of risks and shortcomings of political activism with which Reece is rightly concerned.

Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.