Der Momentum-Effekt und Momentum-Handelsstrategien

Diese Arbeit weist Momentum-Renditen für europäische Aktien im Zeitraum von 1991 bis 2010 nach, die – je nach Top/Flop-Prozentsatz – vor Kosten zwischen 6 und 19% p.a. liegen. Gleichzeitig liegen mit hohen Standardabweichungen, negativen Schiefe-Werten und hohen Drawdowns drei wesentliche Risikofaktoren vor. Für die Kernuntersuchungen des Top/Flop-Wertes von 5% treten die höchsten Momentum-Renditen von mehr als 10% p.a. für Ranking-Perioden von 80 bis 100 und Holding-Perioden von 60 bis 90 Handelstagen auf. Grundsätzlich sind die extremsten Aktien der Ranking-Periode entscheidend für die Ausprägung des Momentum-Effekts. Gleichzeitig steigen mit zunehmender Eingrenzung des Top/Flop-Wertes die Risiken, was eine Erklärung hoher Momentum-Renditen aus Sicht der Risikoaversions-Theorie nahelegt. Auch die Berücksichtigung zusätzlicher Filterbedingungen (Gleitende Durchschnitte, Handelsvolumen, Low Volatility) ermöglicht leicht höhere Momentum-Renditen bei entsprechend höheren Risiken. Zwischen dem Momentum-Effekt und dem Auftreten von Kurslücken besteht dagegen kein klarer Zusammenhang. Für die praktische Anwendung sind Momentum-Strategien mit dynamischer Positionsverwaltung während der Haltedauer interessant. Untersucht wurden Strategien anhand der eigens programmierten Simulationsverfahren Stopout und Castout sowie eines kombinierten Verfahrens. Im Ergebnis sind – je nach Präferenz des Investors – das Castout- und das kombinierte Verfahren optimal. Für das Rebalancing der Portfolios empfiehlt es sich, zu den entsprechenden Terminen jeweils nur die Short-Seite auf den Startwert zurückzusetzen. Weiterhin zeigen die Untersuchungen, dass deutliche Long-Übergewichtungen bei Momentum-Strategien grundsätzlich von Vorteil sind. Potenzielle Verbesserungen der Ergebnisse können durch weitere Stopp-Abstände, eine Verringerung des Top/Flop-Wertes oder eine längere Ranking-Periode erzielt werden. Weiterhin sind für die Praxis Long-only-Strategien auf Basis von Doppelranking-Verfahren attraktiv, bei denen das Zweitranking nach Standardabweichung oder Rendite/Standardabweichungs-Ratio erfolgt.

The problem of two fixed centers: bifurcation diagram for positive energies

We give a comprehensive analysis of the Euler-Jacobi problem of motion in the field of two fixed centers with arbitrary relative strength and for positive values of the energy. These systems represent nontrivial examples of integrable dynamics and are analysed from the point of view of the energy-momentum mapping from the phase space to the space of the integration constants. In this setting, we describe the structure of the scattering trajectories in phase space and derive an explicit description of the bifurcation diagram, i.e., the set of critical value of the energy-momentum map.

Photodissociation dynamics of tert-butylnitrite following excitation to the S(1) and S(2) states. A study by velocity-map ion-imaging and 3D-REMPI spectroscopy

Excitation of tert-butylnitrite into the first and second UV absorption bands leads to efficient dissociation into the fragment radicals NO and tert-butoxy in their electronic ground states (2)Π and (2)E, respectively. Velocity distributions and angular anisotropies for the NO fragment in several hundred rotational and vibrational quantum states were obtained by velocity-map imaging and the recently developed 3D-REMPI method. Excitation into the well resolved vibronic progression bands (k = 0, 1, 2) of the NO stretch mode in the S(1) ← S(0) transition produces NO fragments mostly in the vibrational state with v = k, with smaller fractions in v = k - 1 and v = k - 2. It is concluded that dissociation occurs on the purely repulsive PES of S(1) without barrier. All velocity distributions from photolysis via the S(1)(nπ*) state are monomodal and show high negative anisotropy (β ≈ -1). The rotational distributions peak near j = 30.5 irrespective of the vibronic state S(1)(k) excited and the vibrational state v of the NO fragment. On average 46% of the excess energy is converted to kinetic energy, 23% and 31% remain as internal energy in the NO fragment and the t-BuO radical, respectively. Photolysis via excitation into the S(2) ← S(0) transition at 227 nm yields NO fragments with about equal populations in v = 0 and v = 1. The rotational distributions have a single maximum near j = 59.5. The velocity distributions are monomodal with positive anisotropy β ≈ 0.8. The average fractions of the excess energy distributed into translation, internal energy of NO, and internal energy of t-BuO are 39%, 23%, and 38%, respectively. In all cases ∼8500 cm(-1) of energy remain in the internal degrees of freedom of the t-BuO fragment. This is mostly assigned to rotational energy. An ab initio calculation of the dynamic reaction path shows that not only the NO fragment but also the t-BuO fragment gain large angular momentum during dissociation on the purely repulsive potential energy surface of S(2).

Design and modeling of optical fibers for spatial division multiplexing using the orbital angular momentum of light

Les besoins toujours croissants en terme de transfert de données numériques poussent au développement de nouvelles technologies pour accroître la capacité des réseaux, notamment en ce qui concerne les réseaux de fibre optique. Parmi ces nouvelles technologies, le multiplexage spatial permet de multiplier la capacité des liens optiques actuels. Nous nous intéressons particulièrement à une forme de multiplexage spatial utilisant le moment cinétique orbital de la lumière comme base orthogonale pour séparer un certain nombre de canaux. Nous présentons d’abord les notions d’électromagnétisme et de physique nécessaires à la compréhension des développements ultérieurs. Les équations de Maxwell sont dérivées afin d’expliquer les modes scalaires et vectoriels de la fibre optique. Nous présentons également d’autres propriétés modales, soit la coupure des modes, et les indices de groupe et de dispersion. La notion de moment cinétique orbital est ensuite introduite, avec plus particulièrement ses applications dans le domaine des télécommunications. Dans une seconde partie, nous proposons la carte modale comme un outil pour aider au design des fibres optiques à quelques modes. Nous développons la solution vectorielle des équations de coupure des modes pour les fibres en anneau, puis nous généralisons ces équations pour tous les profils de fibres à trois couches. Enfin, nous donnons quelques exemples d’application de la carte modale. Dans la troisième partie, nous présentons des designs de fibres pour la transmission des modes avec un moment cinétique orbital. Les outils développés dans la seconde partie sont utilisés pour effectuer ces designs. Un premier design de fibre, caractérisé par un centre creux, est étudié et démontré. Puis un second design, une famille de fibres avec un profil en anneau, est étudié. Des mesures d’indice effectif et d’indice de groupe sont effectuées sur ces fibres. Les outils et les fibres développés auront permis une meilleure compréhension de la transmission dans la fibre optique des modes ayant un moment cinétique orbital. Nous espérons que ces avancements aideront à développer prochainement des systèmes de communications performants utilisant le multiplexage spatial.

Transverse momentum dependence of eta meson suppression in Au plus Au collisions at root s(NN)=200 GeV

New measurements by the PHENIX experiment at the Relativistic Heavy Ion Collider for. production at midrapidity as a function of transverse momentum ((PT)) and collision centrality in root s(NN) = 200 GeV Au + Au and p + p collisions are presented. They indicate nuclear modification factors (R(AA)) which are similar in both magnitude and trend to those found in earlier pi(0) measurements. Linear fits to R(AA) as a function of (PT) in 5-20 GeV/c show that the slope is consistent with zero within two standard deviations at all centralities, although a slow rise cannot be excluded. Having different statistical and systematic uncertainties, the pi(0) and eta measurements are complementary at high (PT); thus, along with the extended (PT) range of these data they can provide additional constraints for theoretical modeling and the extraction of transport properties.

Transverse momentum dependence of J/psi polarization at midrapidity in p plus p collisions at root s=200 GeV

We report the measurement of the transverse momentum dependence of inclusive J/psi polarization in p + p collisions at root s = 200 GeV performed by the PHENIX Experiment at the Relativistic Heavy Ion Collider. The J/psi polarization is studied in the helicity, Gottfried-Jackson, and Collins-Soper frames for p(T) < 5 GeV/c and vertical bar y vertical bar < 0.35. The polarization in the helicity and Gottfried-Jackson frames is consistent with zero for all transverse momenta, with a slight (1.8 sigma) trend towards longitudinal polarization for transverse momenta above 2 GeV/c. No conclusion is allowed due to the limited acceptance in the Collins-Soper frame and the uncertainties of the current data. The results are compared to observations for other collision systems and center of mass energies and to different quarkonia production models.

Measurement of Bottom Versus Charm as a Function of Transverse Momentum with Electron-Hadron Correlations in p plus p Collisions at s=200 GeV

The momentum distribution of electrons from semileptonic decays of charm and bottom quarks for midrapidity |y|< 0.35 in p+p collisions at s=200 GeV is measured by the PHENIX experiment at the Relativistic Heavy Ion Collider over the transverse momentum range 2 < p(T)< 7 GeV/c. The ratio of the yield of electrons from bottom to that from charm is presented. The ratio is determined using partial D/D -> e(+/-)K(-/+)X (K unidentified) reconstruction. It is found that the yield of electrons from bottom becomes significant above 4 GeV/c in p(T). A fixed-order-plus-next-to-leading-log perturbative quantum chromodynamics calculation agrees with the data within the theoretical and experimental uncertainties. The extracted total bottom production cross section at this energy is sigma(bb)=3.2(-1.1)(+1.2)(stat)(-1.3)(+1.4)(syst)mu b.

Suppression Pattern of Neutral Pions at High Transverse Momentum in Au plus Au Collisions at root S(NN)=200 GeV and Constraints on Medium Transport Coefficients

For Au + Au collisions at 200 GeV, we measure neutral pion production with good statistics for transverse momentum, p(T), up to 20 GeV/c. A fivefold suppression is found, which is essentially constant for 5 < p(T) < 20 GeV/c. Experimental uncertainties are small enough to constrain any model-dependent parametrization for the transport coefficient of the medium, e. g., <(q) over cap > in the parton quenching model. The spectral shape is similar for all collision classes, and the suppression does not saturate in Au + Au collisions.

Quantitative constraints on the transport properties of hot partonic matter from semi-inclusive single high transverse momentum pion suppression in Au plus Au collisions at root S(NN)=200 GeV

The PHENIX experiment has measured the suppression of semi-inclusive single high-transverse-momentum pi(0)'s in Au+Au collisions at root s(NN) = 200 GeV. The present understanding of this suppression is in terms of energy loss of the parent (fragmenting) parton in a dense color-charge medium. We have performed a quantitative comparison between various parton energy-loss models and our experimental data. The statistical point-to-point uncorrelated as well as correlated systematic uncertainties are taken into account in the comparison. We detail this methodology and the resulting constraint on the model parameters, such as the initial color-charge density dN(g)/dy, the medium transport coefficient <(q) over cap >, or the initial energy-loss parameter epsilon(0). We find that high-transverse-momentum pi(0) suppression in Au+Au collisions has sufficient precision to constrain these model-dependent parameters at the +/- 20-25% (one standard deviation) level. These constraints include only the experimental uncertainties, and further studies are needed to compute the corresponding theoretical uncertainties.

Transverse momentum and centrality dependence of dihadron correlations in Au plus Au collisions at root s(NN)=200 GeV: Jet quenching and the response of partonic matter

Azimuthal angle (Delta phi) correlations are presented for charged hadrons from dijets for 0.4 < p(T)< 10 GeV/c in Au+Au collisions at root s(NN)=200 GeV. With increasing p(T), the away-side distribution evolves from a broad and relatively flat shape to a concave shape, then to a convex shape. Comparisons to p+p data suggest that the away-side can be divided into a partially suppressed ""head"" region centered at Delta phi similar to pi and an enhanced ""shoulder"" region centered at Delta phi similar to pi +/- 1.1. The p(T) spectrum for the head region softens toward central collisions, consistent with the onset of jet quenching. The spectral slope for the shoulder region is independent of centrality and trigger p(T), which offers constraints on energy transport mechanisms and suggests that it contains the medium response to energetic jets.

Inclusive pi(0), eta, and direct photon production at high transverse momentum in p plus p and d plus Au collisions at root s(NN)=200 GeV

We report a measurement of high-p(T) inclusive pi(0), eta, and direct photon production in p + p and d + Au collisions at root s(NN) = 200 GeV at midrapidity (0 < eta < 1). Photons from the decay pi(0) -> gamma gamma were detected in the barrel electromagnetic calorimeter of the STAR experiment at the Relativistic Heavy Ion Collider. The eta -> gamma gamma decay was also observed and constituted the first eta measurement by STAR. The first direct photon cross-section measurement by STAR is also presented; the signal was extracted statistically by subtracting the pi(0), eta, and omega(782) decay background from the inclusive photon distribution observed in the calorimeter. The analysis is described in detail, and the results are found to be in good agreement with earlier measurements and with next-to-leading-order perturbative QCD calculations.

One-loop energy-momentum tensor in QED with electriclike background

We have obtained nonperturbative one-loop expressions for the mean-energy-momentum tensor and current density of Dirac's field on a constant electriclike back-round. One of the goals of this calculation is to give a consistent description of backreaction in such a theory. Two cases of initial states are considered: the vacuum state and the thermal equilibrium state. First, we perform calculations for the vacuum initial state. In the obtained expressions, we separate the contributions due to particle creation and vacuum polarization. The latter contribution,, are related to the Heisenberg-Euler Lagrangian. Then, we Study the case of the thermal initial state. Here, we separate the contributions due to particle creation, vacuum polarization, and the contributions due to the work of the external field on the particles at the initial state. All these contributions are studied in detail, in different regimes of weak and strong fields and low and high temperatures. The obtained results allow us to establish restrictions on the electric field and its duration under which QED with a strong constant electric field is consistent. Under such restrictions, one can neglect the backreaction of particles created by the electric field. Some of the obtained results generalize the calculations of Heisenberg-Euler for energy density to the case of arbitrary strong electric fields.

Low dimensional behavior in three-dimensional coupled map lattices

The analysis of one-, two-, and three-dimensional coupled map lattices is here developed under a statistical and dynamical perspective. We show that the three-dimensional CML exhibits low dimensional behavior with long range correlation and the power spectrum follows 1/f noise. This approach leads to an integrated understanding of the most important properties of these universal models of spatiotemporal chaos. We perform a complete time series analysis of the model and investigate the dependence of the signal properties by change of dimension. (c) 2008 Elsevier Ltd. All rights reserved.

Tick saliva induces regulatory dendritic cells: MAP-kinases and Toll-like receptor-2 expression as potential targets

Ticks (Acari: Ixodidae) are bloodsucking ectoparasitic arthropods of human and veterinary medical importance. Tick saliva has been shown to contain a wide range of bioactive molecules with vasodilatory, antihemostatic, and immunomodulatory activities. We have previously demonstrated that saliva from Rhipicephalus sanguineus ticks inhibits the maturation of dendritic cells (DCs) stimulated with LPS. Here we examined the mechanism of this immune subversion, evaluating the effect of tick saliva on Toll-like receptor (TLR)-4 signalling pathway in bone marrow-derived DCs. We demonstrated that R. sanguineus tick saliva impairs maturation of DCs stimulated with LIPS, a TLR-4 ligand, leading to increased production of interleukin (IL)-10 and reduced synthesis of IL-12p70 and TNF-alpha. The immunomodulatory effect of the tick saliva on the production of pro-inflammatory cytokines by DCs stimulated with LPS was associated with the observation that tick saliva inhibits the activation of the ERK 1/2 and p38 MAP kinases. These effects were independent of the expression of TLR-4 on the surface of DCs. Additionally, saliva-treated DCs also presented a similar pattern of cytokine modulation in response to other TLR ligands. Since the recent literature reports that several parasites evade immune responses through TLR-2-mediated production of IL-10, we evaluated the effect of tick saliva on the percentage of TLR-2(+) DCs stimulated with the TLR-2 ligand lipoteicoic acid (LTA). The data showed that the population of DCs expressing TLR-2 was significantly increased in DCs treated with LTA plus saliva. In addition, tick saliva alone increased the expression of TLR-2 in a dose- and time-dependent manner. Our data suggest that tick saliva induces regulatory DCs, which secrete IL-10 and low levels of IL-12 and TNF-alpha when stimulated by TLR ligands. Such regulatory DCs are associated with expression of TLR-2 and inhibition of ERK and p38, which promotes the production of IL-10 and thus down-modulates the host`s immune response, possibly favouring susceptibility to tick infestations. (C) 2009 Elsevier B.V. All rights reserved.