The Shape of the Risk Premium: Evidence from a Semiparametric Garch Model.

We examine the relationship between the risk premium on the S&P 500 index return and its conditional variance. We use the SMEGARCH - Semiparametric-Mean EGARCH - model in which the conditional variance process is EGARCH while the conditional mean is an arbitrary function of the conditional variance. For monthly S&P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect, as documented by others. Moreover, the shape of these relationships seems to be relatively stable over time.

Magnetic phase separation in ordered alloys

We present a lattice model to study the equilibrium phase diagram of ordered alloys with one magnetic component that exhibits a low temperature phase separation between paramagnetic and ferromagnetic phases. The model is constructed from the experimental facts observed in Cu3-xAlMnx and it includes coupling between configurational and magnetic degrees of freedom that are appropriate for reproducing the low temperature miscibility gap. The essential ingredient for the occurrence of such a coexistence region is the development of ferromagnetic order induced by the long-range atomic order of the magnetic component. A comparative study of both mean-field and Monte Carlo solutions is presented. Moreover, the model may enable the study of the structure of ferromagnetic domains embedded in the nonmagnetic matrix. This is relevant in relation to phenomena such as magnetoresistance and paramagnetism

Electron-Nuclear Correlation in Laser-Driven Diatomic Molecules

The interaction of short intense laser pulses with atoms/molecules produces a multitude of highly nonlinear processes requiring a non-perturbative treatment. Detailed study of these highly nonlinear processes by numerically solving the time-dependent Schrodinger equation becomes a daunting task when the number of degrees of freedom is large. Also the coupling between the electronic and nuclear degrees of freedom further aggravates the computational problems. In the present work we show that the time-dependent Hartree (TDH) approximation, which neglects the correlation effects, gives unreliable description of the system dynamics both in the absence and presence of an external field. A theoretical framework is required that treats the electrons and nuclei on equal footing and fully quantum mechanically. To address this issue we discuss two approaches, namely the multicomponent density functional theory (MCDFT) and the multiconfiguration time-dependent Hartree (MCTDH) method, that go beyond the TDH approximation and describe the correlated electron-nuclear dynamics accurately. In the MCDFT framework, where the time-dependent electronic and nuclear densities are the basic variables, we discuss an algorithm to calculate the exact Kohn-Sham (KS) potentials for small model systems. By simulating the photodissociation process in a model hydrogen molecular ion, we show that the exact KS potentials contain all the many-body effects and give an insight into the system dynamics. In the MCTDH approach, the wave function is expanded as a sum of products of single-particle functions (SPFs). The MCTDH method is able to describe the electron-nuclear correlation effects as the SPFs and the expansion coefficients evolve in time and give an accurate description of the system dynamics. We show that the MCTDH method is suitable to study a variety of processes such as the fragmentation of molecules, high-order harmonic generation, the two-center interference effect, and the lochfrass effect. We discuss these phenomena in a model hydrogen molecular ion and a model hydrogen molecule. Inclusion of absorbing boundaries in the mean-field approximation and its consequences are discussed using the model hydrogen molecular ion. To this end, two types of calculations are considered: (i) a variational approach with a complex absorbing potential included in the full many-particle Hamiltonian and (ii) an approach in the spirit of time-dependent density functional theory (TDDFT), including complex absorbing potentials in the single-particle equations. It is elucidated that for small grids the TDDFT approach is superior to the variational approach.

Axonal velocity distributions in neural feld equations

By modelling the average activity of large neuronal populations, continuum mean field models (MFMs) have become an increasingly important theoretical tool for understanding the emergent activity of cortical tissue. In order to be computationally tractable, long-range propagation of activity in MFMs is often approximated with partial differential equations (PDEs). However, PDE approximations in current use correspond to underlying axonal velocity distributions incompatible with experimental measurements. In order to rectify this deficiency, we here introduce novel propagation PDEs that give rise to smooth unimodal distributions of axonal conduction velocities. We also argue that velocities estimated from fibre diameters in slice and from latency measurements, respectively, relate quite differently to such distributions, a significant point for any phenomenological description. Our PDEs are then successfully fit to fibre diameter data from human corpus callosum and rat subcortical white matter. This allows for the first time to simulate long-range conduction in the mammalian brain with realistic, convenient PDEs. Furthermore, the obtained results suggest that the propagation of activity in rat and human differs significantly beyond mere scaling. The dynamical consequences of our new formulation are investigated in the context of a well known neural field model. On the basis of Turing instability analyses, we conclude that pattern formation is more easily initiated using our more realistic propagator. By increasing characteristic conduction velocities, a smooth transition can occur from self-sustaining bulk oscillations to travelling waves of various wavelengths, which may influence axonal growth during development. Our analytic results are also corroborated numerically using simulations on a large spatial grid. Thus we provide here a comprehensive analysis of empirically constrained activity propagation in the context of MFMs, which will allow more realistic studies of mammalian brain activity in the future.

Zonal-mean dynamics of extended recoveries from stratospheric sudden warmings

The recovery of the Arctic polar vortex following stratospheric sudden warmings is found to take upward of 3 months in a particular subset of cases, termed here polar-night jet oscillation (PJO) events. The anomalous zonal-mean circulation above the pole during this recovery is characterized by a persistently warm lower stratosphere, and above this a cold midstratosphere and anomalously high stratopause, which descends as the event unfolds. Composites of these events in the Canadian Middle Atmosphere Model show the persistence of the lower-stratospheric anomaly is a result of strongly suppressed wave driving and weak radiative cooling at these heights. The upper-stratospheric and lower-mesospheric anomalies are driven immediately following the warming by anomalous planetary-scale eddies, following which, anomalous parameterized nonorographic and orographic gravity waves play an important role. These details are found to be robust for PJO events (as opposed to sudden warmings in general) in that many details of individual PJO events match the composite mean. Azonal-mean quasigeostrophic model on the sphere is shown to reproduce the response to the thermal and mechanical forcings produced during a PJO event. The former is well approximated by Newtonian cooling. The response can thus be considered as a transient approach to the steady-state, downward control limit. In this context, the time scale of the lower-stratospheric anomaly is determined by the transient, radiative response to the extended absence of wave driving. The extent to which the dynamics of the wave-driven descent of the stratopause can be considered analogous to the descending phases of the quasi-biennial oscillation (QBO) is also discussed.

Self-organized 40Hz synchronization in a physiological theory of EEG

We present evidence that large-scale spatial coherence of 40 Hz oscillations can emerge dynamically in a cortical mean field theory. The simulated synchronization time scale is about 150 ms, which compares well with experimental data on large-scale integration during cognitive tasks. The same model has previously provided consistent descriptions of the human EEG at rest, with tranquilizers, under anesthesia, and during anesthetic-induced epileptic seizures. The emergence of coherent gamma band activity is brought about by changing just one physiological parameter until cortex becomes marginally unstable for a small range of wavelengths. This suggests for future study a model of dynamic computation at the edge of cortical stability.

Understanding the effects of anesthetic agents on the EEG through neural field theory

Anesthetic and analgesic agents act through a diverse range of pharmacological mechanisms. Existing empirical data clearly shows that such "microscopic" pharmacological diversity is reflected in their "macroscopic" effects on the human electroencephalogram (EEG). Based on a detailed mesoscopic neural field model we theoretically posit that anesthetic induced EEG activity is due to selective parametric changes in synaptic efficacy and dynamics. Specifically, on the basis of physiologically constrained modeling, it is speculated that the selective modification of inhibitory or excitatory synaptic activity may differentially effect the EEG spectrum. Such results emphasize the importance of neural field theories of brain electrical activity for elucidating the principles whereby pharmacological agents effect the EEG. Such insights will contribute to improved methods for monitoring depth of anesthesia using the EEG.

A self-similar expansion model for use in solar wind transient propogation studies

Since the advent of wide-angle imaging of the inner heliosphere, a plethora of techniques have been developed to investigate the three-dimensional structure and kinematics of solar wind transients, such as coronal mass ejections, from their signatures in single- and multi-spacecraft imaging observations. These techniques, which range from the highly complex and computationally intensive to methods based on simple curve fitting, all have their inherent advantages and limitations. In the analysis of single-spacecraft imaging observations, much use has been made of the fixed φ fitting (FPF) and harmonic mean fitting (HMF) techniques, in which the solar wind transient is considered to be a radially propagating point source (fixed φ, FP, model) and a radially expanding circle anchored at Sun centre (harmonic mean, HM, model), respectively. Initially, we compare the radial speeds and propagation directions derived from application of the FPF and HMF techniques to a large set of STEREO/Heliospheric Imager (HI) observations. As the geometries on which these two techniques are founded constitute extreme descriptions of solar wind transients in terms of their extent along the line of sight, we describe a single-spacecraft fitting technique based on a more generalized model for which the FP and HM geometries form the limiting cases. In addition to providing estimates of a transient’s speed and propagation direction, the self-similar expansion fitting (SSEF) technique provides, in theory, the capability to estimate the transient’s angular extent in the plane orthogonal to the field of view. Using the HI observations, and also by performing a Monte Carlo simulation, we assess the potential of the SSEF technique.

Modelling the rheology of sea ice as a collection of diamond-shaped floes

In polar oceans, seawater freezes to form a layer of sea ice of several metres thickness that can cover up to 8% of the Earth’s surface. The modelled sea ice cover state is described by thickness and orientational distribution of interlocking, anisotropic diamond-shaped ice floes delineated by slip lines, as supported by observation. The purpose of this study is to develop a set of equations describing the mean-field sea ice stresses that result from interactions between the ice floes and the evolution of the ice floe orientation, which are simple enough to be incorporated into a climate model. The sea ice stress caused by a deformation of the ice cover is determined by employing an existing kinematic model of ice floe motion, which enables us to calculate the forces acting on the ice floes due to crushing into and sliding past each other, and then by averaging over all possible floe orientations. We describe the orientational floe distribution with a structure tensor and propose an evolution equation for this tensor that accounts for rigid body rotation of the floes, their apparent re-orientation due to new slip line formation, and change of shape of the floes due to freezing and melting. The form of the evolution equation proposed is motivated by laboratory observations of sea ice failure under controlled conditions. Finally, we present simulations of the evolution of sea ice stress and floe orientation for several imposed flow types. Although evidence to test the simulations against is lacking, the simulations seem physically reasonable.

Dependence of convective flows and particle precipitation in the high-latitude dayside ionosphere on theXandYcomponents of the interplanetary magnetic field

The asymmetries in the convective flows, current systems, and particle precipitation in the high-latitude dayside ionosphere which are related to the equatorial plane components of the interplanetary magnetic field (IMF) are discussed in relation to the results of several recent observational studies. It is argued that all of the effects reported to date which are ascribed to the y component of the IMF can be understood, at least qualitatively, in terms of a simple theoretical picture in which the effects result from the stresses exerted on the magnetosphere consequent on the interconnection of terrestrial and interplanetary fields. In particular, relaxation under the action of these stresses allows, in effect, a partial penetration of the IMF into the magnetospheric cavity, such that the sense of the expected asymmetry effects on closed field lines can be understood, to zeroth order, in terms of the “dipole plus uniform field” model. In particular, in response to IMF By, the dayside cusp should be displaced in longitude about noon in the same sense as By in the northern hemisphere, and in the opposite sense to By in the southern hemisphere, while simultaneously the auroral oval as a whole should be shifted in the dawn-dusk direction in the opposite sense with respect to By. These expected displacements are found to be consistent with recently published observations. Similar considerations lead to the suggestion that the auroral oval may also undergo displacements in the noon-midnight direction which are associated with the x component of the IMF. We show that a previously published study of the position of the auroral oval contains strong initial evidence for the existence of this effect. However, recent results on variations in the latitude of the cusp are more ambiguous. This topic therefore requires further study before definitive conclusions can be drawn.

The tensor-kinetic field in nuclear collisions

The role of the tensor terms in the Skyrme interaction is studied for their effect in dynamic calculations where non-zero contributions to the mean-field may arise, even when the starting nucleus, or nuclei are even-even and have no active time-odd potentials in the ground state. We study collisions in the test-bed 16O-16O system, and give a qualitative analysis of the behaviour of the time-odd tensor-kinetic density, which only appears in the mean field Hamiltonian in the presence of the tensor force. We find an axial excitation of this density is induced by a collision.

Intercomparison and validation of the mixed layer depth fields of global ocean syntheses

Intercomparison and evaluation of the global ocean surface mixed layer depth (MLD) fields estimated from a suite of major ocean syntheses are conducted. Compared with the reference MLDs calculated from individual profiles, MLDs calculated from monthly mean and gridded profiles show negative biases of 10–20 m in early spring related to the re-stratification process of relatively deep mixed layers. Vertical resolution of profiles also influences the MLD estimation. MLDs are underestimated by approximately 5–7 (14–16) m with the vertical resolution of 25 (50) m when the criterion of potential density exceeding the 10-m value by 0.03 kg m−3 is used for the MLD estimation. Using the larger criterion (0.125 kg m−3) generally reduces the underestimations. In addition, positive biases greater than 100 m are found in wintertime subpolar regions when MLD criteria based on temperature are used. Biases of the reanalyses are due to both model errors and errors related to differences between the assimilation methods. The result shows that these errors are partially cancelled out through the ensemble averaging. Moreover, the bias in the ensemble mean field of the reanalyses is smaller than in the observation-only analyses. This is largely attributed to comparably higher resolutions of the reanalyses. The robust reproduction of both the seasonal cycle and interannual variability by the ensemble mean of the reanalyses indicates a great potential of the ensemble mean MLD field for investigating and monitoring upper ocean processes.

VELOCITY FIELD OF COMPRESSIBLE MAGNETOHYDRODYNAMIC TURBULENCE: WAVELET DECOMPOSITION AND MODE SCALINGS

We study compressible magnetohydrodynamic turbulence, which holds the key to many astrophysical processes, including star formation and cosmic-ray propagation. To account for the variations of the magnetic field in the strongly turbulent fluid, we use wavelet decomposition of the turbulent velocity field into Alfven, slow, and fast modes, which presents an extension of the Cho & Lazarian decomposition approach based on Fourier transforms. The wavelets allow us to follow the variations of the local direction of the magnetic field and therefore improve the quality of the decomposition compared to the Fourier transforms, which are done in the mean field reference frame. For each resulting component, we calculate the spectra and two-point statistics such as longitudinal and transverse structure functions as well as higher order intermittency statistics. In addition, we perform a Helmholtz-Hodge decomposition of the velocity field into incompressible and compressible parts and analyze these components. We find that the turbulence intermittency is different for different components, and we show that the intermittency statistics depend on whether the phenomenon was studied in the global reference frame related to the mean magnetic field or in the frame defined by the local magnetic field. The dependencies of the measures we obtained are different for different components of the velocity; for instance, we show that while the Alfven mode intermittency changes marginally with the Mach number, the intermittency of the fast mode is substantially affected by the change.

An extinction-survival-type phase transition in the probabilistic cellular automaton p182-q200

We investigate the critical behaviour of a probabilistic mixture of cellular automata (CA) rules 182 and 200 (in Wolfram`s enumeration scheme) by mean-field analysis and Monte Carlo simulations. We found that as we switch off one CA and switch on the other by the variation of the single parameter of the model, the probabilistic CA (PCA) goes through an extinction-survival-type phase transition, and the numerical data indicate that it belongs to the directed percolation universality class of critical behaviour. The PCA displays a characteristic stationary density profile and a slow, diffusive dynamics close to the pure CA 200 point that we discuss briefly. Remarks on an interesting related stochastic lattice gas are addressed in the conclusions.

Reversible and irreversible magnetization components behavior in Ni nanowires

Polycrystalline Ni nanowires were electrodeposited in nanoporous anodized alumina membranes with mean diameter of approximately 42 nm. Their magnetic properties were studied at 300 K, by measurements of recoil curves from demagnetized state and also from saturated state. M(rev) and M(irr) components were obtained and M(rev)(M(irr)) H curves were constructed from the experimental data. These curves showed a behavior that suggests a non-uniform reversal mode influenced by the presence of dipolar interactions in the system. A qualitative approach to this behavior is obtained using a Stoner-Wohlfarth model modified by a mean field term and local interaction fields. (C) 2008 Elsevier B.V. All rights reserved.