Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Bird diversity and environmental gradients in Britain:a test of the species-energy hypothesis

1. We tested the species diversity-energy hypothesis using the British bird fauna. This predicts that temperature patterns should match diversity patterns. We also tested the hypothesis that the mechanism operates directly through effects of temperature on thermoregulatory loads; this further predicts that seasonal changes in temperature cause matching changes in patterns of diversity, and that species' body mass is influential.

2. We defined four assemblages using migration status (residents or visitors) and season (summer or winter distribution). Records of species' presence/absence in a total of 2362, 10 x 10-km, quadrats covering most of Britain were used, together with a wide selection of habitat, topographic and seasonal climatic data.

3. We fitted a logistic regression model to each species' distribution using the environmental data. We then combined these individual species models mathematically to form a diversity model. Analysis of this composite model revealed that summer temperature was the factor most strongly associated with diversity.

4. Although the species-energy hypothesis was supported, the direct mechanism, predicting an important role for body mass and matching seasonal patterns of change between diversity and temperature, was not supported.

5. However, summer temperature is the best overall explanation for bird diversity patterns in Britain. It is a better predictor of winter diversity than winter temperature. Winter diversity is predicted more precisely from environmental factors than summer diversity.

6. Climate change is likely to influence the diversity of different areas to different extents; for resident species, low diversity areas may respond more strongly as climate change progresses. For winter visitors, higher diversity areas may respond more strongly, while summer visitors are approximately neutral.

Managing the variability of supply in the European power system with high wind energy penetration

The power system of the future will have a hierarchical structure created by layers of system control from via regional high-voltage transmission through to medium and low-voltage distribution. Each level will have generation sources such as large-scale offshore wind, wave, solar thermal, nuclear directly connected to this Supergrid and high levels of embedded generation, connected to the medium-voltage distribution system. It is expected that the fuel portfolio will be dominated by offshore wind in Northern Europe and PV in Southern Europe. The strategies required to manage the coordination of supply-side variability with demand-side variability will include large scale interconnection, demand side management, load aggregation and storage in the concept of the Supergrid combined with the Smart Grid. The design challenge associated with this will not only include control topology, data acquisition, analysis and communications technologies, but also the selection of fuel portfolio at a macro level. This paper quantifies the amount of demand side management, storage and so-called ‘back-up generation’ needed to support an 80% renewable energy portfolio in Europe by 2050.

Special condition wind power forecasting based on Gaussian process and similar historical data

Due to the variability of wind power, it is imperative to accurately and timely forecast the wind generation to enhance the flexibility and reliability of the operation and control of real-time power. Special events such as ramps, spikes are hard to predict with traditional methods using solely recently measured data. In this paper, a new Gaussian Process model with hybrid training data taken from both the local time and historic dataset is proposed and applied to make short-term predictions from 10 minutes to one hour ahead. A key idea is that the similar pattern data in history are properly selected and embedded in Gaussian Process model to make predictions. The results of the proposed algorithms are compared to those of standard Gaussian Process model and the persistence model. It is shown that the proposed method not only reduces magnitude error but also phase error.

Cross-layer Energy-Efficiency Optimization of Packet Based Wireless MIMO Communication Systems

Energy in today's short-range wireless communication is mostly spent on the analog- and digital hardware rather than on radiated power. Hence,purely information-theoretic considerations fail to achieve the lowest energy per information bit and the optimization process must carefully consider the overall transceiver. In this paper, we propose to perform cross-layer optimization, based on an energy-aware rate adaptation scheme combined with a physical layer that is able to properly adjust its processing effort to the data rate and the channel conditions to minimize the energy consumption per information bit. This energy proportional behavior is enabled by extending the classical system modes with additional configuration parameters at the various layers. Fine grained models of the power consumption of the hardware are developed to provide awareness of the physical layer capabilities to the medium access control layer. The joint application of the proposed energy-aware rate adaptation and modifications to the physical layer of an IEEE802.11n system, improves energy-efficiency (averaged over many noise and channel realizations) in all considered scenarios by up to 44%.

Iso-Quality of Service: Fairly Ranking Servers for Real-Time Data Analytics

We present a mathematically rigorous Quality-of-Service (QoS) metric which relates the achievable quality of service metric (QoS) for a real-time analytics service to the server energy cost of offering the service. Using a new iso-QoS evaluation methodology, we scale server resources to meet QoS targets and directly rank the servers in terms of their energy-efficiency and by extension cost of ownership. Our metric and method are platform-independent and enable fair comparison of datacenter compute servers with significant architectural diversity, including micro-servers. We deploy our metric and methodology to compare three servers running financial option pricing workloads on real-life market data. We find that server ranking is sensitive to data inputs and desired QoS level and that although scale-out micro-servers can be up to two times more energy-efficient than conventional heavyweight servers for the same target QoS, they are still six times less energy efficient than high-performance computational accelerators.

Energy levels, radiative rates and lifetimes for transitions in Br-like ions with 38 ≤ Z ≤ 42

Energy levels and radiative rates for transitions in five Br-like ions (Sr IV, Y V, Zr VI, Nb VII and Mo VIII) are calculated with the general-purpose relativistic atomic structure package (GRASP). Extensive configuration interaction has been included and results are presented among the lowest 31 levels of the 4s²4p⁵, 4s²4p⁴4d and 4s4p⁶ configurations. Lifetimes for these levels have also been determined, although unfortunately no measurements are available with which to compare. However, recently theoretical results have been reported by Singh et al (2013 Phys. Scr. 88 035301) using the same GRASP code. But their reported data for radiative rates and lifetimes cannot be reproduced and show discrepancies of up to five orders of magnitude with the present calculations.

Energy levels, radiative rates, and lifetimes for transitions in W LVIII

Energy levels and radiative rates are reported for transitions in Cl-like W LVIII. Configuration interaction (CI) has been included among 44 configurations (generating 4978 levels) over a wide energy range up to 363 Ryd, and the general-purpose relativistic atomic structure package (grasp) adopted for the calculations. Since no other results of comparable complexity are available, calculations have also been performed with the flexible atomic code (fac), which help in assessing the accuracy of our results. Energies are listed for the lowest 400 levels (with energies up to ~98 Ryd), which mainly belong to the 3s²3p⁵, 3s3p⁶, 3s²3p⁴3d, 3s²3p³3d², 3s3p⁴3d², 3s²3p²3d³, and 3p⁶3d configurations, and radiative rates are provided for four types of transitions, i.e.E1, E2, M1, and M2. Our energy levels are assessed to be accurate to better than 0.5%, whereas radiative rates (and lifetimes) should be accurate to better than 20% for a majority of the strong transitions.

Energy levels, radiative rates, and lifetimes for transitions in W XL

Energy levels and radiative rates are reported for transitions in Br-like tungsten, W XL, calculated with the general-purpose relativistic atomic structure package (grasp). Configuration interaction (CI) has been included among 46 configurations (generating 4215 levels) over a wide energy range up to 213 Ryd. However, for conciseness results are only listed for the lowest 360 levels (with energies up to ~43 Ryd), which mainly belong to the 4s²4p⁵,4s²4p⁴4d,4s²4p⁴4f,4s4p⁶,4p⁶4d,4s4p⁵4d,4s²4p³4d², and 4s²4p³4d4f configurations, and provided for four types of transitions, E1, E2, M1, and M2. Comparisons are made with existing (but limited) results. However, to fully assess the accuracy of our data, analogous calculations have been performed with the flexible atomic code, including an even larger CI than in grasp. Our energy levels are estimated to be accurate to better than 0.02 Ryd, whereas results for radiative rates (and lifetimes) should be accurate to better than 20% for a majority of the strong transitions.

Energy levels, radiative rates and electron impact excitation rates for transitions in AlX

Energy levels, radiative rates and lifetimes are calculated among the lowest 98 levels of the n ≤4 configurations of Be-like Al X. The GRASP (General-purpose Relativistic Atomic Structure Package) is adopted and data are provided for all E1, E2, M1 and M2 transitions. Similar data are also obtained with the FAC (Flexible Atomic Code) to assess the accuracy of the calculations. Based on comparisons between calculations with the two codes as well as with available measurements, our listed energy levels are assessed to be accurate to better than 0.3 per cent. However, the accuracy for radiative rates and lifetimes is estimated to be about 20 per cent. Collision strengths are also calculated for which the DARC (Dirac Atomic R-matrix Code) is used. A wide energy range (up to 380 Ryd) is considered and resonances resolved in a fine energy mesh in the thresholds region. The collision strengths are subsequently averaged over a Maxwellian velocity distribution to determine effective collision strengths up to a temperature of 1.6 × 10⁷ K. Our results are compared with the previous (limited) atomic data and significant differences (up to a factor of 4) are noted for several transitions, particularly those which are not allowed in jj coupling. 

Energy levels, radiative rates and electron impact excitation rates for transitions in Si II

Energies for the lowest 56 levels, belonging to the 3s² 3p, 3s 3p², 3p³, 3s² 3d, 3s 3p 3d, 3s² 4ℓ and 3s² 5ℓ configurations of Si II, are calculated using the General-purpose Relativistic Atomic Structure Package (GRASP) code. Analogous calculations have also been performed (for up to 175 levels) using the FlexibleAtomicCode (FAC). Furthermore, radiative rates are calculated for all E1, E2, M1 and M2 transitions. Extensive comparisons are made with available theoretical and experimental energy levels, and the accuracy of the present results is assessed to be better than 0.1Ryd. Similarly, the accuracy for radiative rates (and subsequently lifetimes) is estimated to be better than 20 per cent for most of the (strong) transitions. Electron impact excitation collision strengths are also calculated, with the Dirac Atomic R-matrix Code (DARC), over a wide energy range up to 13 Ryd. Finally, to determine effective collision strengths, resonances are resolved in a fine energy mesh in the thresholds region. These collision strengths are averaged over a Maxwellian velocity distribution and results listed over a wide range of temperatures, up to 10^5.5 K. Our data are compared with earlier R-matrix calculations and differences noted, up to a factor of 2, for several transitions. Although scope remains for improvement, the accuracy for our results of collision strengths and effective collision strengths is assessed to be about 20 per cent for a majority of transitions. 

Comment on "multiconfiguration Dirac-Fock energy levels and radiative rates for Br-like tungsten" by S. Aggarwal, A.K.S. Jha, and M. Mohan [Can. J. Phys. 91, 394 (2013)]

We report calculations of energy levels and oscillator strengths for transitions in W XL, undertaken with the general-purpose relativistic atomic structure package (GRASP) and flexible atomic code (FAC). Comparisons are made with existing results and the accuracy of the data is assessed. Discrepancies with the most recent results of S. Aggarwal et al. (Can. J. Phys. 91, 394 (2013)) are up to 0.4 Ryd and up to two orders of magnitude for energy levels and oscillator strengths, respectively. Discrepancies for lifetimes are even larger, up to four orders of magnitude for some levels. Our energy levels are estimated to be accurate to better than 0.5% (i.e., 0.2 Ryd), whereas results for oscillator strengths and lifetimes should be accurate to better than 20%.

Energy levels and radiative rates for transitions in Ti VII

We report calculations of energy levels, radiative rates, oscillator strengths and line strengths for transitions among the lowest 231 levels of Ti VII. The general-purpose relativistic atomic structure package and flexible atomic code are adopted for the calculations. Radiative rates, oscillator strengths and line strengths are provided for all electric dipole (E1), magnetic dipole (M1), electric quadrupole (E2) and magnetic quadrupole (M2) transitions among the 231 levels, although calculations have been performed for a much larger number of levels (159 162). In addition, lifetimes for all 231 levels are listed. Comparisons are made with existing results and the accuracy of the data is assessed. In particular, the most recent calculations reported by Singh et al (2012 Can. J. Phys. 90 833) are found to be unreliable, with discrepancies for energy levels of up to 1 Ryd and for radiative rates of up to five orders of magnitude for several transitions, particularly the weaker ones. Based on several comparisons among a variety of calculations with two independent codes, as well as with the earlier results, our listed energy levels are estimated to be accurate to better than 1% (within 0.1 Ryd), whereas results for radiative rates and other related parameters should be accurate to better than 20%.

Energy levels and radiative rates for transitions in Ti X

We report calculations of energy levels, radiative rates, oscillator strengths and line strengths for transitions among the lowest 345 levels of Ti X. These include 146 levels of the n 3 configurations and 86 of 3s ²4ℓ, 3s²5ℓ and 3s3p4ℓ, plus some of the 3s²6ℓ, 3p²4ℓ and 3s3p5ℓ levels. The general-purpose relativistic atomic structure package and flexible atomic code are adopted for the calculations. Radiative rates, oscillator strengths and line strengths are provided for all electric dipole (E1), magnetic dipole (M1), electric quadrupole (E2) and magnetic quadrupole (M2) transitions among the 345 levels, although calculations have been performed for a much larger number of levels. Comparisons are made with existing results and the accuracy of the data is assessed. Additionally, lifetimes for all 345 levels are listed. Extensive comparisons of lifetimes are made for the lowest 40 levels, for which discrepancies with recent theoretical work are up to 30%. Discrepancies in lifetimes are even larger, up to a factor of four, for higher excited levels. Furthermore, the effect of large configuration interaction (CI) is found to be insignificant for both the energies and lifetimes for the lowest 40 levels of Ti X which belong to the 3s²3p, 3s3p², 3s²3d, 3p³ and 3s3p3d configurations. However, the contribution of CI is more appreciable for the energy levels and radiative rates among higher excited levels. Our listed energy levels are estimated to be accurate to better than 1% (within 0.1 Ryd), whereas results for other parameters are probably accurate to better than 20%. © 2013 The Royal Swedish Academy of Sciences.

Energy levels, radiative rates and electron impact excitation rates for transitions in He-like Fe XXV, Co XXVI, Ni XXVII, Cu XXVIII and Zn XXIX

We report calculations of energy levels, radiative rates and electron impact excitation cross sections and rates for transitions in He-like Fe XXV, Co XXVI, Ni XXVII, Cu XXVIII and Zn XXIX. The grasp (general-purpose relativistic atomic structure package) is adopted for calculating energy levels and radiative rates. For determining the collision strengths and subsequently the excitation rates, the Dirac atomic R-matrix code (darc) is used. Oscillator strengths, radiative rates and line strengths are reported for all E1, E2, M1 and M2 transitions among the lowest 49 levels of each ion. Additionally, theoretical lifetimes are listed for all 49 levels of the above five ions. Collision strengths are averaged over a Maxwellian velocity distribution and the effective collision strengths obtained listed over a wide temperature range up to 10 ^7.7 K. Comparisons are made with similar data obtained using the flexible atomic code (fac) to highlight the importance of resonances, included in calculations with darc, in the determination of effective collision strengths. Discrepancies between the collision strengths from darc and fac, for some transitions, are also discussed. Finally, discrepancies between the present results of effective collision strengths with the darc code and earlier semi-relativistic R-matrix data are noted over a wide range of electron temperatures for many transitions in all ions.