Optimal trading from minimizing the period of bankruptcy risk

Assuming that financial markets behave similar to random walk processes we derive a trading strategy with variable investment which is based on the equivalence of the period of bankruptcy risk and the risk to profit ratio. We define a state dependent predictability measure which can be attributed to the deterministic and stochastic components of the price dynamics. The influence of predictability variations and especially of short term inefficiency structures on the optimal amount of investment is analyzed in the given context and a method for adaptation of a trading system to the proposed objective function is presented. Finally we show the performance of our trading strategy on the DAX and S&P 500 as examples for real world data using different types of prediction models in comparison. Received 15 September 2000 and Received in final form 2 October 2000     

Manipulating a Bose-Einstein condensate with a single photon

We propose a method to create macroscopic superpositions, so-called Schr?dinger cat states, of different motional states of an ideal Bose-Einstein condensate. The scheme is based on the scattering of a freely expanding condensate by the light field of a high-finesse optical cavity in a quantum superposition state of different photon numbers. The atom-photon interaction creates an entangled state of the motional state of the condensate and the photon number, which can be converted into a pure atomic Schr?dinger cat state by operations only acting on the cavity field. We discuss in detail the fully quantised theory and propose an experimental procedure to implement the scheme using short coherent light pulses. Received 26 June 2000 and Received in final form 2nd October 2000     

Modeling and asset allocation for financial markets based on a discrete time microstructure model

On the basis of the market microstructure theory and the continuous time stochastic volatility-style microstructure model, a discrete time stochastic volatility microstructure model with state-observability is proposed for describing the dynamics of financial markets. From the discrete time microstructure model proposed, estimates of two immeasurable state variables representing the market excess demand and liquidity respectively may be obtained. A simple trading strategy for dynamic asset allocation, based on the indirectly obtained excess demand information instead of the prediction for price, is presented. An approach to the estimation of the discrete time microstructure model using the extended Kalman filter and the maximum likelihood method is also presented. Case studies on financial market modeling and the estimated model-based asset dynamic allocation control for the JPY/USD (Japanese Yen/US Dollar) exchange rate and Japan TOPIX (TOkyo stock Price IndeX) show satisfactory modeling precision and control performance. Received 11 March 2002 / Received in final form 4 November 2002 Published online 4 February 2003 RID="a" ID="a"Currently a visiting researcher at the Institute of Statistical Mathematics, 4-6-7 Minami Azabu, Minato-ku, Tokyo 106-8569, Japan e-mail: peng@ism.ac.jp     

Atomic reflection from a magnetic mirror: Beyond the adiabatic approximation

We present theoretical calculations for the reflection of atoms from a magnetic surface with a sinusoidal magnetization. A fully quantum mechanical treatment is possible because the problem may be reduced to an effective one-dimensional one. Results of numerical wave-packet calculations are presented and compared with an analytical model in which the atoms separate into different internal state components which follow classical paths in different potentials. Received 21 October 1999 and Received in final form 18 January 2000     

Laser pulse control of ultrafast electron transfer reactions

The optimal control (OC) scheme for molecular dynamics is applied to the study of ultrafast bridge mediated electron transfer (ET). Utilizing the methods of dissipative quantum dynamics in combination with the OC approach the guided charge motion in a donor-bridge-acceptor system including a single active vibrational coordinate is studied. The control field drives the optical transition from the electronic ground-state of the ET system into the donor-level and can be used to prepare special electronic and vibrational states. In particular, it is demonstrated that charge localization becomes possible at the acceptor or bridge molecule as well as in the electronic ground-state of the ET system. Received 30 August 2000 and Received in final form 25 October 2000     

A matrix study of the transfer of polarized radiation in plasmas. Application to neon-like germanium lasers

In order to solve the radiative-transfer equation for polarized beams propagating in plasmas a matrix approach is applied. The solution is the four-components Stokes vector, and the effect of the medium on the state of the radiation is represented by an amplification operator. Our approach is applied to the neon-like germanium 23.6 nm line, when a right-circularly polarized beam is injected into an amplifying plasma. The conditions governing the recovery of the initial polarization state are investigated over the entire spectrum of the output. Received: 10 October 1997 / Revised: 12 January 1998 / Accepted: 27 January 1998     

Forecast in foreign exchange markets

We perform a statistical study of weak efficiency in Deutschemark/US dollar exchange rates using high frequency data. The presence of correlations in the returns sequence implies the possibility of a statistical forecast of market behavior. We show the existence of correlations and how information theory can be relevant in this context. Received 5 October 2000     

Magnetic Thomas-Fermi-Weizsäcker model for quantum dots: A comparison with Kohn-Sham ground states

The magnetic extension of the Thomas-Fermi-Weizs?cker kinetic energy is used within density-functional-theory to numerically obtain the ground state densities and energies of two-dimensional quantum dots. The results are thoroughly compared with the microscopic Kohn-Sham ones in order to assess the validity of the semiclassical method. Circular as well as deformed systems are considered. Received 26 October 2000 and Received in final form 14 December 2000     

Ground states versus low-temperature equilibria in random field Ising chains

Random walk arguments and exact numerical computations are used to study one-dimensional random field chains. The ground state structure is described with absorbing and non-absorbing random walk excursions. At low temperatures, the local magnetization follows the ground state except at regions where a local random field fluctuation makes thermal excitations easier. This is explained by the random walk picture, implying that the magnetization lengthscale is a product of the domain size and the thermal excitation scale. Received 16 October 2000 and Received in final form 7 June 2001     

Intermittency in a turbulent low temperature gaseous helium jet

We analyse experimental velocity measurements on the axis of a low temperature gaseous helium jet. From independent increments arguments, we reproduce the behaviour of structure functions. We show where this approach fails and how the intermittency phenomenon is a small correction. The physical arguments under the multiplicative cascade models for this intermittency imply an acceleration of this cascade close to the dissipative range, which we are able to evidence. This acceleration could be responsible of the apparent Extended Self Similarity between structure functions of various orders. Received 13 October 1999 and Received in final form 19 May 2000     

Multiple atomic wave interferometry with standing-waves of light

Fringe shapes in a multiple-beam de Broglie-wave interferometer based on the atomic Kapitza-Dirac effect are studied. An all-optical implementation of such a device is proposed. A realization in the time-domain, using Bose-Einstein condensates released from a trap, seems viable within the present state of the art. Received 5 April 2000 and Received in final form 14 July 2000     

Raman lidar for the study of liquid water and water vapor in the troposphere

A Raman lidar system based on a tripled Nd:YAG laser is used for profiling of water vapor and liquid water in the troposphere. The Raman signals from water in the gas and liquid state are separated by interference filters and their relative intensities are studied for different atmospheric conditions. For clean weather or immediately after the rain the Raman signal from liquid water inside PBL is about one order of magnitude lower than the signal from water vapor. But during cloud measurements both Raman signals become comparable and the results of water vapor measurements must be corrected for the interference of liquid water Raman scattering. The obtained results are used for the estimation of liquid water content in the atmosphere. Received: 4 October 1999 / Revised version: 18 February 2000 / Published online: 11 May 2000     

Multiexciton molecules in the hexaborides

We investigate multiexciton bound states in a semiconducting phase of divalent hexaborides. Due to three degenerate valleys in both the conduction and valence bands the binding energy of a 6-exciton molecule is greatly enhanced by the shell effect. The ground state energies of multiexciton molecules are calculated using the density functional formalism. We also show that charged impurities stabilize multiexciton complexes leading to condensation of localized excitons. These complexes can act as nucleation centers of local moments. Received 24 October 2000     

Linear hydrodynamics and viscoelasticity of nematic elastomers

We develop a continuum theory of linear viscoelastic response in oriented monodomain nematic elastomers. The expression for the dissipation function is analogous to the Leslie-Ericksen version of anisotropic nematic viscosity; we propose the relations between the anisotropic rubber moduli and new viscous coefficients. A new dimensionless number is introduced, which describes the relative magnitude of viscous and rubber-elastic torques. In an elastic medium with an independently mobile internal degree of freedom, the nematic director with its own relaxation dynamics, the model shows a dramatic decrease in the dynamic modulus in certain deformation geometries. The degree to which the storage modulus does not altogether drop to zero is shown to be both dependent on frequency and to be proportional to the semi-softness, the non-ideality of a nematic network. We consider the most interesting geometry for the implementation of the theory, calculating the dynamic response to an imposed simple shear and making predictions for effective moduli and (exceptionally high) loss factors. Received 16 October 2000 and Received in final form 10 December 2000     

Enhanced X-ray emission in the 1-keV range from a laser-irradiated gas puff target produced using the double-nozzle setup

X-ray emission from a double-stream gas puff target irradiated with a nanosecond Nd:glass laser pulse was studied for the first time. The target was formed by pulsed injection of a high-density gas into a gas cloud by using the double-nozzle setup. This new concept allows a high-density gaseous target to be formed at a relatively large distance from the nozzle output. Enhanced X-ray emission in the 1-keV energy range and a smaller source size were observed as compared to the ordinary gas puff target created by pulsed injection of gas into vacuum. This new approach should be useful in the development of a laser-produced X-ray source for various applications. Received: 20 October 1999 / Published online: 27 January 2000     

Ab initio calculations of the second dynamic hyperpolarizability of LiH by means of Floquet theory approach

Floquet theory is used to describe the response of a molecule to applied radiation electric field. The method of ab initio calculation of frequency dependent (hyper)polarizabilities based on combination of perturbation theory with the finite field method has been developed. Electron correlation is taken into account by means of the CIPSI algorithm. The total wave function expansion involves spectral, pseudo-spectral states and polynomial terms. The developed approach is applied to the calculation of the second hyperpolarizability of the lithium hydride molecule subjected to the superposition of harmonic and static electric fields. The method can be used to calculate the higher order nonlinear properties of molecules. Received 23 November 2000 and Received in final form 25 March 2001     

Femtosecond transition state dynamics of cis -stilbene

Femtosecond time-resolved photoion and photoelectron spectroscopy were employed to study the transition state dynamics of cis-stilbene in a molecular beam experiment. Two long-lived photoproducts were found with excitation of 267 nm radiation. Received: 4 August 2000 / Revised version: 11 October 2000 / Published online: 6 December 2000