The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in ...portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory.
Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications
ABSTRACT Hot dust-obscured galaxies (hot DOGs), selected from Wide-Field Infrared Survey Explorer's all-sky infrared survey, host some of the most powerful active galactic nuclei known and may ...represent an important stage in the evolution of galaxies. Most known hot DOGs are located at , due in part to a strong bias against identifying them at lower redshift related to the selection criteria. We present a new selection method that identifies 153 hot DOG candidates at , where they are significantly brighter and easier to study. We validate this approach by measuring a redshift z = 1.009 and finding a spectral energy distribution similar to that of higher-redshift hot DOGs for one of these objects, WISE J1036+0449 ( ). We find evidence of a broadened component in Mg ii, which would imply a black hole mass of and an Eddington ratio of . WISE J1036+0449 is the first hot DOG detected by the Nuclear Spectroscopic Telescope Array, and observations show that the source is heavily obscured, with a column density of . The source has an intrinsic 2-10 keV luminosity of , a value significantly lower than that expected from the mid-infrared/X-ray correlation. We also find that other hot DOGs observed by X-ray facilities show a similar deficiency of X-ray flux. We discuss the origin of the X-ray weakness and the absorption properties of hot DOGs. Hot DOGs at could be excellent laboratories to probe the characteristics of the accretion flow and of the X-ray emitting plasma at extreme values of the Eddington ratio.
We present simultaneous XMM-Newton and NuSTAR observations of the 'bare' Seyfert 1 galaxy, Ark 120, a system in which ionized absorption is absent. The NuSTAR hard-X-ray spectral coverage allows us ...to constrain different models for the excess soft-X-ray emission. Among phenomenological models, a cutoff power law best explains the soft-X-ray emission. This model likely corresponds to Comptonization of the accretion disc seed UV photons by a population of warm electrons: using Comptonization models, a temperature of ∼0.3 keV and an optical depth of ∼13 are found. If the UV-to-X-ray optxagnf model is applied, the UV fluxes from the XMM-Newton Optical Monitor suggest an intermediate black hole spin. Contrary to several other sources observed by NuSTAR, no high-energy cutoff is detected with a lower limit of 190 keV.
We present 3–50 keV NuSTAR observations of the active galactic nuclei Mrk 335 in a very low flux state. The spectrum is dominated by very strong features at the energies of the iron line at 5–7 keV ...and Compton hump from 10–30 keV. The source is variable during the observation, with the variability concentrated at low energies, which suggesting either a relativistic reflection or a variable absorption scenario. In this work, we focus on the reflection interpretation, making use of new relativistic reflection models that self consistently calculate the reflection fraction, relativistic blurring and angle-dependent reflection spectrum for different coronal heights to model the spectra. We find that the spectra can be well fitted with relativistic reflection, and that the lowest flux state spectrum is described by reflection alone, suggesting the effects of extreme light-bending occurring within ∼2 gravitational radii (R
G) of the event horizon. The reflection fraction decreases sharply with increasing flux, consistent with a point source moving up to above 10 R
G as the source brightens. We constrain the spin parameter to greater than 0.9 at the 3σ confidence level. By adding a spin-dependent upper limit on the reflection fraction to our models, we demonstrate that this can be a powerful way of constraining the spin parameter, particularly in reflection dominated states. We also calculate a detailed emissivity profile for the iron line, and find that it closely matches theoretical predictions for a compact source within a few R
G of the black hole.
We synthesize insights from current understanding of drought impacts at stand‐to‐biogeographic scales, including management options, and we identify challenges to be addressed with new research. ...Large stand‐level shifts underway in western forests already are showing the importance of interactions involving drought, insects, and fire. Diebacks, changes in composition and structure, and shifting range limits are widely observed. In the eastern US, the effects of increasing drought are becoming better understood at the level of individual trees, but this knowledge cannot yet be confidently translated to predictions of changing structure and diversity of forest stands. While eastern forests have not experienced the types of changes seen in western forests in recent decades, they too are vulnerable to drought and could experience significant changes with increased severity, frequency, or duration in drought. Throughout the continental United States, the combination of projected large climate‐induced shifts in suitable habitat from modeling studies and limited potential for the rapid migration of tree populations suggests that changing tree and forest biogeography could substantially lag habitat shifts already underway. Forest management practices can partially ameliorate drought impacts through reductions in stand density, selection of drought‐tolerant species and genotypes, artificial regeneration, and the development of multistructured stands. However, silvicultural treatments also could exacerbate drought impacts unless implemented with careful attention to site and stand characteristics. Gaps in our understanding should motivate new research on the effects of interactions involving climate and other species at the stand scale and how interactions and multiple responses are represented in models. This assessment indicates that, without a stronger empirical basis for drought impacts at the stand scale, more complex models may provide limited guidance.
Analysis of microbial communities by high-throughput pyrosequencing of SSU rRNA gene PCR amplicons has transformed microbial ecology research and led to the observation that many communities contain ...a diverse assortment of rare taxa-a phenomenon termed the Rare Biosphere. Multiple studies have investigated the effect of pyrosequencing read quality on operational taxonomic unit (OTU) richness for contrived communities, yet there is limited information on the fidelity of community structure estimates obtained through this approach. Given that PCR biases are widely recognized, and further unknown biases may arise from the sequencing process itself, a priori assumptions about the neutrality of the data generation process are at best unvalidated. Furthermore, post-sequencing quality control algorithms have not been explicitly evaluated for the accuracy of recovered representative sequences and its impact on downstream analyses, reducing useful discussion on pyrosequencing reads to their diversity and abundances. Here we report on community structures and sequences recovered for in vitro-simulated communities consisting of twenty 16S rRNA gene clones tiered at known proportions. PCR amplicon libraries of the V3-V4 and V6 hypervariable regions from the in vitro-simulated communities were sequenced using the Roche 454 GS FLX Titanium platform. Commonly used quality control protocols resulted in the formation of OTUs with >1% abundance composed entirely of erroneous sequences, while over-aggressive clustering approaches obfuscated real, expected OTUs. The pyrosequencing process itself did not appear to impose significant biases on overall community structure estimates, although the detection limit for rare taxa may be affected by PCR amplicon size and quality control approach employed. Meanwhile, PCR biases associated with the initial amplicon generation may impose greater distortions in the observed community structure.
For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a ...cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future.
The majority of ultraluminous X-ray sources are point sources that are spatially offset from the nuclei of nearby galaxies and whose X-ray luminosities exceed the theoretical maximum for spherical ...infall (the Eddington limit) onto stellar-mass black holes. Their X-ray luminosities in the 0.5-10 kiloelectronvolt energy band range from 10(39) to 10(41) ergs per second. Because higher masses imply less extreme ratios of the luminosity to the isotropic Eddington limit, theoretical models have focused on black hole rather than neutron star systems. The most challenging sources to explain are those at the luminous end of the range (more than 10(40) ergs per second), which require black hole masses of 50-100 times the solar value or significant departures from the standard thin disk accretion that powers bright Galactic X-ray binaries, or both. Here we report broadband X-ray observations of the nuclear region of the galaxy M82 that reveal pulsations with an average period of 1.37 seconds and a 2.5-day sinusoidal modulation. The pulsations result from the rotation of a magnetized neutron star, and the modulation arises from its binary orbit. The pulsed flux alone corresponds to an X-ray luminosity in the 3-30 kiloelectronvolt range of 4.9 × 10(39) ergs per second. The pulsating source is spatially coincident with a variable source that can reach an X-ray luminosity in the 0.3-10 kiloelectronvolt range of 1.8 × 10(40) ergs per second. This association implies a luminosity of about 100 times the Eddington limit for a 1.4-solar-mass object, or more than ten times brighter than any known accreting pulsar. This implies that neutron stars may not be rare in the ultraluminous X-ray population, and it challenges physical models for the accretion of matter onto magnetized compact objects.
ABSTRACT We present the 3-8 keV and 8-24 keV number counts of active galactic nuclei (AGNs) identified in the Nuclear Spectroscopic Telescope Array (NuSTAR) extragalactic surveys. NuSTAR has now ...resolved 33%-39% of the X-ray background in the 8-24 keV band, directly identifying AGNs with obscuring columns up to . In the softer 3-8 keV band the number counts are in general agreement with those measured by XMM-Newton and Chandra over the flux range S(3-8 keV)/ probed by NuSTAR. In the hard 8-24 keV band NuSTAR probes fluxes over the range S(8-24 keV)/ , a factor ∼100 fainter than previous measurements. The 8-24 keV number counts match predictions from AGN population synthesis models, directly confirming the existence of a population of obscured and/or hard X-ray sources inferred from the shape of the integrated cosmic X-ray background. The measured NuSTAR counts lie significantly above simple extrapolation with a Euclidian slope to low flux of the Swift/BAT 15-55 keV number counts measured at higher fluxes (S(15-55 keV) 10−11 ), reflecting the evolution of the AGN population between the Swift/BAT local ( ) sample and NuSTAR's sample. CXB synthesis models, which account for AGN evolution, lie above the Swift/BAT measurements, suggesting that they do not fully capture the evolution of obscured AGNs at low redshifts.
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