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Mark Leeds
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The goal of this study is to explain and examine the statistical underpinnings of the Bollinger Band methodology. We start off by elucidating the rolling regression time series model and deriving its explicit relationship to Bollinger Bands. Next we illustrate the use of Bollinger Bands in pairs trading and prove the existence of a specific return duration relationship in Bollinger Band pairs trading.Then by viewing the Bollinger Band moving average as an approximation to the random walk plus noise (RWPN) time series model, we develop a pairs trading variant that we call Fixed Forecast Maximum Duration Bands (FFMDPT). Lastly, we conduct pairs trading simulations using SAP and Nikkei index data in order to compare the performance of the variant with Bollinger Bands.
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A concise, somewhat personal, review of the problem of superfluidity and quantum criticality in regular and disordered interacting Bose systems is given, concentrating on general features and important symmetries that are exhibited in different parts of the phase diagram, and that govern the different possible types of critical behavior. A number of exact results for various insulating phase boundaries, which may be used to constrain the results of numerical simulations, can be derived using large rare region type arguments. The nature of the insulator-superfluid transition is explored through general scaling arguments, exact model calculations in one dimension, numerical results in two dimensions, and approximate renormalization group results in higher dimensions. Experiments on He-4 adsorbed in porous Vycor glass, on thin film superconductors, and magnetically trapped atomic vapors in a periodic optical potential, are used to illustrate many of the concepts.
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In 1995, a team of physicists from the Budker Institute of Nuclear Physics in Novosibirsk was able to observe the splitting of a photon in the Coulomb field of an atomic nucleus for the first time, and reported the preliminary results of this experiment at two conferences. This was an extremely difficult experiment as the probability of the process is very small. It took another seven years to publish the final results. This story has been further developed recently. The ATLAS detector at the Large Hadron Collider observed in ultra-peripheral heavy ion collisions a process related to the photon splitting - light by light scattering. In addition, a team of Italian, Polish and British astrophysicists obtained the first observational evidence of the existence of vacuum birefringence in the magnetic field of an isolated neutron star - another physical phenomenon also related to the photon splitting. These new developments triggered this essay, written several years ago.
Three years after the completion of the next-to-leading order calculation, the status of the theoretical estimates of $epsilon/epsilon$ is reviewed. In spite of the theoretical progress, the prediction of $epsilon/epsilon$ is still affected by a 100% theoretical error. In this paper the different sources of uncertainty are critically analysed and an updated estimate of $epsilon/epsilon$ is presented. Some theoretical implications of a value of $epsilon/epsilon$ definitely larger than $10^{-3}$ are also discussed.
The field of Diffraction Dissociation, which is the subject of this workshop, began 50 years ago with the analysis of deuteron stripping in low energy collisions with nuclei. We return to the subject in a modern context- deuteron dissociation in $sqrt{s_{NN}}= 200$ GeV d-Au collisions recorded during the 2003 RHIC run in the PHENIX experiment. At RHIC energy, d$to$n+p proceeds predominantly (90%) through Electromagnetic Dissociation and the remaining fraction via the hadronic shadowing described by Glauber. Since the dissociation cross section has a small theoretical error we adopt this process to normalize other cross sections measured in RHIC.
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