Long Memory of Financial Time Series and Hidden Markov Models with Time‐Varying Parameters

Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the time‐varying behavior have not been thoroughly examined. This paper presents an adaptive estimation approach that allows for the parameters of the estimated models to be time varying. It is shown that a two‐state Gaussian hidden Markov model with time‐varying parameters is able to reproduce the long memory of squared daily returns that was previously believed to be the most difficult fact to reproduce with a hidden Markov model. Capturing the time‐varying behavior of the parameters also leads to improved one‐step density forecasts. Finally, it is shown that the forecasting performance of the estimated models can be further improved using local smoothing to forecast the parameter variations. Copyright © 2016 John Wiley & Sons, Ltd.     

Superconductivity in CaCuO2 as a result of field-effect doping.

Understanding the doping mechanisms in the simplest superconducting copper oxide-the infinite-layer compound ACuO2 (where A is an alkaline earth metal)-is an excellent way of investigating the pairing mechanism in high-transition-temperature (high-Tc) superconductors more generally. Gate-induced modulation of the carrier concentration to obtain superconductivity is a powerful means of achieving such understanding: it minimizes the effects of potential scattering by impurities, and of structural modifications arising from chemical dopants. Here we report the transport properties of thin films of the infinite-layer compound CaCuO2 using field-effect doping. At high hole- and electron-doping levels, superconductivity is induced in the nominally insulating material. Maximum values of Tc of 89 K and 34 K are observed respectively for hole- and electron-type doping of around 0.15 charge carriers per CuO2. We can explore the whole doping diagram of the CuO2 plane while changing only a single electric parameter, the gate voltage.     

Strong dipolar effects in a quantum ferrofluid

Symmetry-breaking interactions have a crucial role in many areas of physics, ranging from classical ferrofluids to superfluid (3)He and d-wave superconductivity. For superfluid quantum gases, a variety of new physical phenomena arising from the symmetry-breaking interaction between electric or magnetic dipoles are expected. Novel quantum phases in optical lattices, such as chequerboard or supersolid phases, are predicted for dipolar bosons. Dipolar interactions can also enrich considerably the physics of quantum gases with internal degrees of freedom. Arrays of dipolar particles could be used for efficient quantum information processing. Here we report the realization of a chromium Bose-Einstein condensate with strong dipolar interactions. By using a Feshbach resonance, we reduce the usual isotropic contact interaction, such that the anisotropic magnetic dipole-dipole interaction between 52Cr atoms becomes comparable in strength. This induces a change of the aspect ratio of the atom cloud; for strong dipolar interactions, the inversion of ellipticity during expansion (the usual 'smoking gun' evidence for a Bose-Einstein condensate) can be suppressed. These effects are accounted for by taking into account the dipolar interaction in the superfluid hydrodynamic equations governing the dynamics of the gas, in the same way as classical ferrofluids can be described by including dipolar terms in the classical hydrodynamic equations. Our results are a first step in the exploration of the unique properties of quantum ferrofluids.     

Clathrate nanostructures for mass spectrometry

The ability of mass spectrometry to generate intact biomolecular ions efficiently in the gas phase has led to its widespread application in metabolomics, proteomics, biological imaging, biomarker discovery and clinical assays (namely neonatal screens). Matrix-assisted laser desorption/ionization (MALDI) and electrospray ionization have been at the forefront of these developments. However, matrix application complicates the use of MALDI for cellular, tissue, biofluid and microarray analysis and can limit the spatial resolution because of the matrix crystal size (typically more than 10 mum), sensitivity and detection of small compounds (less than 500 Da). Secondary-ion mass spectrometry has extremely high lateral resolution (100 nm) and has found biological applications although the energetic desorption/ionization is a limitation owing to molecular fragmentation. Here we introduce nanostructure-initiator mass spectrometry (NIMS), a tool for spatially defined mass analysis. NIMS uses 'initiator' molecules trapped in nanostructured surfaces or 'clathrates' to release and ionize intact molecules adsorbed on the surface. This surface responds to both ion and laser irradiation. The lateral resolution (ion-NIMS about 150 nm), sensitivity, matrix-free and reduced fragmentation of NIMS allows direct characterization of peptide microarrays, direct mass analysis of single cells, tissue imaging, and direct characterization of blood and urine.     

Visualizing single-molecule diffusion in mesoporous materials

Periodic mesoporous materials formed through the cooperative self-assembly of surfactants and framework building blocks can assume a variety of structures, and their widely tuneable properties make them attractive hosts for numerous applications. Because the molecular movement in the pore system is the most important and defining characteristic of porous materials, it is of interest to learn about this behaviour as a function of local structure. Generally, individual fluorescent dye molecules can be used as molecular beacons with which to explore the structure of--and the dynamics within--these porous hosts, and single-molecule fluorescence techniques provide detailed insights into the dynamics of various processes, ranging from biology to heterogeneous catalysis. However, optical microscopy methods cannot directly image the mesoporous structure of the host system accommodating the diffusing molecules, whereas transmission electron microscopy provides detailed images of the porous structure, but no dynamic information. It has therefore not been possible to 'see' how molecules diffuse in a real nanoscale pore structure. Here we present a combination of electron microscopic mapping and optical single-molecule tracking experiments to reveal how a single luminescent dye molecule travels through linear or strongly curved sections of a mesoporous channel system. In our approach we directly correlate porous structures detected by transmission electron microscopy with the diffusion dynamics of single molecules detected by optical microscopy. This opens up new ways of understanding the interactions of host and guest.     

Female mate-choice drives the evolution of male-biased dispersal in a social mammal

Dispersal has a significant impact on lifetime reproductive success, and is often more prevalent in one sex than the other. In group-living mammals, dispersal is normally male-biased and in theory this sexual bias could be a response by males to female mate preferences, competition for access to females or resources, or the result of males avoiding inbreeding. There is a lack of studies on social mammals that simultaneously assess these factors and measure the fitness consequences of male dispersal decisions. Here we show that male-biased dispersal in the spotted hyaena (Crocuta crocuta) most probably results from an adaptive response by males to simple female mate-choice rules that have evolved to avoid inbreeding. Microsatellite profiling revealed that females preferred sires that were born into or immigrated into the female's group after the female was born. Furthermore, young females preferred short-tenured sires and older females preferred longer-tenured sires. Males responded to these female mate preferences by initiating their reproductive careers in groups containing the highest number of young females. As a consequence, 11% of males started their reproductive career in their natal group and 89% of males dispersed. Males that started reproduction in groups containing the highest number of young females had a higher long-term reproductive success than males that did not. The female mate-choice rules ensured that females effectively avoided inbreeding without the need to discriminate directly against close kin or males born in their own group, or to favour immigrant males. The extent of male dispersal as a response to such female mate preferences depends on the demographic structure of breeding groups, rather than the genetic relatedness between females and males.     

Enhanced biological carbon consumption in a high CO2 ocean

The oceans have absorbed nearly half of the fossil-fuel carbon dioxide (CO2) emitted into the atmosphere since pre-industrial times, causing a measurable reduction in seawater pH and carbonate saturation. If CO2 emissions continue to rise at current rates, upper-ocean pH will decrease to levels lower than have existed for tens of millions of years and, critically, at a rate of change 100 times greater than at any time over this period. Recent studies have shown effects of ocean acidification on a variety of marine life forms, in particular calcifying organisms. Consequences at the community to ecosystem level, in contrast, are largely unknown. Here we show that dissolved inorganic carbon consumption of a natural plankton community maintained in mesocosm enclosures at initial CO2 partial pressures of 350, 700 and 1,050 microatm increases with rising CO2. The community consumed up to 39% more dissolved inorganic carbon at increased CO2 partial pressures compared to present levels, whereas nutrient uptake remained the same. The stoichiometry of carbon to nitrogen drawdown increased from 6.0 at low CO2 to 8.0 at high CO2, thus exceeding the Redfield carbon:nitrogen ratio of 6.6 in today's ocean. This excess carbon consumption was associated with higher loss of organic carbon from the upper layer of the stratified mesocosms. If applicable to the natural environment, the observed responses have implications for a variety of marine biological and biogeochemical processes, and underscore the importance of biologically driven feedbacks in the ocean to global change.     

Cavity QED with a Bose-Einstein condensate

Cavity quantum electrodynamics (cavity QED) describes the coherent interaction between matter and an electromagnetic field confined within a resonator structure, and is providing a useful platform for developing concepts in quantum information processing. By using high-quality resonators, a strong coupling regime can be reached experimentally in which atoms coherently exchange a photon with a single light-field mode many times before dissipation sets in. This has led to fundamental studies with both microwave and optical resonators. To meet the challenges posed by quantum state engineering and quantum information processing, recent experiments have focused on laser cooling and trapping of atoms inside an optical cavity. However, the tremendous degree of control over atomic gases achieved with Bose-Einstein condensation has so far not been used for cavity QED. Here we achieve the strong coupling of a Bose-Einstein condensate to the quantized field of an ultrahigh-finesse optical cavity and present a measurement of its eigenenergy spectrum. This is a conceptually new regime of cavity QED, in which all atoms occupy a single mode of a matter-wave field and couple identically to the light field, sharing a single excitation. This opens possibilities ranging from quantum communication to a wealth of new phenomena that can be expected in the many-body physics of quantum gases with cavity-mediated interactions.