arXiv subjects
Publications and source records attributed to Tung-Lam Dao.
Recently, our group has published two papers that have received some attention in the finance community. One is about the profitability of trend following strategies over 200 years, the second is about the correlation between the profitability of "Risk Premia" and their skewness. In this short note, we present two additional plots that fully corroborate our findings on new data.
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This explains the positive convexity of the aggregate performance of Commodity Trading Advisors (CTAs) which -- when adequately measured -- turns out to be much stronger than anticipated. We also highlight interesting connections with so-called Risk Parity portfolios. Finally, we propose a new portfolio of strangle options that provides a pure exposure to the long-term variance of the underlying, offering yet another viewpoint on the link between trend and volatility.
In this article, we discuss various implementation of L1 filtering in order to detect some properties of noisy signals. This filter consists of using a L1 penalty condition in order to obtain the filtered signal composed by a set of straight trends or steps. This penalty condition, which determines the number of breaks, is implemented in a constrained least square problem and is represented by a regularization parameter ? which is estimated by a cross-validation procedure. Financial time series are usually characterized by a long-term trend (called the global trend) and some short-term trends (which are named local trends). A combination of these two time scales can form a simple model describing the process of a global trend process with some mean-reverting properties. Explicit applications to momentum strategies are also discussed in detail with appropriate uses of the trend configurations.
We study the competition between one-body and two-body couplings in weakly-interacting two-component Bose gases, in particular as regards field correlations. We derive the meanfield theory for both ground state and low-energy pair excitations in the general case where both one-body and two-body couplings are position-dependent and the fluid is subjected to a state-dependent trapping potential. General formulas for phase and density correlations are also derived. Focusing on the case of homogeneous systems, we discuss the pair-excitation spectrum and the corresponding excitation modes, and use them to calculate correlation functions, including both quantum and thermal fluctuation terms. We show that the relative phase of the two components is imposed by that of the one-body coupling, while its fluctuations are determined by the modulus of the one-body coupling and by the two-body coupling. One-body coupling and repulsive two-body coupling cooperate to suppress relative-phase fluctuations, while attractive two-body coupling tends to enhance them. Further applications of the formalism presented here and extensions of our work are also discussed.
We revisit the ``Smile Dynamics'' problem, which consists in relating the implied leverage (i.e. the correlation of the at-the-money volatility with the returns of the underlying) and the skew of the option smile. The ratio between these two quantities, called ``Skew-Stickiness Ratio'' (SSR) by Bergomi (Smile Dynamics IV, RISK, 94-100, December 2009), saturates to the value 2 for linear models in the limit of small maturities, and converges to 1 for long maturities. We show that for more general, non-linear models (such as the asymmetric GARCH model), Bergomi's result must be modified, and can be larger than 2 for small maturities. The discrepancy comes from the fact that the volatility skew is, in general, different from the skewness of the underlying. We compare our theory with empirical results, using data both from option markets and from the underlying price series, for the S&P500 and the DAX. We find, among other things, that although both the implied leverage and the skew appear to be too strong on option markets, their ratio is well explained by the theory. We observe that the SSR indeed becomes larger than 2 for small maturities.
We propose an all-optical scheme to probe the dynamical correlations of a strongly-interacting gas of ultracold atoms. The proposed technique is based on a pump-and-probe scheme: a coherent light pulse is initially converted into an atomic coherence and later retrieved after a variable storage time. The efficiency of the proposed method to measure the one-particle Green function of the gas is validated by numerical and analytical calculations of the expected signal for the two cases of a normal Fermi gas and a BCS superfluid state. Protocols to extract the superfluid gap and the full quasi-particle dispersions are discussed.
We propose a method to directly measure the temperature of a gas of weakly interacting fermionic atoms loaded into an optical lattice. This technique relies on Raman spectroscopy and is applicable to experimentally relevant temperature regimes. Additionally, we show that a similar spectroscopy scheme can be used to obtain information on the quasiparticle properties and Hubbard bands of the metallic and Mott-insulating states of interacting fermionic spin mixtures. These two methods provide experimentalists with novel probes to accurately characterize fermionic quantum gases confined to optical lattices.
We investigate a momentum-resolved Raman spectroscopy technique which is able to probe the one-body spectral function and the quasi-particle states of a gas of strongly interacting ultracold atoms. This technique is inspired by Angle-Resolved Photo-Emission Spectroscopy, a powerful experimental probe of electronic states in solid-state systems. Quantitative examples of experimentally accessible spectra are given for the most significant regimes along the BEC-BCS crossover. When the theory is specialized to RF spectroscopy, agreement is found with recent experimental data. The main advantages of this Raman spectroscopy over existing techniques are pointed out.
We study a two-component Fermi system with attractive interactions and different populations of the two species in a cubic lattice. For an intermediate coupling we find a uniformly polarized superfluid which is stable down to very low temperatures. The momentum distribution of this phase closely resembles that of the Sarma phase, characterized by two Fermi surfaces. This phase is shown to be stabilized by a potential energy gain, as in a BCS superfluid, in contrast to the unpolarized BEC which is stabilized by kinetic energy. We present general arguments suggesting that preformed pairs in the unpolarized superfluid favor the stabilization of a polarized superfluid phase.
We propose a Raman spectroscopy technique which is able to probe the one-particle Green's function, the Fermi surface, and the quasiparticles of a gas of strongly interacting ultracold atoms. We give quantitative examples of experimentally accessible spectra. The efficiency of the method is validated by means of simulated images for the case of a usual Fermi liquid as well as for more exotic states: specific signatures of e.g. a d-wave pseudo-gap are clearly visible.
We study the effect of mass imbalance on the phase diagram of a two-component fermionic mixture with attractive interactions in optical lattices. Using static and dynamical mean-field theories, we show that the pure superfluid phase is stable for all couplings when the mass imbalance is smaller than a limiting value. For larger imbalance, phase separation between a superfluid and a charge-density wave takes place when the coupling exceeds a critical strength. The harmonic trap induces a spatial segregation of the two phases, with a rapid variation of the density at the boundary.