College of Liberal Arts and Sciences
https://commons.lib.niu.edu/handle/10843/14
2019-04-21T13:19:40ZCover's Rebalancing Option With Discrete Hindsight Optimization
https://commons.lib.niu.edu/handle/10843/19338
Cover's Rebalancing Option With Discrete Hindsight Optimization
Garivaltis, Alex
We study T. Cover’s rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued to a $1 deposit into the best of some finite set of (perhaps levered) rebalancing rules determined in hindsight. A rebalancing rule (or fixed-fraction betting scheme) amounts to fixing an asset allocation (i.e. 200% stocks and -100% bonds) and then continuously executing rebalancing trades to counteract allocation drift. Restricting the hindsight optimization to a small number of rebalancing rules (i.e. 2) has some advantages over the pioneering approach taken by Cover & Company in their brilliant theory of universal portfolios (1986, 1991, 1996, 1998), where one’s on-line trading performance is benchmarked relative to the final wealth of the best unlevered rebalancing rule of any kind in hindsight. Our approach lets practitioners express an a priori view that one of the favored asset allocations (“bets”) b ∈ {b1,...,bn} will turn out to have performed spectacularly well in hindsight. In limiting our robustness to some discrete set of asset allocations (rather than all possible asset allocations) we reduce the price of the rebalancing option and guarantee to achieve a correspondingly higher percentage of the hindsight-optimized wealth at the end of the planning period. A practitioner who lives to delta-hedge this variant of Cover’s rebalancing option through several decades is guaranteed to see the day that his realized compound-annual capital growth rate is very close to that of the best of the discrete set of rebalancing rules in hindsight. Hence the point of the rock-bottom option price.
2019-03-03T00:00:00ZSuper-Replication of the Best Pairs Trade in Hindsight
https://commons.lib.niu.edu/handle/10843/19335
Super-Replication of the Best Pairs Trade in Hindsight
Garivaltis, Alex
This paper derives a robust on-line equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so as to maintain a target fraction of wealth in each of the two. After each discrete market fluctuation, a pairs rebalancing rule will sell a precise amount of the outperforming stock and put the proceeds into the underperforming stock.
Under typical conditions, in hindsight one can find pairs rebalancing rules that would have spectacularly beaten the market. Our trading strategy, which extends Ordentlich and Cover’s (1998) “max-min universal portfolio,” guarantees to achieve an acceptable percentage of the hindsight-optimized wealth, a
percentage which tends to zero at a slow (polynomial) rate. This means that on a long enough investment horizon, the trader can enforce a compound-annual growth rate that is arbitrarily close to that of the best pairs rebalancing rule in hindsight. The strategy will “beat the market asymptotically” if there turns
out to exist a pairs rebalancing rule that grows capital at a higher asymptotic rate than the market index.
The advantages of our algorithm over the Ordentlich and Cover (1998) strategy are twofold. First, their strategy is impossible to compute in practice. Second, in considering the more modest benchmark (instead of the best all-stock rebalancing rule in hindsight), we reduce the “cost of universality” and achieve
a higher learning rate.
2019-01-11T00:00:00ZMicro-bunching for generating tunable narrow-band THz radiation at the FAST photoinjector
https://commons.lib.niu.edu/handle/10843/19326
Micro-bunching for generating tunable narrow-band THz radiation at the FAST photoinjector
Hyun, J.; Piot, P.; Sen, T.
This paper presents expected THz radiation spectra emitted by micro-bunched electron beams produced using a slit-mask placed within a magnetic chicane in the FAST (Fermilab Accelerator Science and Technology) electron injector at Fermilab. Our purpose is to generate tunable narrow-band THz radiation with a simple scheme in a conventional photo-injector. Using the slit-mask in the chicane, we create a longitudinally micro-bunched beam after the chicane by transversely slicing an energy chirped electron bunch at a location with horizontal dispersion. In this paper, we discuss the theory related to the micro-bunched beam structure, the beam optics, the simulation results of the micro-bunched beam and the bunching factors. Energy radiated at THz frequencies from two sources: coherent transition radiation and from a wiggler is calculated and compared. We also discuss the results of a simple method to observe the micro-bunching on a transverse screen monitor using a skew quadrupole placed in the chicane.
2018-11-05T00:00:00ZSimulations of beam optics and bremsstrahlung for high intensity and brightness channeling radiation
https://commons.lib.niu.edu/handle/10843/19325
Simulations of beam optics and bremsstrahlung for high intensity and brightness channeling radiation
Hyun, J.; Piot, P.; Sen, T.
This paper presents X-ray spectra of channeling radiation expected at the FAST (Fermi Accelerator Science andTechnology) facility in Fermilab. Our purpose is to produce high brightness quasi-monochromatic X-rays in anenergy range from 40 keV to 110 keV. We will use a diamond crystal and low emittance electrons with an energyof around 43 MeV. The quality of emitted X-rays depends on parameters of the electron beam at the crystal.We present simulations of the beam optics for high brightness and high yield operations for a range of bunchcharges. We estimate the X-ray spectra including bremsstrahlung background. We discuss how the electron beamdistributions after the diamond crystal are affected by channeling. We discuss an X-ray detector system to avoidpile-up effects during high charge operations
2018-06-18T00:00:00Z