Pierre-Antoine Bares

Performance in the Hedge Funds Industry: An Analysis of Short- and Long-Term Persistence

In this study, we analyze the performance persistence of hedge funds over short- and long-term horizons. Using a non-parametric test, we first observe that the Relative Value and the Specialist Credit strategies contain the highest proportion of outperforming managers. We next analyze the performance persistence of portfolios ranked according to their average past returns. Persistence is mainly observed over one- to three-month holding periods but rapidly vanishes as the formation or the holding period is lengthened. We finally examine long-term risk-adjusted returns persistence of hedge fund portfolio within an APT framework. This leads us to detect a slight overreaction pattern that is more pronounced among the directional hedge fund strategies.

Generalized empty-interval method applied to a class of one-dimensional stochastic models.

In this work we study, on a finite and periodic lattice, a class of one-dimensional (bimolecular and single-species) reaction-diffusion models that cannot be mapped onto free-fermion models. We extend the conventional empty-interval method, also called interparticle distribution function (IPDF) method, by introducing a string function, which is simply related to relevant physical quantities. As an illustration, we specifically consider a model that cannot be solved directly by the conventional IPDF method and that can be viewed as a generalization of the voter model and/or as an epidemic model. We also consider the reversible diffusion-coagulation model with input of particles and determine other reaction-diffusion models that can be mapped onto the latter via suitable similarity transformations. Finally we study the problem of the propagation of a wave front from an inhomogeneous initial configuration and note that the mean-field scenario predicted by Fishers equation is not valid for the one-dimensional (microscopic) models under consideration.

Exact solution of a class of one-dimensional nonequilibrium stochastic models.

We consider various one-dimensional nonequilibrium models, namely, the diffusion-limited pair-annihilation and creation model (DPAC) and its unbiased version (the Lushnikov model), the DPAC model with particle injection, as well as (biased) diffusion-limited coagulation model (DC). We study the DPAC model using an approach based on a duality transformation and the generating function of the dual model. We are able to compute exactly the density and correlation functions in the general case with arbitrary initial states. Further, we assume that a source injects particles in the system. Solving, via the duality transformation, the equations of motion of the density, and the noninstantaneous two-point correlation functions, we see how the source affects the dynamics. Finally we extend the previous results to the DC model with help of a similarity transformation.

Soluble two-species diffusion-limited Models in arbitrary dimensions

A class of two-species (three-states) bimolecular diffusion-limited models of classical particles with hard-core reacting and diffusing in a hypercubic lattice of arbitrary dimension is investigated. The manifolds on which the equations of motion of the correlation functions close, are determined explicitly. This property allows to solve for the density and the two-point (two-time) correlation functions in arbitrary dimension for both, a translation invariant class and another one where translation invariance is broken. Systems with correlated as well as uncorrelated, yet random initial states can also be treated exactly by this approach. We discuss the asymptotic behavior of density and correlation functions in the various cases. The dynamics studied is very rich.

Solution of a class of one-dimensional reaction-diffusion models in disordered media

We study a one-dimensional class of reaction-diffusion models on a

Solution of a one-dimensional stochastic model with branching and coagulation reactions.

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DIFFUSION-LIMITED REACTIONS OF HARD-CORE PARTICLES IN ONE DIMENSION

parameters manifold. The equations of motion of the correlation functions close on this manifold. We compute exactly the long-time behaviour of the density and correlation functions for {\it quenched} disordered systems. The {\it quenched} disorder consists of disconnected domains of reaction. We first consider the case where the disorder comprizes a superposition, with different probabilistic weights, of finite segments, with {\it periodic boundary conditions}. We then pass to the case of finite segments with {\it open boundary conditions}: we solve the ordered dynamics on a open lattice with help of the Dynamical Matrix Ansatz (DMA) and investigate further its disordered version.

Two-species D-dimensional diffusive model and its mapping onto a growth model.

We solve a one-dimensional stochastic model of interacting particles on a chain. Particles can have branching and coagulation reactions; they can also appear on an empty site and disappear spontaneously. This model, which can be viewed as an epidemic model and/or as a generalization of the voter model, is treated analytically beyond the conventional solvable situations. With help of a suitably chosen string function, which is simply related to the density and the noninstantaneous two-point correlation functions of the particles, exact expressions of the density and of the noninstantaneous two-point correlation functions, as well as the relaxation spectrum are obtained on a finite and periodic lattice.

Solution of classical stochastic one dimensional many-body systems

We investigate three different methods to tackle the problem of diffusion-limited reactions (annihilation) of hard-core classical particles in one dimension. We first extend an approach devised by Lushnikov [Sov. Phys. JETP 64, 811 (1986)] and calculate for a single species the asymptotic long-time and/or large-distance behavior of the two-point correlation function. Based on a work by Grynberg and Stinchcombe [Phys. Rev. E 50, 957 (1994); Phys. Rev. Lett. 74, 1242 (1995); 76, 851 (1996)], which was developed to treat stochastic adsorption-desorption models, we provide in a second step the exact two-point (one- and two-time) correlation functions of Lushnikovs model. We then propose a formulation of the problem in terms of path integrals for pseudo- fermions. This formalism can be used to advantage in the multispecies case, especially when applying perturbative renormalization group techniques.

Exact results for a Kondo impurity with electronic correlations

In this work, we consider a diffusive two-species d-dimensional model and study it in great detail. Two types of particles, with hard core, diffuse symmetrically and cross each other. For arbitrary dimensions, we obtain the exact density, the instantaneous, as well as noninstantaneous, two-point correlation functions for various initial conditions. We study the impact of correlations in the initial state on the dynamics. Finally, we map the one-dimensional version of the model under consideration onto a restricted solid-on-solid growth model with three states and solve its dynamics.