Hermite Calculus

We develop a new method of umbral nature to treat blocks of Her mite and of Hermite like poly- nomials as independent algebraic quantities. The Calculus we propose allows the formulation of a number of ”practical rules” allowing significant simplific ations in computational problem

Market microstructure, bank's behaviour and interbank spreads

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Dielectric Hysteresis, Relaxation Dynamics, and Non-volatile Memory Effect in Carbon Nanotube Dispersed Liquid Crystal

The self-organizing properties of nematic liquid crystals (LC) can be used to template carbon nanotubes (CNTs) on a macroscopic dimension. The nematic director field, coupled to the dispersed CNT long-axis, enables controlled director reorientation using well-established methods of LC alignment techniques, such as patterned-electrode-surface, electric fields, and magnetic fields. Electric field induced director rotation of a nematic LC+CNT system is of potential interests due to its possible applications as a nano electromechanical system. The relaxation mechanism for a LC+CNT composite, on the removal of the applied field, reveals the intrinsic dynamics of this anisotropic system. Dielectric hysteresis and temperature dependence of the dielectric constant coherently shows the ferroelectric-type behavior of the LC+CNT system in the nematic phase. The strong surface anchoring of LC molecules on CNT walls results in forming local isolated pseudo-nematic domains in the isotropic phase. These domains, being anisotropic, respond to external fields, but, do not relax back to the original state on switching of the field off, showing non-volatile memory effect.Comment: 7 pages, 8 figure

Calorimetric study of the nematic to smectic-A phase transition in octylcyanobiphenyl-hexane binary mixtures

The continuous nematic to smectic-A (N-SmA) phase transition has been studied by high-resolution ac-calorimetry in binary mixtures of the liquid crystal octylcyanobiphenyl(8CB) and a non-mesogenic, low-molecular weight, solvent n-hexane(hex) as a function of temperature and solvent concentration. Heating and cooling scans about the N-SmA transition temperature were repeatedly performed on pure and six 8CB+hex samples having hexane molar concentration ranging from x_{hex}= 0.02 to 0.12. All 8CB+hex samples in this range of x_{hex} remain macroscopically miscible and exhibit an N-SmA heat capacity peak that shifts non-monotonically to lower temperature and evolves in shape, with a reproducible hysteresis, as x_{hex} increases. The imaginary part of heat capacity remains zero up to x^{TCP}_{hex}\simeq 0.07$ above which the distinct peak is observed, corresponding to a jump in both the real and imaginary enthalpy. A simple power-law analysis reveals an effective exponent that increases smoothly from 0.30 to 0.50 with an amplitude ratio A^{-}/A^{+}\rightarrow 1 as x_{hex}\rightarrow x^{TCP}_{hex}. This observed crossover towards the N-SmA tricritical point driven by solvent concentration is consistent with previous results and can be understood as weakening of the liquid crystal intermolecular potential promoting increased nematic fluctuations

Lacunary generating functions of Hermite polynomials and symbolic methods

We employ an umbral formalism to reformulate the theory of Hermite polynomials and the derivation of the associated lacunary generating functions

Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market

We present an empirical analysis of the European electronic interbank market of overnight lend- ing e-MID during the years 1999–2009. After introducing the peculiar market mechanism, we consider the activity, defined as the number of trades per day; the spreads, defined as the differ- ence between the rate of a transaction and the key rates of the European Central Bank; the lending conditions, defined as the difference between the costs of a lent and a borrowed Euro; the bank strategies, defined through different variants of the cumulative volume functions; etc. Among other facts, it emerges that the lending conditions differ from bank to bank, and that the bank strategies are not strongly associated either to the present, past or future spreads. Moreover, we show the presence of a bid-ask spread-like effect and its behavior during the crisis

Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis

We present a study of the European electronic interbank market of overnight lending (e-MID) before and after the beginning of the financial crisis. The main goal of the paper is to explain the structural changes of lending/borrowing features due to the liquidity turmoil. Unlike previous contributions that focused on banks' dependent and macro information as explanatory variables, we address the role of banks' behaviour and market microstructure as determinants of the credit spreads. We show that all banks experienced significant variations in their liquidity costs due to the sensitivity of interbank rates to the timing and side of trades. We argue that, while larger banks did experience better funding conditions after the crisis, this was not just a consequence of the \too big to fail" perception of the market. Larger banks have been able to play more strategically when managing their liquidity by taking advantage of the changing market microstructure

City@home: Monte Carlo derivative pricing distributed on networked computers

Monte Carlo is a powerful and versatile derivative pricing tool, with the main drawback of requiring a large amount of computing time to generate enough realisations of the stochastic process. However, since realisations are independent from each other, the task is “embarrassingly” parallel and the workload can be easily distributed on a large set of processors without the need for fast networking and thus an expensive dedicated supercomputer. Such an alternative, much cheaper and more accessible way can be realised with the BOINC toolkit, distributing the Monte Carlo runs on networked clients running under Windows, Linux or various Unix variants, and recollecting the results at the end for a statistical evaluation of the price distribution at the final time. Though it is likely that the clients will belong to the intranet of a large company or institution, we gave our program the evocative name City@home in honour of the paradigmatic SETI@home project. As an application, we present the generation of synthetic high frequency financial time series for speculative option valuation in the context of uncoupled continuous-time random walks (fractional diffusion), with a Lévy marginal density function for the tick-by-tick log returns and a Mittag-Leffler marginal density function for the waiting times. Lévy deviates are generated with the Chambers-Mallows-Stuck method, Mittag-Leffler deviates with the Kozubowski-Pakes method