The German sub-national government bond market: evolution, yields and liquidity

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals that L¨ander follow different issuing strategies: while some concentrate to a greater extend on large issues or issue joint bonds with other L¨ander (Jumbos), others rely more on comparatively small but frequent issues. Moreover, some L¨ander issue a significant volume-share of their bonds in foreign currencies. Suitable bonds are used to compute yields for the respective L¨ander at a daily frequency. In addition, we construct a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average yield. --sovereign bond market,yields,liquidity,fiscal federalism,Germany

Sovereign bond market integration: the euro, trading platforms and globalisation

Study on sovereign bond market integration and the role of the euro, trading platforms and globalisation. We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Lander in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Lander. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.sovereign bond market, bond market integration, EMU, electronic trading, euro, globalisation, Wolff, Schulz

Sovereign bond market integration: the euro, trading platforms and globalization

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration. --sovereign bond market,bond market integration,EMU,electronic trading

Heterogeneous diffusion in comb and fractal grid structures

We give an exact analytical results for diffusion with a power-law position dependent diffusion coefficient along the main channel (backbone) on a comb and grid comb structures. For the mean square displacement along the backbone of the comb we obtain behavior $\langle x^2(t)\rangle\sim t^{1/(2-\alpha)}$, where $\alpha$ is the power-law exponent of the position dependent diffusion coefficient $D(x)\sim |x|^{\alpha}$. Depending on the value of $\alpha$ we observe different regimes, from anomalous subdiffusion, superdiffusion, and hyperdiffusion. For the case of the fractal grid we observe the mean square displacement, which depends on the fractal dimension of the structure of the backbones, i.e., $\langle x^2(t)\rangle\sim t^{(1+\nu)/(2-\alpha)}$, where $0<\nu<1$ is the fractal dimension of the backbones structure. The reduced probability distribution functions for both cases are obtained by help of the Fox $H$-functions

Quantification of airfoil geometry-induced aerodynamic uncertainties - comparison of approaches

Uncertainty quantification in aerodynamic simulations calls for efficient numerical methods since it is computationally expensive, especially for the uncertainties caused by random geometry variations which involve a large number of variables. This paper compares five methods, including quasi-Monte Carlo quadrature, polynomial chaos with coefficients determined by sparse quadrature and gradient-enhanced version of Kriging, radial basis functions and point collocation polynomial chaos, in their efficiency in estimating statistics of aerodynamic performance upon random perturbation to the airfoil geometry which is parameterized by 9 independent Gaussian variables. The results show that gradient-enhanced surrogate methods achieve better accuracy than direct integration methods with the same computational cost

A Global Bayesian Analysis of Neutrino Mass Data

We perform a global Bayesian analysis of currently available neutrino data, putting data from oscillation experiments, neutrinoless double beta decay ($0\nu\beta\beta$), and precision cosmology on an equal footing. We evaluate the discovery potential of future $0\nu\beta\beta$ experiments and the Bayes factor of the two possible neutrino mass ordering schemes for different prior choices. We show that the indication for normal ordering is still very mild and does not strongly depend on realistic prior assumptions or different combinations of cosmological data sets. We find a wide range for $0\nu\beta\beta$ discovery potential, depending on the absolute neutrino mass scale, mass ordering and achievable background level.Comment: 17 pages, 10 figure