Statistical mechanics of the international trade network

Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose directed connections (bilateral trade volumes) are only characterized by the product of the trading countries' GDPs. It means that time evolution of this network may be considered as a continuous sequence of equilibrium states, i.e. quasi-static process. This, in turn, allows one to apply the linear response theory to make (and also verify) simple predictions about the network. In particular, we show that bilateral trade fulfills fluctuation-response theorem, which states that the average relative change in import (export) between two countries is a sum of relative changes in their GDPs. Yearly changes in trade volumes prove that the theorem is valid.Comment: 6 pages, 2 figure

Effect of Edge Roughness on resistance and switching voltage of Magnetic Tunnel Junctions

We investigate the impact of edge roughness on the electrical transport properties of magnetic tunnel junctions using non-equilibrium Greens function formalism. We have modeled edge roughness as a stochastic variation in the cross-sectional profile of magnetic tunnel junction characterized by the stretched exponential decay of the correlation function. The stochastic variation in the shape and size changes the transverse energy mode profile and gives rise to the variations in the resistance and switching voltage of the magnetic tunnel junction. We find that the variations are larger as the magnetic tunnel junction size is scaled down due to the quantum confinement effect. A model is proposed for the efficient calculation of edge roughness effects by approximating the cross-sectional geometry to a circle with the same cross-sectional area. Further improvement can be obtained by approximating the cross-sectional area to an ellipse with an aspect ratio determined by the first transverse eigenvalue corresponding to the 2D cross section. These results would be useful for reliable design of the spin transfer torque-magnetic random access memory (STT-MRAM) with ultra-small magnetic tunnel junctions.Comment: 3 pages, 3 figure

Measurement of the anisotropy power spectrum of the radio synchrotron background

We present the first targeted measurement of the power spectrum of anisotropies of the radio synchrotron background, at 140 MHz where it is the overwhelmingly dominant photon background. This measurement is important for understanding the background level of radio sky brightness, which is dominated by steep-spectrum synchrotron radiation at frequencies below 0.5 GHz and has been measured to be significantly higher than that which can be produced by known classes of extragalactic sources and most models of Galactic halo emission. We determine the anisotropy power spectrum on scales ranging from 2 degrees to 0.2 arcminutes with LOFAR observations of two 18 square degree fields -- one centered on the Northern hemisphere coldest patch of radio sky where the Galactic contribution is smallest and one offset from that location by 15 degrees. We find that the anisotropy power is higher than that attributable to the distribution of point sources above 100 micro-Jy in flux. This level of radio anisotropy power indicates that if it results from point sources, those sources are likely at low fluxes and incredibly numerous, and likely clustered in a specific manner.Comment: 8 pages, 5 figures, published in MNRAS, updated to published versio

Diffuse Sources, Clustering and the Excess Anisotropy of the Radio Synchrotron Background

We present the largest low frequency (120~MHz) arcminute resolution image of the radio synchrotron background (RSB) to date, and its corresponding angular power spectrum of anisotropies (APS) with angular scales ranging from $3^\circ$ to $0.3^\prime$. We show that the RSB around the North Celestial Pole has a significant excess anisotropy power at all scales over a model of unclustered point sources based on source counts of known source classes. This anisotropy excess, which does not seem attributable to the diffuse Galactic emission, could be linked to the surface brightness excess of the RSB. To better understand the information contained within the measured APS, we model the RSB varying the brightness distribution, size, and angular clustering of potential sources. We show that the observed APS could be produced by a population of faint clustered point sources only if the clustering is extreme and the size of the Gaussian clusters is $\lesssim 1'$. We also show that the observed APS could be produced by a population of faint diffuse sources with sizes $\lesssim 1'$, and this is supported by features present in our image. Both of these cases would also cause an associated surface brightness excess. These classes of sources are in a parameter space not well probed by even the deepest radio surveys to date.Comment: 13 pages, 14 figures. Accepted for publication in MNRA

Stochastic volatility and leverage effect

We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.Comment: 4 pages, 2 figure

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of simultaneously-traded European-style options.Comment: 24 pages, 4 figure

Testing stock market convergence: a non-linear factor approach

This paper applies the Phillips and Sul (Econometrica 75(6):1771–1855, 2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US between 1973 and 2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (J Am Stat Assoc 93(441):349–358, 1998) procedure to filter the data in order to extract the long-run component of the series; then, following Phillips and Sul (Econometrica 75(6):1771–1855, 2007), we estimate the relative transition parameters. In the case of sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the sample, and subsequent divergence, but a much larger number of clusters is now found. Splitting the cross-section into two subgroups including euro area countries, the UK and the US respectively, provides evidence of a global convergence/divergence process not obviously influenced by EU policies

The Quality vs. the Quantity of Schooling: What Drives Economic Growth?

This paper challenges Hanushek and Woessmann’s [2008] contention that the quality and not the quantity of schooling determines a nation’s rate of economic growth. I first show that their statistical analysis is flawed. I then show that when a nation’s average test scores and average schooling attainment are included in a national income model, both measures explain income differences, but schooling attainment has greater statistical significance. The high correlation between a nation’s average schooling attainment, cumulative investment in schooling, and average tests scores indicates that average schooling attainment implicitly measures the quality as well as the quantity of schooling