A note on estimating market–based minimum capital risk requirements: a multivariate GARCH approach

Internal risk management models of the kind popularized by J. P. Morgan are now used widely by the world’s most sophisticated financial institutions as a means of measuring risk. Using the returns on three of the most popular futures contracts on the London International Financial Futures Exchange, in this paper we investigate the possibility of using multivariate generalized autoregressive conditional heteroscedasticity (GARCH) models for the calculation of minimum capital risk requirements (MCRRs). We propose a method for the estimation of the value at risk of a portfolio based on a multivariate GARCH model. We find that the consideration of the correlation between the contracts can lead to more accurate, and therefore more appropriate, MCRRs compared with the values obtained from a univariate approach to the problem

The NNLO non-singlet QCD analysis of parton distributions based on Bernstein polynomials

A non-singlet QCD analysis of the structure function $xF_3$ up to NNLO is performed based on the Bernstein polynomials approach. We use recently calculated NNLO anomalous dimension coefficients for the moments of the $xF_3$ structure function in $\nu N$ scattering. In the fitting procedure, Bernstein polynomial method is used to construct experimental moments from the $xF_3$ data of the CCFR collaboration in the region of $x$ which is inaccessible experimentally. We also consider Bernstein averages to obtain some unknown parameters which exist in the valence quark densities in a wide range of $x$ and $Q^2$. The results of valence quark distributions up to NNLO are in good agreement with the available theoretical models. In the analysis we determined the QCD-scale $\Lambda^ {\bar{MS}}_{QCD, N_{f}=4}=211$ MeV (LO), 259 MeV (NLO) and 230 MeV (NNLO), corresponding to $\alpha_s(M_Z^2)=0.1291$ LO, $\alpha_s(M_Z^2)=0.1150$ NLO and $\alpha_s(M_Z^2)=0.1142$ NNLO. We compare our results for the QCD scale and the $\alpha_s(M_Z^2)$ with those obtained from deep inelastic scattering processes.Comment: 20 pages, 7 figures, published in JHE

The Chiral Phase Transition in Dissipative Dynamics

Numerical simulations of the chiral phase transition in the (3+1)dimensional O(4)-model are presented. The evolutions of the chiral field follow purely dissipative dynamics, starting from random chirally symmetric initial configurations down to the true vacuum with spontaneously broken symmetry. The model stabilizes topological textures which are formed together with domains of disoriented chiral condensate (DCC) during the roll-down phase. The classically evolving field acts as source for the emission of pions and $\sigma$ mesons. The exponents of power laws for the growth of angular correlations and for emission rates are extracted. Fluctuations in the abundance ratios for neutral and charged pions are compared with those for uncorrelated sources as potential signature for the chiral phase transition after heavy-ion collisions. It is found that the presence of stabilizing textures (baryons and antibaryons) prevents sufficiently rapid growth of DCC-domain size, so observability of anomalous tails in the abundance ratios is unlikely. However, the transient formation of growing DCC domains causes sizable broadening of the distributions as compared to the statistical widths of generic sources.Comment: 28 pages, 8 figure

Cerebral blood flow and cognitive performance in postural tachycardia syndrome: insights from sustained cognitive stress test

BACKGROUND: The physiology underlying "brain fog" in the absence of orthostatic stress in postural tachycardia syndrome(POTS) remains poorly understood. METHODS AND RESULTS: We evaluated cognitive and hemodynamic responses (cardiovascular and cerebral: heart rate, blood pressure, end-tidal carbon dioxide, and cerebral blood flow velocity (CBFv) in the middle cerebral artery at baseline, after initial cognitive testing, and after (30-minutes duration) prolonged cognitive stress test (PCST) whilst seated; as well as after 5-minute standing in consecutively enrolled participants with POTS (n=22) and healthy controls (n=18). Symptom severity was quantified with orthostatic hypotensive questionnaire at baseline and end of study. Subjects in POTS and control groups were frequency age- and sex-matched (29±11 versus 28±13 years; 86 versus 72% women, respectively; both P≥0.4). The CBFv decreased in both groups (condition, P=0.04) following PCST, but a greater reduction in CBFv was observed in the POTS versus control group (−7.8% versus −1.8%; interaction, P=0.038). Notably, the reduced CBFv following PCST in the POTS group was similar to that seen during orthostatic stress (60.0±14.9 versus 60.4±14.8 cm/s). Further, PCST resulted in greater slowing in psychomotor speed (6.1% versus 1.4%, interaction, P=0.027) and a greater increase in symptom scores at study completion (interaction, P0.05). CONCLUSIONS: Reduced CBFv and cognitive dysfunction were evident in patients with POTS following prolonged cognitive stress even in the absence of orthostatic stress.Rachel Wells, Varun Malik, Anthony G. Brooks, Dominik Linz, Adrian D. Elliott, Prashanthan Sanders ... et al

Leptogenesis and rescattering in supersymmetric models

The observed baryon asymmetry of the Universe can be due to the $B-L$ violating decay of heavy right handed (s)neutrinos. The amount of the asymmetry depends crucially on their number density. If the (s)neutrinos are generated thermally, in supersymmetric models there is limited parameter space leading to enough baryons. For this reason, several alternative mechanisms have been proposed. We discuss the nonperturbative production of sneutrino quanta by a direct coupling to the inflaton. This production dominates over the corresponding creation of neutrinos, and it can easily (i.e. even for a rather small inflaton-sneutrino coupling) lead to a sufficient baryon asymmetry. We then study the amplification of MSSM degrees of freedom, via their coupling to the sneutrinos, during the rescattering phase which follows the nonperturbative production. This process, which mainly influences the (MSSM) $D-$flat directions, is very efficient as long as the sneutrinos quanta are in the relativistic regime. The rapid amplification of the light degrees of freedom may potentially lead to a gravitino problem. We estimate the gravitino production by means of a perturbative calculation, discussing the regime in which we expect it to be reliable.Comment: (20 pages, 6 figures), references added, typos corrected. Final version in revte

The Subcutaneous Air-Pouch Model of Synovium and the Inflammatory Response to Heat Aggregated Gammaglobulin

Subcutaneous injection of sterile air in rodents results in the formation of an air pouch with a lining morphologically similar to synovium (Edwards et al., 1981). We extended the comparison between pouch and synovial tissue and confirmed broad similarities in structure and function but also noted important differences. The air pouch was used to study the time course of the acute inflammatory response to heat aggregated human IgG. Saline washout of the pouch allowed simultaneous measurement of cellular and mediator components of the inflammatory exudate. The aggregates were rapidly phagocytosed by the pouch lining cells, resulting in acute inflammation characterised by polymorphonuclear leucocyte infiltration with peak numbers in the exudate at 12 hours, temporally dissociated from the earlier peak of PGE2 at 3 hours

Pion emission from the T2K replica target: method, results and application

The T2K long-baseline neutrino oscillation experiment in Japan needs precise predictions of the initial neutrino flux. The highest precision can be reached based on detailed measurements of hadron emission from the same target as used by T2K exposed to a proton beam of the same kinetic energy of 30 GeV. The corresponding data were recorded in 2007-2010 by the NA61/SHINE experiment at the CERN SPS using a replica of the T2K graphite target. In this paper details of the experiment, data taking, data analysis method and results from the 2007 pilot run are presented. Furthermore, the application of the NA61/SHINE measurements to the predictions of the T2K initial neutrino flux is described and discussed.Comment: updated version as published by NIM

Event-by-Event Fluctuations in Particle Multiplicities and Transverse Energy Produced in 158.A GeV Pb+Pb collisions

Event-by-event fluctuations in the multiplicities of charged particles and photons, and the total transverse energy in 158$\cdot A$ GeV Pb+Pb collisions are studied for a wide range of centralities. For narrow centrality bins the multiplicity and transverse energy distributions are found to be near perfect Gaussians. The effect of detector acceptance on the multiplicity fluctuations has been studied and demonstrated to follow statistical considerations. The centrality dependence of the charged particle multiplicity fluctuations in the measured data has been found to agree reasonably well with those obtained from a participant model. However for photons the multiplicity fluctuations has been found to be lower compared to those obtained from a participant model. The multiplicity and transverse energy fluctuations have also been compared to those obtained from the VENUS event generator.Comment: To appear in Physical Review C; changes : more detailed discussion on errors and few figures modifie

Proximity effect at superconducting Sn-Bi2Se3 interface

We have investigated the conductance spectra of Sn-Bi2Se3 interface junctions down to 250 mK and in different magnetic fields. A number of conductance anomalies were observed below the superconducting transition temperature of Sn, including a small gap different from that of Sn, and a zero-bias conductance peak growing up at lower temperatures. We discussed the possible origins of the smaller gap and the zero-bias conductance peak. These phenomena support that a proximity-effect-induced chiral superconducting phase is formed at the interface between the superconducting Sn and the strong spin-orbit coupling material Bi2Se3.Comment: 7 pages, 8 figure

Heavy Quarks and Heavy Quarkonia as Tests of Thermalization

We present here a brief summary of new results on heavy quarks and heavy quarkonia from the PHENIX experiment as presented at the "Quark Gluon Plasma Thermalization" Workshop in Vienna, Austria in August 2005, directly following the International Quark Matter Conference in Hungary.Comment: 8 pages, 5 figures, Quark Gluon Plasma Thermalization Workshop (Vienna August 2005) Proceeding