100 research outputs found

    Implied Exchange Rate Distributions: Evidence from OTC Option Markets

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    This paper uses a rich new data set of option prices on the dollar-mark, dollar-yen, and key EMS cross-rates to extract the entire risk-neutral probability density function (pdf) over horizons of one and three months. We compare three alternative smoothing methods---cubic splines, an implied binomial tree (trimmed and untrimmed), and a mixture of lognormals---for transforming option data into the pdf. Despite their methodological ifferences, the three approaches lead to a similar pdf distinct from the lognormal benchmark, and usually characterized by skewness and leptokurtosis. We then document a striking positive correlation between skewness in these pdfs and the spot rate. The stronger a currency the more expectations are skewed towards a further appreciation of that currency. We interpret this finding as a rejection that these exchange rates evolve as a martingale, or that they follow a credible target zone, explicit or implicit. Instead, this this positive correlation is consistent with target zones with endogenous realignment risk. We discuss two interpretations of our results on skewness: when a currency is stronger, the actual probability of further large appreciation is higher, or because of risk, such states are valued more highly.

    Realizing the Heteromorphic Superlattice: Repeated Heterolayers of Amorphous Insulator and Polycrystalline Semiconductor with Minimal Interface Defects

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    An Unconventional Heteromorphic Superlattice (HSL) is Realized, Comprised of Repeated Layers of Different Materials with Differing Morphologies: Semiconducting Pc-In2O3 Layers Interleaved with Insulating A-MoO3 Layers. Originally Proposed by Tsu in 1989, Yet Never Fully Realized, the High Quality of the HSL Heterostructure Demonstrated Here Validates the Intuition of Tsu, Whereby the Flexibility of the Bond Angle in the Amorphous Phase and the Passivation Effect of the Oxide at Interfacial Bonds Serve to Create Smooth, High-Mobility Interfaces. the Alternating Amorphous Layers Prevent Strain Accumulation in the Polycrystalline Layers While Suppressing Defect Propagation Across the HSL. for the HSL with 7:7 Nm Layer Thickness, the Observed Electron Mobility of 71 Cm2 Vs-1, Matches that of the Highest Quality In2O3 Thin Films. the Atomic Structure and Electronic Properties of Crystalline In2O3/amorphous MoO3 Interfaces Are Verified using Ab-Initio Molecular Dynamics Simulations and Hybrid Functional Calculations. This Work Generalizes the Superlattice Concept to an Entirely New Paradigm of Morphological Combinations

    Alignment of the CMS silicon tracker during commissioning with cosmic rays

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    This is the Pre-print version of the Article. The official published version of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe CMS silicon tracker, consisting of 1440 silicon pixel and 15 148 silicon strip detector modules, has been aligned using more than three million cosmic ray charged particles, with additional information from optical surveys. The positions of the modules were determined with respect to cosmic ray trajectories to an average precision of 3–4 microns RMS in the barrel and 3–14 microns RMS in the endcap in the most sensitive coordinate. The results have been validated by several studies, including laser beam cross-checks, track fit self-consistency, track residuals in overlapping module regions, and track parameter resolution, and are compared with predictions obtained from simulation. Correlated systematic effects have been investigated. The track parameter resolutions obtained with this alignment are close to the design performance.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

    Commissioning and performance of the CMS pixel tracker with cosmic ray muons

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    This is the Pre-print version of the Article. The official published verion of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe pixel detector of the Compact Muon Solenoid experiment consists of three barrel layers and two disks for each endcap. The detector was installed in summer 2008, commissioned with charge injections, and operated in the 3.8 T magnetic field during cosmic ray data taking. This paper reports on the first running experience and presents results on the pixel tracker performance, which are found to be in line with the design specifications of this detector. The transverse impact parameter resolution measured in a sample of high momentum muons is 18 microns.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

    Performance of the CMS drift-tube chamber local trigger with cosmic rays

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    The performance of the Local Trigger based on the drift-tube system of the CMS experiment has been studied using muons from cosmic ray events collected during the commissioning of the detector in 2008. The properties of the system are extensively tested and compared with the simulation. The effect of the random arrival time of the cosmic rays on the trigger performance is reported, and the results are compared with the design expectations for proton-proton collisions and with previous measurements obtained with muon beams

    Performance of the CMS Level-1 trigger during commissioning with cosmic ray muons and LHC beams

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    This is the Pre-print version of the Article. The official published version can be accessed from the link below - Copyright @ 2010 IOPThe CMS Level-1 trigger was used to select cosmic ray muons and LHC beam events during data-taking runs in 2008, and to estimate the level of detector noise. This paper describes the trigger components used, the algorithms that were executed, and the trigger synchronisation. Using data from extended cosmic ray runs, the muon, electron/photon, and jet triggers have been validated, and their performance evaluated. Efficiencies were found to be high, resolutions were found to be good, and rates as expected.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

    Performance of the CMS hadron calorimeter with cosmic ray muons and LHC beam data

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    This is the Pre-print version of the Article. The official published version of the Paper can be accessed from the link below - Copyright @ 2010 IOPThe CMS Hadron Calorimeter in the barrel, endcap and forward regions is fully commissioned. Cosmic ray data were taken with and without magnetic field at the surface hall and after installation in the experimental hall, hundred meters underground. Various measurements were also performed during the few days of beam in the LHC in September 2008. Calibration parameters were extracted, and the energy response of the HCAL determined from test beam data has been checked.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

    Performance of the CMS Level-1 trigger during commissioning with cosmic ray muons and LHC beams

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    This is the Pre-print version of the Article. The official published version can be accessed from the link below - Copyright @ 2010 IOPThe CMS Level-1 trigger was used to select cosmic ray muons and LHC beam events during data-taking runs in 2008, and to estimate the level of detector noise. This paper describes the trigger components used, the algorithms that were executed, and the trigger synchronisation. Using data from extended cosmic ray runs, the muon, electron/photon, and jet triggers have been validated, and their performance evaluated. Efficiencies were found to be high, resolutions were found to be good, and rates as expected.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)

    Performance study of the CMS barrel resistive plate chambers with cosmic rays

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    This is the Pre-print version of the Article. The official published version can be accessed from the link below - Copyright @ 2010 IOPIn October and November 2008, the CMS collaboration conducted a programme of cosmic ray data taking, which has recorded about 270 million events. The Resistive Plate Chamber system, which is part of the CMS muon detection system, was successfully operated in the full barrel. More than 98% of the channels were operational during the exercise with typical detection efficiency of 90%. In this paper, the performance of the detector during these dedicated runs is reported.This work is supported by FMSR (Austria); FNRS and FWO (Belgium); CNPq, CAPES, FAPERJ, and FAPESP (Brazil); MES (Bulgaria); CERN; CAS, MoST, and NSFC (China); COLCIENCIAS (Colombia); MSES (Croatia); RPF (Cyprus); Academy of Sciences and NICPB (Estonia); Academy of Finland, ME, and HIP (Finland); CEA and CNRS/IN2P3 (France); BMBF, DFG, and HGF (Germany); GSRT (Greece); OTKA and NKTH (Hungary); DAE and DST (India); IPM (Iran); SFI (Ireland); INFN (Italy); NRF (Korea); LAS (Lithuania); CINVESTAV, CONACYT, SEP, and UASLP-FAI (Mexico); PAEC (Pakistan); SCSR (Poland); FCT (Portugal); JINR (Armenia, Belarus, Georgia, Ukraine, Uzbekistan); MST and MAE (Russia); MSTDS (Serbia); MICINN and CPAN (Spain); Swiss Funding Agencies (Switzerland); NSC (Taipei); TUBITAK and TAEK (Turkey); STFC (United Kingdom); DOE and NSF (USA)
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