Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits

This paper analyzes the random walk behaviour of futures prices when the exchange regulated by price limits. Using a model analogous to exchange rate target zone models, the study tests for the existence of a nonlinear S-shape relation between observed and theoretical futures prices. This phenomenon reflects the adjustment in traders' expectations even when limits are not actually hit. The approach is illustrated for five agricultural futures contracts traded at the Chicago Board of Trade. There is some evidence of nonlinearity in quiet periods. In cases of fundamental realignments, that is volatile periods, this non-liearity disappears.price limits; target zones; gravitation; mean reversion

Rapid roll Inflation with Conformal Coupling

Usual inflation is realized with a slow rolling scalar field minimally coupled to gravity. In contrast, we consider dynamics of a scalar with a flat effective potential, conformally coupled to gravity. Surprisingly, it contains an attractor inflationary solution with the rapidly rolling inflaton field. We discuss models with the conformal inflaton with a flat potential (including hybrid inflation). There is no generation of cosmological fluctuations from the conformally coupled inflaton. We consider realizations of modulated (inhomogeneous reheating) or curvaton cosmological fluctuations in these models. We also implement these unusual features for the popular string-theoretic warped inflationary scenario, based on the interacting D3-anti D3 branes. The original warped brane inflation suffers a large inflaton mass due to conformal coupling to 4-dimensional gravity. Instead of considering this as a problem and trying to cure it with extra engineering, we show that warped inflation with the conformally coupled, rapidly rolling inflaton is yet possible with N=37 efoldings, which requires low energy scales 1-100 TeV of inflation. Coincidentally, the same warping numerology can be responsible for the hierarchy. It is shown that the scalars associated with angular isometries of the warped geometry of compact manifold (e.g. S^3 of KS geometry) have solutions identical to conformally coupled modes and also cannot be responsible for cosmological fluctuations. We discuss other possibilities.Comment: 15 pages, version accepted for publication in PR

Migration of Price Discovery With Constrained Futures Markets

This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity derivatives markets regulate prices of all derivatives on a particular commodity simultaneously. NYBOT has taken an almost unique position by imposing daily price limits on their futures contracts while leaving the options prices on these futures contracts unconstrained. The study takes a particular interest in the volatility and futures prices of the options-implied risk neutral density when the underlying futures contract is locked limit.option implied density; price limits

Reheating and thermalization in a simple scalar model

We consider a simple model for the Universe reheating, which consists of a single self--interacting scalar field in Minkowskian space--time. Making use of the existence of an additional small parameter proportional to the amplitude of the initial spatially homogeneous field oscillations, we show that the behavior of the field can be found reliably. We describe the evolution of the system from the homogeneous oscillations to the moment when thermalization is completed. We compare our results with the Hartree--Fock approximation and argue that some properties found for this model may be the common features of realistic theories.Comment: Some changes in Introduction and Discussion, comparison with the Hartree--Fock results added. 37 pages, 2 postscript figures attache

Topological Defects Formation after Inflation on Lattice Simulation

We consider the formation of topological defects after inflation. In order to take into account the effects of the rescattering of fluctuations, we integrate the classical equation that describes the evolution of a complex scalar field on the two-dimensional lattice with a slab symmetry. The growth of fluctuations during preheating is found not to be enough for defect formation, and rather a long stage of the rescattering of fluctuations after preheating is necessary. We conclude that the topological defects are not formed if the breaking scale \eta is lager than \sim (2 - 3)\times 10^{16} GeV.Comment: 7 pages, RevTex, 10 postscript figures included; version to be published in Phys. Rev.

The Development of Equilibrium After Preheating

We present a fully nonlinear study of the development of equilibrium after preheating. Preheating is the exponentially rapid transfer of energy from the nearly homogeneous inflaton field to fluctuations of other fields and/or the inflaton itself. This rapid transfer leaves these fields in a highly nonthermal state with energy concentrated in infrared modes. We have performed lattice simulations of the evolution of interacting scalar fields during and after preheating for a variety of inflationary models. We have formulated a set of generic rules that govern the thermalization process in all of these models. Notably, we see that once one of the fields is amplified through parametric resonance or other mechanisms it rapidly excites other coupled fields to exponentially large occupation numbers. These fields quickly acquire nearly thermal spectra in the infrared, which gradually propagates into higher momenta. Prior to the formation of total equilibrium, the excited fields group into subsets with almost identical characteristics (e.g. group effective temperature). The way fields form into these groups and the properties of the groups depend on the couplings between them. We also studied the onset of chaos after preheating by calculating the Lyapunov exponent of the scalar fields.Comment: 15 pages, 23 figure

On generation of metric perturbations during preheating

We consider the generation of the scalar mode of the metric perturbations during preheating stage in a two field model with the potential $V(\phi, \chi)= {m^{2}\phi^{2}\over 2}+{g^{2}\phi^{2}\chi^{2}\over 2}$. We discuss two possible sources of such perturbations: a) due to the coupling between the perturbation of the matter field $\delta \chi$ and the background part of the matter field $\chi_{0}(t)$, b) due to non-linear fluctuations in a condensate of ``particles'' of the field $\chi$. Both types of the metric perturbations are assumed to be small, and estimated using the linear theory of the metric perturbations. We estimate analytically the upper limit of the amplitude of the metric perturbations for all scales in the limit of so-called broad resonance, and show that the large scale metric perturbations are very small, and taking them into account does not influence the standard picture of the production of the metric perturbations in inflationary scenario.Comment: This version is to be published in PRD, new references added and typos correcte

Superluminal Optical Phase Conjugation: Pulse Reshaping and Instability

We theoretically investigate the response of optical phase conjugators to incident probe pulses. In the stable (sub-threshold) operating regime of an optical phase conjugator it is possible to transmit probe pulses with a superluminally advanced peak, whereas conjugate reflection is always subluminal. In the unstable (above-threshold) regime, superluminal response occurs both in reflection and in transmission, at times preceding the onset of exponential growth due to the instability.Comment: 9 pages, 6 figures, RevTex, to appear in Phys. Rev.