Leverhulme Lecture: Regulating Complexity in Financial Markets

Lecture given November 9, 2010, the second of three delivered by Prof. Schwarcz as Leverhulme Visiting Professor of Law, Oxford University. Complexity is the greatest challenge to 21st Century financial regulation, having the potential to impair markets and investments in several interrelated ways. Furthermore, complexity can cause failures that individual market participants cannot, or will not have incentive to, remedy. These failures are driven by information uncertainty, misalignment of interests and incentives among market participants, and nonlinear feedback and tight coupling that result in sudden unexpected market changes. These are the same types of failures that engineers have long faced when working with complex engineering systems. The lecture uses engineering solutions such as chaos theory to examine how financial regulation should be structured to correct those failures

SZZ Unleashed: An Open Implementation of the SZZ Algorithm -- Featuring Example Usage in a Study of Just-in-Time Bug Prediction for the Jenkins Project

Numerous empirical software engineering studies rely on detailed information about bugs. While issue trackers often contain information about when bugs were fixed, details about when they were introduced to the system are often absent. As a remedy, researchers often rely on the SZZ algorithm as a heuristic approach to identify bug-introducing software changes. Unfortunately, as reported in a recent systematic literature review, few researchers have made their SZZ implementations publicly available. Consequently, there is a risk that research effort is wasted as new projects based on SZZ output need to initially reimplement the approach. Furthermore, there is a risk that newly developed (closed source) SZZ implementations have not been properly tested, thus conducting research based on their output might introduce threats to validity. We present SZZ Unleashed, an open implementation of the SZZ algorithm for git repositories. This paper describes our implementation along with a usage example for the Jenkins project, and conclude with an illustrative study on just-in-time bug prediction. We hope to continue evolving SZZ Unleashed on GitHub, and warmly invite the community to contribute

The Bentonite Barrier - Swelling Properties, Redox Chemistry and Mineral Evolution

Bentonite is planned for use as a buffer material in high-level radioactive waste repositories, where safety assessment is performed for very long periods (100-1000 ka). This thesis focuses on the swelling of smectites in liquid water, and analysis of bentonite from field experiments at Äspö Hard Rock Laboratory, Sweden. Four field experiments were analyzed (Alternative Buffer Material experiment, ABM1, ABM2; Temperature Buffer Test, TBT; and Prototype) with focus on Fe- redox chemistry and formation of trioctahedral smectite. The techniques used were mainly synchrotron X-ray diffraction and X-ray absorption spectroscopy. In ABM1 and Prototype the Fe(II)/Fe-total ratio had increased. In TBT no significant increase in Fe(II) was found; instead the corrosion products were dominated by Fe(III). Formation of trioctahedral clays was found in the iron-bentonite experiments (ABM1, ABM2, TBT), but not in Prototype where the heater instead was of copper. In swelling experiments, Ca-Wyoming montmorillonite was shown to expand and partly form a four-water-layer hydrate at lower temperatures in water. This was studied in more detail, and the influence of divalent interlayer cation, temperature, layer charge, salt and irradiation was investigated. Among the investigated smectites, decreased temperature increased the crystalline swelling until ice was formed. Lower smectite layer charge increased the crystalline swelling. Increasing the Gibbs hydration energy of the divalent interlayer cation increased the crystalline swelling. Introduction of salt in the water partly dehydrated the montmorillonite at 20°C, but minimized the dehydration of montmorillonite upon ice formation at low temperatures (-50, -100°C), especially with CaCl2. It was found that in a gradient of ethylene glycol and water a 21 Å basal distance was formed in the montmorillonite, which was higher than in the pure liquids

Synthesis and characterization of tetraosmium clusters containing ferrocenyl based diphosphine ligands as potential catalysts in asymmetric hydrogenation

The metal cluster [H4Os4(CO)12] was treated with various chiral ferrocenyl diphosphines of the Walphos family. The new compounds; [H4Os4(CO)10{μ -1,2-W001}], [H4Os4(CO)10{μ -1,2-W002}], [H4Os4(CO)10{μ -1,2-W003}] and [H4Os4(CO)10{μ -1,2-W005}] were characterized, and [H4Os4(CO)10{μ -1,2-W001}] was investigated in its enantioselective catalytic properties in the hydrogenation of tiglic acid. It was demonstrated that the enantioselectivity with this compound is insignificant (6% ee) and that it is not a suitable hydrogenation catalyst at our conditions (31% conversion)

Shooting two birds with two bullets: how to find Minimum Mean OSPA estimates

Most area-defense formulations follow from the assumption that threats must first be identified and then neutralized. This is reasonable, but inherent to it is a process of labeling: threat A must be identified and then threat B, and then action must be taken. This manuscript begins from the assumption that such labeling (A & B) is irrelevant. The problem naturally devolves to one of Random Finite Set (RFS) estimation: we show that by eschewing any concern of target label we relax the estimation procedure, and it is perhaps not surprising that by such a removal of constraint (of labeling) performance (in terms of localization) is enhanced. A suitable measure for the estimation of unlabeled objects is the Mean OSPA (MOSPA). We derive a general algorithm which provided the optimal estimator which minimize the MOSPA. We call such an estimator a Minimum MOSPA (MMOSPA) estimator

Trade and ethnozoological use of African lorisiformes in the last 20 years

Trade in primates is considered a major impediment to primate conservation globally. The bushmeat trade in West and Central Africa is considered largely unsustainable and represents one of the main threats to biodiversity. Furthermore, the use of primates in traditional practices and medicine includes a third of the African primate species. Little is known about the trade in the African mainland lorisiforms; pottos, angwantibos and galagos. Aiming to fill this knowledge gap we created an online survey, conducted a literature review, and analyzed CITES trade records, focusing on the last two decades. We obtained 188 questionnaire responses from researchers and people working in 31 different countries in sub-Saharan Africa. We found a total of 33 publications reporting on trade in African lorisiforms, and CITES records indicate that almost 2000 lorisiforms were traded internationally from African range countries. Fifty-three percent of respondents provided meaningful details about aspects of the trade in African lorisiforms from 50% of the range countries. Galagos were reported by respondents in larger numbers than pottos and angwantibos, and mainly occurred in the pet trade. Pottos were the most frequently mentioned taxon in the literature, when all trade types were combined. Across all of the sources (online survey, literature and CITES database), trade in pottos and angwantibos was reported from 12 countries, and galagos from 23 countries. Trade was reported to occur mainly within rural settings (64%), potentially indicating that demand is not high enough to fuel long distance trading. However, as seen in the Asian lorisiforms, once quantitative studies were conducted, the threat that trade posed became alarmingly apparent and is now considered a major impediment to their conservation. Our insight into the trade of African lorisiforms should be followed up with concerted studies, with an emphasis on quantifying trade to the species level

An even colder war? Specialization and scientization in the training methods of cross-country skiing from the 1940s in Sweden and the Soviet Union.

This work analyzes the official training advice given to prospective elite skiers in Sweden and the Soviet Union from the late 1940s until the 1970s. How was training scientized in relation to the Cold War context? In what ways did neutral Sweden differ from the Soviet Union? What type of organizations took an interest in the rationalization of training and why? The sportification process accelerated during the Cold War period in both the Soviet Union and Sweden, despite their many differences in political system, international relations, tradition and economy. It is also clear that the scientific contribution to sport, not least skiing, was vital in both countries. As the knowledge about Soviet sport science and training development increases, this also sheds new light on the Cold War era and its impact on sport. For the developments in cross-country skiing as well as sport science, the conscious effort by the Soviet Union to be the avant-garde of scientized training directly affected other countries such as Sweden into accelerating their own efforts. The Cold War was therefore not only fought in space or by military means, but also in labs and skiing tracks. What is particularly interesting is that similar research on athletes was motivated in radically different ways. In Soviet, sports and thus also sport science was highly political. In Sweden, it was framed as neutral, relating more to rationality and scientific ideals than to sport performance

The Risk-Free Rate’s Impact on Stock Returns with Representative Fund Managers

In this thesis, the risk-free rate’s impact on stock market excess returns was examined. Firstly, theoretical arguments were made for that a low risk-free rate might lower the excess return on the stock market, since this increases the incentive for fund managers to increase variance of returns. Under the assumption that fund managers affect the preferences of the representative investor, propositions regarding stock returns and the risk-free rate were made. Using the time series of stochastic volatility risk premium estimates created by Bollerslev, Gibson and Zhou’s (2011), it was tested if investor risk aversion is lower when the risk-free rate is low. The risk-free rate’s impact on the cross-section of stock returns was tested through the same methodology used by Black, Jensen, Scholes (1972) with independent variables linked to the risk-free rate added. Support for lower risk aversion during periods of a low risk-free rate was found. In opposite to the proposition regarding the cross-section of stock returns, the tests suggest that excess returns for all portfolios are higher when the risk-free rate is low

Cohesive zone modelling and the fracture process of structural tape

AbstractStructural tapes provide comparable toughness as structural adhesives at orders of magnitude lower stresses. This is potentially useful to minimize the effects of differences in thermal expansion in the joining of mixed materials. The strength properties are modelled using the cohesive zone model. Thus, a cohesive zone represents the tape, i.e. stresses in the tape are transmitted to the substrates through tractions determined by the separations of the surfaces of substrates. This simplification allows for structural analysis of large complex structures. The relation between the traction and the separation is measured experimentally using methods based on the path independence of the J-integral. Repeated experiments are performed at quasi-static loading. A mixed mode cohesive law is adapted to the experimental data. The law is implemented as a UMAT in Abaqus. Simulations show minor thermal distortions due to thermal loading and substantial structural strength in mechanical loading of a mixed material structure