NASA Wallops Flight Center GEOS-3 altimeter data processing report

The procedures used to process the GEOS-3 radar altimeter data from raw telemetry data to a final user data product are described. In addition, the radar altimeter hardware design and operating parameters are presented to aid the altimeter user in understanding the altimeter data

Model Uncertainty and Liquidity

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset pricing and trading, in these cases, are intrinsically model dependent. Moreover, the observed behavior of traders and institutions that places a large emphasis on 'worst-case scenarios'' through the use of 'stress testing'' and 'value-at-risk'' seems different than Savage rationality (expected utility) would suggest. In this paper we capture model-uncertainty explicitly using an Epstein-Wang (1994) uncertainty-averse utility function with an ambiguous underlying asset-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial intermediary makes a market for a propriety derivative security. The market-maker chooses bid and ask prices for the derivative, then, conditional on trade in this market, chooses an optimal portfolio and consumption. We explore how uncertainty can increase the bid-ask spread and, hence, reduces liquidity. In addition, 'hedge portfolios'' for the market-maker, an important component to understanding spreads, can look very different from those implied by a model without Knightian uncertainty. Our infinite-horizon example produces short, dramatic decreases in liquidity even though the underlying environment is stationary.

Generalized Disappointment Aversion and Asset Prices

We provide an axiomatic model of preferences over atemporal risks that generalizes Gul (1991) A Theory of Disappointment Aversion' by allowing risk aversion to be first order' at locations in the state space that do not correspond to certainty. Since the lotteries being valued by an agent in an asset-pricing context are not typically local to certainty, our generalization, when embedded in a dynamic recursive utility model, has important quantitative implications for financial markets. We show that the state-price process, or asset-pricing kernel, in a Lucas-tree economy in which the representative agent has generalized disappointment aversion preferences is consistent with the pricing kernel that resolves the equity-premium puzzle. We also demonstrate that a small amount of conditional heteroskedasticity in the endowment-growth process is necessary to generate these favorable results. In addition, we show that risk aversion in our model can be both state-dependent and counter-cyclical, which empirical research has demonstrated is necessary for explaining observed asset-pricing behavior.

A map on the space of rational functions

We describe dynamical properties of a map $\mathfrak{F}$ defined on the space of rational functions. The fixed points of $\mathfrak{F}$ are classified and the long time behavior of a subclass is described in terms of Eulerian polynomials

Critical Phenomena and Thermodynamic Geometry of RN-AdS Black Holes

The phase transition of Reissner-Nordstr\"om black holes in $(n+1)$-dimensional anti-de Sitter spacetime is studied in details using the thermodynamic analogy between a RN-AdS black hole and a van der Waals liquid gas system. We first investigate critical phenomena of the RN-AdS black hole. The critical exponents of relevant thermodynamical quantities are evaluated. We find identical exponents for a RN-AdS black hole and a Van der Waals liquid gas system. This suggests a possible universality in the phase transitions of these systems. We finally study the thermodynamic behavior using the equilibrium thermodynamic state space geometry and find that the scalar curvature diverges exactly at the van der Waals-like critical point where the heat capacity at constant charge of the black hole diverges.Comment: 18 pages, 5 figure

Vulnerability and Protection of Critical Infrastructures

Critical infrastructure networks are a key ingredient of modern society. We discuss a general method to spot the critical components of a critical infrastructure network, i.e. the nodes and the links fundamental to the perfect functioning of the network. Such nodes, and not the most connected ones, are the targets to protect from terrorist attacks. The method, used as an improvement analysis, can also help to better shape a planned expansion of the network.Comment: 4 pages, 1 figure, 3 table

AN ANALYSIS OF FACTORS THAT AFFECT THE QUALITY OF FEDERAL LAND BANK LOANS

Financial conditions existing in agriculture are placing severe pressure on lenders as well as borrowers. Data from both good and foreclosed Federal Land Bank loans were analyzed to determine the most important characteristics leading to the failure of loans. The analysis was completed by comparing means through t-tests and the development of a discriminant model. The ratio of total debt service to total income, the debt to asset ratio, the ratio of total loan amount to appraised value, and the ratio of acres in security to acres owned were determined to be the most important discriminating variables.Agricultural Finance,

Sales Loss Determination in Food Contamination Incidents: An Application to Milk Bans in Hawaii

This article presents a procedure for estimating sales loss following a food contamination incident with application to the case of heptachlor contamination of fresh fluid milk in Oahu, Hawaii in 1982. A major finding is that media coverage following the incident had a significant impact on milk purchases and that negative coverage had a larger effect than positive coverage. This conclusion implies that public statements by producers or government to assure the public of safe food supplies may be ineffective in restoring consumer confidence following the discovery of a food safety problem. American Journal of Agricultural Economics, August, 1988.food contamination, food safety policy, milk demand, Food Consumption/Nutrition/Food Safety,

On the universality of the scaling of fluctuations in traffic on complex networks

We study the scaling of fluctuations with the mean of traffic in complex networks using a model where the arrival and departure of "packets" follow exponential distributions, and the processing capability of nodes is either unlimited or finite. The model presents a wide variety of exponents between 1/2 and 1 for this scaling, revealing their dependence on the few parameters considered, and questioning the existence of universality classes. We also report the experimental scaling of the fluctuations in the Internet for the Abilene backbone network. We found scaling exponents between 0.71 and 0.86 that do not fit with the exponent 1/2 reported in the literature.Comment: 4 pages, 4 figure

Comparing and characterizing some constructions of canonical bases from Coxeter systems

The Iwahori-Hecke algebra $\mathcal{H}$ of a Coxeter system $(W,S)$ has a "standard basis" indexed by the elements of $W$ and a "bar involution" given by a certain antilinear map. Together, these form an example of what Webster calls a pre-canonical structure, relative to which the well-known Kazhdan-Lusztig basis of $\mathcal{H}$ is a canonical basis. Lusztig and Vogan have defined a representation of a modified Iwahori-Hecke algebra on the free $\mathbb{Z}[v,v^{-1}]$-module generated by the set of twisted involutions in $W$, and shown that this module has a unique pre-canonical structure satisfying a certain compatibility condition, which admits its own canonical basis which can be viewed as a generalization of the Kazhdan-Lusztig basis. One can modify the parameters defining Lusztig and Vogan's module to obtain other pre-canonical structures, each of which admits a unique canonical basis indexed by twisted involutions. We classify all of the pre-canonical structures which arise in this fashion, and explain the relationships between their resulting canonical bases. While some of these canonical bases are related in a trivial fashion to Lusztig and Vogan's construction, others appear to have no simple relation to what has been previously studied. Along the way, we also clarify the differences between Webster's notion of a canonical basis and the related concepts of an IC basis and a $P$-kernel.Comment: 32 pages; v2: additional discussion of relationship between canonical bases, IC bases, and P-kernels; v3: minor revisions; v4: a few corrections and updated references, final versio