Value-at-Risk for fixed-income portfolios: a Kalman filtering approach

We propose a way of measuring the risk of a sovereign debt portfolio by using a simple two-factor short rate model. The model is calibrated from data and then the changes in the bond prices are simulated by using a Kalman filter. The bond prices being simulated remain arbitrage-free, in contrast with principal component analysis-based strategies for simulation and risk measurement of debt portfolios. In liquid sovereign debt markets, a risk measurement methodology which allows the future bond price scenarios to be arbitrage-free may be seen as a potentially more realistic way of measuring the debt portfolio risk due to interest rate fluctuations. We demonstrate the performance of this methodology with calibration and backtesting, both on simulated data as well as on a real portfolio of US government bonds

Microscopic Study of Quantum Vortex-Glass Transition Field in Two-Dimensional Superconductors

The position of a field-tuned superconductor-insulator quantum transition occuring in disordered thin films is examined within the mean field approximation. Our calculation shows that the microscopic disorder-induced reduction of the quantum transition point found experimentally cannot be explained if the interplay between the disorder and an electron-electron repulsive interaction is ignored. This work is presented as a microscopic basis of an explanation (cond-mat/0105122) of resistive phenomena near the transition field.Comment: 16 pages, 5 figures. To appear in J.Phys.Soc.Jp

Charge and Density Fluctuations Lock Horns : Ionic Criticality with Power-Law Forces

How do charge and density fluctuations compete in ionic fluids near gas-liquid criticality when quantum mechanical effects play a role ? To gain some insight, long-range $\Phi^{{\mathcal{L}}}_{\pm \pm} / r^{d+\sigma}$ interactions (with $\sigma>0$), that encompass van der Waals forces (when $\sigma = d = 3$), have been incorporated in exactly soluble, $d$-dimensional 1:1 ionic spherical models with charges $\pm q_0$ and hard-core repulsions. In accord with previous work, when $d>\min \{\sigma, 2\}$ (and $q_0$ is not too large), the Coulomb interactions do not alter the ($q_0 = 0$) critical universality class that is characterized by density correlations at criticality decaying as $1/r^{d-2+\eta}$ with $\eta = \max \{0, 2-\sigma\}$. But screening is now algebraic, the charge-charge correlations decaying, in general, only as $1/r^{d+\sigma+4}$; thus $\sigma = 3$ faithfully mimics known \textit{non}critical $d=3$ quantal effects. But in the \textit{absence} of full ($+, -$) ion symmetry, density and charge fluctuations mix via a transparent mechanism: then the screening \textit{at criticality} is \textit{weaker} by a factor $r^{4-2\eta}$. Furthermore, the otherwise valid Stillinger-Lovett sum rule fails \textit{at} criticality whenever $\eta =0$ (as, e.g., when $\sigma>2$) although it remains valid if $\eta >0$ (as for $\sigma<2$ or in real $d \leq 3$ Ising-type systems).Comment: 8 pages, in press in J. Phys. A, Letters to the Edito

Gamma oscillation underlies hyperthermia-induced epileptiform-like spikes in immature rat hippocampal slices

BACKGROUND: Recently a hyperthermic rat hippocampal slice model system has been used to investigate febrile seizure pathophysiology. Our previous data indicates that heating immature rat hippocampal slices from 34 to 41°C in an interface chamber induced epileptiform-like population spikes accompanied by a spreading depression (SD). This may serve as an in vitro model of febrile seizures. RESULTS: In this study, we further investigate cellular mechanisms of hyperthermia-induced initial population spike activity. We hypothesized that GABA(A) receptor-mediated 30–100 Hz γ oscillations underlie some aspects of the hyperthermic population spike activity. In 24 rat hippocampal slices, the hyperthermic population spike activity occurred at an average frequency of 45.9 ± 14.9 Hz (Mean ± SE, range = 21–79 Hz, n = 24), which does not differ significantly from the frequency of post-tetanic γ oscillations (47.1 ± 14.9 Hz, n = 34) in the same system. High intensity tetanic stimulation induces hippocampal neuronal discharges followed by a slow SD that has the magnitude and time course of the SD, which resembles hyperthermic responses. Both post-tetanic γ oscillations and hyperthermic population spike activity can be blocked completely by a specific GABA(A) receptor blocker, bicuculline (5–20 μM). Bath-apply kynurenic acid (7 mM) blocks synaptic transmission, but fails to prevent hyperthermic population spikes, while intracellular diffusion of QX-314 (30 mM) abolishes spikes and produces a smooth depolarization in intracellular recording. CONCLUSION: These results suggest that the GABA(A) receptor-governed γ oscillations underlie the hyperthermic population spike activity in immature hippocampal slices

The use of synchrotron edge topography to study polytype nearest neighbour relationships in SiC

A brief review of the phenomenon of polytypism is presented and its prolific abundance in Silicon Carbide discussed. An attempt has been made to emphasise modern developments in understanding this unique behaviour. The properties of Synchrotron Radiation are shown to be ideally suited to studies of polytypes in various materials and in particular the coalescence of polytypes in SiC. It is shown that with complex multipolytypic crystals the technique of edge topography allows the spatial extent of disorder to be determined and, from the superposition of Laue type reflections, neighbourhood relationships between polytypes can be deduced. Finer features have now been observed with the advent of second generation synchrotrons, the resolution available enabling the regions between adjoining polytypes to be examined more closely. It is shown that Long Period Polytypes and One Dimensionally Disordered layers often found in association with regions of high defect density are common features at polytype boundaries. An idealised configuration termed a "polytype sandwich" is presented as a model for the structure of SiC grown by the modified Lely technique. The frequency of common sandwich edge profiles are classified and some general trends of polytype neighbourism are summarised

Influence of the structural modulations and the Chain-ladder interaction in the Sr_14−xCa_xCu_24O_41Sr\_{14-x}Ca\_{x}Cu\_{24}O\_{41} compounds

We studied the effects of the incommensurate structural modulations on the ladder subsystem of the $Sr\_{14-x}Ca\_{x}Cu\_{24}O\_{41}$ family of compounds using ab-initio explicitly-correlated calculations. From these calculations we derived $t-J$ model as a function of the fourth crystallographic coordinate $\tau$ describing the incommensurate modulations. It was found that in the highly calcium-doped system, the on-site orbital energies are strongly modulated along the ladder legs. On the contrary the two sites of the ladder rungs are iso-energetic and the holes are thus expected to be delocalized on the rungs. Chain-ladder interactions were also evaluated and found to be very negligible. The ladder superconductivity model for these systems is discussed in the light of the present results.Comment: 8 octobre 200

Physical instrumental vetoes for gravitational-wave burst triggers

We present a robust strategy to \emph{veto} certain classes of instrumental glitches that appear at the output of interferometric gravitational-wave (GW) detectors.This veto method is `physical' in the sense that, in order to veto a burst trigger, we make use of our knowledge of the coupling of different detector subsystems to the main detector output. The main idea behind this method is that the noise in an instrumental channel X can be \emph{transferred} to the detector output (channel H) using the \emph{transfer function} from X to H, provided the noise coupling is \emph{linear} and the transfer function is \emph{unique}. If a non-stationarity in channel H is causally related to one in channel X, the two have to be consistent with the transfer function. We formulate two methods for testing the consistency between the burst triggers in channel X and channel H. One method makes use of the \emph{null-stream} constructed from channel H and the \emph{transferred} channel X, and the second involves cross-correlating the two. We demonstrate the efficiency of the veto by `injecting' instrumental glitches in the hardware of the GEO 600 detector. The \emph{veto safety} is demonstrated by performing GW-like hardware injections. We also show an example application of this method using 5 days of data from the fifth science run of GEO 600. The method is found to have very high veto efficiency with a very low accidental veto rate.Comment: Minor changes, To appear in Phys. Rev.

Cooling abolishes neuronal network synchronization in rat hippocampal slices.

PURPOSE: We sought to determine whether cooling brain tissue from 34 to 21 degrees C could abolish tetany-induced neuronal network synchronization (gamma oscillations) without blocking normal synaptic transmission. METHODS: Intracellular and extracellular electrodes recorded activity in transverse hippocampal slices (450-500 microm) from Sprague-Dawley male rats, maintained in an air-fluid interface chamber. Gamma oscillations were evoked by afferent stimulation at 100 Hz for 200 ms. Baseline temperature in the recording chamber was 34 degrees C, reduced to 21 degrees C within 20 min. RESULTS: Suprathreshold tetanic stimuli evoked membrane potential oscillations in the 40-Hz frequency range (n = 21). Gamma oscillations induced by tetanic stimulation were blocked by bicuculline, a gamma-aminobutyric acid (GABA)A-receptor antagonist. Cooling from 34 to 21 degrees C reversibly abolished gamma oscillations in all slices tested. Short, low-frequency discharges persisted after cooling in six of 14 slices. Single-pulse-evoked potentials, however, were preserved after cooling in all cases. Latency between stimulus and onset of gamma oscillation was increased with cooling. Frequency of oscillation was correlated with chamber cooling temperature (r = 0.77). Tetanic stimulation at high intensity elicited not only gamma oscillation, but also epileptiform bursts. Cooling dramatically attenuated gamma oscillation and abolished epileptiform bursts in a reversible manner. CONCLUSIONS: Tetany-induced neuronal network synchronization by GABAA-sensitive gamma oscillations is abolished reversibly by cooling to temperatures that do not block excitatory synaptic transmission. Cooling also suppresses transition from gamma oscillation to ictal bursting at higher stimulus intensities. These findings suggest that cooling may disrupt network synchrony necessary for epileptiform activity

Coherent frequentism

By representing the range of fair betting odds according to a pair of confidence set estimators, dual probability measures on parameter space called frequentist posteriors secure the coherence of subjective inference without any prior distribution. The closure of the set of expected losses corresponding to the dual frequentist posteriors constrains decisions without arbitrarily forcing optimization under all circumstances. This decision theory reduces to those that maximize expected utility when the pair of frequentist posteriors is induced by an exact or approximate confidence set estimator or when an automatic reduction rule is applied to the pair. In such cases, the resulting frequentist posterior is coherent in the sense that, as a probability distribution of the parameter of interest, it satisfies the axioms of the decision-theoretic and logic-theoretic systems typically cited in support of the Bayesian posterior. Unlike the p-value, the confidence level of an interval hypothesis derived from such a measure is suitable as an estimator of the indicator of hypothesis truth since it converges in sample-space probability to 1 if the hypothesis is true or to 0 otherwise under general conditions.Comment: The confidence-measure theory of inference and decision is explicitly extended to vector parameters of interest. The derivation of upper and lower confidence levels from valid and nonconservative set estimators is formalize

Coevolutionary Dynamics: From Finite to Infinite Populations

Traditionally, frequency dependent evolutionary dynamics is described by deterministic replicator dynamics assuming implicitly infinite population sizes. Only recently have stochastic processes been introduced to study evolutionary dynamics in finite populations. However, the relationship between deterministic and stochastic approaches remained unclear. Here we solve this problem by explicitly considering large populations. In particular, we identify different microscopic stochastic processes that lead to the standard or the adjusted replicator dynamics. Moreover, differences on the individual level can lead to qualitatively different dynamics in asymmetric conflicts and, depending on the population size, can even invert the direction of the evolutionary process.Comment: 4 pages (2 figs included). Published in Phys. Rev. Lett., December 200