Institutional Herding in Bond Markets

Recent research has shown that institutional herding is a relevant phenomenon in stock markets. Do institutional investors also follow each other in bond markets? This paper focuses on the German bond market and uses data from 57 German mutual funds that invest mainly in DM-denominated bonds, which represents 71% of the total market volume. Due to the variety and large number of bonds that exist, we do not expect mutual funds to herd with regard to separate bonds. We believe instead that bonds with the same characteristics such as interest rate, maturity, collateral, or issuer are considered to be equivalent by institutional investors. Consequently, we construct "bond groups" consisting of similar bonds and analyze herding at a "bond group" level. Our results indicate that there is strong evidence of herding, albeit it is weaker than in stock markets. Further analysis suggests that mutual funds do not place an equal weight on different bond characteristics. Nominal interest rates appear to be most important in the bond selection process. --Mutual Funds,Herding,Imitation,Coordination,Behavioral Finance

Effect of applied DC voltages and temperatures on space charge behaviour of multi-layer oil-paper insulation

In this paper, space charge in a multi-layer oil-paper insulation system was investigated using the pulsed electroacoustic (PEA) technique. A series of measurements had been carried following subjection of the insulation system to different applied voltages and different temperatures. Charge behaviours in the insulation system were analyzed and the influence of temperature on charge dynamics was discussed. The test results shows that homocharge injection takes place under all the test conditions, the applied DC voltage mainly affects the amount of space charge, while the temperature has greater influence on the distribution and mobility of space charge inside oil-paper samples

Concurrent coupling of atomistic simulation and mesoscopic hydrodynamics for flows over soft multi-functional surfaces

We develop an efficient parallel multiscale method that bridges the atomistic and mesoscale regimes, from nanometer to micron and beyond, via concurrent coupling of atomistic simulation and mesoscopic dynamics. In particular, we combine an all-atom molecular dynamics (MD) description for specific atomistic details in the vicinity of the functional surface, with a dissipative particle dynamics (DPD) approach that captures mesoscopic hydrodynamics in the domain away from the functional surface. In order to achieve a seamless transition in dynamic properties we endow the MD simulation with a DPD thermostat, which is validated against experimental results by modeling water at different temperatures. We then validate the MD-DPD coupling method for transient Couette and Poiseuille flows, demonstrating that the concurrent MD-DPD coupling can resolve accurately the continuum-based analytical solutions. Subsequently, we simulate shear flows over polydimethylsiloxane (PDMS)-grafted surfaces (polymer brushes) for various grafting densities, and investigate the slip flow as a function of the shear stress. We verify that a "universal" power law exists for the sliplength, in agreement with published results. Having validated the MD-DPD coupling method, we simulate time-dependent flows past an endothelial glycocalyx layer (EGL) in a microchannel. Coupled simulation results elucidate the dynamics of EGL changing from an equilibrium state to a compressed state under shear by aligning the molecular structures along the shear direction. MD-DPD simulation results agree well with results of a single MD simulation, but with the former more than two orders of magnitude faster than the latter for system sizes above one micron.Comment: 11 pages, 12 figure

Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation

This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approximate the value function and optimal controls, Markov chain approximation techniques are used to construct a discrete-time controlled Markov chain with two components. The proofs of the convergence of the approximation sequence to the surplus process and the value function are given. Examples of proportional and excess-of-loss reinsurance are presented to illustrate the applicability of the numerical methods.Comment: Key words: Singular control, dividend policy, Markov chain approximation, numerical method, reinsurance, regime switchin

A differential refresh scheme for remote end-user\u27s views

The growth of end-user computing and recent developments in information technology, such as client/server architecture and data warehouse, promote the use of remote materialized views (RMVs) to support end-users. This article presents a differential scheme to refresh remote end-user\u27s views. The scheme stores the effects of updates relevant to the RMV in a difference table which is transmitted to the remote site upon receiving the refresh request to update the RMV. The scheme provides a fast response to a user\u27s refresh request. We discuss the data structures and algorithms of the scheme. Performance measures are developed and compared with the regeneration scheme

Optimal Reserve Prices in Name-Your-Own-Price Auctions with Bidding and Channel Options

Few papers have explored the optimal reserve prices in the name-your-own-price (NYOP) channel with bidding options in a multiple channel environment. In this paper, we investigate a double-bid business model in which the consumers can bid twice in the NYOP channel, and compare it with the single-bid case. We also study the impact of adding a retailer-own list-price channel on the optimal reserve prices. This paper focuses on achieving some basic understanding on the potential gain of adding a second bid option to a single-bid system and on the potential benefits of adding a list-price channel by the NYOP retailer. We show that a double-bid scenario can outperform a single-bid scenario in both single-channel and dual-channel situations. The optimal reserve price in the double-bid scenario is no less than that in the single-bid case. Furthermore, the addition of a retailer-own list-price channel could push up the reserve prices in both single-bid and double-bid scenarios