Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an otherwise centralized pool. We address the question of how this mechanism impacts trade prices and volatility, both empirically and via a new model of trading with CCLs. We find empirically that CCLs cause little impact on trade. However, our model highlights that in extreme situations, CCLs could serve to destabilize prices and thereby influence systemic risk

An Assessment of Alternative State Space Models for Count Time Series

This paper compares two alternative models for autocorrelated count time series. The first model can be viewed as a 'single source of error' discrete state space model, in which a time-varying parameter is specified as a function of lagged counts, with no additional source of error introduced. The second model is the more conventional 'dual source of error' discrete state space model, in which the time-varying parameter is driven by a random autocorrelated process. Using the nomenclature of the literature, the two representations can be viewed as observation-driven and parameter-driven respectively, with the distinction between the two models mimicking that between analogous models for other non-Gaussian data such as financial returns and trade durations. The paper demonstrates that when adopting a conditional Poisson specification, the two models have vastly different dispersion/correlation properties, with the dual source model having properties that are a much closer match to the empirical properties of observed count series than are those of the single source model. Simulation experiments are used to measure the finite sample performance of maximum likelihood (ML) estimators of the parameters of each model, and ML-based predictors, with ML estimation implemented for the dual source model via a deterministic hidden Markov chain approach. Most notably, the numerical results indicate that despite the very different properties of the two models, predictive accuracy is reasonably robust to misspecification of the state space form.Discrete state-space model; single source of error model; hidden Markov

Resolved diffraction patterns from a reflection grating for atoms

We have studied atomic diffraction at normal incidence from an evanescent standing wave with a high resolution using velocity selective Raman transitions. We have observed up to 3 resolved orders of diffraction, which are well accounted for by a scalar diffraction theory. In our experiment the transverse coherence length of the source is greater than the period of the diffraction grating.Comment: 8 pages, 4 figure

A study of concept options for the evolution of Space Station Freedom

Two conceptual evolution configurations for Space Station Freedom, a research and development configuration, and a transportation node configuration are described and analyzed. Results of pertinent analyses of mass properties, attitude control, microgravity, orbit lifetime, and reboost requirements are provided along with a description of these analyses. Also provided are brief descriptions of the elements and systems that comprise these conceptual configurations

NASA Light Emitting Diode Medical Applications from Deep Space to Deep Sea

This work is supported and managed through the NASA Marshall Space Flight Center-SBIR Program. LED-technology developed for NASA plant growth experiments in space shows promise for delivering light deep into tissues of the body to promote wound healing and human tissue growth. We present the results of LED-treatment of cells grown in culture and the effects of LEDs on patients’ chronic and acute wounds. LED-technology is also biologically optimal for photodynamic therapy of cancer and we discuss our successes using LEDs in conjunction with light-activated chemotherapeutic drugs

The Extreme Microlensing Event OGLE-2007-BLG-224: Terrestrial Parallax Observation of a Thick-Disk Brown Dwarf

Parallax is the most fundamental technique to measure distances to astronomical objects. Although terrestrial parallax was pioneered over 2000 years ago by Hipparchus (ca. 140 BCE) to measure the distance to the Moon, the baseline of the Earth is so small that terrestrial parallax can generally only be applied to objects in the Solar System. However, there exists a class of extreme gravitational microlensing events in which the effects of terrestrial parallax can be readily detected and so permit the measurement of the distance, mass, and transverse velocity of the lens. Here we report observations of the first such extreme microlensing event OGLE-2007-BLG-224, from which we infer that the lens is a brown dwarf of mass M=0.056 +- 0.004 Msun, with a distance of 525 +- 40 pc and a transverse velocity of 113 +- 21 km/s. The velocity places the lens in the thick disk, making this the lowest-mass thick-disk brown dwarf detected so far. Follow-up observations may allow one to observe the light from the brown dwarf itself, thus serving as an important constraint for evolutionary models of these objects and potentially opening a new window on sub-stellar objects. The low a priori probability of detecting a thick-disk brown dwarf in this event, when combined with additional evidence from other observations, suggests that old substellar objects may be more common than previously assumed.Comment: ApJ Letters, in press, 15 pages including 2 figure

Coherent Control of Atomic Beam Diffraction by Standing Light

Quantum interference is shown to deliver a means of regulating the diffraction pattern of a thermal atomic beam interacting with two standing wave electric fields. Parameters have been identified to enhance the diffraction probability of one momentum component over the others, with specific application to Rb atoms.Comment: 5 figure