Systemic risk: A survey

This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ('information-based' contagion) and 'pure' contagion as well as between 'efficient' and 'inefficient' systemic events. JEL Classification: G21, G29, G12, E49banking crises, Contagion, currency crises, financial markets, financial stability, payment and settlement systems, systemic risk

Weaving Rules into [email protected] for Embedded Smart Systems

Smart systems are characterised by their ability to analyse measured data in live and to react to changes according to expert rules. Therefore, such systems exploit appropriate data models together with actions, triggered by domain-related conditions. The challenge at hand is that smart systems usually need to process thousands of updates to detect which rules need to be triggered, often even on restricted hardware like a Raspberry Pi. Despite various approaches have been investigated to efficiently check conditions on data models, they either assume to fit into main memory or rely on high latency persistence storage systems that severely damage the reactivity of smart systems. To tackle this challenge, we propose a novel composition process, which weaves executable rules into a data model with lazy loading abilities. We quantitatively show, on a smart building case study, that our approach can handle, at low latency, big sets of rules on top of large-scale data models on restricted hardware.Comment: pre-print version, published in the proceedings of MOMO-17 Worksho

The effect of Time Scales in Photosynthesis on microalgae Productivity

International audienceMicroalgae are often seen as a potential biofuel producer. In order to predict achievable productivities in the so called raceway culturing system, the dy- namics of photosynthesis has to be taken into account. In particular, the dynami- cal effect of inhibition by an excess of light (photoinhibition) must be represented. We propose a model considering both photosynthesis and growth dynamics. This model involves three different time scales. We study the response of this model to uctuating light with different frequencies by slow/fast approximations. Therefore, we identify three different regimes for which a simplified expression for the model can be derived. These expressions give a hint on productivity improvement which can be expected by stimulating photosynthesis with a faster hydrodynamics

Reviving trade routes: evidence from the Maputo Corridor

This new SSATP discussion paper reviews the experience of an apparently successful corridor to help understand optimal mix and trade-offs in reviving historical trade route. The Maputo Corridor, which had fallen in disuse during the troubled period in Mozambique, is widely regarded as one the successful corridors. It has experienced tremendous growth, attracted large industrial and transport investments, and strengthened ties between neighboring countries over its almost two decade long history since the end of the apartheid era in South Africa and the Peace Agreement in Mozambique. What makes the Maputo Corridor ideal as a source of learning lessons is that it has many contrasting facets—it is an established trade route with a development focus, as well as an hinterland corridor, a mining and resource-based corridor—whereas other corridors may have a far less diverse nature. The lessons that can be learnt from the Maputo Corridor thus have relevance for a wider variety of corridors, and can help regional economic communities, countries, corridor users and development partners to better focus their corridor strategies to maximize economic growt

Interaction features for prediction of perceptual segmentation:Effects of musicianship and experimental task

As music unfolds in time, structure is recognised and understood by listeners, regardless of their level of musical expertise. A number of studies have found spectral and tonal changes to quite successfully model boundaries between structural sections. However, the effects of musical expertise and experimental task on computational modelling of structure are not yet well understood. These issues need to be addressed to better understand how listeners perceive the structure of music and to improve automatic segmentation algorithms. In this study, computational prediction of segmentation by listeners was investigated for six musical stimuli via a real-time task and an annotation (non real-time) task. The proposed approach involved computation of novelty curve interaction features and a prediction model of perceptual segmentation boundary density. We found that, compared to non-musicians’, musicians’ segmentation yielded lower prediction rates, and involved more features for prediction, particularly more interaction features; also non-musicians required a larger time shift for optimal segmentation modelling. Prediction of the annotation task exhibited higher rates, and involved more musical features than for the real-time task; in addition, the real-time task required time shifting of the segmentation data for its optimal modelling. We also found that annotation task models that were weighted according to boundary strength ratings exhibited improvements in segmentation prediction rates and involved more interaction features. In sum, musical training and experimental task seem to have an impact on prediction rates and on musical features involved in novelty-based segmentation models. Musical training is associated with higher presence of schematic knowledge, attention to more dimensions of musical change and more levels of the structural hierarchy, and higher speed of musical structure processing. Real-time segmentation is linked with higher response delays, less levels of structural hierarchy attended and higher data noisiness than annotation segmentation. In addition, boundary strength weighting of density was associated with more emphasis given to stark musical changes and to clearer representation of a hierarchy involving high-dimensional musical changes.peerReviewe

Using Auditory Steady State Responses to Outline the Functional Connectivity in the Tinnitus Brain

BACKGROUND: Tinnitus is an auditory phantom perception that is most likely generated in the central nervous system. Most of the tinnitus research has concentrated on the auditory system. However, it was suggested recently that also non-auditory structures are involved in a global network that encodes subjective tinnitus. We tested this assumption using auditory steady state responses to entrain the tinnitus network and investigated long-range functional connectivity across various non-auditory brain regions. METHODS AND FINDINGS: Using whole-head magnetoencephalography we investigated cortical connectivity by means of phase synchronization in tinnitus subjects and healthy controls. We found evidence for a deviating pattern of long-range functional connectivity in tinnitus that was strongly correlated with individual ratings of the tinnitus percept. Phase couplings between the anterior cingulum and the right frontal lobe and phase couplings between the anterior cingulum and the right parietal lobe showed significant condition x group interactions and were correlated with the individual tinnitus distress ratings only in the tinnitus condition and not in the control conditions. CONCLUSIONS: To the best of our knowledge this is the first study that demonstrates existence of a global tinnitus network of long-range cortical connections outside the central auditory system. This result extends the current knowledge of how tinnitus is generated in the brain. We propose that this global extend of the tinnitus network is crucial for the continuos perception of the tinnitus tone and a therapeutical intervention that is able to change this network should result in relief of tinnitus

Aggregating Congestion Information Over Sequences of TCP Connections

In this paper we present an extension of the TCP stack that allows a sequence of TCP connections between the same machines to share the congestion window. Our Linux implementation of this scenario shows significant improvement in performance, particularly when the individual connections are short-lived. Such a behavior is common on the web, due to the nature of the HTTP protocol and the distribution of file sizes

Temperature Chaos in Two-Dimensional Ising Spin Glasses with Binary Couplings: a Further Case for Universality

We study temperature chaos in a two-dimensional Ising spin glass with random quenched bimodal couplings, by an exact computation of the partition functions on large systems. We study two temperature correlators from the total free energy and from the domain wall free energy: in the second case we detect a chaotic behavior. We determine and discuss the chaos exponent and the fractal dimension of the domain walls.Comment: 5 pages, 6 postscript figures; added reference

Transition from overscreening to underscreening in the multichannel Kondo model: exact solution at large N

A novel large-N limit of the multichannel Kondo model is introduced, for representations of the impurity spin described by Schwinger bosons. Three cases are found, associated with underscreening, overscreening and exact Kondo screening of the impurity. The saddle-point equations derived in this limit are reminiscent of the ``non-crossing approximation'', but preserve the Fermi-liquid nature of the model in the exactly screened case. Several physical quantities are computed, both numerically, and analytically in the low-\omega,T limit, and compared to other approaches.Comment: 4 pages, RevTeX3.0, 2 EPS figures. Published versio