Opportunity cost and prudentiality : a representative-agent model of futures clearinghouse behavior

Includes bibliographic references (p. 31-38)

Opportunity cost and prudentiality : an analysis of futures clearinghouse behavior

Margin deposits, which serve as collateral to protect the clearinghouse, are typically the most important tool for risk management. The authors develop a model that explains how creating a futures clearinghouse may allow traders simultaneously to reduce both the risk of default and the total amount of margin that members post. Optimal margin levels are determined by the need to balance the deadweight costs of default against the opportunity cost of holding additional margin. Both costs are a consequence of market participants'imperfect access to capital markets. The simultaneous reduction in default risk and in the opportunity cost of margin deposits is possible because the creation of the clearinghouse facilitates multilateral netting. The authors characterize the conditions under which multilateral netting will dominate bilateral netting. They also show that it is credible for the clearinghouse to expel members who default, further reducing the risk of default. Finally, they show that it may (but need not) be optimal for the clearinghouse to monitor the financial condition of its members. If monitoring occurs, it will reduce the amount of margin required, but need not affect the probability of default. The empirical tests run by the authors indicate that the opportunity cost of margin plays an important role in determining margin. The relationship between volatility and margins indicates that participants face an upward-sloping opportunity cost for margin, which appears to more than offset the effects that monitoring and expulsion would be expected to have on margin setting.Environmental Economics&Policies,Banks&Banking Reform,International Terrorism&Counterterrorism,Economic Theory&Research,Insurance&Risk Mitigation

Mid-Infrared Ethane Emission on Neptune and Uranus

We report 8- to 13-micron spectral observations of Neptune and Uranus from the NASA Infrared Telescope Facility spanning more than a decade. The spectroscopic data indicate a steady increase in Neptune's mean atmospheric 12-micron ethane emission from 1985 to 2003, followed by a slight decrease in 2004. The simplest explanation for the intensity variation is an increase in stratospheric effective temperature from 155 +/- 3 K in 1985 to 176 +/- 3 K in 2003 (an average rate of 1.2 K/year), and subsequent decrease to 165 +/- 3 K in 2004. We also detected variation of the overall spectral structure of the ethane band, specifically an apparent absorption structure in the central portion of the band; this structure arises from coarse spectral sampling coupled with a non-uniform response function within the detector elements. We also report a probable direct detection of ethane emission on Uranus. The deduced peak mole fraction is approximately an order of magnitude higher than previous upper limits for Uranus. The model fit suggests an effective temperature of 114 +/- 3 K for the globally-averaged stratosphere of Uranus, which is consistent with recent measurements indicative of seasonal variation.Comment: Accepted for publication in ApJ. 16 pages, 10 figures, 2 table

Creating Space Plasma from the Ground

We have performed an experiment to compare as directly as realizable the ionization production rate by HF radio wave energy versus by solar EUV. We take advantage of the commonality that ionization production by both ground-based high-power HF radio waves and by solar EUV is driven by primary and secondary suprathermal electrons near and above ~20 eV. Incoherent scatter radar (ISR)plasma-line amplitudes are used as a measure of suprathermal electron fluxes for ISR wavelengths near those for 430 MHz and are indeed a clean measure of such for those fluxes sufficiently weak to have negligible self-damping. We present data from an HF heating experiment on November 2015 at Arecibo,which even more directly confirm the only prior midlatitude estimate, of order 10% efficiently for conversion of HF energy to ionospheric ionization. We note the theoretical maximum possible is ~1/3, while ~1% or less reduces the question to near practical irrelevance. Our measurements explicitly confirm the prediction that radio-frequency production of artificial ionospheres can be practicable, even at midlatitudes. Furthermore,that this midlatitude efficiency is comparable to efficiencies measured at high latitudes (which include enhancements unique to high latitudes including magnetic zenith effect, gyro frequency multiples, and double resonances) requires reexamination of current theoretical thinking about soft-electron acceleration processes in weakly magnetized plasmas. The implications are that electron acceleration by any of a variety of processes may be a fundamental underpinning to energy redistribution in space plasmas

Kinetic Limit for Wave Propagation in a Random Medium

We study crystal dynamics in the harmonic approximation. The atomic masses are weakly disordered, in the sense that their deviation from uniformity is of order epsilon^(1/2). The dispersion relation is assumed to be a Morse function and to suppress crossed recollisions. We then prove that in the limit epsilon to 0 the disorder averaged Wigner function on the kinetic scale, time and space of order epsilon^(-1), is governed by a linear Boltzmann equation.Comment: 71 pages, 3 figure

Electrodynamic Radiation Reaction and General Relativity

We argue that the well-known problem of the instabilities associated with the self-forces (radiation reaction forces) in classical electrodynamics are possibly stabilized by the introduction of gravitational forces via general relativity

N N bar,Delta bar N, Delta N bar excitation for the pion propagator in nuclear matter

The particle-hole and Delta -hole excitations are well-known elementary excitation modes for the pion propagator in nuclear matter. But, the excitation also involves antiparticles, namely, nucleon-antinucleon, anti-Delta-nucleon and Delta-antinucleon excitations. These are important for high-energy momentum as well, and have not been studied before, to our knowledge. In this paper, we give both the formulas and the numerical calculations for the real and the imaginary parts of these excitations.Comment: Latex, 3 eps file