Liquidity Shocks, Systemic Risk, and Market Collapse: Theory and Application to the Market for Perps

Traditional explanations of market crashes rely on the collapse of an asset price bubble or the exacerbation of an information asymmetry sufficient to cause less-informed participants to withdraw from the market. We show that markets can crash even though asset prices have not deviated from fundamental values and information is shared symmetrically among all market participants. We present a model in which markets crash when investors shift their beliefs about the liquidity of the secondary market. While such shifts in liquidity may be a factor in explaining many market crashes, the collapse of the market for perpetual floating-rate notes (perps) provides an especially clear illustration of the theory because a shift in liquidity beliefs appears to have been the sole determinant of the market crash. Such a shift can be precipitated by a systemic liquidity shock that is transitory or permanent. The latter proved to be the case with perps because perceptions of the liquidity of the secondary market were permanently altered. In addition to providing new insights into why markets crash, our findings are particularly relevant for unseasoned financial products that are often priced and marketed on the assumption that liquid secondary markets will develop. The perp episode also highlights the importance of broad placement of securities. Since market liquidity arises endogenously from the diversity of liquidity needs across the investor base, the broader the investor base, the lower the probability of a systemic liquidity shock. We also show how simple modifications in security design can mitigate the impact of such a shock should it occur.

Implementation of the Licensing Act 2003: a national survey

The Licensing Act 2003 came into force in November 2005 and transferred responsibility for alcohol licensing to Local Authorities. This reports the findings of a nation wide survey of 225 (63%) local authority chairs of licensing committees/senior members of licensing teams in England evaluating the short-term impact of the Act

Working in partnership to support the women: the Stella Project Mental Health Initiative interim evaluation report

Services commissioned to support women with mental health problems, problematic substance use and experiences of domestic and sexual violence often work in isolation, despite the intersectionality of these issues. Frontline practitioners do not always have the training, assessment tools and referral pathways to address all three issues when they occur. Operational and monitoring frameworks do not always make the links between the issues which result in women falling through the gaps in service provision. The aim of the Stella Project Mental Health Initiative (SPMHI), therefore, is to empower services across the three sectors of substance use, mental health and violence against women to develop this work through knowledge transfer, policy development support and promoting strong partnerships and monitoring mechanisms. In assessing the efficacy of the SPMHI, an evaluation was commissioned which will collect data before and after the intervention takes place. Before we consider the scope and findings of that evaluation, it is necessary to first outline the nature of the SPMHI. There are several components, encompassing an action research based intervention, practice guidance development and the creation of online learning tools: Policy and procedure development, training and partnership working. The SPMHI will work with selected agencies working in the fields of violence against women, substance use and mental health in three regions of the UK to develop an integrated response to survivors of gender based violence and who are experiencing problematic substance use and psychological distress. This will focus on providing: - Support to agencies to develop their policies and procedures (including risk assessments and care plans), referral pathways and multi-sector partnerships - Training to equip staff with skills and confidence to work with the complex issues and; - Support to embed issues in local authority and PCT strategic policies. Good practice guidance. Following completion of the action research, good practice guidance will be developed and widely disseminated across the UK through our extensive networks. We also propose to run a series of inter-active and innovative workshops which focus on equipping practitioners with the skills and understanding to implement the good practice guidance. Online training course. A web-based interactive training course will be developed to address the overlapping issues. This could be accessed by any practitioner across the UK for free. The Stella Project selected three sites across the United Kingdom: Bristol, Nottinghamshire and the London Borough of Hounslow in the summer of 2010. Frontline agencies were invited to submit expressions of interest to the identified strategic leads in their site, who were responsible for selecting participating agencies (a total of seventeen agencies (who together provide a total of twenty services) across the three sites). The selection was based on the capacity and commitment of each agency to engage with the work. This work is fully funded by a three-year grant from the Department of Health

Self Consistent Expansion for the Molecular Beam Epitaxy Equation

Motivated by a controversy over the correct results derived from the dynamic renormalization group (DRG) analysis of the non linear molecular beam epitaxy (MBE) equation, a self-consistent expansion (SCE) for the non linear MBE theory is considered. The scaling exponents are obtained for spatially correlated noise of the general form $D({\vec r - \vec r',t - t'}) = 2D_0 | {\vec r - \vec r'} |^{2\rho - d} \delta ({t - t'})$. I find a lower critical dimension $d_c (\rho) = 4 + 2\rho$, above, which the linear MBE solution appears. Below the lower critical dimension a r-dependent strong-coupling solution is found. These results help to resolve the controversy over the correct exponents that describe non linear MBE, using a reliable method that proved itself in the past by predicting reasonable results for the Kardar-Parisi-Zhang (KPZ) system, where DRG failed to do so.Comment: 16 page

The blurring boundaries between synchronicity and asynchronicity:new communicative situations in work-related Instant Messaging

Instant messaging is one of the most popular communication technologies in virtual teams, enabling interactions to intertwine whole working days, thus creating the sense of copresence for team members who are geographically dispersed. Through close linguistic analyses of naturally occurring data from a virtual team, this article discusses the implications of two novel communicative situations enabled by instant messaging: presence information and the persistence of transcript. The preliminary findings of this study indicate that these new communicative situations require the flouting or rethinking of previously existing interactional norms and that communicative practices employed by the team members are not yet conventionalized/normalized, the expectations and interpretations of interactional rituals and timing vary highly, even within the same virtual team

Common Liquidity Shocks and Market Collapse: Lessons From the Market for Perps

We show how a high degree of commonality in investor liquidity shocks can diminish incentives for intermediaries to keep markets open and lead to market collapse, even without information asymmetry or news affecting fundamentals. We motivate our model using the perpetual floating-rate note market where two years of explosive growth – in which issues by high quality borrowers were placed with institutional investors and traded in a liquid secondary market – were followed by a precipitous collapse when market intermediaries withdrew due to large order imbalances. We shed new light on the trade-off between ownership concentration and market liquidity

Out-of-plane nesting driven spin spiral in ultrathin Fe/Cu(001) films

Epitaxial ultrathin Fe films on fcc Cu(001) exhibit a spin spiral (SS), in contrast to the ferromagnetism of bulk bcc Fe. We study the in-plane and out-of-plane Fermi surfaces (FSs) of the SS in 8 monolayer Fe/Cu(001) films using energy dependent soft x-ray momentum-resolved photoemission spectroscopy. We show that the SS originates in nested regions confined to out-of-plane FSs, which are drastically modified compared to in-plane FSs. From precise reciprocal space maps in successive zones, we obtain the associated real space compressive strain of 1.5+-0.5% along c-axis. An autocorrelation analysis quantifies the incommensurate ordering vector q=(2pi/a)(0,0,~0.86), favoring a SS and consistent with magneto-optic Kerr effect experiments. The results reveal the importance of in-plane and out-of-plane FS mapping for ultrathin films.Comment: 4 pages, 3 figure

Management considerations in beef heifer development (2002)

Because decisions about selecting and managing replacement beef heifers can affect the future productivity of an entire cowherd, programs to develop breeding heifers have focused on the physiological processes that influence puberty. The timing of puberty is critical to whether a heifer remains in the herd and whether lifetime productivity is optimized.New 6/97; Reviewed and reprinted 10/02/5M

Accretion in Protoplanetary Disks by Collisional Fusion

The formation of a solar system is believed to have followed a multi-stage process around a protostar. Whipple first noted that planetesimal growth by particle agglomeration is strongly influenced by gas drag; there is a "bottleneck" at the meter scale with such bodies rapidly spiraling into the central star, whereas much smaller or larger particles do not. Thus, successful planetary accretion requires rapid planetesimal growth to km scale. A commonly accepted picture is that for collisional velocities $V_c$ above a certain threshold collisional velocity, ${V_{th}} \sim$ 0.1-10 cm s$^{-1}$, particle agglomeration is not possible; elastic rebound overcomes attractive surface and intermolecular forces. However, if perfect sticking is assumed for all collisions the bottleneck can be overcome by rapid planetesimal growth. While previous work has dealt explicitly with the influences of collisional pressures and the possibility of particle fracture or penetration, the basic role of the phase behavior of matter--phase diagrams, amorphs and polymorphs--has been neglected. Here it is demonstrated that novel aspects of surface phase transitions provide a physical basis for efficient sticking through collisional melting or amphorph-/polymorphization and fusion to extend the collisional velocity range of primary accretion to $\Delta V_c \sim$ 1-100 m s$^{-1}$, which bound both turbulent RMS speeds and the velocity differences between boulder sized and small grains $\sim$ 1-50 m s$^{-1}$. Thus, as inspiraling meter sized bodies collide with smaller particles in this high velocity collisional fusion regime they grow rapidly to km scales and hence settle into stable Keplerian orbits in $\sim$ 10$^5$ years before photoevaporative wind clears the disk of source material.Comment: 11 pages, 7 figures, 1 tabl