Mining the FX electronic inter-dealer market

This paper examines the feasibility of applying data mining techniques to testing market efficiency hypothesis using a high frequency, up to one thousand of a second, electronic brokerage data. Results suggest the existence of a pattern of negative autocorrelation in returns of DEM/USD over relative short lags (less than 40 seconds). However, this pattern is not feasible by two reasons: (1) the structure of autocorrelation pattern is inconsistent and changes too rapidly (2) the largest potential speculative profit is smaller than the regulated tick size. These results indicate that dealers have engaged in any potential profitable speculations based on past price information

Highly Efficient Midinfrared On-Chip Electrical Generation of Graphene Plasmons by Inelastic Electron Tunneling Excitation

Inelastic electron tunneling provides a low-energy pathway for the excitation of surface plasmons and light emission. We theoretically investigate tunnel junctions based on metals and graphene. We show that graphene is potentially a highly efficient material for tunneling excitation of plasmons because of its narrow plasmon linewidths, strong emission, and large tunability in the midinfrared wavelength regime. Compared to gold and silver, the enhancement can be up to 10 times for similar wavelengths and up to 5 orders at their respective plasmon operating wavelengths. Tunneling excitation of graphene plasmons promises an efficient technology for on-chip electrical generation and manipulation of plasmons for graphene-based optoelectronics and nanophotonic integrated circuits.Comment: 12 pages, 7 figure

Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK

As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis, which is presented for the full data set, as well as for the three sub-periods Before, During, and After the Global Financial Crisis. The estimates show that daily VIX returns have: (1) significant negative effects on European ETF returns in the short run; (2) stronger significant effects on single market ETF returns than on European ETF returns; and (3) lower impacts on the European ETF returns than on S&P500 returns. For the European Markets, the estimates of the mean equations tend to differ between the whole sample period and the sub-periods, but the estimates of the matrices A and B in the Diagonal BEKK model are quite similar for the whole sample period and at least two of the three sub-periods. For the US Markets, the estimates of the mean equations also tend to differ between the whole sample period and the sub-periods, but the estimates of the matrices A and B in the Diagonal BEKK model are very similar for the whole sample period and the three sub-periods

Connecting VIX and Stock Index ETF

As stock market indexes are not tradeable, the importance and trading volume of Exchange Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the relationship between VIX and ETF returns. The purpose of the paper is to investigate whether VIX returns affect ETF returns by using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the diagonal BEKK model is used to accommodate multivariate conditional heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and Europe are used in the empirical analysis. The estimates show that daily VIX returns have: (1) significant negative effects on European ETF returns in the short run; (2) stronger significant effects on single market ETF returns than on European ETF returns; and (3) lower impacts on the European ETF returns than on S&P500 returns

Soft x-ray magnetic circular dichroism study on Gd-doped EuO thin films

We report on the growth and characterization of ferromagnetic Gd-doped EuO thin films. We prepared samples with Gd concentrations up to 11% by means of molecular beam epitaxy under distillation conditions, which allows a very precise control of the doping concentration and oxygen stoichiometry. Using soft x-ray magnetic circular dichroism at the Eu and Gd M4,5 edges, we found that the Curie temperature ranged from 69 K for pure stoichiometric EuO to about 170 K for the film with the optimal Gd doping of around 4%. We also show that the Gd magnetic moment couples ferromagnetically to that of Eu.Comment: 4 pages, 4 figure

Spin blockade, orbital occupation and charge ordering in La_(1.5)Sr_(0.5)CoO4

Using Co-L_(2,3) and O-K x-ray absorption spectroscopy, we reveal that the charge ordering in La_(1.5)Sr_(0.5)CoO4 involves high spin (S=3/2) Co^2+ and low spin (S=0) Co^3+ ions. This provides evidence for the spin blockade phenomenon as a source for the extremely insulating nature of the La_(2-x)Sr_(x)CoO4 series. The associated e_g^2 and e_g^0 orbital occupation accounts for the large contrast in the Co-O bond lengths, and in turn, the high charge ordering temperature. Yet, the low magnetic ordering temperature is naturally explained by the presence of the non-magnetic (S=0) Co^3+ ions. From the identification of the bands we infer that La_(1.5)Sr_(0.5)CoO4 is a narrow band material.Comment: 5 pages, 3 figure

Determining the crystal-field ground state in rare earth Heavy Fermion materials using soft-x-ray absorption spectroscopy

We infer that soft-x-ray absorption spectroscopy is a versatile method for the determination of the crystal-field ground state symmetry of rare earth Heavy Fermion systems, complementing neutron scattering. Using realistic and universal parameters, we provide a theoretical mapping between the polarization dependence of Ce $M_{4,5}$ spectra and the charge distribution of the Ce $4f$ states. The experimental resolution can be orders of magnitude larger than the $4f$ crystal field splitting itself. To demonstrate the experimental feasibility of the method, we investigated CePd$_2$Si$_2$, thereby settling an existing disagreement about its crystal-field ground state

Stable periodic waves in coupled Kuramoto-Sivashinsky - Korteweg-de Vries equations

Periodic waves are investigated in a system composed of a Kuramoto-Sivashinsky - Korteweg-de Vries (KS-KdV) equation, which is linearly coupled to an extra linear dissipative equation. The model describes, e.g., a two-layer liquid film flowing down an inclined plane. It has been recently shown that the system supports stable solitary pulses. We demonstrate that a perturbation analysis, based on the balance equation for the field momentum, predicts the existence of stable cnoidal waves (CnWs) in the same system. It is found that the mean value U of the wave field u in the main subsystem, but not the mean value of the extra field, affects the stability of the periodic waves. Three different areas can be distinguished inside the stability region in the parameter plane (L,U), where L is the wave's period. In these areas, stable are, respectively, CnWs with positive velocity, constant solutions, and CnWs with negative velocity. Multistability, i.e., the coexistence of several attractors, including the waves with several maxima per period, appears at large value of L. The analytical predictions are completely confirmed by direct simulations. Stable waves are also found numerically in the limit of vanishing dispersion, when the KS-KdV equation goes over into the KS one.Comment: a latex text file and 16 eps files with figures. Journal of the Physical Society of Japan, in pres