OTC derivatives and central clearing: can all transactions be cleared?

The 2007-2009 financial crisis has led legislators on both sides of the Atlantic to propose laws that would require most “standardised” over-the-counter (OTC) derivatives to be cleared centrally. This paper examines these proposals. Although OTC derivatives did not cause the crisis, they do facilitate large speculative transactions and have the potential to create systemic risk. The main attraction of the central clearing proposals is that they will make positions in standardised derivatives more transparent. However, our experience from the 2007-2009 crisis suggests that large losses by fi nancial institutions often arise from their positions in non-standard OTC derivatives. The paper argues that one way forward for regulators is to require all OTC derivatives (standard and non-standard) to be cleared centrally within three years. This would maximise the benefits of netting and reduce systemic risk while making it easier for regulators to carry out stress tests. The paper divides OTC derivatives into four categories and suggests how each category could be handled for clearing purposes.

The first use of Fulton's K for assessing and comparing the conditions of inter-tidal fish populations

Fulton's K condition factor was applied, for the first time, to inter-tidal specimens of the shanny (Lipophrys pholis) and long-spined scorpion fish (Taurulus bubalis) from two English rocky shore and two Welsh rocky shore sites during summer 2010 and winter 2011. As both species contribute to the diet of commercial species such as cod (Gadus morhua) and near-threatened species such as the European otter (Lutra lutra), their condition may affect that of these predators. Fulton's K found that inter-tidal Welsh fish maintained a ‘good’ condition between seasons, whereas the inter-tidal English fish were in a poorer condition during winter. Although condition also changed amongst the sites on each coast, further studies are needed into fish morphologies, environmental parameters, prey availabilities and abundances, and fish specimen sex and maturities

Gauge theory of Finance?

Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Samuelson. Similarly, the re-derivation of Black-Scholes equation is shown equivalent to the standard one because the limit of no uncertainty is equivalent to the standard risk-free replication argument. Both re-derivations of the log-normality and Black-Scholes result do not provide a test of the theory because it is degenerate in the limits where these results apply. Third, the choice of the exponential form a la Boltzmann, of the weight of a given market configuration, is a key postulate that requires justification. In addition, the ``Gauge Theory of Finance'' seems to lead to ``virtual'' arbitrage opportunities for pure Markov random walk market when there should be none. These remarks are offered in the hope to improve the formulation of the ``Gauge Theory of Finance'' into a coherent and useful framework.Comment: 4 page

Darwinism and Organizational Ecology: A Reply to Reydon and Scholz

In an earlier article published in this journal I challenge Reydon and Scholz's (2009) claim that Organizational Ecology is a non-Darwinian program. In this replay to Reydon and Scholz's subsequent response, I clarify the difference between our two approaches denoted by an emphasis her on the careful application of core Darwinian principles and an insistence by Reydon and Scholz on direct biological analogies. On a substantive issue, they identify as being the principle problem for Organizational Ecology, namely, the inability to identify replicators and interactors "of the right sort" in the business domain; this is also shown to be easily addressed with reference to empirical studies of business populations.Peer reviewedFinal Accepted Versio

The gauge algebra of double field theory and Courant brackets

We investigate the symmetry algebra of the recently proposed field theory on a doubled torus that describes closed string modes on a torus with both momentum and winding. The gauge parameters are constrained fields on the doubled space and transform as vectors under T-duality. The gauge algebra defines a T-duality covariant bracket. For the case in which the parameters and fields are T-dual to ones that have momentum but no winding, we find the gauge transformations to all orders and show that the gauge algebra reduces to one obtained by Siegel. We show that the bracket for such restricted parameters is the Courant bracket. We explain how these algebras are realised as symmetries despite the failure of the Jacobi identity.Comment: 25 pages, LaTe

Environmental correlates of plant and invertebrate species richness in ponds

Ponds (lentic water bodies <2 ha) constitute a considerable biodiversity resource. Understanding the environmental factors that underlie this diversity is important in protecting and managing the habitat. We surveyed 425 ponds for biological and physical characteristics with 78 of those also surveyed for chemical characteristics. A total of 277 invertebrate species and 265 plant species were found. Species richness varied between 2 and 99 (mean 27.2 ± 0.6 SE) for invertebrates and 1 and 58 (mean 20.8 ± 0.4 SE) for plants. Generalised additive models were used to investigate variables that correlate with the species richness of plants and invertebrates, with additional models to investigate insect, Coleoptera, Odonata, Hemiptera, Trichoptera and Mollusca species richness. Models performed reasonably well for invertebrates in general (R 2 = 30.3%) but varied between lower-order invertebrate taxa (12.7–34.7%). Ponds with lower levels of shading and no history of drying contained higher numbers of species of plants and all invertebrate groups. Aquatic plant coverage positively correlated with species richness in all invertebrate groups apart from Trichoptera and the presence of fish was associated with high invertebrate species richness in all groups apart from Coleoptera. The addition of chemistry variables suggested non-linear relationships between oxygen demand and phosphate concentration and higher-order richness. We demonstrate that the composition of biological communities varies along with their species richness and that less diverse ponds are more variable compared to more diverse ponds. Variables positively correlated with richness of one taxon may be negatively correlated with that of another, making comprehensive management recommendations difficult. Promoting a high landscape-level pond biodiversity will involve the management of a high diversity of pond types within that landscape

Quantum Mechanics of the Doubled Torus

We investigate the quantum mechanics of the doubled torus system, introduced by Hull [1] to describe T-folds in a more geometric way. Classically, this system consists of a world-sheet Lagrangian together with some constraints, which reduce the number of degrees of freedom to the correct physical number. We consider this system from the point of view of constrained Hamiltonian dynamics. In this case the constraints are second class, and we can quantize on the constrained surface using Dirac brackets. We perform the quantization for a simple T-fold background and compare to results for the conventional non-doubled torus system. Finally, we formulate a consistent supersymmetric version of the doubled torus system, including supersymmetric constraints.Comment: 31 pages, 1 figure; v2: references added, minor corrections to final sectio

Feasibility study of an optical radiometer for determining the composition of the Mars atmosphere from shock layer radiation during entry, volume II Final report

Optical radiometer feasibility study for determining composition of Mars atmosphere from shock layer radiation during entry - instrumentatio

Nongeometry, Duality Twists, and the Worldsheet

In this paper, we use orbifold methods to construct nongeometric backgrounds, and argue that they correspond to the spacetimes discussed in \cite{dh,wwf}. More precisely, we make explicit through several examples the connection between interpolating orbifolds and spacetime duality twists. We argue that generic nongeometric backgrounds arising from duality twists will not have simple orbifold constructions and then proceed to construct several examples which do have a consistent worldsheet description.Comment: v2-references added; v3-minor correction (eqn. 4.17