Why is Price Discovery in Credit Default Swap Markets News-Specific?

Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of negative) equity market news. We provide an explanation for this newsspecific price discovery based on dealers in the CDS market exploiting their informational advantage vis-à-vis institutional investors with hedging demands. In support of this explanation we find that the CDS-lag and its newsspecificity are related to various firm-level proxies for hedging demand in the cross-section as well measures for economy-wide informational asymmetries over time.price discovery;CDS;hedging demand;informational asymmetries

On the imaginary parts of chromatic root

While much attention has been directed to the maximum modulus and maximum real part of chromatic roots of graphs of order $n$ (that is, with $n$ vertices), relatively little is known about the maximum imaginary part of such graphs. We prove that the maximum imaginary part can grow linearly in the order of the graph. We also show that for any fixed $p \in (0,1)$, almost every random graph $G$ in the Erd\"os-R\'enyi model has a non-real root.Comment: 4 figure

Polar Amplification Due to Enhanced Heat Flux Across the Halocline

Abstract Polar amplification is a widely discussed phenomenon, and a range of mechanisms have been proposed to contribute to it, many of which involve atmospheric and surface processes. However, substantial questions remain regarding the role of ocean heat transport. Previous studies have found that ocean heat transport into the Arctic increases under global warming, but the reasons behind this remain unresolved. Here, we investigate changes in oceanic heat fluxes and associated impacts on polar amplification using an idealized ocean‐sea ice‐climate model of the Northern Hemisphere. We show that beneath the sea ice, vertical temperature gradients across the halocline increase as the ocean warms, since the surface mixed layer temperatures in ice‐covered regions are fixed near the freezing point. These enhanced vertical temperature gradients drive enhanced horizontal heat transport into the polar region and can contribute substantially to polar amplification

Fermions in the pseudoparticle approach

The pseudoparticle approach is a numerical technique to compute path integrals without discretizing spacetime. The basic idea is to integrate over those field configurations, which can be represented by a sum of a fixed number of localized building blocks (pseudoparticles). In a couple of previous papers we have successfully applied the pseudoparticle approach to pure SU(2) Yang-Mills theory. In this work we discuss how to incorporate fermionic fields in the pseudoparticle approach. To test our method, we compute the phase diagram of the 1+1-dimensional Gross-Neveu model in the large-N limit.Comment: 11 pages, 10 figure

Improved Compact Visibility Representation of Planar Graph via Schnyder's Realizer

Let $G$ be an $n$-node planar graph. In a visibility representation of $G$, each node of $G$ is represented by a horizontal line segment such that the line segments representing any two adjacent nodes of $G$ are vertically visible to each other. In the present paper we give the best known compact visibility representation of $G$. Given a canonical ordering of the triangulated $G$, our algorithm draws the graph incrementally in a greedy manner. We show that one of three canonical orderings obtained from Schnyder's realizer for the triangulated $G$ yields a visibility representation of $G$ no wider than $\frac{22n-40}{15}$. Our easy-to-implement O(n)-time algorithm bypasses the complicated subroutines for four-connected components and four-block trees required by the best previously known algorithm of Kant. Our result provides a negative answer to Kant's open question about whether $\frac{3n-6}{2}$ is a worst-case lower bound on the required width. Also, if $G$ has no degree-three (respectively, degree-five) internal node, then our visibility representation for $G$ is no wider than $\frac{4n-9}{3}$ (respectively, $\frac{4n-7}{3}$). Moreover, if $G$ is four-connected, then our visibility representation for $G$ is no wider than $n-1$, matching the best known result of Kant and He. As a by-product, we obtain a much simpler proof for a corollary of Wagner's Theorem on realizers, due to Bonichon, Sa\"{e}c, and Mosbah.Comment: 11 pages, 6 figures, the preliminary version of this paper is to appear in Proceedings of the 20th Annual Symposium on Theoretical Aspects of Computer Science (STACS), Berlin, Germany, 200

Probing Pauli Blocking Factors in Quantum Pumps with Broken Time-Reversal Symmetry

A recently demonstrated quantum electron pump is discussed within the framework of photon-assisted tunneling. Due to lack of time-reversal symmetry, different results are obtained for the pump current depending on whether or not final-state Pauli blocking factors are used when describing the tunneling process. Whilst in both cases the current depends quadratically on the driving amplitude for moderate pumping, a marked difference is predicted for the temperature dependence. With blocking factors the pump current decreases roughly linearly with temperature until k_B T ~ \hbar\omega is reached, whereas without them it is unaffected by temperature, indicating that the entire Fermi sea participates in the electronic transport.Comment: 4 pages in RevTex4 (beta4), 6 figures; status: to appear in PR

Kinetic Theory of Cluster Dynamics

In a Newtonian system with localized interactions the whole set of particles is naturally decomposed into dynamical clusters, defined as finite groups of particles having an influence on each other's trajectory during a given interval of time. For an ideal gas with short-range intermolecular force, we provide a description of the cluster size distribution in terms of the reduced Boltzmann density. In the simplified context of Maxwell molecules, we show that a macroscopic fraction of the gas forms a giant component in finite kinetic time. The critical index of this phase transition is in agreement with previous numerical results on the elastic billiard