Liquidity problems in the FX liquid market: Ask for the "BIL".

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we consider the spread, the traded volume, the number of transactions and the Amihud (2002) statistic for illiquidity. We also propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit of such measure is to be easily calculated on almost any financial market as well as to have a clear interpretation in terms of liquidity costs. Using all these advanced liquidity analyses, we finally test the accuracy of these measures to detect liquidity problems in the FX market. Our analysis, based on a signaling approach, shows that liquidity problems have arisen during specific episodes in the early 2000's and more generally during the recent financial turmoil.FX market, Liquidity, financial crisis.

Taking into account extreme events in European option pricing.

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we compare the option prices obtained from the standard Black and Scholes model with those resulting from our model. We show that the traditional model leads to an overvaluation of at-the-money options, which are the most traded options, while the less liquid in-the-money and out-of-the-money options are undervalued.

Observation of two new Ξb−\Xi_b^- baryon resonances

Two structures are observed close to the kinematic threshold in the $\Xi_b^0 \pi^-$ mass spectrum in a sample of proton-proton collision data, corresponding to an integrated luminosity of 3.0 fb$^{-1}$ recorded by the LHCb experiment. In the quark model, two baryonic resonances with quark content $bds$ are expected in this mass region: the spin-parity $J^P = \frac{1}{2}^+$ and $J^P=\frac{3}{2}^+$ states, denoted $\Xi_b^{\prime -}$ and $\Xi_b^{*-}$. Interpreting the structures as these resonances, we measure the mass differences and the width of the heavier state to be $m(\Xi_b^{\prime -}) - m(\Xi_b^0) - m(\pi^{-}) = 3.653 \pm 0.018 \pm 0.006$ MeV$/c^2$, $m(\Xi_b^{*-}) - m(\Xi_b^0) - m(\pi^{-}) = 23.96 \pm 0.12 \pm 0.06$ MeV$/c^2$, $\Gamma(\Xi_b^{*-}) = 1.65 \pm 0.31 \pm 0.10$ MeV, where the first and second uncertainties are statistical and systematic, respectively. The width of the lighter state is consistent with zero, and we place an upper limit of $\Gamma(\Xi_b^{\prime -}) < 0.08$ MeV at 95% confidence level. Relative production rates of these states are also reported.Comment: 17 pages, 2 figure

Observation of J/ψpJ/\psi p resonances consistent with pentaquark states in Λb0→J/ψK−p{\Lambda_b^0\to J/\psi K^-p} decays

Observations of exotic structures in the $J/\psi p$ channel, that we refer to as pentaquark-charmonium states, in $\Lambda_b^0\to J/\psi K^- p$ decays are presented. The data sample corresponds to an integrated luminosity of 3/fb acquired with the LHCb detector from 7 and 8 TeV pp collisions. An amplitude analysis is performed on the three-body final-state that reproduces the two-body mass and angular distributions. To obtain a satisfactory fit of the structures seen in the $J/\psi p$ mass spectrum, it is necessary to include two Breit-Wigner amplitudes that each describe a resonant state. The significance of each of these resonances is more than 9 standard deviations. One has a mass of $4380\pm 8\pm 29$ MeV and a width of $205\pm 18\pm 86$ MeV, while the second is narrower, with a mass of $4449.8\pm 1.7\pm 2.5$ MeV and a width of $39\pm 5\pm 19$ MeV. The preferred $J^P$ assignments are of opposite parity, with one state having spin 3/2 and the other 5/2.Comment: 48 pages, 18 figures including the supplementary material, v2 after referee's comments, now 19 figure

Search for hidden-sector bosons in B0 ⁣→K∗0μ+μ−B^0 \!\to K^{*0}\mu^+\mu^- decays

A search is presented for hidden-sector bosons, $\chi$, produced in the decay ${B^0\!\to K^*(892)^0\chi}$, with $K^*(892)^0\!\to K^{+}\pi^{-}$ and $\chi\!\to\mu^+\mu^-$. The search is performed using $pp$-collision data corresponding to 3.0 fb$^{-1}$ collected with the LHCb detector. No significant signal is observed in the accessible mass range $214 \leq m({\chi}) \leq 4350$ MeV, and upper limits are placed on the branching fraction product $\mathcal{B}(B^0\!\to K^*(892)^0\chi)\times\mathcal{B}(\chi\!\to\mu^+\mu^-)$ as a function of the mass and lifetime of the $\chi$ boson. These limits are of the order of $10^{-9}$ for $\chi$ lifetimes less than 100 ps over most of the $m(\chi)$ range, and place the most stringent constraints to date on many theories that predict the existence of additional low-mass bosons.Comment: All figures and tables, along with supplementary material, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-036.htm

A new algorithm for identifying the flavour of Bs0B_s^0 mesons at LHCb

A new algorithm for the determination of the initial flavour of $B_s^0$ mesons is presented. The algorithm is based on two neural networks and exploits the $b$ hadron production mechanism at a hadron collider. The first network is trained to select charged kaons produced in association with the $B_s^0$ meson. The second network combines the kaon charges to assign the $B_s^0$ flavour and estimates the probability of a wrong assignment. The algorithm is calibrated using data corresponding to an integrated luminosity of 3 fb$^{-1}$ collected by the LHCb experiment in proton-proton collisions at 7 and 8 TeV centre-of-mass energies. The calibration is performed in two ways: by resolving the $B_s^0$-$\bar{B}_s^0$ flavour oscillations in $B_s^0 \to D_s^- \pi^+$ decays, and by analysing flavour-specific $B_{s 2}^{*}(5840)^0 \to B^+ K^-$ decays. The tagging power measured in $B_s^0 \to D_s^- \pi^+$ decays is found to be $(1.80 \pm 0.19({\rm stat}) \pm 0.18({\rm syst}))$\%, which is an improvement of about 50\% compared to a similar algorithm previously used in the LHCb experiment.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-056.htm

Search for the rare decays B0→J/ψγB^{0}\to J/\psi \gamma and Bs0→J/ψγB^{0}_{s} \to J/\psi \gamma

A search for the rare decay of a $B^{0}$ or $B^{0}_{s}$ meson into the final state $J/\psi\gamma$ is performed, using data collected by the LHCb experiment in $pp$ collisions at $\sqrt{s}=7$ and $8$ TeV, corresponding to an integrated luminosity of 3 fb$^{-1}$. The observed number of signal candidates is consistent with a background-only hypothesis. Branching fraction values larger than $1.7\times 10^{-6}$ for the $B^{0}\to J/\psi\gamma$ decay mode are excluded at 90% confidence level. For the $B^{0}_{s}\to J/\psi\gamma$ decay mode, branching fraction values larger than $7.4\times 10^{-6}$ are excluded at 90% confidence level, this is the first branching fraction limit for this decay.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-044.htm

Measurement of the branching fraction ratio B(Bc+→ψ(2S)π+)/B(Bc+→J/ψπ+)\mathcal{B}(B_c^+ \rightarrow \psi(2S)\pi^+)/\mathcal{B}(B_c^+ \rightarrow J/\psi \pi^+)

Using $pp$ collision data collected by LHCb at center-of-mass energies $\sqrt{s}$ = 7 TeV and 8 TeV, corresponding to an integrated luminosity of 3 fb$^{-1}$, the ratio of the branching fraction of the $B_c^+ \rightarrow \psi(2S)\pi^+$ decay relative to that of the $B_c^+ \rightarrow J/\psi\pi^+$ decay is measured to be 0.268 $\pm$ 0.032 (stat) $\pm$ 0.007 (syst) $\pm$ 0.006 (BF). The first uncertainty is statistical, the second is systematic, and the third is due to the uncertainties on the branching fractions of the $J/\psi \rightarrow \mu^+\mu^-$ and $\psi(2S) \rightarrow \mu^+\mu^-$ decays. This measurement is consistent with the previous LHCb result, and the statistical uncertainty is halved.Comment: 17 pages including author list, 2 figure

Study of B−→DK−π+π−B^{-}\to DK^-\pi^+\pi^- and B−→Dπ−π+π−B^-\to D\pi^-\pi^+\pi^- decays and determination of the CKM angle γ\gamma

We report a study of the suppressed $B^-\to DK^-\pi^+\pi^-$ and favored $B^-\to D\pi^-\pi^+\pi^-$ decays, where the neutral $D$ meson is detected through its decays to the $K^{\mp}\pi^{\pm}$ and CP-even $K^+K^-$ and $\pi^+\pi^-$ final states. The measurement is carried out using a proton-proton collision data sample collected by the LHCb experiment, corresponding to an integrated luminosity of 3.0~fb$^{-1}$. We observe the first significant signals in the CP-even final states of the $D$ meson for both the suppressed $B^-\to DK^-\pi^+\pi^-$ and favored $B^-\to D\pi^-\pi^+\pi^-$ modes, as well as in the doubly Cabibbo-suppressed $D\to K^+\pi^-$ final state of the $B^-\to D\pi^-\pi^+\pi^-$ decay. Evidence for the ADS suppressed decay $B^{-}\to DK^-\pi^+\pi^-$, with $D\to K^+\pi^-$, is also presented. From the observed yields in the $B^-\to DK^-\pi^+\pi^-$, $B^-\to D\pi^-\pi^+\pi^-$ and their charge conjugate decay modes, we measure the value of the weak phase to be $\gamma=(74^{+20}_{-19})^{\rm o}$. This is one of the most precise single-measurement determinations of $\gamma$ to date.Comment: 22 pages, 9 figures; All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-020.htm

Study of WW boson production in association with beauty and charm

The associated production of a $W$ boson with a jet originating from either a light parton or heavy-flavor quark is studied in the forward region using proton-proton collisions. The analysis uses data corresponding to integrated luminosities of 1.0 and $2.0\,{\rm fb}^{-1}$ collected with the LHCb detector at center-of-mass energies of 7 and 8 TeV, respectively. The $W$ bosons are reconstructed using the $W\to\mu\nu$ decay and muons with a transverse momentum, $p_{\rm T}$, larger than 20 GeV in the pseudorapidity range $2.0 20$ GeV and $2.2 < \eta < 4.2$. The sum of the muon and jet momenta must satisfy $p_{\rm T} > 20$ GeV. The fraction of $W+$jet events that originate from beauty and charm quarks is measured, along with the charge asymmetries of the $W\!+\!b$ and $W\!+\!c$ production cross-sections. The ratio of the $W+$jet to $Z+$jet production cross-sections is also measured using the $Z\to\mu\mu$ decay. All results are in agreement with Standard Model predictions