379 research outputs found
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 baryon resonances
Two structures are observed close to the kinematic threshold in the mass spectrum in a sample of proton-proton collision data, corresponding
to an integrated luminosity of 3.0 fb recorded by the LHCb experiment.
In the quark model, two baryonic resonances with quark content are
expected in this mass region: the spin-parity and
states, denoted and .
Interpreting the structures as these resonances, we measure the mass
differences and the width of the heavier state to be
MeV,
MeV,
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
MeV at 95% confidence level. Relative
production rates of these states are also reported.Comment: 17 pages, 2 figure
Observation of resonances consistent with pentaquark states in decays
Observations of exotic structures in the channel, that we refer to
as pentaquark-charmonium states, in 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 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 MeV and a width of MeV, while the second
is narrower, with a mass of MeV and a width of MeV. The preferred 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 decays
A search is presented for hidden-sector bosons, , produced in the decay
, with and
. The search is performed using -collision data
corresponding to 3.0 fb collected with the LHCb detector. No significant
signal is observed in the accessible mass range
MeV, and upper limits are placed on the branching fraction product
as
a function of the mass and lifetime of the boson. These limits are of
the order of for lifetimes less than 100 ps over most of the
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 mesons at LHCb
A new algorithm for the determination of the initial flavour of
mesons is presented. The algorithm is based on two neural networks and exploits
the hadron production mechanism at a hadron collider. The first network is
trained to select charged kaons produced in association with the meson.
The second network combines the kaon charges to assign the flavour and
estimates the probability of a wrong assignment. The algorithm is calibrated
using data corresponding to an integrated luminosity of 3 fb 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 - flavour oscillations in
decays, and by analysing flavour-specific
decays. The tagging power measured in decays is found
to be \%, 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 and
A search for the rare decay of a or meson into the final
state is performed, using data collected by the LHCb experiment
in collisions at and TeV, corresponding to an integrated
luminosity of 3 fb. The observed number of signal candidates is
consistent with a background-only hypothesis. Branching fraction values larger
than for the decay mode are
excluded at 90% confidence level. For the decay
mode, branching fraction values larger than 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
Using collision data collected by LHCb at center-of-mass energies
= 7 TeV and 8 TeV, corresponding to an integrated luminosity of 3
fb, the ratio of the branching fraction of the decay relative to that of the
decay is measured to be 0.268 0.032 (stat) 0.007 (syst) 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 and 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 and decays and determination of the CKM angle
We report a study of the suppressed and favored
decays, where the neutral meson is detected
through its decays to the and CP-even and
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. We observe the first significant
signals in the CP-even final states of the meson for both the suppressed
and favored modes, as well as
in the doubly Cabibbo-suppressed final state of the decay. Evidence for the ADS suppressed decay , with , is also presented. From the observed
yields in the , and their
charge conjugate decay modes, we measure the value of the weak phase to be
. This is one of the most precise
single-measurement determinations of 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 boson production in association with beauty and charm
The associated production of a 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 collected with the LHCb detector
at center-of-mass energies of 7 and 8 TeV, respectively. The bosons are
reconstructed using the decay and muons with a transverse
momentum, , larger than 20 GeV in the pseudorapidity range
GeV
and . The sum of the muon and jet momenta must satisfy
GeV. The fraction of jet events that originate from beauty
and charm quarks is measured, along with the charge asymmetries of the
and production cross-sections. The ratio of the jet to
jet production cross-sections is also measured using the
decay. All results are in agreement with Standard Model predictions
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