Improving fair value accounting.

The turmoil on international financial markets is proving complex to a degree that few could have anticipated when it initially emerged in the summer of 2007. There is still much uncertainty over the duration and potential impact of this turmoil on the real economy. This episode has revealed a series of flaws in various areas of the international financial system. One issue on which regulators, supervisors and other interested parties are focusing is the application of fair value. In many cases discussions turn on quantitative and qualitative matters geared to improving valuation methods and their implementation, especially when applied to complex financial instruments. There is also in-depth refl ection about what information institutions should provide investors regarding the application of fair value, so that investors may take well-grounded decisions. Another area of the debate on fair value considers to what extent its application affects management and investment decisions, and particularly how it may exacerbate procyclical behaviour by financial markets. To examine the relationship between valuation and procyclicality and to identify some solutions to the perverse interaction of the two, the article discusses the advantages of fair value and its limitations, stressing in particular some of the most relevant ones which have emerged during the current financial turmoil. In addition, it puts forward some ideas that might contribute to improving fair value: the use of reserve valuations and of dynamic provisions. It is argued that they can not only improve fair value accounting but also lessen financial procyclicality.

Motion of buoyant particles and coarsening of solid-liquid mixtures in a random acceleration field

Flow induced by a random acceleration field (g-jitter) is considered in two related situations that are of interest for microgravity fluid experiments: the random motion of an isolated buoyant particle and coarsening of a solid-liquid mixture. We start by analyzing in detail actual accelerometer data gathered during a recent microgravity mission, and obtain the values of the parameters defining a previously introduced stochastic model of this acceleration field. We then study the motion of a solid particle suspended in an incompressible fluid that is subjected to such random accelerations. The displacement of the particle is shown to have a diffusive component if the correlation time of the stochastic acceleration is finite or zero, and mean squared velocities and effective diffusion coefficients are obtained explicitly. Finally, the effect of g-jitter on coarsening of a solid-liquid mixture is considered. Corrections due to the induced fluid motion are calculated, and estimates are given for coarsening of Sn-rich particles in a Sn-Pb eutectic fluid, experiment to be conducted in microgravity in the near future.Comment: 25 pages, 4 figures (included). Also at http://www.scri.fsu.edu/~vinals/ross2.p

Ordering kinetics of stripe patterns

We study domain coarsening of two dimensional stripe patterns by numerically solving the Swift-Hohenberg model of Rayleigh-Benard convection. Near the bifurcation threshold, the evolution of disordered configurations is dominated by grain boundary motion through a background of largely immobile curved stripes. A numerical study of the distribution of local stripe curvatures, of the structure factor of the order parameter, and a finite size scaling analysis of the grain boundary perimeter, suggest that the linear scale of the structure grows as a power law of time with a craracteristic exponent z=3. We interpret theoretically the exponent z=3 from the law of grain boundary motion.Comment: 4 pages, 4 figure

Automatic Safe Data Reuse Detection for the WCET Analysis of Systems With Data Caches

Worst-case execution time (WCET) analysis of systems with data caches is one of the key challenges in real-time systems. Caches exploit the inherent reuse properties of programs, temporarily storing certain memory contents near the processor, in order that further accesses to such contents do not require costly memory transfers. Current worst-case data cache analysis methods focus on specific cache organizations (LRU, locked, ACDC, etc.). In this article, we analyze data reuse (in the worst case) as a property of the program, and thus independent of the data cache. Our analysis method uses Abstract Interpretation on the compiled program to extract, for each static load/store instruction, a linear expression for the address pattern of its data accesses, according to the Loop Nest Data Reuse Theory. Each data access expression is compared to that of prior (dominant) memory instructions to verify whether it presents a guaranteed reuse. Our proposal manages references to scalars, arrays, and non-linear accesses, provides both temporal and spatial reuse information, and does not require the exploration of explicit data access sequences. As a proof of concept we analyze the TACLeBench benchmark suite, showing that most loads/stores present data reuse, and how compiler optimizations affect it. Using a simple hit/miss estimation on our reuse results, the time devoted to data accesses in the worst case is reduced to 27% compared to an always-miss system, equivalent to a data hit ratio of 81%. With compiler optimization, such time is reduced to 6.5%

Modeling of Dislocation Structures in Materials

A phenomenological model of the evolution of an ensemble of interacting dislocations in an isotropic elastic medium is formulated. The line-defect microstructure is described in terms of a spatially coarse-grained order parameter, the dislocation density tensor. The tensor field satisfies a conservation law that derives from the conservation of Burgers vector. Dislocation motion is entirely dissipative and is assumed to be locally driven by the minimization of plastic free energy. We first outline the method and resulting equations of motion to linear order in the dislocation density tensor, obtain various stationary solutions, and give their geometric interpretation. The coupling of the dislocation density to an externally imposed stress field is also addressed, as well as the impact of the field on the stationary solutions.Comment: RevTeX, 19 pages. Also at http://www.scri.fsu.edu/~vinals/jeff1.p

Dynamic scaling and quasi-ordered states in the two dimensional Swift-Hohenberg equation

The process of pattern formation in the two dimensional Swift-Hohenberg equation is examined through numerical and analytic methods. Dynamic scaling relationships are developed for the collective ordering of convective rolls in the limit of infinite aspect ratio. The stationary solutions are shown to be strongly influenced by the strength of noise. Stationary states for small and large noise strengths appear to be quasi-ordered and disordered respectively. The dynamics of ordering from an initially inhomogeneous state is very slow in the former case and fast in the latter. Both numerical and analytic calculations indicate that the slow dynamics can be characterized by a simple scaling relationship, with a characteristic dynamic exponent of $1/4$ in the intermediate time regime

Adiabatic reduction near a bifurcation in stochastically modulated systems

We re-examine the procedure of adiabatic elimination of fast relaxing variables near a bifurcation point when some of the parameters of the system are stochastically modulated. Approximate stationary solutions of the Fokker-Planck equation are obtained near threshold for the pitchfork and transcritical bifurcations. Stochastic resonance between fast variables and random modulation may shift the effective bifurcation point by an amount proportional to the intensity of the fluctuations. We also find that fluctuations of the fast variables above threshold are not always Gaussian and centered around the (deterministic) center manifold as was previously believed. Numerical solutions obtained for a few illustrative examples support these conclusions.Comment: RevTeX, 19 pages and 16 figure

Fate of Zero-Temperature Ising Ferromagnets

We investigate the relaxation of homogeneous Ising ferromagnets on finite lattices with zero-temperature spin-flip dynamics. On the square lattice, a frozen two-stripe state is apparently reached approximately 1/4 of the time, while the ground state is reached otherwise. The asymptotic relaxation is characterized by two distinct time scales, with the longer stemming from the influence of a long-lived diagonal stripe ``defect''. In greater than two dimensions, the probability to reach the ground state rapidly vanishes as the size increases and the system typically ends up wandering forever within an iso-energy set of stochastically ``blinking'' metastable states.Comment: 4 pages in column format, 6 figure

La Termogènesi als calorímetres per conducció: característiques dinàmiques i possibilitats deconvolutives

Es descriuen les característiques generals dels dispositius calorimètrics, les possibilitats de tractament mitjançant models i els mètodes per aproximar-se a la termogènesi o dissipació instantània al si de la cèl•lula laboratori. La descripció dinàmica es fa dins de l'espai freqüencial, que permet introduir de manera natural diferents límits de freqüència segons les característiques dels dispositius i del procés que vol estudiar-se. Per al tractament global dels calorímetres s'utilitza una escala relativa de temps i de freqüència. Això permet tractar sistemàticament les condicions imposades per les tècniques deconvolutives, l'aparellatge experimental i els propis fenòmens físics.General features of flow or conduction calorimeters are briefly described together with several methods to obtain the thermogenesis or instantaneous power dissipated inside the laboratory cell. The possibi l ities of solvable models are also discussed. The dynamic behaviour of the calorimeter is readily described in frequency space, thus allowing the intrcduction of several frequential limits depending on the characteristics both of the device and of the phenomenon under study. A systematic treatment of conduction calorimeters may be attained if relative scales, i n time (t/τ1) and frequency (θ τ1), are considered. Now, the efficiency of a given deconvolutive technique and the limits imposed by the experimental device itself or by the physical phenomena studied are easily evaluated