Unique Bernoulli g-measures

We improve and subsume the conditions of Johansson and \"Oberg [18] and Berbee [2] for uniqueness of a g-measure, i.e., a stationary distribution for chains with complete connections. In addition, we prove that these unique g-measures have Bernoulli natural extensions. In particular, we obtain a unique g-measure that has the Bernoulli property for the full shift on finitely many states under any one of the following additional assumptions. (1) \sum_{n=1}^\infty (\var_n \log g)^20$, \sum_{n=1}^\infty e^{-(\{1}{2}+\epsilon) (\var_1 \log g+...+\var_n \log g)}=\infty,$$(3)$$\var_n \log g=\ordo{\{1}{\sqrt{n}}}, \quad n\to \infty.$$ That the measure is Bernoulli in the case of (1) is new. In (2) we have an improved version of Berbee's condition (concerning uniqueness and Bernoullicity) [2], allowing the variations of log g to be essentially twice as large. Finally, (3) is an example that our main result is new both for uniqueness and for the Bernoulli property. We also conclude that we have convergence in the Wasserstein metric of the iterates of the adjoint transfer operator to the g-measure

Countable state shifts and uniqueness of g-measures

In this paper we present a new approach to studying g-measures which is based upon local absolute continuity. We extend the result in [11] that square summability of variations of g-functions ensures uniqueness of g-measures. The first extension is to the case of countably many symbols. The second extension is to some cases where $g \geq 0$, relaxing the earlier requirement in [11] that inf g>0.Comment: 11 page

Square summability of variations and convergence of the transfer operator

In this paper we study the one-sided shift operator on a state space defined by a finite alphabet. Using a scheme developed by Walters [13], we prove that the sequence of iterates of the transfer operator converges under square summability of variations of the g-function, a condition which gave uniqueness of a g-measure in [7]. We also prove uniqueness of so-called G-measures, introduced by Brown and Dooley [2], under square summability of variations.Comment: 8 page

Modeling Crowd Turbulence by Many-Particle Simulations

A recent study [D. Helbing, A. Johansson and H. Z. Al-Abideen, {\it Phys. Rev. E} 75, 046109 (2007)] has revealed a "turbulent" state of pedestrian flows, which is characterized by sudden displacements and causes the falling and trampling of people. However, turbulent crowd motion is not reproduced well by current many-particle models due to their insufficient representation of the local interactions in areas of extreme densities. In this contribution, we extend the repulsive force term of the social force model to reproduce crowd turbulence. We perform numerical simulations of pedestrians moving through a bottleneck area with this new model. The transitions from laminar to stop-and-go and turbulent flows are observed. The empirical features characterizing crowd turbulence, such as the structure function and the probability density function of velocity increments are reproduced well, i.e. they are well compatible with an analysis of video data during the annual Muslim pilgrimage

Cautious Weight Tuning for Link State Routing Protocols

Link state routing protocols are widely used for intradomain routing in the Internet. These protocols are simple to administer and automatically update paths between sources and destinations when the topology changes. However, finding link weights that optimize network performance for a given traffic scenario is computationally hard. The situation is even more complex when the traffic is uncertain or time-varying. We present an efficient heuristic for finding link settings that give uniformly good performance also under large changes in the traffic. The heuristic combines efficient search techniques with a novel objective function. The objective function combines network performance with a cost of deviating from desirable features of robust link weight settings. Furthermore, we discuss why link weight optimization is insensitive to errors in estimated traffic data from link load measurements. We assess performance of our method using traffic data from an operational IP backbone

Stock and Bond Relationships in Asia

This paper analyzes the relationship between stocks and bonds in nine Asian countries. Using a bivariate stochastic volatility model, we show that there are significant volatility spillover effects between stock and bond markets in several of the countries. Furthermore, dynamic correlation patterns show that the relationship between stock and bond markets changes considerably over time in all countries. Stock-bond correlation increases during periods of turmoil in several countries, indicating that there is a cross-asset contagion effect. Therefore, if there is a flight to quality effect in Asian markets, it seems to occur across countries or regions rather than across domestic assets. The results have direct and important implications for regional policy makers as well as domestic and international investors that invest in multiple asset classes.Asia; stock markets; bond markets; stochastic volatility; Markov Chain Monte Carlo; spillover effects; dynamic correlation

Asian Sovereign Debt and Country Risk

This paper analyzes systematic risk of sovereign bonds in four East Asian countries: China, Malaysia, Philippines, and Thailand. A bivariate stochastic volatility model that allows for time-varying correlation is estimated with Markov Chain Monte Carlo simulation. The volatilities and correlation are then used to calculate the time-varying betas. The results show that country-specific systematic risk in Asian sovereign bonds varies over time. When adjusting for inherent exchange rate risk, the pattern of systematic risk is similar, even though the level is generally lower. The findings have important implications for international portfolio managers that invest in emerging sovereign bonds and those who need benchmark instruments to analyze risk in assets such as corporate bonds in the emerging Asian financial markets.Asia; sovereign bonds; systematic risk; stochastic volatility; Markov Chain Monte Carlo

CHINA'S FINANCIAL MARKET INTEGRATION WITH THE WORLD

It is commonly argued that China's financial markets are effectively insulated from the rest of the world. To see if this is true and to better understand China's financial development, we analyze China's integration with major financial markets. Using conditional copulas, we show that China has experienced an increasing level of integration with several major financial markets during the last decade, even though the country's financial markets are commonly seen as being insulated. Furthermore, the level of integration has increased with several major markets during the current financial crisis. The results and possible reasons for the increasing integration are analyzed and the implications for policymakers and market participants are discussed.China; financial market integration; codependence; copula