Downside risk of derivative portfolios with mean-reverting underlyings

We carry out a Monte-Carlo simulation of a standard portfolio management strategy involving derivatives, to estimate the sensitivity of its downside risk to a change of mean-reversion of the underlyings. We find that the higher the intensity of mean-reversion, the lower the probability of reaching a pre-determined loss level. This phenomenon appears of large statistical significance for large enough loss levels. We also find that the higher the mean-reversion intensity of the underlyings, the longer the expected time to reach those loss levels. The simulations suggest that selecting underlyings with high mean-reversion effect is a natural way to reduce the downside risk of those widely traded assets.Monte Carlo simulation; mean-reverting underlyings

Insulator-Metal transition in the Doped 3d1 Transition Metal Oxide LaTiO3

The doping induced insulator-metal transition in $La_{1-x}Sr_{x}TiO_{3}$ is studied using the ab-initio LDA+DMFT method. Combining the LDA bandstructure for the actual, distorted structure found recently with multi-orbital DMFT to treat electronic correlations, we find: $(i)$ ferro-orbital order in the Mott insulating state without orbital degeneracy, $(ii)$ a continuous filling induced transition to the paramagnetic metal (PM) with $x$, and $(iii)$ excellent quantitative agreement with published photoemission data for the case of 6% doping. Our results imply that this system can be described as a Mott-Hubbard system without orbital (liquid) degeneracy.Comment: 4 pages, 3 figures, submitted to PR

Microscopic description of localization-delocalization transitions in BaFe2S3

We present a microscopic description of electronic reconstruction in BaFe2S3, a system which undergoes a pressure-induced insulator-metal transition followed by a superconducting phase at 24 K. We stress the importance of multiorbital electron-electron interactions for a consistent understanding of its intrinsic Mott-insulating and pressurized, orbital-selective metallic normal states. We explain the first-order nature of the Mott transition, showing that it is driven by dynamical spectral weight transfer in response to changes in the on-site Coulomb interaction to bandwidth ratio. As a by-product of this analysis, we unearth how dynamical correlations underpin spectroscopy and resistivity responses, in good agreement with experiment. Upon electron/hole doping, carrier localization is found to persist because the chemical potential lies in a gap structure with vanishing states near the Fermi energy. We detail the implications of our microscopic analysis for the underlying physics which emerges in the normal state of a compressed BaFe2S3 superconductor

Pressure-induced orbital-selective metal from the Mott insulator BaFe2Se3

A general understanding of the mechanism underlying the pressure-induced Mott insulator-metal transition in strongly correlated materials is still lacking. Here we explore the pressure-induced electronic reconstruction in BaFe 2 Se 3 , a potential two-leg ladder system for unconventional (non-BCS) superconductivity. We stress the importance of multiorbital Coulomb interactions in concert with first-principles band-structure calculations for a consistent understanding of its intrinsic Mott-Hubbard insulating state both at ambient and under pressure. We elucidate the nature of pressure-induced insulator-metal transition seen in experiment, showing that it is driven by bandwidth broadening under pressure. We reveal an orbital-selective electronic state where Mott localized and itinerant electrons coexist in compressed BaFe 2 Se 3 , which incorporates orbital-resolved scattering rates and renormalization factors hidden in the normal state at high pressures

Mott and pseudogap localization in pressurized NbO2

We present a detailed study of correlation-induced electronic reconstruction in baddeleyite-type NbO2, a distorted ZrO2-type structure that is found at pressures above 8.0 GPa. Based on density-functional plus dynamical mean-field theory (DFT+DMFT), we stress the importance of multiorbital Coulomb interactions in concert with first-principles band-structure calculations for a consistent understanding of emergent Mottness and pseudogap behavior in pressurized NbO2 and related d1 systems. After a proper treatment of multiorbital electron-electron interactions, we find a nearly universal Mott behavior for the peak position of the lower Hubbard band that is independent of crystal- and band-structure details. We explain the nature of the metal-pseudogap-insulator transition to be seen in experiment, showing a first-order transition between two metallic states: a correlated metal and a pseudogap state with a deep density of states at the Fermi level. This emergent pseudogap phenomena is expected to play a central role toward quantum criticality in pressurized NbO2

Alpine pioneer plants in soil bioengineering for slope stabilization and restoration : results of a preliminary analysis of seed germination and future perspectives

Stabilization of slopes subject to landslide by measures with low impact, such as those of bioengineering, is a topic of interest. The use of scarcely studied alpine pioneer plants could contribute to innovation in soil bioengineering and restoration ecology but to use them, knowledge of the ex situ germinability of their seeds is fundamental. This research analysed the germinability of seeds of nine alpine pioneer species (Papaver aurantiacum, Rumex scutatus, Tofieldia calyculata, Pulsatilla alpina, Silene glareosa, Adenostyles alpina, Dryas octopetala, Laserpitium peucedanoides and Laserpitium krapfii) treated with water, gibberellic acid (GA3) and/or calcium carbonate at room temperature. The seeds had different responses to the treatments: Laserpitium peucedanoides, L. krapfii and Silene glareosa showed difficulty in germinating (germination < 2.5%), while Dryas octopetala had good germination (39\u201361%) regardless of treatment. GA3 significantly increased the seed germination rate of Papaver aurantiacum, Pulsatilla alpina, Rumex scutatus and Tofieldia calyculata, while the addition of calcium carbonate made the seeds of Rumex scutatus and Tofieldia calyculata germinate more quickly. Results are discussed focusing on the perspectives of using alpine pioneer species in future soil bioengineering work for slopes stabilization and restoration, and on the actions that stakeholders should take to make this happen

Swimmers in thin films: from swarming to hydrodynamic instabilities

We investigate theoretically the collective dynamics of a suspension of low Reynolds number swimmers that are confined to two dimensions by a thin fluid film. Our model swimmer is characterized by internal degrees of freedom which locally exert active stresses (force dipoles or quadrupoles) on the fluid. We find that hydrodynamic interactions mediated by the film can give rise to spontaneous continuous symmetry breaking (swarming), to states with either polar or nematic homogeneous order. For dipolar swimmers, the stroke averaged dynamics are enough to determine the leading contributions to the collective behaviour. In contrast, for quadrupolar swimmers, our analysis shows that detailed features of the internal dynamics play an important role in determining the bulk behaviour. In the broken symmetry phases, we investigate fluctuations of hydrodynamic variables of the system and find that these destabilize order. Interestingly, this instability is not generic and depends on length-scale.Comment: 4 pages, 2 figures, references added, typos corrected, new introductio

Orbital-spin order and the origin of structural distortion in MgTi2_2O4_4

We analyze electronic, magnetic, and structural properties of the spinel compound MgTi$_2$O$_4$ using the local density approximation+U method. We show how MgTi$_2$O$_4$ undergoes to a canted orbital-spin ordered state, where charge, spin and orbital degrees of freedom are frozen in a geometrically frustrated network by electron interactions. In our picture orbital order stabilize the magnetic ground state and controls the degree of structural distortions. The latter is dynamically derived from the cubic structure in the correlated LDA+U potential. Our ground-state theory provides a consistent picture for the dimerized phase of MgTi$_2$O$_4$, and might be applicable to frustrated materials in general.Comment: 6 pages, 6 figure