Jumps, cojumps and macro announcements

We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. Beyond characterizing the jump and cojump dynamics of many assets, we analyze how news arrival causes jumps and cojumps and estimate limited-dependent-variable models to quantify the impact of surprises. We confirm previous findings that some surprises create jumps. However, many announcements do not create jumps and many jumps are not related to announcements. The propensity of surprises to create jumps differs across asset classes, i.e., exchange rates, bonds, stock index. Payroll announcements are most important on stocks and bonds futures markets. Trade related news often creates cojumps on exchange rate markets.Foreign exchange rates ; Bond market

Measuring the eccentricity of the Earth orbit with a nail and a piece of plywood

I describe how to obtain a rather good experimental determination of the eccentricity of the Earth orbit, as well as the obliquity of the Earth rotation axis, by measuring, over the course of a year, the elevation of the Sun as a function of time during a day. With a very simple "instrument" consisting of an elementary sundial, first-year students can carry out an appealing measurement programme, learn important concepts in experimental physics, see concrete applications of kinematics and changes of reference frames, and benefit from a hands-on introduction to astronomy.Comment: 12 pages, 6 figure

Supervisory Control of (max,+) Automata: A Behavioral Approach

A behavioral framework for control of (max,+) automata is proposed. It is based on behaviors (formal power series) and a generalized version of the Hadamard product, which is the behavior of a generalized tensor product of the plant and controller (max,+) automata in their linear representations. In the tensor product and the Hadamard product, the uncontrollable events that can neither be disabled nor delayed are distinguished. Supervisory control of (max,+) automata is then studied using residuation theory applied to our generalization of the Hadamard product of formal power series. This yields a notion of controllability of formal power series as well as (max,+)-counterparts of supremal controllable languages. Finally, rationality as an equivalent condition to realizability of the resulting controller series is discussed together with hints on future use of this approach

Modeling of timed Petri nets using deterministic (max,+) automata

International audienc

Central bank intervention and exchange rate volatility, its continuous and jump components

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. Using recent econometric methods to estimate realized volatility, we employ bipower variation to decompose this volatility into a continuously varying and jump component. Analysis of the timing and direction of jumps and interventions imply that coordinated interventions tend to cause few, but large jumps. Most coordinated operations explain, statistically, an increase in the persistent (continuous) part of exchange rate volatility. This correlation is even stronger on days with jumps.

Le produit synchrone des automates (max,+)

Une extension des automates (max,+) est étudiée dans le but de modéliser le parrallélisme (occurrence simultanée d\u27évements). Pour cela, on introduit une composition synchrone des automates (max, +) vus comme des automates temporisés. Ceci nous amène à introduire des automates (max, +) avec multi-événements qui correspondent à une classe des automates temporisés avec plusieurs horloges. Nous obtenons la formule pour le comportement de produit synchrone d\u27automates (max,+) et montrons que dans le cas général il n\u27est pas possible de définir le produit synchrone des comportement (séries formelles) sans prendre en compte leurs représentations par automates (max,+)

Application of product dioids for dead token detection in interval P-time event graphs

Linear description of interval P-time event graphs using a product idempotent semiring is proposed and applied to dead token detection. The dependence of dead token on initial condition is studied using residuation theory. Finally, the relationship with the spectral theory of matrices over product semirings is discusse