Counterparty Credit Limits: An Effective Tool for Mitigating Counterparty Risk?

A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of their exposures, their implementation restricts the liquidity that institutions can access in an otherwise centralized pool. We address the question of how this mechanism impacts trade prices and volatility, both empirically and via a new model of trading with CCLs. We find empirically that CCLs cause little impact on trade. However, our model highlights that in extreme situations, CCLs could serve to destabilize prices and thereby influence systemic risk

An Assessment of Alternative State Space Models for Count Time Series

This paper compares two alternative models for autocorrelated count time series. The first model can be viewed as a 'single source of error' discrete state space model, in which a time-varying parameter is specified as a function of lagged counts, with no additional source of error introduced. The second model is the more conventional 'dual source of error' discrete state space model, in which the time-varying parameter is driven by a random autocorrelated process. Using the nomenclature of the literature, the two representations can be viewed as observation-driven and parameter-driven respectively, with the distinction between the two models mimicking that between analogous models for other non-Gaussian data such as financial returns and trade durations. The paper demonstrates that when adopting a conditional Poisson specification, the two models have vastly different dispersion/correlation properties, with the dual source model having properties that are a much closer match to the empirical properties of observed count series than are those of the single source model. Simulation experiments are used to measure the finite sample performance of maximum likelihood (ML) estimators of the parameters of each model, and ML-based predictors, with ML estimation implemented for the dual source model via a deterministic hidden Markov chain approach. Most notably, the numerical results indicate that despite the very different properties of the two models, predictive accuracy is reasonably robust to misspecification of the state space form.Discrete state-space model; single source of error model; hidden Markov

A study of concept options for the evolution of Space Station Freedom

Two conceptual evolution configurations for Space Station Freedom, a research and development configuration, and a transportation node configuration are described and analyzed. Results of pertinent analyses of mass properties, attitude control, microgravity, orbit lifetime, and reboost requirements are provided along with a description of these analyses. Also provided are brief descriptions of the elements and systems that comprise these conceptual configurations

NASA Light Emitting Diode Medical Applications from Deep Space to Deep Sea

This work is supported and managed through the NASA Marshall Space Flight Center-SBIR Program. LED-technology developed for NASA plant growth experiments in space shows promise for delivering light deep into tissues of the body to promote wound healing and human tissue growth. We present the results of LED-treatment of cells grown in culture and the effects of LEDs on patients’ chronic and acute wounds. LED-technology is also biologically optimal for photodynamic therapy of cancer and we discuss our successes using LEDs in conjunction with light-activated chemotherapeutic drugs

The Extreme Microlensing Event OGLE-2007-BLG-224: Terrestrial Parallax Observation of a Thick-Disk Brown Dwarf

Parallax is the most fundamental technique to measure distances to astronomical objects. Although terrestrial parallax was pioneered over 2000 years ago by Hipparchus (ca. 140 BCE) to measure the distance to the Moon, the baseline of the Earth is so small that terrestrial parallax can generally only be applied to objects in the Solar System. However, there exists a class of extreme gravitational microlensing events in which the effects of terrestrial parallax can be readily detected and so permit the measurement of the distance, mass, and transverse velocity of the lens. Here we report observations of the first such extreme microlensing event OGLE-2007-BLG-224, from which we infer that the lens is a brown dwarf of mass M=0.056 +- 0.004 Msun, with a distance of 525 +- 40 pc and a transverse velocity of 113 +- 21 km/s. The velocity places the lens in the thick disk, making this the lowest-mass thick-disk brown dwarf detected so far. Follow-up observations may allow one to observe the light from the brown dwarf itself, thus serving as an important constraint for evolutionary models of these objects and potentially opening a new window on sub-stellar objects. The low a priori probability of detecting a thick-disk brown dwarf in this event, when combined with additional evidence from other observations, suggests that old substellar objects may be more common than previously assumed.Comment: ApJ Letters, in press, 15 pages including 2 figure

Resolved diffraction patterns from a reflection grating for atoms

We have studied atomic diffraction at normal incidence from an evanescent standing wave with a high resolution using velocity selective Raman transitions. We have observed up to 3 resolved orders of diffraction, which are well accounted for by a scalar diffraction theory. In our experiment the transverse coherence length of the source is greater than the period of the diffraction grating.Comment: 8 pages, 4 figure

MOA-2009-BLG-387Lb: A massive planet orbiting an M dwarf

We report the discovery of a planet with a high planet-to-star mass ratio in the microlensing event MOA-2009-BLG-387, which exhibited pronounced deviations over a 12-day interval, one of the longest for any planetary event. The host is an M dwarf, with a mass in the range 0.07 M_sun < M_host < 0.49M_sun at 90% confidence. The planet-star mass ratio q = 0.0132 +- 0.003 has been measured extremely well, so at the best-estimated host mass, the planet mass is m_p = 2.6 Jupiter masses for the median host mass, M = 0.19 M_sun. The host mass is determined from two "higher order" microlensing parameters. One of these, the angular Einstein radius \theta_E = 0.31 +- 0.03 mas, is very well measured, but the other (the microlens parallax \pi_E, which is due to the Earth's orbital motion) is highly degenate with the orbital motion of the planet. We statistically resolve the degeneracy between Earth and planet orbital effects by imposing priors from a Galactic model that specifies the positions and velocities of lenses and sources and a Kepler model of orbits. The 90% confidence intervals for the distance, semi-major axis, and period of the planet are 3.5 kpc < D_L < 7.9 kpc, 1.1 AU < a < 2.7AU, and 3.8 yr < P < 7.6 yr, respectively.Comment: 20 pages including 8 figures. A&A 529 102 (2011

Limits on Stellar and Planetary Companions in Microlensing Event OGLE-1998-BUL-14

We present the PLANET photometric data set for \ob14, a high magnification ($A_{\rm max}\sim 16$) event alerted by the OGLE collaboration toward the Galactic bulge in 1998. The PLANET data set consists a total of 461 I-band and 139 $V-$band points, the majority of which was taken over a three month period. The median sampling interval during this period is about 1 hour, and the $1\sigma$ scatter over the peak of the event is 1.5%. The excellent data quality and high maximum magnification of this event make it a prime candidate to search for the short duration, low amplitude perturbations that are signatures of a planetary companion orbiting the primary lens. The observed light curve for \ob14 is consistent with a single lens (no companion) within photometric uncertainties. We calculate the detection efficiency of the light curve to lensing companions as a function of the mass ratio and angular separation of the two components. We find that companions of mass ratio $\ge 0.01$ are ruled out at the 95% confidence level for projected separations between 0.4-2.4 \re, where \re is the Einstein ring radius of the primary lens. Assuming that the primary is a G-dwarf with \re\sim3 {\rm AU} our detection efficiency for this event is $\sim 60$ for a companion with the mass and separation of Jupiter and $\sim5$ for a companion with the mass and separation of Saturn. Our efficiencies for planets like those around Upsilon And and 14 Her are > 75%.Comment: Data available at http://www.astro.rug.nl/~planet/planetpapers.html 20 pages, 10 figures. Minor changes. ApJ, accepte

OGLE-2005-BLG-018: Characterization of Full Physical and Orbital Parameters of a Gravitational Binary Lens

We present the analysis result of a gravitational binary-lensing event OGLE-2005-BLG-018. The light curve of the event is characterized by 2 adjacent strong features and a single weak feature separated from the strong features. The light curve exhibits noticeable deviations from the best-fit model based on standard binary parameters. To explain the deviation, we test models including various higher-order effects of the motions of the observer, source, and lens. From this, we find that it is necessary to account for the orbital motion of the lens in describing the light curve. From modeling of the light curve considering the parallax effect and Keplerian orbital motion, we are able to measure not only the physical parameters but also a complete orbital solution of the lens system. It is found that the event was produced by a binary lens located in the Galactic bulge with a distance $6.7\pm 0.3$ kpc from the Earth. The individual lens components with masses $0.9\pm 0.3\ M_\odot$ and $0.5\pm 0.1\ M_\odot$ are separated with a semi-major axis of $a=2.5 \pm 1.0$ AU and orbiting each other with a period $P=3.1 \pm 1.3$ yr. The event demonstrates that it is possible to extract detailed information about binary lens systems from well-resolved lensing light curves.Comment: 19 pages, 6 figure