2,126 research outputs found
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
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
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
Coherent Control of Atomic Beam Diffraction by Standing Light
Quantum interference is shown to deliver a means of regulating the
diffraction pattern of a thermal atomic beam interacting with two standing wave
electric fields. Parameters have been identified to enhance the diffraction
probability of one momentum component over the others, with specific
application to Rb atoms.Comment: 5 figure
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