Eroding market stability by proliferation of financial instruments

We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability.Comment: 26 pages, 8 figure

The study of progesterone action in human myometrial explants

Study hypothesis: Myometrial explants represent a superior model compared with cell culture models for the study of human myometrial progesterone (P4) signalling in parturition. Study finding: Gene expression analysis showed myometrial explants closely resemble the in vivo condition and the anti-inflammatory action of P4 is not lost with labour onset. What is known already: Circulating P4 levels decline before the onset of parturition in most animals, but not in humans. This has led to the suggestion that there is a functional withdrawal of P4 action at the myometrial level prior to labour onset. However, to date, no evidence of a loss of P4 function has been provided, with studies hampered by a lack of a physiologically relevant model. Study design, samples/materials, methods: Myometrial biopsies obtained at Caesarean section were dissected into explants after a portion was immediately snap frozen (t = 0). Microarray analysis was used to compare gene expression of t = 0 with paired (i) explants, (ii) passage 4 myometrial cell cultures or (iii) the hTERT myometrial cell line. Western blotting and chemokine/cytokine assays were used to study P4 signalling in myometrial explants. Main results and the role of chance: Gene expression comparison of t = 0 to the three models demonstrated that explants more closely resemble the in vivo status. At the protein level, explants maintain both P4 receptor (PR) and glucocorticoid receptor (GR) levels versus t = 0 whereas cells only maintain GR levels. Additionally, treatment with 1 μM P4 led to a reduction in interleukin-1 (IL-1) β-driven cyclooxygenase-2 in explants but not in cells. P4 signalling in explants was PR-mediated and associated with a repression of p65 and c-Jun phosphorylation. Furthermore, the anti-inflammatory action of P4 was maintained after labour onset. Limitations/reasons for caution: There is evidence of basal inflammation in the myometrial explant model. Wider implications of the findings: Myometrial explants constitute a novel model to study P4 signalling in the myometrium and can be used to further elucidate the mechanisms of P4 action in human labour. Large scale data: Data deposited at http://www.ncbi.nlm.nih.gov/geo/query/acc.cgi?token=gvmpggkurbgxfqf&acc=GSE77830

Derivatives and Credit Contagion in Interconnected Networks

The importance of adequately modeling credit risk has once again been highlighted in the recent financial crisis. Defaults tend to cluster around times of economic stress due to poor macro-economic conditions, {\em but also} by directly triggering each other through contagion. Although credit default swaps have radically altered the dynamics of contagion for more than a decade, models quantifying their impact on systemic risk are still missing. Here, we examine contagion through credit default swaps in a stylized economic network of corporates and financial institutions. We analyse such a system using a stochastic setting, which allows us to exploit limit theorems to exactly solve the contagion dynamics for the entire system. Our analysis shows that, by creating additional contagion channels, CDS can actually lead to greater instability of the entire network in times of economic stress. This is particularly pronounced when CDS are used by banks to expand their loan books (arguing that CDS would offload the additional risks from their balance sheets). Thus, even with complete hedging through CDS, a significant loan book expansion can lead to considerably enhanced probabilities for the occurrence of very large losses and very high default rates in the system. Our approach adds a new dimension to research on credit contagion, and could feed into a rational underpinning of an improved regulatory framework for credit derivatives.Comment: 26 pages, 7 multi-part figure

Effects of rapid prey evolution on predator-prey cycles

We study the qualitative properties of population cycles in a predator-prey system where genetic variability allows contemporary rapid evolution of the prey. Previous numerical studies have found that prey evolution in response to changing predation risk can have major quantitative and qualitative effects on predator-prey cycles, including: (i) large increases in cycle period, (ii) changes in phase relations (so that predator and prey are cycling exactly out of phase, rather than the classical quarter-period phase lag), and (iii) "cryptic" cycles in which total prey density remains nearly constant while predator density and prey traits cycle. Here we focus on a chemostat model motivated by our experimental system [Fussmann et al. 2000,Yoshida et al. 2003] with algae (prey) and rotifers (predators), in which the prey exhibit rapid evolution in their level of defense against predation. We show that the effects of rapid prey evolution are robust and general, and furthermore that they occur in a specific but biologically relevant region of parameter space: when traits that greatly reduce predation risk are relatively cheap (in terms of reductions in other fitness components), when there is coexistence between the two prey types and the predator, and when the interaction between predators and undefended prey alone would produce cycles. Because defense has been shown to be inexpensive, even cost-free, in a number of systems [Andersson and Levin 1999, Gagneux et al. 2006,Yoshida et al. 2004], our discoveries may well be reproduced in other model systems, and in nature. Finally, some of our key results are extended to a general model in which functional forms for the predation rate and prey birth rate are not specified.Comment: 35 pages, 8 figure

Experimental support of the scaling rule for demographic stochasticity

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73613/1/j.1461-0248.2006.00903.x.pd

The influence of vibrissal somatosensory processing in rat superior colliculus on prey capture

The lateral part of intermediate layer of superior colliculus (SCl) is a critical substrate for successful predation by rats. Hunting-evoked expression of the activity marker Fos is concentrated in SCl while prey capture in rats with NMDA lesions in SCl is impaired. Particularly affected are rapid orienting and stereotyped sequences of actions associated with predation of fast moving prey. Such deficits are consistent with the view that the deep layers of SC are important for sensory guidance of movement. Although much of the relevant evidence involves visual control of movement, less is known about movement guidance by somatosensory input from vibrissae. Indeed, our impression is that prey contact with whiskers is a likely stimulus to trigger predation. Moreover, SCl receives whisker and orofacial somatosensory information directly from trigeminal complex, and indirectly from zona incerta, parvicelular reticular formation and somatosensory barrel cortex. To better understand sensory guidance of predation by vibrissal information we investigated prey capture by rats after whisker removal and the role of superior colliculus (SC) by comparing Fos expression after hunting with and without whiskers. Rats were allowed to hunt cockroaches, after which their whiskers were removed. Two days later they were allowed to hunt cockroaches again. Without whiskers the rats were less able to retain the cockroaches after capture and less able to pursue them in the event of the cockroach escaping. The predatory behaviour of rats with re-grown whiskers returned to normal. In parallel, Fos expression in SCl induced by predation was significantly reduced in whiskerless animals. We conclude that whiskers contribute to the efficiency of rat prey capture and that the loss of vibrissal input to SCl, as reflected by reduced Fos expression, could play a critical role in predatory deficits of whiskerless rats

Evidence of Color Coherence Effects in W+jets Events from ppbar Collisions at sqrt(s) = 1.8 TeV

We report the results of a study of color coherence effects in ppbar collisions based on data collected by the D0 detector during the 1994-1995 run of the Fermilab Tevatron Collider, at a center of mass energy sqrt(s) = 1.8 TeV. Initial-to-final state color interference effects are studied by examining particle distribution patterns in events with a W boson and at least one jet. The data are compared to Monte Carlo simulations with different color coherence implementations and to an analytic modified-leading-logarithm perturbative calculation based on the local parton-hadron duality hypothesis.Comment: 13 pages, 6 figures. Submitted to Physics Letters

Measurement of the polarisation of W bosons produced with large transverse momentum in pp collisions at sqrt(s) = 7 TeV with the ATLAS experiment

This paper describes an analysis of the angular distribution of W->enu and W->munu decays, using data from pp collisions at sqrt(s) = 7 TeV recorded with the ATLAS detector at the LHC in 2010, corresponding to an integrated luminosity of about 35 pb^-1. Using the decay lepton transverse momentum and the missing transverse energy, the W decay angular distribution projected onto the transverse plane is obtained and analysed in terms of helicity fractions f0, fL and fR over two ranges of W transverse momentum (ptw): 35 < ptw < 50 GeV and ptw > 50 GeV. Good agreement is found with theoretical predictions. For ptw > 50 GeV, the values of f0 and fL-fR, averaged over charge and lepton flavour, are measured to be : f0 = 0.127 +/- 0.030 +/- 0.108 and fL-fR = 0.252 +/- 0.017 +/- 0.030, where the first uncertainties are statistical, and the second include all systematic effects.Comment: 19 pages plus author list (34 pages total), 9 figures, 11 tables, revised author list, matches European Journal of Physics C versio

Observation of a new chi_b state in radiative transitions to Upsilon(1S) and Upsilon(2S) at ATLAS

The chi_b(nP) quarkonium states are produced in proton-proton collisions at the Large Hadron Collider (LHC) at sqrt(s) = 7 TeV and recorded by the ATLAS detector. Using a data sample corresponding to an integrated luminosity of 4.4 fb^-1, these states are reconstructed through their radiative decays to Upsilon(1S,2S) with Upsilon->mu+mu-. In addition to the mass peaks corresponding to the decay modes chi_b(1P,2P)->Upsilon(1S)gamma, a new structure centered at a mass of 10.530+/-0.005 (stat.)+/-0.009 (syst.) GeV is also observed, in both the Upsilon(1S)gamma and Upsilon(2S)gamma decay modes. This is interpreted as the chi_b(3P) system.Comment: 5 pages plus author list (18 pages total), 2 figures, 1 table, corrected author list, matches final version in Physical Review Letter