NOSS Altimeter Detailed Algorithm specifications

The details of the algorithms and data sets required for satellite radar altimeter data processing are documented in a form suitable for (1) development of the benchmark software and (2) coding the operational software. The algorithms reported in detail are those established for altimeter processing. The algorithms which required some additional development before documenting for production were only scoped. The algorithms are divided into two levels of processing. The first level converts the data to engineering units and applies corrections for instrument variations. The second level provides geophysical measurements derived from altimeter parameters for oceanographic users

Dynamic Linkages in Credit Risk: Modeling the Time-Varying Correlation between the Money and Derivatives Markets over the Crisis Period

This paper examines the dynamic linkages in credit risk between the money market and the derivatives market during 2004–9. We use the T-bill–Eurodollar (TED) spread to measure credit risk in the money market and the credit default swap (CDS) index spread for the derivatives market. The linkages are measured by a dynamic conditional correlation–Glosten–Jagannathan–Runkle–generalized auto regressive conditional heteroscedasticity model. The results show that the correlation between the TED spread and the CDS index spread fluctuated around zero prior to the crisis. While the correlation increased before the crisis, it moved notably higher during the crisis. Finally, the correlation fell in early 2009 but persisted at a level between 0.05 and 0.1, higher than the precrisis period

The Dependence Structure in Credit Risk between Money and Derivatives Markets: A Time-Varying Conditional Copula Approach

Purpose The purpose of this paper is to examine the dynamic dependence structure in credit risk between the money market and the derivatives market during 2004-2009. The authors use the TED spread to measure credit risk in the money market and CDS index spread for the derivatives market. Design/methodology/approach The dependence structure is measured by a time-varying Gaussian copula. A copula is a function that joins one-dimensional distribution functions together to form multivariate distribution functions. The copula contains all the information on the dependence structure of the random variables while also removing the linear correlation restriction. Therefore, provides a straightforward way of modelling non-linear and non-normal joint distributions. Findings The results show that the correlation between these two markets while fluctuating with a general upward trend prior to 2007 exhibited a noticeably higher correlation after 2007. This points to the evidence of credit contagion during the crisis. Three different phases are identified for the crisis period which sheds light on the nature of contagion mechanisms in financial markets. The correlation of the two spreads fell in early 2009, although remained higher than the pre-crisis level. This is partly due to policy intervention that lowered the TED spread while the CDS spread remained higher due to the Eurozone sovereign debt crisis. Originality/value The paper examines the relationship between the TED and CDS spreads which measure credit risk in an economy. This paper contributes to the literature on dynamic co-movement, contagion effects and risk linkages

NOSS altimeter algorithm specifications

A description of all algorithms required for altimeter processing is given. Each description includes title, description, inputs/outputs, general algebraic sequences and data volume. All required input/output data files are described and the computer resources required for the entire altimeter processing system were estimated. The majority of the data processing requirements for any radar altimeter of the Seasat-1 type are scoped. Additions and deletions could be made for the specific altimeter products required by other projects

The Gap Function Phi(k,w) for a Two-leg t-J Ladder and the Pairing Interaction

The gap function phi(k,omega), determined from a Lanczos calculation for a doped 2-leg t-J ladder, is used to provide insight into the spatial and temporal structure of the pairing interaction. It implies that this interaction is a local near-neighbor coupling which is retarded. The onset frequency of the interaction is set by the energy of an S=1 magnon-hole-pair and it is spread out over a frequency region of order the bandwith

Non-Parametric Estimation of Copula Parameters: Testing for Time-Varying Correlation

The correlation structure of financial assets is a key input with regard to portfolio and risk management. In this paper, we propose a non-parametric estimation method for the time-varying copula parameter. This is achieved in two steps: first, displaying the marginal distributions of financial asset returns by applying the empirical distribution function; second, by implementing the local likelihood method to estimate the copula parameters. The method for obtaining the optimal bandwidth through a maximum pseudo likelihood function and a statistical test on whether the copula parameter is time-varying are also introduced. A simulation study is conducted to show that our method is superior to its contender. Finally, we verify the proposed estimation methodology and time-varying statistical test by analysing the dynamic linkages between the Shanghai, Shenzhen and Hong Kong stock markets

Finite-Size Scaling of the Domain Wall Entropy Distributions for the 2D ±J\pm J Ising Spin Glass

The statistics of domain walls for ground states of the 2D Ising spin glass with +1 and -1 bonds are studied for $L \times L$ square lattices with $L \le 48$, and $p$ = 0.5, where $p$ is the fraction of negative bonds, using periodic and/or antiperiodic boundary conditions. When $L$ is even, almost all domain walls have energy $E_{dw}$ = 0 or 4. When $L$ is odd, most domain walls have $E_{dw}$ = 2. The probability distribution of the entropy, $S_{dw}$, is found to depend strongly on $E_{dw}$. When $E_{dw} = 0$, the probability distribution of $|S_{dw}|$ is approximately exponential. The variance of this distribution is proportional to $L$, in agreement with the results of Saul and Kardar. For $E_{dw} = k > 0$ the distribution of $S_{dw}$ is not symmetric about zero. In these cases the variance still appears to be linear in $L$, but the average of $S_{dw}$ grows faster than $\sqrt{L}$. This suggests a one-parameter scaling form for the $L$-dependence of the distributions of $S_{dw}$ for $k > 0$.Comment: 13 page

Non-Universal Fractional Quantum Hall States in a Quantum wire

The ground state as well as low-lying excitations in a 2D electron system in strong magnetic fields and a parabolic potential is investigated by the variational Monte Calro method. Trial wave functions analogous to the Laughlin state are used with the power-law exponent as the variational parameter. Finite size scaling of the excitation energy shows that the correlation function at long distance is characterized by anon-universal exponent in sharp contrast to the standard Laughlin state.The Laughlin-type state becomes unstable depending on strength of the confining potential.Comment: 10 pages, REVTE

On the Use of Finite-Size Scaling to Measure Spin-Glass Exponents

Finite-size scaling (FSS) is a standard technique for measuring scaling exponents in spin glasses. Here we present a critique of this approach, emphasizing the need for all length scales to be large compared to microscopic scales. In particular we show that the replacement, in FSS analyses, of the correlation length by its asymptotic scaling form can lead to apparently good scaling collapses with the wrong values of the scaling exponents.Comment: RevTeX, 5 page