Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix

A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/R) 4pm fix. Execution at the WM/R 4pm fix is a service offered by FX brokers (normally banks), who deliver execution at the fix provided they obtain the trade order until a certain time prior to 4pm. In this paper, we study the market microstructure around 4pm. We demonstrate that market dynamics can be distinguished from other times during the day through increased volatility and size of movements. Our findings question the aggregate benefit to the client base of using the 4pm fix in its current form.Comment: 20 Pages, 6 Figures, 3 Table

Room temperature caesium quantum memory for quantum information applications

Quantum memories are key components in quantum information networks. Their ability to store and retrieve information on demand makes repeat-until-success strategies scalable. Warm alkali-metal vapours are interesting candidates for the implementation of such memories, thanks to their long storage times and experimental simplicity. Operation with the Raman protocol enables high time-bandwidth products, which allows for multiple synchronisation trials of probabilistically operating quantum gates via memory-based temporal multiplexing. This makes the Raman memory a promising tool, whose broad spectral bandwidth facilitates direct interfacing with other photonic primitives, such as single photon sources. Here, such a light-matter interface is implemented in a warm caesium vapour. Firstly, we study the storage of polarisation-encoded information in the memory. High quality polarisation preservation for bright coherent state input signals can be achieved, when operating the Raman memory in a dual-rail configuration inside a polarisation interferometer. Secondly, heralded single photons are stored in the memory. To this end, the memory is operated on-demand by feed-forward of source heralding events, which is a key technological capability. Prior to storage, single photons are produced in a spontaneous parametric down conversion source, whose bespoke design spectrally tailors the photons to the memory acceptance line. The faithful retrieval of stored single photons is found to be currently limited by noise in the memory, with a signal-to-noise ratio of 0.3 in the memory output. Nevertheless, a clear influence of the input's quantum nature is observed in the retrieved light by measuring signal's photon statistics. Finally, the memory noise processes are examined in detail. Four-wave-mixing noise is determined as the sole important noise source for the Raman memory

Practical methods for witnessing genuine multi-qubit entanglement in the vicinity of symmetric states

We present general numerical methods to construct witness operators for entanglement detection and estimation of the fidelity. Our methods are applied to detecting entanglement in the vicinity of a six-qubit Dicke state with three excitations and also to further entangled symmetric states. All our witnesses are designed to keep the measurement effort small. We present also general results on the efficient local decomposition of permutationally invariant operators, which makes it possible to measure projectors to symmetric states efficientlyComment: 13 pages including 4 figures, revtex

Experimental entanglement of a six-photon symmetric Dicke state

We report on the experimental observation and characterization of a six-photon entangled Dicke state. We obtain a fidelity as high as 0.654$\pm$0.024 and prove genuine six-photon entanglement by, amongst others, a two-setting witness yielding -0.422$\pm$0.148. This state has remarkable properties; e.g., it allows obtaining inequivalent entangled states of a lower qubit number via projective measurements, and it possesses a high entanglement persistency against qubit loss. We characterize the properties of the six-photon Dicke state experimentally by detecting and analyzing the entanglement of a variety of multipartite entangled states.Comment: replaced with published versio

Room temperature caesium quantum memory for quantum information applications

Quantum memories are key components in photonics-based quantum information processing networks. Their ability to store and retrieve information on demand makes repeat-until-success strategies scalable. Warm alkali-metal vapours are interesting candidates for the implementation of such memories, thanks to their very long storage times as well as their experimental simplicity and versatility. Operation with the Raman memory protocol enables high time-bandwidth products, which denote the number of possible storage trials within the memory lifetime. Since large time-bandwidth products enable multiple synchronisation trials of probabilistically operating quantum gates via memory-based temporal multiplexing, the Raman memory is a promising tool for such tasks. Particularly, the broad spectral bandwidth allows for direct and technologically simple interfacing with other photonic primitives, such as heralded single photon sources. Here, this kind of light-matter interface is implemented using a warm caesium vapour Raman memory. Firstly, we study the storage of polarisation-encoded quantum information, a common standard in quantum information processing. High quality polarisation preservation for bright coherent state input signals can be achieved, when operating the Raman memory in a dual-rail configuration inside a polarisation interferometer. Secondly, heralded single photons are stored in the memory. To this end, the memory is operated on-demand by feed-forward of source heralding events, which constitutes a key technological capability for applications in temporal multiplexing. Prior to storage, single photons are produced in a waveguide-based spontaneous parametric down conversion source, whose bespoke design spectrally tailors the heralded photons to the memory acceptance bandwidth. The faithful retrieval of stored single photons is found to be currently limited by noise in the memory, with a signal-to-noise ratio of approximately 0.3 in the memory output. Nevertheless, a clear influence of the quantum nature of an input photon is observed in the retrieved light by measuring the read-out signal's photon statistics via the g(2)-autocorrelation function. Here, we find a drop in g(2) by more than three standard deviations, from g(2) &Tilde; 1.69 to g(2) &Tilde; 1.59 upon changing the input signal from coherent states to heralded single photons. Finally, the memory noise processes and their scalings with the experimental parameters are examined in detail. Four-wave-mixing noise is determined as the sole important noise source for the Raman memory. These experimental results and their theoretical description point towards practical solutions for noise-free operation.</p

Room temperature caesium quantum memory for quantum information applications: Single photon raman quantum memory in room-temperature atomic caesium vapour

Quantum memories are key components in photonics-based quantum information processing networks. Their ability to store and retrieve information on demand makes repeat-until-success strategies scalable. Warm alkali-metal vapours are interesting candidates for the implementation of such memories, thanks to their very long storage times as well as their experimental simplicity and versatility. Operation with the Raman memory protocol enables high time-bandwidth products, which denote the number of possible storage trials within the memory lifetime. Since large time-bandwidth products enable multiple synchronisation trials of probabilistically operating quantum gates via memory-based temporal multiplexing, the Raman memory is a promising tool for such tasks. Particularly, the broad spectral bandwidth allows for direct and technologically simple interfacing with other photonic primitives, such as heralded single photon sources. Here, this kind of light-matter interface is implemented using a warm caesium vapour Raman memory. Firstly, we study the storage of polarisation-encoded quantum information, a common standard in quantum information processing. High quality polarisation preservation for bright coherent state input signals can be achieved, when operating the Raman memory in a dual-rail configuration inside a polarisation interferometer. Secondly, heralded single photons are stored in the memory. To this end, the memory is operated on-demand by feed-forward of source heralding events, which constitutes a key technological capability for applications in temporal multiplexing. Prior to storage, single photons are produced in a waveguide-based spontaneous parametric down conversion source, whose bespoke design spectrally tailors the heralded photons to the memory acceptance bandwidth. The faithful retrieval of stored single photons is found to be currently limited by noise in the memory, with a signal-to-noise ratio of approximately 0.3 in the memory output. Nevertheless, a clear influence of the quantum nature of an input photon is observed in the retrieved light by measuring the read-out signal's photon statistics via the g(2)-autocorrelation function. Here, we find a drop in g(2) by more than three standard deviations, from g(2) &Tilde; 1.69 to g(2) &Tilde; 1.59 upon changing the input signal from coherent states to heralded single photons. Finally, the memory noise processes and their scalings with the experimental parameters are examined in detail. Four-wave-mixing noise is determined as the sole important noise source for the Raman memory. These experimental results and their theoretical description point towards practical solutions for noise-free operation