Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees

A conspicuous amount of aggregate tail risk is missing from the price of financial sector crash insurance during the 2007-2009 crisis. The difference in costs of out-of-the-money put options for individual banks, and puts on the financial sector index, increases fourfold from its pre-crisis level. At the same time, correlations among bank stocks surge, suggesting the high put spread cannot be attributed to a relative increase in idiosyncratic risk. We show that this phenomenon is unique to the financial sector, that it cannot be explained by observed risk dynamics (volatilities and correlations), and that illiquidity and no-arbitrage violations are unlikely culprits. Instead, we provide evidence that a collective government guarantee for the financial sector lowers index put prices far more than those of individual banks, explaining the divergence in the basket-index spread. By embedding a bailout in the standard one-factor option pricing model, we can closely replicate observed put spread dynamics. During the crisis, the spread responds acutely to government intervention announcements

Effects of a Mindfulness-Based Intervention on Distress, Weight Gain, and Glucose Control for Pregnant Low-Income Women: A Quasi-Experimental Trial Using the ORBIT Model.

BackgroundStress can lead to excessive weight gain. Mindfulness-based stress reduction that incorporates mindful eating shows promise for reducing stress, overeating, and improving glucose control. No interventions have tested mindfulness training with a focus on healthy eating and weight gain during pregnancy, a period of common excessive weight gain. Here, we test the effectiveness of such an intervention, the Mindful Moms Training (MMT), on perceived stress, eating behaviors, and gestational weight gain in a high-risk sample of low income women with overweight/obesity.MethodWe conducted a quasi-experimental study assigning 115 pregnant women to MMT for 8 weeks and comparing them to 105 sociodemographically and weight equivalent pregnant women receiving treatment as usual. Our main outcomes included weight gain (primary outcome), perceived stress, and depression.ResultsWomen in MMT showed significant reductions in perceived stress (β = - 0.16) and depressive symptoms (β = - 0.21) compared to the treatment as usual (TAU) control group. Consistent with national norms, the majority of women (68%) gained excessive weight according to Institute of Medicine weight-gain categories, regardless of group. Slightly more women in the MMT group gained below the recommendation. Among secondary outcomes, women in MMT reported increased physical activity (β = 0.26) and had lower glucose post-oral glucose tolerance test (β = - 0.23), being 66% less likely to have impaired glucose tolerance, compared to the TAU group.ConclusionA short-term intervention led to significant improvements in stress, and showed promise for preventing glucose intolerance. However, the majority of women gained excessive weight. A longer more intensive intervention may be needed for this high-risk population. Clinical Trials.gov #NCT01307683

The Cross-Section and Time-Series of Stock and Bond Returns

We propose a three-factor model that jointly prices the cross-section of returns on portfolios of stocks sorted on the book-to-market dimension, the cross-section of government bonds sorted by maturity, and time series variation in expected bond returns. The main insight is that innovations to the nominal bond risk premium price the book-to-market sorted stock portfolios. We argue that these innovations capture business cycle risk and show that dividends of the highest book-to-market portfolio fall substantially more than those of the low book-to-market portfolio during NBER recessions. We propose a structural model that ties together the nominal bond risk premium, the cross-section of book-to-market sorted stock portfolios, and recessions. This model is quantitatively consistent with the observed value, equity, and nominal bond risk premia

Application of compressed sensing to the simulation of atomic systems

Compressed sensing is a method that allows a significant reduction in the number of samples required for accurate measurements in many applications in experimental sciences and engineering. In this work, we show that compressed sensing can also be used to speed up numerical simulations. We apply compressed sensing to extract information from the real-time simulation of atomic and molecular systems, including electronic and nuclear dynamics. We find that for the calculation of vibrational and optical spectra the total propagation time, and hence the computational cost, can be reduced by approximately a factor of five.Comment: 7 pages, 5 figure

Feasibility and performances of compressed-sensing and sparse map-making with Herschel/PACS data

The Herschel Space Observatory of ESA was launched in May 2009 and is in operation since. From its distant orbit around L2 it needs to transmit a huge quantity of information through a very limited bandwidth. This is especially true for the PACS imaging camera which needs to compress its data far more than what can be achieved with lossless compression. This is currently solved by including lossy averaging and rounding steps on board. Recently, a new theory called compressed-sensing emerged from the statistics community. This theory makes use of the sparsity of natural (or astrophysical) images to optimize the acquisition scheme of the data needed to estimate those images. Thus, it can lead to high compression factors. A previous article by Bobin et al. (2008) showed how the new theory could be applied to simulated Herschel/PACS data to solve the compression requirement of the instrument. In this article, we show that compressed-sensing theory can indeed be successfully applied to actual Herschel/PACS data and give significant improvements over the standard pipeline. In order to fully use the redundancy present in the data, we perform full sky map estimation and decompression at the same time, which cannot be done in most other compression methods. We also demonstrate that the various artifacts affecting the data (pink noise, glitches, whose behavior is a priori not well compatible with compressed-sensing) can be handled as well in this new framework. Finally, we make a comparison between the methods from the compressed-sensing scheme and data acquired with the standard compression scheme. We discuss improvements that can be made on ground for the creation of sky maps from the data.Comment: 11 pages, 6 figures, 5 tables, peer-reviewed articl

Can one hear the shape of the Universe?

It is shown that the recent observations of NASA's explorer mission "Wilkinson Microwave Anisotropy Probe" (WMAP) hint that our Universe may possess a non-trivial topology. As an example we discuss the Picard space which is stretched out into an infinitely long horn but with finite volume.Comment: 4 page

How well-proportioned are lens and prism spaces?

The CMB anisotropies in spherical 3-spaces with a non-trivial topology are analysed with a focus on lens and prism shaped fundamental cells. The conjecture is tested that well proportioned spaces lead to a suppression of large-scale anisotropies according to the observed cosmic microwave background (CMB). The focus is put on lens spaces L(p,q) which are supposed to be oddly proportioned. However, there are inhomogeneous lens spaces whose shape of the Voronoi domain depends on the position of the observer within the manifold. Such manifolds possess no fixed measure of well-proportioned and allow a predestined test of the well-proportioned conjecture. Topologies having the same Voronoi domain are shown to possess distinct CMB statistics which thus provide a counter-example to the well-proportioned conjecture. The CMB properties are analysed in terms of cyclic subgroups Z_p, and new point of view for the superior behaviour of the Poincar\'e dodecahedron is found