Year-end seasonality in one-month LIBOR derivatives

We examine the markets for one-month LIBOR futures contracts and options on those futures for a year-end price effect consistent with the previously identified year-end rate increase in one-month LIBOR. The cash market rate increase appears in forward rates and derivative prices, which allows the derivatives to properly hedge year-end interest rate risk. However, while the year-end effect appears in the derivative contract, these derivative contracts provide biased forecasts of both future interest rates and their volatility. The bias appears to be different at year's end for the LIBOR futures contract, but not for the options contract. The information in the derivatives almost always subsumes simple benchmark forecasts. ; Earlier title: Seasonality in one-month LIBOR derivativesEconometrics ; Monetary policy ; Finance

Systemic risk and the financial crisis: a primer

How did problems in a relatively small portion of the home mortgage market trigger the most severe financial crisis in the United States since the Great Depression? Several developments played a role, including the proliferation of complex mortgage-backed securities and derivatives with highly opaque structures, high leverage, and inadequate risk management. These, in turn, created systemic risk - that is, the risk that a triggering event, such as the failure of a large financial firm, will seriously impair financial markets and harm the broader economy. This article examines the role of systemic risk in the recent financial crisis. Systemic concerns prompted the Federal Reserve and U.S. Department of the Treasury to act to prevent the bankruptcy of several large financial firms in 2008. The authors explain why the failures of financial firms are more likely to pose systemic risks than the failures of nonfinancial firms and discuss possible remedies for such risks. They conclude that the economy could benefit from reforms that reduce systemic risks, such as the creation of an improved regime for resolving failures of large financial firms.Financial crises ; Systemic risk

Persistent current formation in a high-temperature Bose-Einstein condensate: an experimental test for c-field theory

Experimental stirring of a toroidally trapped Bose-Einstein condensate at high temperature generates a disordered array of quantum vortices that decays via thermal dissipation to form a macroscopic persistent current [T. W. Neely em et al. arXiv:1204.1102 (2012)]. We perform 3D numerical simulations of the experimental sequence within the Stochastic Projected Gross-Pitaevskii equation using ab initio determined reservoir parameters. We find that both damping and noise are essential for describing the dynamics of the high-temperature Bose field. The theory gives a quantitative account of the formation of a persistent current, with no fitted parameters.Comment: v2: 7 pages, 3 figures, new experimental data and numerical simulation

Dynamic and Energetic Stabilization of Persistent Currents in Bose-Einstein Condensates

We study conditions under which vortices in a highly oblate harmonically trapped Bose-Einstein condensate (BEC) can be stabilized due to pinning by a blue-detuned Gaussian laser beam, with particular emphasis on the potentially destabilizing effects of laser beam positioning within the BEC. Our approach involves theoretical and numerical exploration of dynamically and energetically stable pinning of vortices with winding number up to $S=6$, in correspondence with experimental observations. Stable pinning is quantified theoretically via Bogoliubov-de Gennes excitation spectrum computations and confirmed via direct numerical simulations for a range of conditions similar to those of experimental observations. The theoretical and numerical results indicate that the pinned winding number, or equivalently the winding number of the superfluid current about the laser beam, decays as a laser beam of fixed intensity moves away from the BEC center. Our theoretical analysis helps explain previous experimental observations, and helps define limits of stable vortex pinning for future experiments involving vortex manipulation by laser beams.Comment: 8 pages 5 figure

Observation of vortex dipoles in an oblate Bose-Einstein condensate

We report experimental observations and numerical simulations of the formation, dynamics, and lifetimes of single and multiply charged quantized vortex dipoles in highly oblate dilute-gas Bose-Einstein condensates (BECs). We nucleate pairs of vortices of opposite charge (vortex dipoles) by forcing superfluid flow around a repulsive gaussian obstacle within the BEC. By controlling the flow velocity we determine the critical velocity for the nucleation of a single vortex dipole, with excellent agreement between experimental and numerical results. We present measurements of vortex dipole dynamics, finding that the vortex cores of opposite charge can exist for many seconds and that annihilation is inhibited in our highly oblate trap geometry. For sufficiently rapid flow velocities we find that clusters of like-charge vortices aggregate into long-lived dipolar flow structures.Comment: 4 pages, 4 figures, 1 EPAPS fil

Integrating TV/digital data spectrograph system

A 25-mm vidicon camera was previously modified to allow operation in an integration mode for low-light-level astronomical work. The camera was then mated to a low-dispersion spectrograph for obtaining spectral information in the 400 to 750 nm range. A high speed digital video image system was utilized to digitize the analog video signal, place the information directly into computer-type memory, and record data on digital magnetic tape for permanent storage and subsequent analysis

Superorbital expansion tube operation: estimates of flow conditions via numerical simulation

Two new operating conditions of the X3 superorbital expansion tube are studied experimentally and numerically. A two-stage numerical simulation is used to model the flow processes within the whole facility, from the compressed driver gas, through the initial shock-processing of the test gas and then through the unsteady expansion process to the final test flow state. Experimental measurements provide static pressure histories at particular points along the shock and acceleration tubes while the numerical simulations provide complementary information on gas density, temperature and composition. Operating condition properties such as shock speed are both observed in the experiment and produced as a result of the simulation are used to check the reliability of the numerical simulations

Characteristics of Two-Dimensional Quantum Turbulence in a Compressible Superfluid

Under suitable forcing a fluid exhibits turbulence, with characteristics strongly affected by the fluid's confining geometry. Here we study two-dimensional quantum turbulence in a highly oblate Bose-Einstein condensate in an annular trap. As a compressible quantum fluid, this system affords a rich phenomenology, allowing coupling between vortex and acoustic energy. Small-scale stirring generates an experimentally observed disordered vortex distribution that evolves into large-scale flow in the form of a persistent current. Numerical simulation of the experiment reveals additional characteristics of two-dimensional quantum turbulence: spontaneous clustering of same-circulation vortices, and an incompressible energy spectrum with $k^{-5/3}$ dependence for low wavenumbers $k$ and $k^{-3}$ dependence for high $k$.Comment: 7 pages, 7 figures. Reference [29] updated for v