Estimating Bank Trading Risk: A Factor Model Approach

Risk in bank trading portfolios and its management are potentially important to the banks%u2019 soundness and to the functioning of securities and derivatives markets. In this paper, proprietary daily trading revenues of 6 large dealer banks are used to study the bank dealers%u2019 market risks using a market factor model approach. Dealers%u2019 exposures to exchange rate, interest rate, equity, and credit market factors are estimated. A factor model framework for variable exposures is presented and two modeling approaches are used: a random coefficient model and rolling factor regressions. The results indicate small average market exposures with significant but relatively moderate variation in exposures over time. Except for interest rates, there is heterogeneity in market exposures across the dealers. For interest rates, the dealers have small average long exposures and exposures vary inversely with the level of rates. Implications for aggregate bank dealer risk and market stability issues are discussed.

Direct dialling of Haar random unitary matrices

Random unitary matrices find a number of applications in quantum information science, and are central to the recently defined boson sampling algorithm for photons in linear optics. We describe an operationally simple method to directly implement Haar random unitary matrices in optical circuits, with no requirement for prior or explicit matrix calculations. Our physically-motivated and compact representation directly maps independent probability density functions for parameters in Haar random unitary matrices, to optical circuit components. We go on to extend the results to the case of random unitaries for qubits

Effect of Loss on Multiplexed Single-Photon Sources

An on-demand single-photon source is a key requirement for scaling many optical quantum technologies. A promising approach to realize an on-demand single-photon source is to multiplex an array of heralded single-photon sources using an active optical switching network. However, the performance of multiplexed sources is degraded by photon loss in the optical components and the non-unit detection efficiency of the heralding detectors. We provide a theoretical description of a general multiplexed single-photon source with lossy components and derive expressions for the output probabilities of single-photon emission and multi-photon contamination. We apply these expressions to three specific multiplexing source architectures and consider their tradeoffs in design and performance. To assess the effect of lossy components on near- and long-term experimental goals, we simulate the multiplexed sources when used for many-photon state generation under various amounts of component loss. We find that with a multiplexed source composed of switches with ~0.2-0.4 dB loss and high efficiency number-resolving detectors, a single-photon source capable of efficiently producing 20-40 photon states with low multi-photon contamination is possible, offering the possibility of unlocking new classes of experiments and technologies.Comment: Journal versio

Beating the Standard Quantum Limit with Four Entangled Photons

Precision measurements are important across all fields of science. In particular, optical phase measurements can be used to measure distance, position, displacement, acceleration and optical path length. Quantum entanglement enables higher precision than would otherwise be possible. We demonstrate an optical phase measurement with an entangled four photon interference visibility greater than the threshold to beat the standard quantum limit--the limit attainable without entanglement. These results open the way for new high-precision measurement applications.Comment: 5 pages, 4 figures Author name was slightly modifie

Structural and electrostatic effects at the surfaces of size- and charge-selected aqueous nanodrops.

The effects of ion charge, polarity and size on the surface morphology of size-selected aqueous nanodrops containing a single ion and up to 550 water molecules are investigated with infrared photodissociation (IRPD) spectroscopy and theory. IRPD spectra of M(H2O) n where M = La3+, Ca2+, Na+, Li+, I-, SO42- and supporting molecular dynamics simulations indicate that strong interactions between multiply charged ions and water molecules can disrupt optimal hydrogen bonding (H-bonding) at the nanodrop surface. The IRPD spectra also reveal that "free" OH stretching frequencies of surface-bound water molecules are highly sensitive to the ion's identity and the OH bond's local H-bond environment. The measured frequency shifts are qualitatively reproduced by a computationally inexpensive point-charge model that shows the frequency shifts are consistent with a Stark shift from the ion's electric field. For multiply charged cations, pronounced Stark shifting is observed for clusters containing ∼100 or fewer water molecules. This is attributed to ion-induced solvent patterning that extends to the nanodrop surface, and serves as a spectroscopic signature for a cation's ability to influence the H-bond network of water located remotely from the ion. The Stark shifts measured for the larger nanodrops are extrapolated to infinite dilution to obtain the free OH stretching frequency of a surface-bound water molecule at the bulk air-water interface (3696.5-3701.0 cm-1), well within the relatively wide range of values obtained from SFG measurements. These cluster measurements also indicate that surface curvature effects can influence the free OH stretching frequency, and that even nanodrops without an ion have a surface potential that depends on cluster size

A quantum delayed choice experiment

Quantum systems exhibit particle-like or wave-like behaviour depending on the experimental apparatus they are confronted by. This wave-particle duality is at the heart of quantum mechanics, and is fully captured in Wheeler's famous delayed choice gedanken experiment. In this variant of the double slit experiment, the observer chooses to test either the particle or wave nature of a photon after it has passed through the slits. Here we report on a quantum delayed choice experiment, based on a quantum controlled beam-splitter, in which both particle and wave behaviours can be investigated simultaneously. The genuinely quantum nature of the photon's behaviour is tested via a Bell inequality, which here replaces the delayed choice of the observer. We observe strong Bell inequality violations, thus showing that no model in which the photon knows in advance what type of experiment it will be confronted by, hence behaving either as a particle or as wave, can account for the experimental data

The Significance of Dietary Macronutrients in Diagnosis of Food Addiction

Within the Western society, and indeed across all areas of the world, obesity rates are rising at an unprecedented pace. In 2011, it was reported by the Global Burden of Metabolic Risk Factors of Chronic Diseases Collaborating Group that measures of body mass index (BMI) are increasing in men and women from various regions of the globe. According to Statistics Canada’s 2013 Health Profile, 52.3% of Canadians are overweight or obese. Obesity has many causes, including genetics, environment, endocrinology, behavior, and nutrition. It is well-documented that overeating and dietary patterns are closely linked to obesity, with different foods have differing impacts on weight. The increased availability of food, along with the transition from traditional foods (rich in nutrients and low in calories) to those rich in fat and sugar has been coined the “westernization” of diet and has been observed in populations across Canad