Analog Network Coding for Multi-User Spread-Spectrum Communication Systems

This work presents another look at an analog network coding scheme for multi-user spread-spectrum communication systems. Our proposed system combines coding and cooperation between a relay and users to boost the throughput and to exploit interference. To this end, each pair of users, $\mathcal{A}$ and $\mathcal{B}$, that communicate with each other via a relay $\mathcal{R}$ shares the same spreading code. The relay has two roles, it synchronizes network transmissions and it broadcasts the combined signals received from users. From user $\mathcal{B}$'s point of view, the signal is decoded, and then, the data transmitted by user $\mathcal{A}$ is recovered by subtracting user $\mathcal{B}$'s own data. We derive the analytical performance of this system for an additive white Gaussian noise channel with the presence of multi-user interference, and we confirm its accuracy by simulation.Comment: 6 pages, 2 figures, to appear at IEEE WCNC'1

A Portfolio Approach to Venture Capital Financing

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture capitalists. In particular, we show that the entrepreneur always has the incentive to share the risk and benefits of the venture whenever possible. On the basis of their objectives and characteristics, we distinguish the situations of the corporate, independent, and bank-sponsored venture capital funds. Our framework enables us to derive the optimal contract design for the entrepreneur, featuring the choice of investor, the entrepreneur’s investment in the venture, and her dilution in the project’s equity as a function of her bargaining power. This result allows us to characterize the choice of the investor depending on her cost of equity and debt capital. In addition to project size and risk, entrepreneur’s risk aversion turns out to be a critical determinant of VC investor choice –a finding which is strongly supported by a panel analysis of VC fund flows for 5 European countries over the 2002-2009 period.Venture capital, Portfolio choice, Entrepreneur, Risk aversion

Credit Spread Changes within Switching Regimes

Many empirical studies on credit spread determinants consider a single-regime model over the entire sample period and find limited explanatory power. We model the credit cycle independently from macroeconomic fundamentals using a Markov regime switching model. We show that accounting for endogenous credit cycles enhances the explanatory power of credit spread determinants. The single regime model cannot be improved when conditioning on the states of the NBER economic cycle. Furthermore, the regime-based model highlights a positive relation between credit spreads and the risk-free rate in the high regime. Inverted relations are also obtained for some other determinants.Credit spread, switching regimes, market risk, liquidity risk, default risk, credit cycle, NBER economic cycle

Currency Total Return Swaps: Valuation and Risk Factor Analysis

Currency total return swaps (CTRS) are hybrid derivatives instruments that allow to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. Empirical test on a sample of 23,005 price observations from 59 underlying issuers yields an average percentage error of around 10%. This indicates that, beyond interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression analysis of residuals shows that exchange rate determinants account for up to 40% of model pricing errors – indicating that a currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in the pricing of CTRS.Credit derivative, credit risk, currency risk

Characterization of Acoustic Resonance in a High Pressure Sodium Lamp

With the last decades, the high pressure sodium (HPS) lamp has been supplied in high frequency in order to increase the efficacy of the lamp/ballast system. However, at some given frequencies, standing acoustic waves, namely acoustic resonance (AR), might develop in the burner and cause lamp luminous fluctuation, extinction and destruction in the most serious case. As we seek for a control method to detect and avoid the lamp AR some main characteristics of the acoustic resonances in a 150W HPS lamp are presented in this paper,. The first one is the characteristic of the lamp AR threshold power, the second one is the differences between forward and backward frequency scanning effects during lamp open loop operation. Thirdly, lamp AR behaviour in closed loop operation with an LCC half bridge inverter will be presented and leads to a new point of view and a change in the choice of the AR detection method. These characteristics allow us to further understand the AR and to better control the lamp

Detecting Regime Shifts in Corporate Credit Spreads

Using an innovative random regime shift detection methodology, we identify and confirm two distinct regime types in the dynamics of credit spreads: a level regime and a volatility regime. The level regime is long lived and shown to be linked to Federal Reserve policy and credit market conditions, whereas the volatility regime is short lived and, apart from recessionary periods, detected during major financial crises. Our methodology provides an independent way of supporting structural equilibrium models and points toward monetary and credit supply effects to account for the persistence of credit spreads and their predictive power over the business cycle.Credit spread regimes, level regimes, volatility regimes, credit cycle, economic cycle, monetary effect, credit supply effect

Information Asymmetry in Mauritius Slave Auctions

Evidence on adverse selection in slave markets remains inconclusive. A necessary prerequisite is that buyers and sellers have different information. We study informational asymmetry on the slave markets through notarial acts on public slave auctions in Mauritius between 1825 and 1835, involving 4,286 slaves. In addition to slave characteristics, the acts document the identities of buyers and sellers. We use this information to determine whether the buyer of a slave was related (e.g. a relative or a spouse) to the original slave owner, and thus most likely better--informed than other bidders. Auction--theoretic models predict that bidding should be more aggressive when informed bidders are present in open-bid, ascending auctions, such as slave auctions. By proxying informed bidders by related bidders, our results consistently indicate that this is the case, pointing toward the presence of information asymmetry in the market for slaves in Mauritius.information asymmetry; adverse selection; english auctions; slavery; Mauritius

Adverse Selection in the Market for Slaves in Mauritius, 1825-1835

Evidence on adverse selection in slave markets remains inconclusive. We study this question through notarial acts on public slave auctions in Mauritius between 1825 and 1835, involving 4,286 slaves. In addition to slave characteristics, the acts document the identities of buyers and sellers. We use this information to determine whether the buyer of a slave was related (e.g. a relative or a spouse) to the original slave owner, and thus most likely better-informed than other bidders. Auction-theoretic models predict that bidding should be more agressive when informed bidders are present in open-bids, ascending auctions, such as slave auctions. By proxying informed bidders by related bidders, our results consistently indicate that this is the case, pointing toward presence of residual adverse selection in the market for slaves in Mauritius.Adverse Selection, Information Asymmetry Test, English Auctions, Slavery, Mauritius

A Structural Balance Sheet Model of Sovereign Credit Risk

This article studies sovereign credit spreads using a contingent claims model and a balance sheet representation of the sovereign economy. Analytical formulae for domestic and external debt values as well as for the financial guarantee are derived in a framework where recovery rate is endogenously determined as the solution of a strategic bargaining game. The approach allows to relate sovereign credit spreads to observable macroeconomic factors, and in particular accounts for contagion effects through the corporate and banking sectors. Pricing performance as well as predictions about credit spread determinants are successfully tested on the Brazilian economy.Sovereign credit spread, Balance sheet, Recovery rate, Contingent claims analysis, Contagion effects

Tracking Federated Queries in the Linked Data

Federated query engines allow data consumers to execute queries over the federation of Linked Data (LD). However, as federated queries are decomposed into potentially thousands of subqueries distributed among SPARQL endpoints, data providers do not know federated queries, they only know subqueries they process. Consequently, unlike warehousing approaches, LD data providers have no access to secondary data. In this paper, we propose FETA (FEderated query TrAcking), a query tracking algorithm that infers Basic Graph Patterns (BGPs) processed by a federation from a shared log maintained by data providers. Concurrent execution of thousand subqueries generated by multiple federated query engines makes the query tracking process challenging and uncertain. Experiments with Anapsid show that FETA is able to extract BGPs which, even in a worst case scenario, contain BGPs of original queries