Periodic Modulation Induced Increase of Reaction Rates in Autocatalytic Systems

We propose a new mechanism to increase the reactions ratesin multistable autocatalytic systems. The mechanism is based upon the possibility for the enhancement of the response of the system due to the cooperative behavior between the noise and an external periodic modulation. In order to illustrate this feature we compute the reaction velocities for the particular case of the Sel'Kov model, showing that they increase significantly when the periodic modulation is introduced. This behavior originates from the existence of a minimum in the mean first passage time, one of the signatures of stochastic resonance.Comment: Submitted to J. Chem. Phy

Temporal Correlations and Persistence in the Kinetic Ising Model: the Role of Temperature

We study the statistical properties of the sum $S_t=\int_{0}^{t}dt' \sigma_{t'}$, that is the difference of time spent positive or negative by the spin $\sigma_{t}$, located at a given site of a $D$-dimensional Ising model evolving under Glauber dynamics from a random initial configuration. We investigate the distribution of $S_{t}$ and the first-passage statistics (persistence) of this quantity. We discuss successively the three regimes of high temperature ($T>T_{c}$), criticality ($T=T_c$), and low temperature ($T<T_{c}$). We discuss in particular the question of the temperature dependence of the persistence exponent $\theta$, as well as that of the spectrum of exponents $\theta(x)$, in the low temperature phase. The probability that the temporal mean $S_t/t$ was always larger than the equilibrium magnetization is found to decay as $t^{-\theta-\frac12}$. This yields a numerical determination of the persistence exponent $\theta$ in the whole low temperature phase, in two dimensions, and above the roughening transition, in the low-temperature phase of the three-dimensional Ising model.Comment: 21 pages, 11 PostScript figures included (1 color figure

Holographic renormalisation group flows and renormalisation from a Wilsonian perspective

From the Wilsonian point of view, renormalisable theories are understood as submanifolds in theory space emanating from a particular fixed point under renormalisation group evolution. We show how this picture precisely applies to their gravity duals. We investigate the Hamilton-Jacobi equation satisfied by the Wilson action and find the corresponding fixed points and their eigendeformations, which have a diagonal evolution close to the fixed points. The relevant eigendeformations are used to construct renormalised theories. We explore the relation of this formalism with holographic renormalisation. We also discuss different renormalisation schemes and show that the solutions to the gravity equations of motion can be used as renormalised couplings that parametrise the renormalised theories. This provides a transparent connection between holographic renormalisation group flows in the Wilsonian and non-Wilsonian approaches. The general results are illustrated by explicit calculations in an interacting scalar theory in AdS space.Comment: 63 pages. Minor changes and references added. Matches JHEP versio

The Earth Mantle-Core Effect in Matter-Induced Asymmetries for Atmospheric Neutrino Oscillations

Earth medium effects in the three-neutrino oscillations of atmospheric neutrinos are observable under appropriate conditions. This paper generalizes the study of the medium effects and the possibility of their observation in the atmospheric neutrino oscillations from the case of neutrinos traversing only the Earth mantle, where the density is essentially constant, to the case of atmospheric neutrinos crossing also the Earth core. In the latter case new resonance-like effects become apparent. We calculate the CPT-odd asymmetry for the survival probability of muon neutrinos and the observable muon-charge asymmetry, taking into account the different atmospheric neutrino fluxes, and show the dependence of these asymmetries on the sign of $\Delta m^{2}_{3 1}$ and on the magnitude of the mixing angle $\theta_{13}$. A magnetized detector with a sufficiently good neutrino momentum resolution is required for the observation of the muon-charge asymmetry generated by the Earth mantle-core effect.Comment: 14 pages, 5 figure

What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits.risk management;violations;conservative risk strategy;aggressive risk strategy;value-at-risk forecast

A decision rule to minimize daily capital charges in forecasting value-at-risk

Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realised losses are above the estimated risk. In this paper we propose a learning strategy that complements existing methods for calculating VaR and lowers daily capital requirements, while restricting the number of endogenous violations within the Basel II Accord penalty limits. We suggest a decision rule that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor’s 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits.value-at-risk;daily capital charges;optimizing strategy;risk forecasts;endogenous violations;frequency of violations

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.Value-at-Risk (VaR);daily capital charges;optimizing strategy;robust forecasts;violation penalties;global financial crisis;Basel II Accord;aggressive risk management strategy;conservative risk management strategy