Analyse du risque de non-exécution des ordres à la bourse de Paris

Cet article propose une mesure du risque de non-exécution des ordres accumulés en carnet basée sur l\u27analyse de survie. Nous modélisons et estimons, sur le marché français, le risque de non-exécution et testons les relations prédites par les modèles de microstructures. Nous montrons finalement le pouvoir explicatif de quatre variables: le prix et la quantité de l\u27ordre, la volatilité et la fourchette. Ainsi, un investisseur peut influencer son risque de non-exécution en choississant soigneusement le prix et les quantités spécifiés de l\u27ordre. L\u27investisseur peut également choisir le moment d\u27échange le plus favorable en terme d\u27exécution en privilégiant les instants de la séance où la volatilité et la fourchette sont faibles

I Wish I Could Shimmy Like My Sister Kate / music by A.J. Piron; words by A.J. Piron

Cover: photo of the original Memphis Five, Kings of Dance Music; Publisher: Clarence Williams Music Publishing Co. (New York)https://egrove.olemiss.edu/sharris_d/1034/thumbnail.jp

Ephemeral properties and the illusion of microscopic particles

Founding our analysis on the Geneva-Brussels approach to quantum mechanics, we use conventional macroscopic objects as guiding examples to clarify the content of two important results of the beginning of twentieth century: Einstein-Podolsky-Rosen's reality criterion and Heisenberg's uncertainty principle. We then use them in combination to show that our widespread belief in the existence of microscopic particles is only the result of a cognitive illusion, as microscopic particles are not particles, but are instead the ephemeral spatial and local manifestations of non-spatial and non-local entities

Study of time lags in HETE-2 Gamma-Ray Bursts with redshift: search for astrophysical effects and Quantum Gravity signature

The study of time lags between spikes in Gamma-Ray Bursts light curves in different energy bands as a function of redshift may lead to the detection of effects due to Quantum Gravity. We present an analysis of 15 Gamma-Ray Bursts with measured redshift, detected by the HETE-2 mission between 2001 and 2006 in order to measure time lags related to astrophysical effects and search for Quantum Gravity signature in the framework of an extra-dimension string model. The use of photon-tagged data allows us to consider various energy ranges. Systematic effects due to selection and cuts are evaluated. No significant Quantum Gravity effect is detected from the study of the maxima of the light curves and a lower limit at 95% Confidence Level on the Quantum Gravity scale parameter of 3.2x10**15 GeV is set.Comment: 4 pages, 5 figures. v3: Error corrected in Eq. 1. Results updated. Proceedings of the 30th ICRC, Merida, Mexico (2007

How Events Come Into Being: EEQT, Particle Tracks, Quantum Chaos, and Tunneling Time

In sections 1 and 2 we review Event Enhanced Quantum Theory (EEQT). In section 3 we discuss applications of EEQT to tunneling time, and compare its quantitative predictions with other approaches, in particular with B\"uttiker-Larmor and Bohm trajectory approach. In section 4 we discuss quantum chaos and quantum fractals resulting from simultaneous continuous monitoring of several non-commuting observables. In particular we show self-similar, non-linear, iterated function system-type, patterns arising from quantum jumps and from the associated Markov operator. Concluding remarks pointing to possible future development of EEQT are given in section 5.Comment: latex, 27 pages, 7 postscript figures. Paper submitted to Proc. Conference "Mysteries, Puzzles And Paradoxes In Quantum Mechanics, Workshop on Entanglement And Decoherence, Palazzo Feltrinelli, Gargnano, Garda Lake, Italy, 20-25 September, 199

Une mesure de risque extrême agrégée : risque de marché et risque de liquidité

Cet article vise à proposer une mesure de risque intégrant à la fois la dimension de la liquidité et le comportement des valeurs extrêmes. Pour cela, nous modélisons et évaluons le degré de dépendance entre les deux sources de risque d’une position : risque de marché et risque de liquidité. Nous concluons, sur des données du marché français à une non dépendance entre ces deux composantes. Ainsi, l’agrégation de la mesure de risque en est simplifiée et nous évaluons sur quelques titres français les pertes possibles. Nous montrons alors que les pertes subies en raison de l’illiquidité d’un titre ne sont pas négligeables puisqu’elles peuvent représenter environ 10 à 15% des pertes globales. Les investisseurs devront alors porté un intérêt particulier au choix des titres composant leur portefeuille car ils peuvent s’exposer à des pertes supplémentaires du fait des variations brutales de leur niveau de liquidité respectif

Constraints on Lorentz Invariance Violation from Fermi-Large Area Telescope Observations of Gamma-Ray Bursts

We analyze the MeV/GeV emission from four bright Gamma-Ray Bursts (GRBs) observed by the Fermi-Large Area Telescope to produce robust, stringent constraints on a dependence of the speed of light in vacuo on the photon energy (vacuum dispersion), a form of Lorentz invariance violation (LIV) allowed by some Quantum Gravity (QG) theories. First, we use three different and complementary techniques to constrain the total degree of dispersion observed in the data. Additionally, using a maximally conservative set of assumptions on possible source-intrinsic spectral-evolution effects, we constrain any vacuum dispersion solely attributed to LIV. We then derive limits on the "QG energy scale" (the energy scale that LIV-inducing QG effects become important, E_QG) and the coefficients of the Standard Model Extension. For the subluminal case (where high energy photons propagate more slowly than lower energy photons) and without taking into account any source-intrinsic dispersion, our most stringent limits (at 95% CL) are obtained from GRB090510 and are E_{QG,1}>7.6 times the Planck energy (E_Pl) and E_{QG,2}>1.3 x 10^11 GeV for linear and quadratic leading order LIV-induced vacuum dispersion, respectively. These limits improve the latest constraints by Fermi and H.E.S.S. by a factor of ~2. Our results disfavor any class of models requiring E_{QG,1} \lesssim E_Pl.Comment: Accepted for publication by Physical Review

The role of infrared divergence for decoherence

Continuous and discrete superselection rules induced by the interaction with the environment are investigated for a class of exactly soluble Hamiltonian models. The environment is given by a Boson field. Stable superselection sectors emerge if and only if the low frequences dominate and the ground state of the Boson field disappears due to infrared divergence. The models allow uniform estimates of all transition matrix elements between different superselection sectors.Comment: 11 pages, extended and simplified proo

An active feedback recovery technique from disruption events induced by m=2 n=1 tearing modes in ohmically heated tokamak plasmas

We present experimental results of magnetic feedback control on the m=2, n=1 tearing mode in RFX-mod operated as a circular ohmically heated tokamak. The feedback suppression of the non-resonant m=2, n=1 Resistive Wall Mode (RWM) in q(a)<2 plasmas is a well-established result of RFX-mod. The control of the tearing counterpart, which develops in q(a)>2 equilibrium, is instead a more difficult issue. In fact, the disruption induced by a growing amplitude m=2, n=1 tearing mode can be prevented by feedback only when the resonant surface q=2 is close to the plasma edge, namely 2<q(a)<2.5, and the electron density does not exceed approximately half of the Greenwald limit. A combined technique of tearing mode and q(a) control has been therefore developed to recover the discharge from the most critical conditions: the potentially disruptive tearing mode is converted into the relatively benign RWM by suddenly decreasing q(a) below 2. The experiments demonstrate the concept with 100% of successful cases. The q(a) control has been performed through the plasma current, given the capability of the toroidal loop-voltage power supply of RFX-mod. We also propose a path for controlling q(a) by acting on the plasma shape, which could be applied to medium size elongated tokamaks

An Intrisic Topology for Orthomodular Lattices

We present a general way to define a topology on orthomodular lattices. We show that in the case of a Hilbert lattice, this topology is equivalent to that induced by the metrics of the corresponding Hilbert space. Moreover, we show that in the case of a boolean algebra, the obtained topology is the discrete one. Thus, our construction provides a general tool for studying orthomodular lattices but also a way to distinguish classical and quantum logics.Comment: Under submission to the International Journal of Theoretical Physic