Market microstructure, bank's behaviour and interbank spreads

We present an empirical analysis of the European electronic interbank market of overnight lending (e-MID) during the years 1999–2009. The main goal of the paper is to explain the observed changes of the cross-sectional dispersion of lending/borrowing conditions before, during and after the 2007–2008 subprime crisis. Unlike previous contributions, that focused on banks’ dependent and macro information as explanatory variables, we address the role of banks’ behaviour and market microstructure as determinants of the credit spreads

Entropy potential and Lyapunov exponents

According to a previous conjecture, spatial and temporal Lyapunov exponents of chaotic extended systems can be obtained from derivatives of a suitable function: the entropy potential. The validity and the consequences of this hypothesis are explored in detail. The numerical investigation of a continuous-time model provides a further confirmation to the existence of the entropy potential. Furthermore, it is shown that the knowledge of the entropy potential allows determining also Lyapunov spectra in general reference frames where the time-like and space-like axes point along generic directions in the space-time plane. Finally, the existence of an entropy potential implies that the integrated density of positive exponents (Kolmogorov-Sinai entropy) is independent of the chosen reference frame.Comment: 20 pages, latex, 8 figures, submitted to CHAO

Fracture precursors in disordered systems

A two-dimensional lattice model with bond disorder is used to investigate the fracture behaviour under stress-controlled conditions. Although the cumulative energy of precursors does not diverge at the critical point, its derivative with respect to the control parameter (reduced stress) exhibits a singular behaviour. Our results are nevertheless compatible with previous experimental findings, if one restricts the comparison to the (limited) range accessible in the experiment. A power-law avalanche distribution is also found with an exponent close to the experimental values.Comment: 4 pages, 5 figures. Submitted to Europhysics Letter

Banks’ strategies and cost of money: Effects of the financial crisis on the European electronic overnight interbank market

We present an empirical analysis of the European electronic interbank market of overnight lend- ing e-MID during the years 1999–2009. After introducing the peculiar market mechanism, we consider the activity, defined as the number of trades per day; the spreads, defined as the differ- ence between the rate of a transaction and the key rates of the European Central Bank; the lending conditions, defined as the difference between the costs of a lent and a borrowed Euro; the bank strategies, defined through different variants of the cumulative volume functions; etc. Among other facts, it emerges that the lending conditions differ from bank to bank, and that the bank strategies are not strongly associated either to the present, past or future spreads. Moreover, we show the presence of a bid-ask spread-like effect and its behavior during the crisis

Negative Temperature States in the Discrete Nonlinear Schroedinger Equation

We explore the statistical behavior of the discrete nonlinear Schroedinger equation. We find a parameter region where the system evolves towards a state characterized by a finite density of breathers and a negative temperature. Such a state is metastable but the convergence to equilibrium occurs on astronomical time scales and becomes increasingly slower as a result of a coarsening processes. Stationary negative-temperature states can be experimentally generated via boundary dissipation or from free expansions of wave packets initially at positive temperature equilibrium.Comment: 4 pages, 5 figure

The process of irreversible nucleation in multilayer growth. II. Exact results in one and two dimensions

We study irreversible dimer nucleation on top of terraces during epitaxial growth in one and two dimensions, for all values of the step-edge barrier. The problem is solved exactly by transforming it into a first passage problem for a random walker in a higher-dimensional space. The spatial distribution of nucleation events is shown to differ markedly from the mean-field estimate except in the limit of very weak step-edge barriers. The nucleation rate is computed exactly, including numerical prefactors.Comment: 22 pages, 10 figures. To appear in Phys. Rev.

Collective oscillations in disordered neural networks

We investigate the onset of collective oscillations in a network of pulse-coupled leaky-integrate-and-fire neurons in the presence of quenched and annealed disorder. We find that the disorder induces a weak form of chaos that is analogous to that arising in the Kuramoto model for a finite number N of oscillators [O.V. Popovych at al., Phys. Rev. E 71} 065201(R) (2005)]. In fact, the maximum Lyapunov exponent turns out to scale to zero for N going to infinite, with an exponent that is different for the two types of disorder. In the thermodynamic limit, the random-network dynamics reduces to that of a fully homogenous system with a suitably scaled coupling strength. Moreover, we show that the Lyapunov spectrum of the periodically collective state scales to zero as 1/N^2, analogously to the scaling found for the `splay state'.Comment: 8.5 Pages, 12 figures, submitted to Physical Review

Island nucleation in the presence of step edge barriers: Theory and applications

We develop a theory of nucleation on top of two-dimensional islands bordered by steps with an additional energy barrier $\Delta E_S$ for descending atoms. The theory is based on the concept of the residence time of an adatom on the island,and yields an expression for the nucleation rate which becomes exact in the limit of strong step edge barriers. This expression differs qualitatively and quantitatively from that obtained using the conventional rate equation approach to nucleation [J. Tersoff et al., Phys. Rev. Lett.72, 266 (1994)]. We argue that rate equation theory fails because nucleation is dominated by the rare instances when two atoms are present on the island simultaneously. The theory is applied to two distinct problems: The onset of second layer nucleation in submonolayer growth, and the distribution of the sizes of top terraces of multilayer mounds under conditions of strong step edge barriers. Application to homoepitaxial growth on Pt(111) yields the estimate $\Delta E_S \geq 0.33$ eV for the additional energy barrier at CO-decorated steps.Comment: 13 pages, 3 figure