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Volatility term structures in commodity markets
In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of commodities. Accounting for intra‐commodity‐market spillovers significantly improves out‐of‐sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets
Mesoscopic Thermovoltage Measurement Design
Quantitative thermoelectric measurements in the mesoscopic regime require
accurate knowledge of temperature, thermovoltage, and device energy scales. We
consider the effect of a finite load resistance on thermovoltage measurements
of InAs/InP heterostructure nanowires. Load resistance and ac attenuation
distort the measured thermovoltage therefore complicating the evaluation of
device performance. Understanding these effects improves experimental design
and data interpretation.Comment: 2 pages, 3 figure
Quantum-dot thermometry
We present a method for the measurement of a temperature differential across
a single quantum dot that has transmission resonances that are separated in
energy by much more than the thermal energy. We determine numerically that the
method is accurate to within a few percent across a wide range of parameters.
The proposed method measures the temperature of the electrons that enter the
quantum dot and will be useful in experiments that aim to test theory which
predicts quantum dots are highly-efficient thermoelectrics.Comment: 3 pages, 4 Figure
Imaging a 1-electron InAs quantum dot in an InAs/InP nanowire
Nanowire heterostructures define high-quality few-electron quantum dots for
nanoelectronics, spintronics and quantum information processing. We use a
cooled scanning probe microscope (SPM) to image and control an InAs quantum dot
in an InAs/InP nanowire, using the tip as a movable gate. Images of dot
conductance vs. tip position at T = 4.2 K show concentric rings as electrons
are added, starting with the first electron. The SPM can locate a dot along a
nanowire and individually tune its charge, abilities that will be very useful
for the control of coupled nanowire dots
Fuel Injector: Air swirl characterization aerothermal modeling, phase 2, volume 2
A well integrated experimental/analytical investigation was conducted to provide benchmark quality data relevant to prefilming type airblast fuel nozzle and its interaction with combustor dome air swirler. The experimental investigation included a systematic study of both single-phase flows that involved single and twin co-axial jets with and without swirl. A two-component Phase Doppler Particle Analyzer (PDPA) equipment was used to document the interaction of single and co-axial air jets with glass beads that simulate nonevaporating spray and simultaneously avoid the complexities associated with fuel atomization processes and attendant issues about the specification of relevant boundary conditions. The interaction of jets with methanol spray produced by practical airblast nozzle was also documented in the spatial domain of practical interest. Model assessment activities included the use of three turbulence models (k-epsilon, algebraic second moment (ASM) and differential second moment (DSM)) for the carrier phase, deterministic or stochastic Lagrangian treatment of the dispersed phase, and advanced numerical schemes. Although qualitatively good comparison with data was obtained for most of the cases investigated, the model deficiencies in regard to modeled dissipation rate transport equation, single length scale, pressure-strain correlation, and other critical closure issues need to be resolved before one can achieve the degree of accuracy required to analytically design combustion systems
Volatility and dividend risk in perpetual American options
American options are financial instruments that can be exercised at any time
before expiration. In this paper we study the problem of pricing this kind of
derivatives within a framework in which some of the properties --volatility and
dividend policy-- of the underlaying stock can change at a random instant of
time, but in such a way that we can forecast their final values. Under this
assumption we can model actual market conditions because some of the most
relevant facts that may potentially affect a firm will entail sharp predictable
effects. We will analyse the consequences of this potential risk on perpetual
American derivatives, a topic connected with a wide class of recurrent problems
in physics: holders of American options must look for the fair price and the
optimal exercise strategy at once, a typical question of free absorbing
boundaries. We present explicit solutions to the most common contract
specifications and derive analytical expressions concerning the mean and higher
moments of the exercise time.Comment: 21 pages, 5 figures, iopart, submitted for publication; deep
revision, two new appendice
Intellectual Property Rights in Data?
The international intellectual property system founded on the Paris and Berne Conventions in the late nineteenth century has been dominated by the patent and copyright paradigms, which articulate the legal protection of technological inventions and of literary and artistic works, respectively. Although this patent-copyright dichotomy was never as strictly observed abroad as in the United States, it nonetheless charted a relatively clear theoretical line of demarcation between legal incentives to create and the public interest in free competition. Any publicly disclosed technologies or information products that failed to meet the eligibility requirements of the domestic patent and copyright laws became public domain matter that anyone could freely appropriate.
By the end of the twentieth century, in contrast, this line of demarcation had empirically broken down. The developed market economies, including the United States, enacted numerous special purpose intellectual property laws to protect industrial designs, plant varieties, integrated circuit designs, and other matter that typically failed to meet the eligibility requirements of either the patent or copyright models. The latest, and arguably most deviant, examples of this trend toward sui generis intellectual property rights are the European - and United States-sponsored initiatives in both national and international forums calling for creation of a new form of legal protection for the contents of databases. These initiatives aim to rescue database producers from the threat of market-destructive appropriations by free-riding competitors who contributed nothing to the costs of collecting or distributing the relevant data
Large Magnetoresistance in Co/Ni/Co Ferromagnetic Single Electron Transistors
We report on magnetotransport investigations of nano-scaled ferromagnetic
Co/Ni/Co single electron transistors. As a result of reduced size, the devices
exhibit single electron transistor characteristics at 4.2K. Magnetotransport
measurements carried out at 1.8K reveal tunneling magnetoresistance (TMR)
traces with negative coercive fields, which we interpret in terms of a
switching mechanism driven by the shape anisotropy of the central wire-like Ni
island. A large TMR of about 18% is observed within a finite source-drain bias
regime. The TMR decreases rapidly with increasing bias, which we tentatively
attribute to excitation of magnons in the central island.Comment: 12 pages (including 4 figures). Accepted for publishing on AP
Signatures of Wigner Localization in Epitaxially Grown Nanowires
It was predicted by Wigner in 1934 that the electron gas will undergo a
transition to a crystallized state when its density is very low. Whereas
significant progress has been made towards the detection of electronic Wigner
states, their clear and direct experimental verification still remains a
challenge. Here we address signatures of Wigner molecule formation in the
transport properties of InSb nanowire quantum dot systems, where a few
electrons may form localized states depending on the size of the dot (i.e. the
electron density). By a configuration interaction approach combined with an
appropriate transport formalism, we are able to predict the transport
properties of these systems, in excellent agreement with experimental data. We
identify specific signatures of Wigner state formation, such as the strong
suppression of the antiferromagnetic coupling, and are able to detect the onset
of Wigner localization, both experimentally and theoretically, by studying
different dot sizes.Comment: 4 pages, 4 figure
The Combinatorial World (of Auctions) According to GARP
Revealed preference techniques are used to test whether a data set is
compatible with rational behaviour. They are also incorporated as constraints
in mechanism design to encourage truthful behaviour in applications such as
combinatorial auctions. In the auction setting, we present an efficient
combinatorial algorithm to find a virtual valuation function with the optimal
(additive) rationality guarantee. Moreover, we show that there exists such a
valuation function that both is individually rational and is minimum (that is,
it is component-wise dominated by any other individually rational, virtual
valuation function that approximately fits the data). Similarly, given upper
bound constraints on the valuation function, we show how to fit the maximum
virtual valuation function with the optimal additive rationality guarantee. In
practice, revealed preference bidding constraints are very demanding. We
explain how approximate rationality can be used to create relaxed revealed
preference constraints in an auction. We then show how combinatorial methods
can be used to implement these relaxed constraints. Worst/best-case welfare
guarantees that result from the use of such mechanisms can be quantified via
the minimum/maximum virtual valuation function
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