The CERN Detector Safety System for the LHC Experiments

The Detector Safety System (DSS), currently being developed at CERN under the auspices of the Joint Controls Project (JCOP), will be responsible for assuring the protection of equipment for the four LHC experiments. Thus, the DSS will require a high degree of both availability and reliability. After evaluation of various possible solutions, a prototype is being built based on a redundant Siemens PLC front-end, to which the safety-critical part of the DSS task is delegated. This is then supervised by a PVSS SCADA system via an OPC server. The PLC front-end is capable of running autonomously and of automatically taking predefined protective actions whenever required. The supervisory layer provides the operator with a status display and with limited online reconfiguration capabilities. Configuration of the code running in the PLCs will be completely data driven via the contents of a "Configuration Database". Thus, the DSS can easily adapt to the different and constantly evolving requirements of the LHC experiments during their construction, commissioning and exploitation phases.Comment: Talk from the 2003 Computing in High Energy and Nuclear Physics (CHEP03), La Jolla, Ca, USA, March 2003, 5 pages, PDF. PSN THGT00

Does Central Bank Tone Move Asset Prices?

We explore whether the tone of central bank communication matters for asset prices and find that tone changes have a significant effect on equity returns. Stock prices increase when tone becomes more positive and vice versa. Moreover, we find that positive tone changes are associated with increasing bond yields, lower implied equity volatility, lower variance risk premia, and lower credit spreads. Since we also show that tone changes are largely unrelated to current and future economic fundamentals, our results suggest that central bank tone matters for asset prices through a risk-based channe

Global Asset Allocation Shifts

We show that global asset reallocations of U.S. fund investors obey a strong factor structure, with two factors accounting for more than 90% of the overall variation. The first factor captures switches between U.S. bonds and equities. The second reflects reallocations from U.S. to international assets. Portfolio allocations respond to U.S. monetary policy, most prominently around FOMC events when institutional investors reallocate from basically all other asset classes to U.S. equities. Reallocations of both retail and institutional investors show return-chasing behavior. Institutional investors tend to reallocate toward riskier, high-yield fixed income segments, consistent with a search for yield

Dividend predictability around the world

© Michael G. Foster School of Business, University of Washington 2015. We show that dividend-growth predictability by the dividend yield is the rule rather than the exception in global equity markets. Dividend predictability is weaker, however, in large and developed markets where dividends are smoothed more, the typical firm is large, and volatility is lower. Our findings suggest that the apparent lack of dividend predictability in the United States does not uniformly extend to other countries. Rather, cross-country patterns in dividend predictability are driven by differences in firm characteristics and the extent to which dividends are smoothed

Currency momentum strategies

We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a significant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and over-reaction. Moreover, crosssectional currency momentum has very different properties from the widely studied carry trade and is not highly correlated with returns of benchmark technical trading rules. However, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency markets

Currency value

© The Author 2016. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. We assess the properties of currency value strategies based on real exchange rates. We find that real exchange rates have predictive power for the cross-section of currency excess returns. However, adjusting real exchange rates for key country-specific fundamentals (productivity, the quality of export goods, net foreign assets, and output gaps) better isolates information related to the currency risk premium. In turn, the resultant measure of currency value displays considerably stronger predictive power for currency excess returns. Finally, the predictive information content in our currency value measure is distinct from that embedded in popular currency strategies, such as carry and momentum

Short-term Momentum

We document a striking pattern in U.S. and international stock returns: double sorting on the previous month’s return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term momentum. Short-term momentum is as profitable and as persistent as conventional price momentum. It survives transaction costs and is strongest among the largest, most liquid, and most extensively covered stocks. Our results are difficult to reconcile with models imposing strict rationality but are suggestive of an explanation based on some traders underappreciating the information conveyed by prices

Exchange Rates and Sovereign Risk

We empirically investigate the relation between currency excess returns and sovereign risk, as measured by credit default swap (CDS) spreads. An increase in a country’s CDS spread is accompanied by a contemporaneous depreciation of its exchange rate as well as an increase of its currency volatility and crash risk. The link between currency excess returns and sovereign risk is mainly driven by exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. Sovereign risk forecasts excess returns to trading exchange rates, volatility and skewness, and is strongly priced in the cross-section of currencies. Moreover, we find that sovereign risk accounts for a large share of carry trade returns, and that carry and momentum strategies generate high (low) returns across countries with high (low) sovereign risk

A SUMMARY OF THE IEEE REAL TIME 2005 CONFERENCE HELD AT STOCKHOLM

ABSTRACT Bi-annually, the Nuclear and Plasma Sciences Society of IEEE sponsors the Real Time conference. At this conference it is mostly physicists that present their developments around the online systems in these fields. These presentations are focused mainly on real-time applications but nevertheless the whole range of control systems for detectors is covered, which is similar to the ICALEPCS conference. Even though the topics covered are quite similar the participants tend to be different with only a few people attending both events. Therefore, this paper will summarize and highlight the key presentations of the Real Time conference where they are interesting for the ICALEPCS community. Such topics are "system architecture", "front-end signal processing", "trigger and data acquisition", "online databases", and "online processing farms"

Exchange rates and sovereign risk

An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks, and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor.Christian Wagner acknowledges support from the Center for Financial Frictions (FRIC), grant no. DNRF10