Do Correlated Exposures Influence Intermediary Decision-making? Evidence from Trading Behavior of Equity Dealers

This paper investigates whether dealers’ trading and pricing decisions are governed by their equivalent inventories (based on total returns as in Ho and Stoll, 1983 or on unhedgeable returns as in Froot and Stein, 1998) or by their ordinary inventories, as would be the case in a decentralized market-making organizational structure. It finds that ordinary inventories, and not equivalent inventories best explain dealers’ quote placement strategy, which dealer executes trades and the quality of execution offered to the trades. This finding is consistent with decentralized market making where, due to information sharing difficulties or the nature of compensation contracts, individual dealers care only about risk of stocks managed by them, and not the positions of other dealers within the firm

Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets

This paper examines how bond dealers use futures markets to manage the hedgeable market risk component of their core business risk exposure, and whether market quality is adversely affected by their selective risk taking activity. It also investigates the efficiency of market risk sharing within a decentralized semi-transparent market structure. We find that dealers engage in duration targeting, behaving as if they have a comparative advantage in bearing interest rate risk. They make significant directional bets often by holding futures that are in the same direction as the spot. They actively use futures to hedge changes in the spot exposure. They hedge changes in their spot exposure more when the potential costs of regulatory distress are high, when the cost of such hedging is low, and during periods of greater uncertainty. We find that duration targeting by dealers has adverse price effects due to capital constraints as predicted by Froot and Stein (1998). Finally, we find that trades in the spot market are not executed by dealers with extreme exposures. In this context, we recommend market reforms such as introduction of central quote posting or limit order book that will enable more efficient matching of liquidity demanders and suppliers, reduce trading costs, and improve the quality of risk sharing

Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets

This paper examines how bond dealers use futures markets to manage the hedgeable market risk component of their core business risk exposure, and whether market quality is adversely affected by their selective risk taking activity. It also investigates the efficiency of market risk sharing within a decentralized semi-transparent market structure. We find that dealers engage in duration targeting, behaving as if they have a comparative advantage in bearing interest rate risk. They make significant directional bets often by holding futures that are in the same direction as the spot. They actively use futures to hedge changes in the spot exposure. They hedge changes in their spot exposure more when the potential costs of regulatory distress are high, when the cost of such hedging is low, and during periods of greater uncertainty. We find that duration targeting by dealers has adverse price effects due to capital constraints as predicted by Froot and Stein (1998). Finally, we find that trades in the spot market are not executed by dealers with extreme exposures. In this context, we recommend market reforms such as introduction of central quote posting or limit order book that will enable more efficient matching of liquidity demanders and suppliers, reduce trading costs, and improve the quality of risk sharing

Optimal Constraints on Local Primordial Non-Gaussianity from the Two-Point Statistics of Large-Scale Structure

One of the main signatures of primordial non-Gaussianity of the local type is a scale-dependent correction to the bias of large-scale structure tracers such as galaxies or clusters, whose amplitude depends on the bias of the tracers itself. The dominant source of noise in the power spectrum of the tracers is caused by sampling variance on large scales (where the non-Gaussian signal is strongest) and shot noise arising from their discrete nature. Recent work has argued that one can avoid sampling variance by comparing multiple tracers of different bias, and suppress shot noise by optimally weighting halos of different mass. Here we combine these ideas and investigate how well the signatures of non-Gaussian fluctuations in the primordial potential can be extracted from the two-point correlations of halos and dark matter. On the basis of large $N$-body simulations with local non-Gaussian initial conditions and their halo catalogs we perform a Fisher matrix analysis of the two-point statistics. Compared to the standard analysis, optimal weighting- and multiple-tracer techniques applied to halos can yield up to one order of magnitude improvements in \fnl-constraints, even if the underlying dark matter density field is not known. We compare our numerical results to the halo model and find satisfactory agreement. Forecasting the optimal \fnl-constraints that can be achieved with our methods when applied to existing and future survey data, we find that a survey of $50h^{-1}\mathrm{Gpc}^3$ volume resolving all halos down to 10^{11}\hMsun at $z=1$ will be able to obtain \sigma_{\fnl}\sim1 (68% cl), a factor of $\sim20$ improvement over the current limits. Decreasing the minimum mass of resolved halos, increasing the survey volume or obtaining the dark matter maps can further improve these limits, potentially reaching the level of \sigma_{\fnl}\sim0.1. (abridged)Comment: V1: 23 pages, 12 figures, submitted to PRD. V2: 24 pages, added appendix and citations, matched to PRD published versio

Groundwater resilience Nepal: preliminary findings from a case study in the Middle Hills

Groundwater resources in the Middle Hills of Nepal perform a major role in supplying domestic and irrigation water and in regulating river flows. However, there has been little systematic study of groundwater within the region, making it difficult to evaluate how water supplies and river flows may change in response to climatic and anthropogenic change. To begin to build an evidence base, two catchments in the Middle Hills were investigated. The aim of the study was to characterise the hydrogeology of the catchments, assess water supplies and water usage and evaluate how resilient groundwater may be to change. Two contrasting sub-catchments within the Kali Gandaki River catchment were chosen: Ramche Village Development Committee (VDC), at an elevation of 2000 – 3000 m, with subsistence terraced farming and highly forested slopes, and Madanpokhara VDC which is largely below 1000 m, with expanding commercial agriculture. Groundwater sampling was undertaken during the post-monsoon season 2013 and pre-monsoon season 2014. Springs, tube wells and rivers across the two catchments were investigated using a combination of surveys, flow measurements, and sampling for inorganic chemistry, stable isotopes, groundwater residence time indicators (CFC and SF6) and noble gases. In addition, 12 months of weekly hydrological monitoring and monthly water usage surveys were undertaken at several sites. There is a heavy reliance on springs for water supply in Ramche. The springs are typically perennial but with significantly reduced flows during the winter and pre-monsoon season. The springs have bicarbonate groundwater chemistry and generally low overall mineralisation. Springs issuing from the higher slopes are reliant on seasonal monsoon rainfall and snow to sustain higher flows, but baseflows are sustained by groundwater storage within the weathered aquifer and will therefore have some inter-annual storage. Discrete springs issuing from lower slopes are most likely to be fed from groundwater storage within the fractured aquifer network. Groundwater residence time indicators (CFC and SF6) suggest a mean residence time of 10-20 years for pre-monsoon groundwater, implying inter-annual storage and therefore some built in resilience. However the general low storage of the groundwater environment suggests that none of the springs would be resilient to a long term reduction in precipitation. In the lower catchment of Madanpokhara where floodplain and outwash deposits are present, many hand-drilled shallow tubewells have been installed in the last 5-10 years, decreasing the reliance on springs. The development of groundwater resources has resulted in a thriving agricultural co-operative, inward migration and a growing population. These shallow tubewells have increased the resilience of the water supplies to change but are potentially vulnerable to over-exploitation as a result of the rapid increase in abstraction. Groundwater sampled in tubewells along the margin of the floodplain is modern (~20 yrs Mean Residence Time (MRT)) with bicarbonate groundwater chemistry and no significant water quality concerns. Groundwater sampled from tubewells towards the centre of the floodplain appears to be older (~50 yrs MRT) with elevated concentrations of iron, manganese, zinc and arsenic detected at some sites. With a growing recognition of the importance of groundwater storage in the Middle Hills there is significant potential to further advance the characterisation of groundwater systems and investigate the resilience of groundwater supplies to change. Systematic monitoring of groundwater, as springs flows, groundwater levels and chemistry would give a much better understanding of emerging trends. Likewise, monitoring current yields of springs and comparing to historic values at installation may allow some conclusions to be drawn about the trajectory of springflow. There are several groundwater-related initiatives underway within organisations in Nepal; the lessons learned from this current research, the methodologies used and the preliminary findings will be of value to these

An improved magnetic field simulator - MAGFLD.

An improved two-dimensional simulator MAGFLD has been developed which is useful for the design and simulation of periodic permanent magnet (PPM) focusing system for linear beam tubes. At present, input is possible only through the input file, which is very simple and user friendly. A complete PPM circuit is generated using the coordinates of first pole piece, first magnet, gun adapter (if the structure is a-periodic) and the region of computation. Small mesh units of either square or rectangular shapes can be used with mesh refinement capability in one or more regions in any or both directions for better accuracy of the solution. Materials with different magnetic permeability can be modeled by defining a characteristic value for each mesh point of the geometry. The effective potential value at each point in the region of interest is calculated based on the vector potential model by using the 5-point finite difference method and the solution is achieved by over relaxation technique for faster convergence. This package has an interface with EGUN to model the electron gun and collector under the influence of magnetic field. Versatile color graphics are capable of plotting both axial magnetic field and flux lines along with the magnetic circuit. MAGFLD has been validated against some published data and experimental results

Low-temperature Synthesis of FeTe0.5Se0.5 Polycrystals with a High Transport Critical Current Density

We have prepared high-quality polycrystalline FeTe0.5Se0.5 at temperature as low as 550{\deg}C. The transport critical current density evaluated by the current-voltage characteristics is over 700 A/cm2 at 4.2 K under zero field, which is several times larger than FeTe0.5Se0.5 superconducting wires. The critical current density estimated from magneto-optical images of flux penetration is also similar to this value. The upper critical field of the polycrystalline FeTe0.5Se0.5 at T = 0 K estimated by Werthamer-Helfand-Hohenberg theory is 585 kOe, which is comparable to that of single crystals. This study gives some insight into how to improve the performance of FeTe0.5Se0.5 superconducting wires.Comment: 12 pages, 6 figure

Springs, storage and sensitivity to change : groundwater in Nepal's Middle Hills

The valleys in the foothills of the Himalayas may be some of the most sensitive areas to environmental and societal changes in Asia. Changes to the Asian monsoon and increasing temperatures could lead to variations in snow melt and runoff, and forecasts of increasingly inhospitable temperatures for lowland areas of Nepal and northern India (up to 60 oC) are already leading to migration to the cooler middle-hills. The use of groundwater within these catchments (from spring flows, tube wells and indirectly through baseflow) is vital for continued secure water supply for the growing populations and increased agricultural production. However groundwater resources in these valleys are poorly characterised and the resilience of water supplies dependant on these resources largely unknown

Lack of clustering in low-redshift 21-cm intensity maps cross-correlated with 2dF galaxy densities

We report results from 21-cm intensity maps acquired from the Parkes radio telescope and cross-correlated with galaxy maps from the 2dF galaxy survey. The data span the redshift range $0.057<z<0.098$ and cover approximately 1,300 square degrees over two long fields. Cross correlation is detected at a significance of $5.18\sigma$. The amplitude of the cross-power spectrum is low relative to the expected dark matter power spectrum, assuming a neutral hydrogen (HI) bias and mass density equal to measurements from the ALFALFA survey. The decrement is pronounced and statistically significant at small scales. At $k\sim1.5$ $h \mathrm{Mpc^{-1}}$, the cross power spectrum is more than a factor of 6 lower than expected, with a significance of $14.8\,\sigma$. This decrement indicates either a lack of clustering of neutral hydrogen (HI), a small correlation coefficient between optical galaxies and HI, or some combination of the two. Separating 2dF into red and blue galaxies, we find that red galaxies are much more weakly correlated with HI on $k\sim1.5$ $h \mathrm{Mpc^{-1}}$ scales, suggesting that HI is more associated with blue star-forming galaxies and tends to avoid red galaxies.Comment: 12 pages, 3 figures; fixed typo in meta-data title and paper author