Bayesian Approach for Linear Optics Correction

With a Bayesian approach, the linear optics correction algorithm for storage rings is revisited. Starting from the Bayes' theorem, a complete linear optics model is simplified as "likelihood functions" and "prior probability distributions". Under some assumptions, the least square algorithm and then the Jacobian matrix approach can be re-derived. The coherence of the correction algorithm is ensured through specifying a self-consistent regularization coefficient to prevent overfitting. Optimal weights for different correction objectives are obtained based on their measurement noise level. A new technique has been developed to resolve degenerated quadrupole errors when observed at a few select BPMs. A necessary condition of being distinguishable is that their optics response vectors seen at these specific BPMs should be near-orthogonal.Comment: 6 pages, 6 figure

Market conditions, default risk and credit spreads

This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing in GDP growth volatility. We document that credit spreads are lower when investor sentiment is high and when the systematic jump risk is low. In the cross section, we confirm that firm-level cash flow volatility raises credit spreads. More importantly, we demonstrate that the impact of market conditions on credit spreads is substantially affected by firm heterogeneity. During economic expansions, ceteris paribus, firms with high cash flow betas have lower credit spreads than those with low cash flow betas. This relation disappears during economic recessions, consistent with theoretical predictions. -- In diesem Arbeitspapier untersuchen wir empirisch, wie die gesamtwirtschaftlichen Bedingungen die Renditeabstände von Unternehmensanleihen, die mit einem Ausfallrisiko behaftet sind, beeinflussen. Dabei verwenden wir Spreads von Kreditausfallswaps (Credit Default Swap, CDS) als Näherungswert für Kreditspreads und stellen fest, dass die durchschnittlichen Kreditspreads im Zeitverlauf bei wirtschaftlicher Expansion niedriger und bei wirtschaftlicher Rezession höher sind. Wenn das Wirtschaftswachstum volatiler ist, führt dies ebenfalls zu höheren Kreditspreads. Wir stellen fest, dass Kreditspreads bei positiver Anlegerstimmung und geringem Risiko eines marktweiten Sprungs niedriger ausfallen. Firmenübergreifend stellen wir fest, dass ein auf Unternehmensebene volatiler Cashflow zu einer Erhöhung der Kreditspreads führt. Was noch entscheidender ist, wir zeigen, dass in Zeiten wirtschaftlicher Expansion ? bei ansonsten gleichen Bedingungen ? Unternehmen, deren Cashflow stark mit dem gesamtwirtschaftlichen Wachstum korreliert, geringere Kreditspreads aufweisen als solche mit einer schwachen Cashflow-Korrelation. Im Einklang mit den theoretischen Voraussagen verschwindet dieser Zusammenhang in Zeiten wirtschaftlicher Rezession.Credit Risk,Credit Default Swaps,Credit Spreads,Market Conditions

PetroPlot: A plotting and data management tool set for Microsoft Excel

PetroPlot is a 4000-line software code written in Visual Basic for the spreadsheet program Excel that automates plotting and data management tasks for large amount of data. The major plotting functions include: automation of large numbers of multiseries XY plots; normalized diagrams (e.g., spider diagrams); replotting of any complex formatted diagram with multiple series for any other axis parameters; addition of customized labels for individual data points; and labeling flexible log scale axes. Other functions include: assignment of groups for samples based on multiple customized criteria; removal of nonnumeric values; calculation of averages/standard deviations; calculation of correlation matrices; deletion of nonconsecutive rows; and compilation of multiple rows of data for a single sample to single rows appropriate for plotting. A cubic spline function permits curve fitting to complex time series, and comparison of data to the fits. For users of Excel, PetroPlot increases efficiency of data manipulation and visualization by orders of magnitude and allows exploration of large data sets that would not be possible making plots individually. The source codes are open to all users