Design and Performance Simulations of the Bunch Compressor for the APS LEUTL FEL

A magnetic bunch compressor has been designed and is being commissioned for the APS linac to provide higher peak current for the LEUTL FEL. Of primary concern is control of emittance growth due to coherent synchrotron radiation (CSR). In addition, tolerances must be carefully evaluated in order to choose the most stable operating conditions and ensure that the system can meet operational goals. The computer code ELEGANT was used to design the bunch compressor, set tolerances, and simulate likely performance. This 6-D code includes a fast, simple simulation of CSR effects as well as longitudinal and transverse wakefields. It also is believed to be unique in allowing optimization of actual tracking results, such as bunch length, energy spread, and emittance. Automated setup and analysis of matching and tolerance simulations allowed consideration of numerous configurations without excessive effort. This permitted choosing configurations that reduce sensitivity to errors. Simulations indicate that emittance growth should be tolerable for up to 600 A peak current, for which the normalized emittance will increase from 5 to about 6.8 pi-um. The simulations also provide predictions of emittance variation with chicance parameters, which we hope to verify experimentally. * Work supported by the U.S. Department of Energy, Office of Basic Energy Sciences, under Contract No. W-31-109-ENG-38.Comment: LINAC2000 THB16 3 pages 3 figure

Earnings Inequality in Australia: Changes and Causes

This paper reviews research which has examined recent developments in earnings inequality in Australia. Three main issues are addressed. First, what have been the dimension and timing of changes in earnings inequality which have occurred? Second, how have earnings differentials between workers in different age groups and with different levels of educational attainment changed, and to what extent can those changes be explained by shifts in the relative demand for labour and relative supply of labour by level of skill? Third, what do we know about the causes of changes in earnings inequality?

Market panic on different time-scales

Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion and kurtosis, and find that the correlation across stocks increases in times of panic yielding a bimodal distribution for the sum of signs of returns. We also find that there is memory in correlations, decaying as a power law with exponent 0.05. During the Flash-Crash of May 6 2010, we find a drastic increase in dispersion in conjunction with increased correlations. However, the kurtosis decreases only slightly in contrast to findings on daily time-scales where kurtosis drops drastically in times of panic. Our study indicates that this difference in behavior is result of the origin of the panic-inducing volatility shock: the more correlated across stocks the shock is, the more the kurtosis will decrease; the more idiosyncratic the shock, the lesser this effect and kurtosis is positively correlated with dispersion. We also find that there is a leverage effect for correlations: negative returns tend to precede an increase in correlations. A stock price feed-back model with skew in conjunction with a correlation dynamics that follows market volatility explains our observations nicely

A Non-Gaussian Option Pricing Model with Skew

Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include volatility-stock correlations consistent with the leverage effect. A generalized Black-Scholes partial differential equation for this model is obtained, together with closed-form approximate solutions for the fair price of a European call option. In certain limits, the standard Black-Scholes model is recovered, as is the Constant Elasticity of Variance (CEV) model of Cox and Ross. Alternative methods of solution to that model are thereby also discussed. The model parameters are partially fit from empirical observations of the distribution of the underlying. The option pricing model then predicts European call prices which fit well to empirical market data over several maturities.Comment: 37 pages, 11 ps figures, minor changes, typos corrected, to appear in Quantitative Financ

Testing Option Pricing with the Edgeworth Expansion

There is a well developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-gaussian distributions. In this contribution we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the brazilian and american markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments.Comment: 9 pages, 3 figure. Contribution to the International Workshop on Trends and Perspectives on Extensive and Non-Extensive Statistical Mechanics, November 19-21, 2003, Angra dos Reis, Brazi