15,430 research outputs found
Fix-lines and stability domain in the vicinity of the coupled third order resonance
The single particle stability in a circular accelerator is of concern
especially for operational regimes involving beam storage of hours. In the
proximity to a resonance this stability domain shrinks, and the phase space
fragments into a jungle of exotic objects like for instance "fix-lines". The
concept of fix-points is easily understandable in a 2D phase space. It becomes
quite challenging when the effect of resonances is considered in the 4D phase
space, which leads then to the concept of fix-lines. In this paper we
investigate the fix-lines in the proximity of a coupled third order resonance
and find the relation of these objects with the stability of motion.Comment: 35 pages, 29 figure
Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm
The two main approaches in credit risk are the structural approach pioneered
in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull
(1995) and in Artzner & Delbaen (1995). The goal of this article is to provide
a unified view on both approaches. This is achieved by studying reduced-form
approaches under weak assumptions. In particular we do not assume the global
existence of a default intensity and allow default at fixed or predictable
times with positive probability, such as coupon payment dates.
In this generalized framework we study dynamic term structures prone to
default risk following the forward-rate approach proposed in
Heath-Jarrow-Morton (1992). It turns out, that previously considered models
lead to arbitrage possibilities when default may happen at a predictable time
with positive probability. A suitable generalization of the forward-rate
approach contains an additional stochastic integral with atoms at predictable
times and necessary and sufficient conditions for a suitable no-arbitrage
condition (NAFL) are given. In the view of efficient implementations we develop
a new class of affine models which do not satisfy the standard assumption of
stochastic continuity.
The chosen approach is intimately related to the theory of enlargement of
filtrations, to which we provide a small example by means of filtering theory
where the Azema supermartingale contains upward and downward jumps, both at
predictable and totally inaccessible stopping times
Consumer reaction on tumbling funds - Evidence from retail fund outflows during the financial crisis 2007/2008
Contrary to the findings reported in some of the extant literature, our study indicates that over the past few years a change in investorsâ behavior patterns means that investment decisions are made at short notice, and that shares are redeemed in a discriminatory manner when funds perform poorly. By using a data assembled from 1672 retail funds in Germany over the period March 2008 to April 2010, we are able to show that in general, both the prior fund performance and prior net redemptions have a statistically significant influence on fund outflows. Moreover, there are indications that in recent crises situations that have resulted in the withdrawal of shares investors react fast to market signals. Our findings will also highlight areas in which policy-makers, regulatory authorities and the fund industry should establish a strong regulatory framework to prevent liquidity shortages of retail funds.Liquidity risk, financial fragility, bank run, mutual funds, fund flows, net redemptions of fund shares, fund performance, fund industry, risk sharing
Towards models of gravitational waveforms from generic binaries II: Modelling precession effects with a single effective precession parameter
Gravitational waves (GWs) emitted by generic black-hole binaries show a rich
structure that directly reflects the complex dynamics introduced by the
precession of the orbital plane, which poses a real challenge to the
development of generic waveform models. Recent progress in modelling these
signals relies on an approximate decoupling between the non-precessing secular
inspiral and a precession-induced rotation. However, the latter depends in
general on all physical parameters of the binary which makes modelling efforts
as well as understanding parameter-estimation prospects prohibitively complex.
Here we show that the dominant precession effects can be captured by a reduced
set of spin parameters. Specifically, we introduce a single \emph{effective
precession spin} parameter, , which is defined from the spin components
that lie in the orbital plane at some (arbitrary) instant during the inspiral.
We test the efficacy of this parameter by considering binary inspiral
configurations specified by the physical parameters of a corresponding
non-precessing-binary configuration (total mass, mass ratio, and spin
components (anti-)parallel to the orbital angular momentum), plus the effective
precession spin applied to the larger black hole. We show that for an
overwhelming majority of random precessing configurations, the precession
dynamics during the inspiral are well approximated by our equivalent
configurations. Our results suggest that in the comparable-mass regime waveform
models with only three spin parameters faithfully represent generic waveforms,
which has practical implications for the prospects of GW searches, parameter
estimation and the numerical exploration of the precessing-binary parameter
space.Comment: 19 pages, 15 figures. Modified discussio
The Silurian Hypothesis: Would It Be Possible to Detect an Industrial Civilization in the Geological Record?
If an industrial civilization had existed on Earth many millions of years prior to ourown era, what traces would it have left and would they be detectable today? We summarize the likely geological fingerprint of the Anthropocene, and demonstrate that while clear, it will not differ greatly in many respects from other known events in the geological record. We then propose tests that could plausibly distinguish an industrial cause from an otherwise naturally occurring climate event
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