OTC derivatives and central clearing: can all transactions be cleared?

The 2007-2009 financial crisis has led legislators on both sides of the Atlantic to propose laws that would require most “standardised” over-the-counter (OTC) derivatives to be cleared centrally. This paper examines these proposals. Although OTC derivatives did not cause the crisis, they do facilitate large speculative transactions and have the potential to create systemic risk. The main attraction of the central clearing proposals is that they will make positions in standardised derivatives more transparent. However, our experience from the 2007-2009 crisis suggests that large losses by fi nancial institutions often arise from their positions in non-standard OTC derivatives. The paper argues that one way forward for regulators is to require all OTC derivatives (standard and non-standard) to be cleared centrally within three years. This would maximise the benefits of netting and reduce systemic risk while making it easier for regulators to carry out stress tests. The paper divides OTC derivatives into four categories and suggests how each category could be handled for clearing purposes.

The gauge algebra of double field theory and Courant brackets

We investigate the symmetry algebra of the recently proposed field theory on a doubled torus that describes closed string modes on a torus with both momentum and winding. The gauge parameters are constrained fields on the doubled space and transform as vectors under T-duality. The gauge algebra defines a T-duality covariant bracket. For the case in which the parameters and fields are T-dual to ones that have momentum but no winding, we find the gauge transformations to all orders and show that the gauge algebra reduces to one obtained by Siegel. We show that the bracket for such restricted parameters is the Courant bracket. We explain how these algebras are realised as symmetries despite the failure of the Jacobi identity.Comment: 25 pages, LaTe

Darwinism and Organizational Ecology: A Reply to Reydon and Scholz

In an earlier article published in this journal I challenge Reydon and Scholz's (2009) claim that Organizational Ecology is a non-Darwinian program. In this replay to Reydon and Scholz's subsequent response, I clarify the difference between our two approaches denoted by an emphasis her on the careful application of core Darwinian principles and an insistence by Reydon and Scholz on direct biological analogies. On a substantive issue, they identify as being the principle problem for Organizational Ecology, namely, the inability to identify replicators and interactors "of the right sort" in the business domain; this is also shown to be easily addressed with reference to empirical studies of business populations.Peer reviewedFinal Accepted Versio

Quantum Mechanics of the Doubled Torus

We investigate the quantum mechanics of the doubled torus system, introduced by Hull [1] to describe T-folds in a more geometric way. Classically, this system consists of a world-sheet Lagrangian together with some constraints, which reduce the number of degrees of freedom to the correct physical number. We consider this system from the point of view of constrained Hamiltonian dynamics. In this case the constraints are second class, and we can quantize on the constrained surface using Dirac brackets. We perform the quantization for a simple T-fold background and compare to results for the conventional non-doubled torus system. Finally, we formulate a consistent supersymmetric version of the doubled torus system, including supersymmetric constraints.Comment: 31 pages, 1 figure; v2: references added, minor corrections to final sectio

The first use of Fulton's K for assessing and comparing the conditions of inter-tidal fish populations

Fulton's K condition factor was applied, for the first time, to inter-tidal specimens of the shanny (Lipophrys pholis) and long-spined scorpion fish (Taurulus bubalis) from two English rocky shore and two Welsh rocky shore sites during summer 2010 and winter 2011. As both species contribute to the diet of commercial species such as cod (Gadus morhua) and near-threatened species such as the European otter (Lutra lutra), their condition may affect that of these predators. Fulton's K found that inter-tidal Welsh fish maintained a ‘good’ condition between seasons, whereas the inter-tidal English fish were in a poorer condition during winter. Although condition also changed amongst the sites on each coast, further studies are needed into fish morphologies, environmental parameters, prey availabilities and abundances, and fish specimen sex and maturities

Duality Twists on a Group Manifold

We study duality-twisted dimensional reductions on a group manifold G, where the twist is in a group \tilde{G} and examine the conditions for consistency. We find that if the duality twist is introduced through a group element \tilde{g} in \tilde{G}, then the flat \tilde{G}-connection A =\tilde{g}^{-1} d\tilde{g} must have constant components M_n with respect to the basis 1-forms on G, so that the dependence on the internal coordinates cancels out in the lower dimensional theory. This condition can be satisfied if and only if M_n forms a representation of the Lie algebra of G, which then ensures that the lower dimensional gauge algebra closes. We find the form of this gauge algebra and compare it to that arising from flux compactifications on twisted tori. As an example of our construction, we find a new five dimensional gauged, massive supergravity theory by dimensionally reducing the eight dimensional Type II supergravity on a three dimensional unimodular, non-semi-simple, non-abelian group manifold with an SL(3,R) twist.Comment: 22 page

Gauge theory of Finance?

Some problems with the recent stimulating proposal of a ``Gauge Theory of Finance'' by Ilinski and collaborators are outlined. First, the derivation of the log-normal distribution is shown equivalent both in information and mathematical content to the simpler and well-known derivation, dating back from Bachelier and Samuelson. Similarly, the re-derivation of Black-Scholes equation is shown equivalent to the standard one because the limit of no uncertainty is equivalent to the standard risk-free replication argument. Both re-derivations of the log-normality and Black-Scholes result do not provide a test of the theory because it is degenerate in the limits where these results apply. Third, the choice of the exponential form a la Boltzmann, of the weight of a given market configuration, is a key postulate that requires justification. In addition, the ``Gauge Theory of Finance'' seems to lead to ``virtual'' arbitrage opportunities for pure Markov random walk market when there should be none. These remarks are offered in the hope to improve the formulation of the ``Gauge Theory of Finance'' into a coherent and useful framework.Comment: 4 page

Flux Compactifications of M-Theory on Twisted Tori

We find the bosonic sector of the gauged supergravities that are obtained from 11-dimensional supergravity by Scherk-Schwarz dimensional reduction with flux to any dimension D. We show that, if certain obstructions are absent, the Scherk-Schwarz ansatz for a finite set of D-dimensional fields can be extended to a full compactification of M-theory, including an infinite tower of Kaluza-Klein fields. The internal space is obtained from a group manifold (which may be non-compact) by a discrete identification. We discuss the symmetry algebra and the symmetry breaking patterns and illustrate these with particular examples. We discuss the action of U-duality on these theories in terms of symmetries of the D-dimensional supergravity, and argue that in general it will take geometric flux compactifications to M-theory on non-geometric backgrounds, such as U-folds with U-duality transition functions.Comment: Latex, 47 page

Environmental correlates of plant and invertebrate species richness in ponds

Ponds (lentic water bodies <2 ha) constitute a considerable biodiversity resource. Understanding the environmental factors that underlie this diversity is important in protecting and managing the habitat. We surveyed 425 ponds for biological and physical characteristics with 78 of those also surveyed for chemical characteristics. A total of 277 invertebrate species and 265 plant species were found. Species richness varied between 2 and 99 (mean 27.2 ± 0.6 SE) for invertebrates and 1 and 58 (mean 20.8 ± 0.4 SE) for plants. Generalised additive models were used to investigate variables that correlate with the species richness of plants and invertebrates, with additional models to investigate insect, Coleoptera, Odonata, Hemiptera, Trichoptera and Mollusca species richness. Models performed reasonably well for invertebrates in general (R 2 = 30.3%) but varied between lower-order invertebrate taxa (12.7–34.7%). Ponds with lower levels of shading and no history of drying contained higher numbers of species of plants and all invertebrate groups. Aquatic plant coverage positively correlated with species richness in all invertebrate groups apart from Trichoptera and the presence of fish was associated with high invertebrate species richness in all groups apart from Coleoptera. The addition of chemistry variables suggested non-linear relationships between oxygen demand and phosphate concentration and higher-order richness. We demonstrate that the composition of biological communities varies along with their species richness and that less diverse ponds are more variable compared to more diverse ponds. Variables positively correlated with richness of one taxon may be negatively correlated with that of another, making comprehensive management recommendations difficult. Promoting a high landscape-level pond biodiversity will involve the management of a high diversity of pond types within that landscape