A pure jump Markov process with a random singularity spectrum

We construct a non-decreasing pure jump Markov process, whose jump measure heavily depends on the values taken by the process. We determine the singularity spectrum of this process, which turns out to be random and to depend locally on the values taken by the process. The result relies on fine properties of the distribution of Poisson point processes and on ubiquity theorems.Comment: 20 pages, 4 figure

Not All Financial Regulation Is Global

Two major shifts in the global financial regulatory landscape are likely impeding harmonization of global financial regulation: financial multipolarity, meaning the rise of emerging-market economies such as China and the impact of this trend on decision-making at the global level, and financial reregulation, or the trend toward stronger regulation of financial systems to buttress financial stability, particularly in developed economies. As a result, the ambitious objectives initially set by the G-20 leaders in the wake of the unprecedented financial crisis have so far not resulted in major international breakthroughs, warranting a reconsideration of the global financial regulatory agenda. Consistent regulatory choices across the globe are preferable, but achieving consistency involves difficult political and economic tradeoffs. Continued global capital-market integration can no longer be taken for granted. Policymakers should prioritize four key components to ensure the sustainability of financial integration: (1) strong global public institutions to provide a comprehensive analytical picture, set authoritative standards, and foster and monitor the consistency of regulatory practice; (2) globally consistent financial information; (3) new arrangements to enable and supervise globally integrated capital-market infrastructure; and (4) creating a level playing field for global capital-market intermediaries by addressing competitive distortions.

Not all financial regulation is global

Financial regulation at global level has been high on the G20 agenda. However, financial multipolarity, with the rise of emerging economies, and its impact on decision-making at global level has made global convergence difficult. In this policy brief, the authors, Bruegel Senior Fellow Nicolas Véron and Stéphane Rottier, National Bank of Belgium, explain why now is the time to focus on building stronger global public institutions, ensuring globally consistent financial information, creating globally integrated capital-markets infrastructure and addressing competitive distortions among global capital-market intermediaries to set the foundation for global harmonisation of all aspects of financial regulation.

Link Prediction in Graphs with Autoregressive Features

In the paper, we consider the problem of link prediction in time-evolving graphs. We assume that certain graph features, such as the node degree, follow a vector autoregressive (VAR) model and we propose to use this information to improve the accuracy of prediction. Our strategy involves a joint optimization procedure over the space of adjacency matrices and VAR matrices which takes into account both sparsity and low rank properties of the matrices. Oracle inequalities are derived and illustrate the trade-offs in the choice of smoothing parameters when modeling the joint effect of sparsity and low rank property. The estimate is computed efficiently using proximal methods through a generalized forward-backward agorithm.Comment: NIPS 201

Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through

This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over time. Based on monthly data over the period 1991–2007, the results show first that large destination markets exhibit the lowest degrees of pass-through. The degree of pass-through for goods imported from emerging economies is also significantly lower than for those from developed economies. Regarding the evolution over time, no clear change in pricing behaviours can be identified and particular events, like large exchange rates depreciations during the Asian crisis, seem to influence the degree of pass-through related to imports from emerging economies.Exchange rates; Inflation and prices

Relaxation dynamics in covalently bonded organic monolayers on silicon

We study the dynamic electrical response of a silicon-molecular monolayer-metal junctions and we observe two contributions in the admittance spectroscopy data. These contributions are related to dipolar relaxation and molecular organization in the monolayer in one hand, and the presence of defects at the silicon/molecule interface in the other hand. We propose a small signal equivalent circuit suitable for the simulations of these molecular devices in commercial device simulators. Our results concern monolayers of alkyl chains considered as a model system but can be extended to other molecular monolayers. These results open door to a better control and optimization of molecular devices.Comment: 1 pdf file including text, figures and tables. Phys. Rev. B, in pres

Scaling of Information in Turbulence

We propose a new perspective on Turbulence using Information Theory. We compute the entropy rate of a turbulent velocity signal and we particularly focus on its dependence on the scale. We first report how the entropy rate is able to describe the distribution of information amongst scales, and how one can use it to isolate the injection, inertial and dissipative ranges, in perfect agreement with the Batchelor model and with a fBM model. In a second stage, we design a conditioning procedure in order to finely probe the asymmetries in the statistics that are responsible for the energy cascade. Our approach is very generic and can be applied to any multiscale complex system.Comment: in Europhysics Letters, 201

Social psychology and environmental economics: a new look at ex ante corrections of biased preference evaluation

The field of social psychology explores how a person behaves within the context of other people. The social context can play a substantive role in non-market allocation decisions given peoples choices and values extend beyond the classic market-based exchange institution. Herein we explore how social psychology has affected one aspect of environmental economics: preference elicitation through survey work. We discuss social representation, social isolation, framing through cheap talk, and commitment theory through an oath.Social psychology;Commitment;Persuasive communication;Preference elicitation

Referenda under Oath

Herein we explore whether a solemn oath can eliminate hypothetical bias in a voting referenda, a design commonly promoted in nonmarket valuation exercises for its incentive compatibility properties. First, we reject the null hypothesis that a hypothetical bias does not exist. Second, we cannot reject the hypothesis that people who sign an oath are as likely to vote for the public good (e.g., wind energy R&D) in a hypothetical referenda as in a real one. This result opens interesting avenues for improving the elicitation of preferences in the lab.Dichotomous Choice Mechanism; Hypothetical bias; Oath; Preference revelation