Explaining Stochastic Volatility in Asset Prices

We develop a theoretical model that replicates three observed phenomena in securities markets: serial correlation in trades; serial correlation in squared price changes (conditional heteroskedasticity); and more persistent serial correlation in trades than in squared price changes. In the model exogenous news is captured by signals that informed agents receive. Agents trade anonymously through a market specialist, who does not receive a signal. We show that entry and exit of informed traders following the arrival of news produces serial correlation in the number of trades and serial correlation in squared price changes. Because the bid-ask spread of the market specialist tends to shrink as individuals trade and reveal their information, the serial correlation in trades is more persistent than the serial correlation in squared price changes.

What is clearing and why is it important?

In the financial market disruption of 2007–08, the once arcane topic of clearing of financial products took center stage in major policy debates. Generally speaking, clearing has to do with the nuts and bolts of the contractual performance of financial products after they have been traded.Clearinghouses (Banking)

Phenomenology of dark energy: exploring the space of theories with future redshift surveys

We use the effective field theory of dark energy to explore the space of modified gravity models which are capable of driving the present cosmic acceleration. We identify five universal functions of cosmic time that are enough to describe a wide range of theories containing a single scalar degree of freedom in addition to the metric. The first function (the effective equation of state) uniquely controls the expansion history of the universe. The remaining four functions appear in the linear cosmological perturbation equations, but only three of them regulate the growth history of large scale structures. We propose a specific parameterization of such functions in terms of characteristic coefficients that serve as coordinates in the space of modified gravity theories and can be effectively constrained by the next generation of cosmological experiments. We address in full generality the problem of the soundness of the theory against ghost-like and gradient instabilities and show how the space of non-pathological models shrinks when a more negative equation of state parameter is considered. This analysis allows us to locate a large class of stable theories that violate the null energy condition (i.e. super-acceleration models) and to recover, as particular subsets, various models considered so far. Finally, under the assumption that the true underlying cosmological model is the $\Lambda$ Cold Dark Matter ($\Lambda$CDM) scenario, and relying on the figure of merit of EUCLID-like observations, we demonstrate that the theoretical requirement of stability significantly narrows the empirical likelihood, increasing the discriminatory power of data. We also find that the vast majority of these non-pathological theories generating the same expansion history as the $\Lambda$CDM model predict a different, lower, growth rate of cosmic structures.Comment: v1: 28 pages, 20 pdf figures. v2: 29 pages, minor improvements in the text, figures improve

International regulatory cooperation after the crisis

The heads of state of a broad coalition of nations, the Group of Twenty (G-20), met in September 2009 in Pittsburgh to chart the course of recovery from the financial crisis and set internationally agreed-upon objectives for the reform of regulatory policy.Financial crises ; International Monetary Fund

Probing non-standard gravity with the growth index: a background independent analysis

Measurements of the growth index $\gamma(z)$ provide a clue as to whether Einstein's field equations encompass gravity also on large cosmic scales, those where the expansion of the universe accelerates. We show that the information encoded in this function can be satisfactorily parameterized using a small set of coefficients $\gamma_i$ in such a way that the true scaling of the growth index is recovered to better than $1\%$ in most dark energy and dark gravity models. We find that the likelihood of current data is maximal for $\gamma_0=0.74\pm 0.44$ and $\gamma_1=0.01\pm0.46$, a measurement compatible with the $\Lambda$CDM predictions. Moreover data favor models predicting slightly less growth of structures than the Planck LambdaCDM scenario. The main aim of the paper is to provide a prescription for routinely calculating, in an analytic way, the amplitude of the growth indices $\gamma_i$ in relevant cosmological scenarios, and to show that these parameters naturally define a space where predictions of alternative theories of gravity can be compared against growth data in a manner which is independent from the expansion history of the cosmological background. As the standard $\Omega$-plane provides a tool to identify different expansion histories $H(t)$ and their relation to various cosmological models, the $\gamma$-plane can thus be used to locate different growth rate histories $f(t)$ and their relation to alternatives model of gravity. As a result, we find that the Dvali-Gabadadze-Porrati gravity model is rejected with a $95\%$ confidence level. By simulating future data sets, such as those that a Euclid-like mission will provide, we also show how to tell apart LambdaCDM predictions from those of more extreme possibilities, such as smooth dark energy models, clustering quintessence or parameterized post-Friedmann cosmological models.Comment: 29 pages, 21 figure

Derivatives clearing and settlement: a comparison of central counterparties and alternative structures

Most exchange-traded and some over-the-counter (OTC) derivatives are cleared and settled through clearinghouses that function as central counterparties (CCPs). Most OTC derivatives are settled bilaterally. This article discusses how these alternative mechanisms affect the functioning of derivatives markets and describes some of the advantages and disadvantages of each.Banks and banking, Central ; Derivative securities ; Clearinghouses (Banking)

Generation of long time creep data of refractory alloys at elevated temperatures Eleventh quarterly report, 26 Dec. 1965 - 26 Mar. 1966

Creep tests of arc-cast and vapor deposited tungsten, molybdenum alloys, niobium, and tantalum base alloys for use in advanced power system

Generation of long time creep data of refractory alloys at elevated temperatures

Creep test data on refractory metal alloys for use in spacecraft power supply system

Generation of long time creep data on refractory alloys at elevated temperatures Quarterly report, 26 Oct. - 26 Dec. 1966

Long-time creep data on refractory metal alloys for advanced space power system