44,786 research outputs found
Why is Price Discovery in Credit Default Swap Markets News-Specific?
Abstract: We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDSlag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of negative) equity market news. We provide an explanation for this newsspecific price discovery based on dealers in the CDS market exploiting their informational advantage vis-à-vis institutional investors with hedging demands. In support of this explanation we find that the CDS-lag and its newsspecificity are related to various firm-level proxies for hedging demand in the cross-section as well measures for economy-wide informational asymmetries over time.price discovery;CDS;hedging demand;informational asymmetries
On the imaginary parts of chromatic root
While much attention has been directed to the maximum modulus and maximum
real part of chromatic roots of graphs of order (that is, with
vertices), relatively little is known about the maximum imaginary part of such
graphs. We prove that the maximum imaginary part can grow linearly in the order
of the graph. We also show that for any fixed , almost every
random graph in the Erd\"os-R\'enyi model has a non-real root.Comment: 4 figure
Fermions in the pseudoparticle approach
The pseudoparticle approach is a numerical technique to compute path
integrals without discretizing spacetime. The basic idea is to integrate over
those field configurations, which can be represented by a sum of a fixed number
of localized building blocks (pseudoparticles). In a couple of previous papers
we have successfully applied the pseudoparticle approach to pure SU(2)
Yang-Mills theory. In this work we discuss how to incorporate fermionic fields
in the pseudoparticle approach. To test our method, we compute the phase
diagram of the 1+1-dimensional Gross-Neveu model in the large-N limit.Comment: 11 pages, 10 figure
Improved Compact Visibility Representation of Planar Graph via Schnyder's Realizer
Let be an -node planar graph. In a visibility representation of ,
each node of is represented by a horizontal line segment such that the line
segments representing any two adjacent nodes of are vertically visible to
each other. In the present paper we give the best known compact visibility
representation of . Given a canonical ordering of the triangulated , our
algorithm draws the graph incrementally in a greedy manner. We show that one of
three canonical orderings obtained from Schnyder's realizer for the
triangulated yields a visibility representation of no wider than
. Our easy-to-implement O(n)-time algorithm bypasses the
complicated subroutines for four-connected components and four-block trees
required by the best previously known algorithm of Kant. Our result provides a
negative answer to Kant's open question about whether is a
worst-case lower bound on the required width. Also, if has no degree-three
(respectively, degree-five) internal node, then our visibility representation
for is no wider than (respectively, ).
Moreover, if is four-connected, then our visibility representation for
is no wider than , matching the best known result of Kant and He. As a
by-product, we obtain a much simpler proof for a corollary of Wagner's Theorem
on realizers, due to Bonichon, Sa\"{e}c, and Mosbah.Comment: 11 pages, 6 figures, the preliminary version of this paper is to
appear in Proceedings of the 20th Annual Symposium on Theoretical Aspects of
Computer Science (STACS), Berlin, Germany, 200
Probing Pauli Blocking Factors in Quantum Pumps with Broken Time-Reversal Symmetry
A recently demonstrated quantum electron pump is discussed within the
framework of photon-assisted tunneling. Due to lack of time-reversal symmetry,
different results are obtained for the pump current depending on whether or not
final-state Pauli blocking factors are used when describing the tunneling
process. Whilst in both cases the current depends quadratically on the driving
amplitude for moderate pumping, a marked difference is predicted for the
temperature dependence. With blocking factors the pump current decreases
roughly linearly with temperature until k_B T ~ \hbar\omega is reached, whereas
without them it is unaffected by temperature, indicating that the entire Fermi
sea participates in the electronic transport.Comment: 4 pages in RevTex4 (beta4), 6 figures; status: to appear in PR
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