Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Self-stresses and Crack Formation by Particle Swelling in Cohesive Granular Media

We present a molecular dynamics study of force patterns, tensile strength and crack formation in a cohesive granular model where the particles are subjected to swelling or shrinkage gradients. Non-uniform particle size change generates self-equilibrated forces that lead to crack initiation as soon as strongest tensile contacts begin to fail. We find that the coarse-grained stresses are correctly predicted by an elastic model that incorporates particle size change as metric evolution. The tensile strength is found to be well below the theoretical strength as a result of inhomogeneous force transmission in granular media. The cracks propagate either inward from the edge upon shrinkage and outward from the center upon swelling

Nanoscale Mineralogy and Composition of Experimental Regolith Agglutinates Produced under Asteroidal Impact Conditions

On the Moon, the energetics of smaller impactors and the physical/chemical characteristics of the granular regolith target combine to form a key product of lunar space weathering: chemically reduced shock melts containing optically-active nanophase Fe metal grains (npFe0) [1]. In addition to forming the optically dark glassy matrix phase in lunar agglutinitic soil particles [1], these shock melts are becoming increasingly recognized for their contribution to optically active patina coatings on a wide range of exposed rock and grain surfaces in the lunar regolith [2]. In applying the lessons of lunar space weathering to asteroids, the potential similarities and differences in regolith-hosted shock melts on the Moon compared to those on asteroids has become a topic of increasing interest [3,4]. In a series of impact experiments performed at velocities applicable to the asteroid belt [5], Horz et al. [6] and See and Horz [7] have previously shown that repeated impacts into a gabbroic regolith analog target can produce melt-welded grain aggregates morphologically very similar to lunar agglutinates [6,7]. Although these agglutinate-like particles were extensively analyzed by electron microprobe and scanning electron microscopy (SEM) as part of the original study [7], a microstructural and compositional comparison of these aggregates to lunar soil agglutinates at sub-micron scales has yet to be made. To close this gap, we characterized a representative set of these aggregates using a JEOL 7600 field-emission scanning electron microscope (FE-SEM), and JEOL 2500SE field-emission scanning transmission electron microscope (FE-STEM) both optimized for energy dispersive X-ray spectroscopy (EDX) compositional spectrum imaging at respective analytical spatial resolutions of 0.5 to 1 micron, and 2 to 4 nm

Shear strength properties of wet granular materials

We investigate shear strength properties of wet granular materials in the pendular state (i.e. the state where the liquid phase is discontinuous) as a function of water content. Sand and glass beads were wetted and tested in a direct shear cell and under various confining pressures. In parallel, we carried out three-dimensional molecular dynamics simulations by using an explicit equation expressing capillary force as a function of interparticle distance, water bridge volume and surface tension. We show that, due to the peculiar features of capillary interactions, the major influence of water content over the shear strength stems from the distribution of liquid bonds. This property results in shear strength saturation as a function of water content. We arrive at the same conclusion by a microscopic analysis of the shear strength. We propose a model that accounts for the capillary force, the granular texture and particle size polydispersity. We find fairly good agreement of the theoretical estimate of the shear strength with both experimental data and simulations. From numerical data, we analyze the connectivity and anisotropy of different classes of liquid bonds according to the sign and level of the normal force as well as the bond direction. We find that weak compressive bonds are almost isotropically distributed whereas strong compressive and tensile bonds have a pronounced anisotropy. The probability distribution function of normal forces is exponentially decreasing for strong compressive bonds, a decreasing power-law function over nearly one decade for weak compressive bonds and an increasing linear function in the range of tensile bonds. These features suggest that different bond classes do not play the same role with respect to the shear strength.Comment: 12 page

Frictionless bead packs have macroscopic friction, but no dilatancy

The statement of the title is shown by numerical simulation of homogeneously sheared packings of frictionless, nearly rigid beads in the quasistatic limit. Results coincide for steady flows at constant shear rate γ in the limit of small γ and static approaches, in which packings are equilibrated under growing deviator stresses. The internal friction angle ϕ, equal to 5.76 $\pm$ 0.22 degrees in simple shear, is independent on the average pressure P in the rigid limit. It is shown to stem from the ability of stable frictionless contact networks to form stress-induced anisotropic fabrics. No enduring strain localization is observed. Dissipation at the macroscopic level results from repeated network rearrangements, like the effective friction of a frictionless slider on a bumpy surface. Solid fraction Φ remains equal to the random close packing value ≃ 0.64 in slowly or statically sheared systems. Fluctuations of stresses and volume are observed to regress in the large system limit, and we conclude that the same friction law for simple shear applies in the large psystem limit if normal stress or density is externally controlled. Defining the inertia number as I = γ m/(aP), with m the grain mass and a its diameter, both internal friction coefficient $\mu$∗ = tan ϕ and volume 1/Φ increase as powers of I in the quasistatic limit of vanishing I, in which all mechanical properties are determined by contact network geometry. The microstructure of the sheared material is characterized with a suitable parametrization of the fabric tensor and measurements of connectivity and coordination numbers associated with contacts and near neighbors.Comment: 19 pages. Additional technical details may be found in v

Solid behavior of anisotropic rigid frictionless bead assemblies

We investigate the structure and mechanical behavior of assemblies of frictionless, nearly rigid equal-sized beads, in the quasistatic limit, by numerical simulation. Three different loading paths are explored: triaxial compression, triaxial extension and simple shear. Generalizing recent results [1], we show that the material, despite rather strong finite sample size effects, is able to sustain a finite deviator stress in the macroscopic limit, along all three paths, without dilatancy. The shape of the yield surface is adequately described by a Lade-Duncan (rather than Mohr-Coulomb) criterion. While scalar state variables keep the same values as in isotropic systems, fabric and force anisotropies are each characterized by one parameter and are in one-to-one correspondence with principal stress ratio along all three loading paths.The anisotropy of the pair correlation function extends to a distance between bead surfaces on the order of 10% of the diameter. The tensor of elastic moduli is shown to possess a nearly singular, uniaxial structure related to stress anisotropy. Possible stress-strain relations in monotonic loading paths are also discussed

Sensitivity of the stress response function to packing preparation

A granular assembly composed of a collection of identical grains may pack under different microscopic configurations with microscopic features that are sensitive to the preparation history. A given configuration may also change in response to external actions such as compression, shearing etc. We show using a mechanical response function method developed experimentally and numerically, that the macroscopic stress profiles are strongly dependent on these preparation procedures. These results were obtained for both two and three dimensions. The method reveals that, under a given preparation history, the macroscopic symmetries of the granular material is affected and in most cases significant departures from isotropy should be observed. This suggests a new path toward a non-intrusive test of granular material constitutive properties.Comment: 15 pages, 11 figures, some numerical data corrected, to appear in J. Phys. Cond. Mat. special issue on Granular Materials (M. Nicodemi Editor

The radical cation of bacteriochlorophyll b. A liquid-phase endor and triple resonance study

The previous termradical cationnext term of bacterioehlorophyll b (BChl b) is investigated by ENDOR and TRIPLE resonance in liquid solution. The experimental hyperfine coupling constants, ten proton and three nitrogen couplings, are compared with the predictions from advanced molecular-orbital calculations (RHF INDO/SP). The detailed picture obtained of the spin density distribution is a prerequisite for the investigation of the primary electron donor previous termradical cationnext term in BChl b containing photosynthetic bacteria