Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework.

At the beginning of 2004, the Eurosystem implemented several modifications of its operational framework and liquidity management aiming at enhancing market efficiency. The purpose of this article is to study the effects of theses changes in the spread between the Eonia and the minimum bid rate. Our results reflect that both the operational changes as well as the new liquidity management are responsible for a significant decrease in the interest rate volatility.European money market ; Eonia ; Operational framework ; Liquidity effect.

Liquidity problems in the FX liquid market: Ask for the "BIL".

Even though the FX market is one of the most liquid financial market, it would be an error to consider that it is immune against any liquidity problem. This paper analyzes on a long sample (2000-2009), the all set of quotes and transactions in three main currency pairs (EURJPY, EURUSD, USDJPY) on the EBS platform. To characterize the FX market liquidity, we consider the spread, the traded volume, the number of transactions and the Amihud (2002) statistic for illiquidity. We also propose the computation of a new liquidity indicator, BIL, that solely relies on price series availability. The main benefit of such measure is to be easily calculated on almost any financial market as well as to have a clear interpretation in terms of liquidity costs. Using all these advanced liquidity analyses, we finally test the accuracy of these measures to detect liquidity problems in the FX market. Our analysis, based on a signaling approach, shows that liquidity problems have arisen during specific episodes in the early 2000's and more generally during the recent financial turmoil.FX market, Liquidity, financial crisis.

Taking into account extreme events in European option pricing.

According to traditional option pricing models,1 financial markets underestimate the impact of tail risk. In this article, we put forward a European option pricing model based on a set of assumptions that ensure, inter alia, that extreme events are better taken into account. Using simulations, we compare the option prices obtained from the standard Black and Scholes model with those resulting from our model. We show that the traditional model leads to an overvaluation of at-the-money options, which are the most traded options, while the less liquid in-the-money and out-of-the-money options are undervalued.

Reducing the risk of VWAP orders execution: A new approach to modelling intra-day volume

In an era of increasing competition in financial services, financial institutions are spending more resources on broadening the array and reducing the price of products offered to clients. This also applies to broking houses, which have a vital interest in reducing costs associated with the execution of their clients’ orders. This paper presents a technique that aims to reduce the execution risk of VWAP (Volume Weighted Average Price) orders, which are orders to buy or sell a certain amount of a stock during the specified period at the VWAP. VWAP is calculated by dividing the value of trades by the volume over a specified period

Design approach of the MOVIE programmable video processor

This article describes the design approach of the MOVIE circuit, building block for the development of software-only solutions for real time video processing applications . The MOVIE circuit can be seen as a small linear systolic-like array of computation processors, connected at each end to an I/0 processor . Externally, the chip is provided with four bidirectional data ports and three bidirectional data video port, allowing specialized parallel and programmable architectures of various configurations to be realized . Software tools, designed simultaneously with the definition of the architecture, especially as regards the code optimization aspects, allows high level programming and efficient code generation . The MOVIE architecture has been entirely specified using the VHDL hardware description language . Its synthesis is performed under the Compass tools .Cet article décrit l'approche de conception du circuit MOVIE, brique de base pour la réalisation de simulateurs temps réel d'algorithmes de compression vidéo. Le circuit MOVIE est une petite machine systolique composée d'un processeur d'entrée/sortie et d'un réseau linéaire de processeurs de calcul, il inclut les mécanismes adaptés à l'acquisition et à la restitution de la vidéo ainsi que des facilités pour la réalisation de réseaux de calcul de configurations différentes. Les outils logiciels, conçus conjointement avec l'architecture, permettent une programmation en langage évolué et une génération de code efficace. L'architecture du circuit MOVIE est entièrement spécifiée à l'aide du langage de description de matériel VHDL, sa synthèse est réalisée avec l'outil COMPASS

Observation of two new Ξb−\Xi_b^- baryon resonances

Two structures are observed close to the kinematic threshold in the $\Xi_b^0 \pi^-$ mass spectrum in a sample of proton-proton collision data, corresponding to an integrated luminosity of 3.0 fb$^{-1}$ recorded by the LHCb experiment. In the quark model, two baryonic resonances with quark content $bds$ are expected in this mass region: the spin-parity $J^P = \frac{1}{2}^+$ and $J^P=\frac{3}{2}^+$ states, denoted $\Xi_b^{\prime -}$ and $\Xi_b^{*-}$. Interpreting the structures as these resonances, we measure the mass differences and the width of the heavier state to be $m(\Xi_b^{\prime -}) - m(\Xi_b^0) - m(\pi^{-}) = 3.653 \pm 0.018 \pm 0.006$ MeV$/c^2$, $m(\Xi_b^{*-}) - m(\Xi_b^0) - m(\pi^{-}) = 23.96 \pm 0.12 \pm 0.06$ MeV$/c^2$, $\Gamma(\Xi_b^{*-}) = 1.65 \pm 0.31 \pm 0.10$ MeV, where the first and second uncertainties are statistical and systematic, respectively. The width of the lighter state is consistent with zero, and we place an upper limit of $\Gamma(\Xi_b^{\prime -}) < 0.08$ MeV at 95% confidence level. Relative production rates of these states are also reported.Comment: 17 pages, 2 figure

Observation of J/ψpJ/\psi p resonances consistent with pentaquark states in Λb0→J/ψK−p{\Lambda_b^0\to J/\psi K^-p} decays

Observations of exotic structures in the $J/\psi p$ channel, that we refer to as pentaquark-charmonium states, in $\Lambda_b^0\to J/\psi K^- p$ decays are presented. The data sample corresponds to an integrated luminosity of 3/fb acquired with the LHCb detector from 7 and 8 TeV pp collisions. An amplitude analysis is performed on the three-body final-state that reproduces the two-body mass and angular distributions. To obtain a satisfactory fit of the structures seen in the $J/\psi p$ mass spectrum, it is necessary to include two Breit-Wigner amplitudes that each describe a resonant state. The significance of each of these resonances is more than 9 standard deviations. One has a mass of $4380\pm 8\pm 29$ MeV and a width of $205\pm 18\pm 86$ MeV, while the second is narrower, with a mass of $4449.8\pm 1.7\pm 2.5$ MeV and a width of $39\pm 5\pm 19$ MeV. The preferred $J^P$ assignments are of opposite parity, with one state having spin 3/2 and the other 5/2.Comment: 48 pages, 18 figures including the supplementary material, v2 after referee's comments, now 19 figure

Search for the rare decays B0→J/ψγB^{0}\to J/\psi \gamma and Bs0→J/ψγB^{0}_{s} \to J/\psi \gamma

A search for the rare decay of a $B^{0}$ or $B^{0}_{s}$ meson into the final state $J/\psi\gamma$ is performed, using data collected by the LHCb experiment in $pp$ collisions at $\sqrt{s}=7$ and $8$ TeV, corresponding to an integrated luminosity of 3 fb$^{-1}$. The observed number of signal candidates is consistent with a background-only hypothesis. Branching fraction values larger than $1.7\times 10^{-6}$ for the $B^{0}\to J/\psi\gamma$ decay mode are excluded at 90% confidence level. For the $B^{0}_{s}\to J/\psi\gamma$ decay mode, branching fraction values larger than $7.4\times 10^{-6}$ are excluded at 90% confidence level, this is the first branching fraction limit for this decay.Comment: All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-044.htm

Study of the production of Λb0\Lambda_b^0 and B‾0\overline{B}^0 hadrons in pppp collisions and first measurement of the Λb0→J/ψpK−\Lambda_b^0\rightarrow J/\psi pK^- branching fraction

The product of the $\Lambda_b^0$ ($\overline{B}^0$) differential production cross-section and the branching fraction of the decay $\Lambda_b^0\rightarrow J/\psi pK^-$ ($\overline{B}^0\rightarrow J/\psi\overline{K}^*(892)^0$) is measured as a function of the beauty hadron transverse momentum, $p_{\rm T}$, and rapidity, $y$. The kinematic region of the measurements is $p_{\rm T}<20~{\rm GeV}/c$ and $2.0<y<4.5$. The measurements use a data sample corresponding to an integrated luminosity of $3~{\rm fb}^{-1}$ collected by the LHCb detector in $pp$ collisions at centre-of-mass energies $\sqrt{s}=7~{\rm TeV}$ in 2011 and $\sqrt{s}=8~{\rm TeV}$ in 2012. Based on previous LHCb results of the fragmentation fraction ratio, $f_{\Lambda_B^0}/f_d$, the branching fraction of the decay $\Lambda_b^0\rightarrow J/\psi pK^-$ is measured to be \begin{equation*} \mathcal{B}(\Lambda_b^0\rightarrow J/\psi pK^-)= (3.17\pm0.04\pm0.07\pm0.34^{+0.45}_{-0.28})\times10^{-4}, \end{equation*} where the first uncertainty is statistical, the second is systematic, the third is due to the uncertainty on the branching fraction of the decay $\overline{B}^0\rightarrow J/\psi\overline{K}^*(892)^0$, and the fourth is due to the knowledge of $f_{\Lambda_b^0}/f_d$. The sum of the asymmetries in the production and decay between $\Lambda_b^0$ and $\overline{\Lambda}_b^0$ is also measured as a function of $p_{\rm T}$ and $y$. The previously published branching fraction of $\Lambda_b^0\rightarrow J/\psi p\pi^-$, relative to that of $\Lambda_b^0\rightarrow J/\psi pK^-$, is updated. The branching fractions of $\Lambda_b^0\rightarrow P_c^+(\rightarrow J/\psi p)K^-$ are determined.Comment: 29 pages, 19figures. All figures and tables, along with any supplementary material and additional information, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-032.htm

Search for hidden-sector bosons in B0 ⁣→K∗0μ+μ−B^0 \!\to K^{*0}\mu^+\mu^- decays

A search is presented for hidden-sector bosons, $\chi$, produced in the decay ${B^0\!\to K^*(892)^0\chi}$, with $K^*(892)^0\!\to K^{+}\pi^{-}$ and $\chi\!\to\mu^+\mu^-$. The search is performed using $pp$-collision data corresponding to 3.0 fb$^{-1}$ collected with the LHCb detector. No significant signal is observed in the accessible mass range $214 \leq m({\chi}) \leq 4350$ MeV, and upper limits are placed on the branching fraction product $\mathcal{B}(B^0\!\to K^*(892)^0\chi)\times\mathcal{B}(\chi\!\to\mu^+\mu^-)$ as a function of the mass and lifetime of the $\chi$ boson. These limits are of the order of $10^{-9}$ for $\chi$ lifetimes less than 100 ps over most of the $m(\chi)$ range, and place the most stringent constraints to date on many theories that predict the existence of additional low-mass bosons.Comment: All figures and tables, along with supplementary material, are available at https://lhcbproject.web.cern.ch/lhcbproject/Publications/LHCbProjectPublic/LHCb-PAPER-2015-036.htm