Fix-lines and stability domain in the vicinity of the coupled third order resonance

The single particle stability in a circular accelerator is of concern especially for operational regimes involving beam storage of hours. In the proximity to a resonance this stability domain shrinks, and the phase space fragments into a jungle of exotic objects like for instance "fix-lines". The concept of fix-points is easily understandable in a 2D phase space. It becomes quite challenging when the effect of resonances is considered in the 4D phase space, which leads then to the concept of fix-lines. In this paper we investigate the fix-lines in the proximity of a coupled third order resonance and find the relation of these objects with the stability of motion.Comment: 35 pages, 29 figure

Dynamic Defaultable Term Structure Modelling beyond the Intensity Paradigm

The two main approaches in credit risk are the structural approach pioneered in Merton (1974) and the reduced-form framework proposed in Jarrow & Turnbull (1995) and in Artzner & Delbaen (1995). The goal of this article is to provide a unified view on both approaches. This is achieved by studying reduced-form approaches under weak assumptions. In particular we do not assume the global existence of a default intensity and allow default at fixed or predictable times with positive probability, such as coupon payment dates. In this generalized framework we study dynamic term structures prone to default risk following the forward-rate approach proposed in Heath-Jarrow-Morton (1992). It turns out, that previously considered models lead to arbitrage possibilities when default may happen at a predictable time with positive probability. A suitable generalization of the forward-rate approach contains an additional stochastic integral with atoms at predictable times and necessary and sufficient conditions for a suitable no-arbitrage condition (NAFL) are given. In the view of efficient implementations we develop a new class of affine models which do not satisfy the standard assumption of stochastic continuity. The chosen approach is intimately related to the theory of enlargement of filtrations, to which we provide a small example by means of filtering theory where the Azema supermartingale contains upward and downward jumps, both at predictable and totally inaccessible stopping times

Consumer reaction on tumbling funds - Evidence from retail fund outflows during the financial crisis 2007/2008

Contrary to the findings reported in some of the extant literature, our study indicates that over the past few years a change in investors’ behavior patterns means that investment decisions are made at short notice, and that shares are redeemed in a discriminatory manner when funds perform poorly. By using a data assembled from 1672 retail funds in Germany over the period March 2008 to April 2010, we are able to show that in general, both the prior fund performance and prior net redemptions have a statistically significant influence on fund outflows. Moreover, there are indications that in recent crises situations that have resulted in the withdrawal of shares investors react fast to market signals. Our findings will also highlight areas in which policy-makers, regulatory authorities and the fund industry should establish a strong regulatory framework to prevent liquidity shortages of retail funds.Liquidity risk, financial fragility, bank run, mutual funds, fund flows, net redemptions of fund shares, fund performance, fund industry, risk sharing

Towards models of gravitational waveforms from generic binaries II: Modelling precession effects with a single effective precession parameter

Gravitational waves (GWs) emitted by generic black-hole binaries show a rich structure that directly reflects the complex dynamics introduced by the precession of the orbital plane, which poses a real challenge to the development of generic waveform models. Recent progress in modelling these signals relies on an approximate decoupling between the non-precessing secular inspiral and a precession-induced rotation. However, the latter depends in general on all physical parameters of the binary which makes modelling efforts as well as understanding parameter-estimation prospects prohibitively complex. Here we show that the dominant precession effects can be captured by a reduced set of spin parameters. Specifically, we introduce a single \emph{effective precession spin} parameter, $\chi_p$, which is defined from the spin components that lie in the orbital plane at some (arbitrary) instant during the inspiral. We test the efficacy of this parameter by considering binary inspiral configurations specified by the physical parameters of a corresponding non-precessing-binary configuration (total mass, mass ratio, and spin components (anti-)parallel to the orbital angular momentum), plus the effective precession spin applied to the larger black hole. We show that for an overwhelming majority of random precessing configurations, the precession dynamics during the inspiral are well approximated by our equivalent configurations. Our results suggest that in the comparable-mass regime waveform models with only three spin parameters faithfully represent generic waveforms, which has practical implications for the prospects of GW searches, parameter estimation and the numerical exploration of the precessing-binary parameter space.Comment: 19 pages, 15 figures. Modified discussio

The Silurian Hypothesis: Would It Be Possible to Detect an Industrial Civilization in the Geological Record?

If an industrial civilization had existed on Earth many millions of years prior to ourown era, what traces would it have left and would they be detectable today? We summarize the likely geological fingerprint of the Anthropocene, and demonstrate that while clear, it will not differ greatly in many respects from other known events in the geological record. We then propose tests that could plausibly distinguish an industrial cause from an otherwise naturally occurring climate event