Double Exponential Instability of Triangular Arbitrage Systems

If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX) markets, in which trading platforms and information are fragmented. In Kozyakin et al. (2010) and Cross et al. (2012) it was shown that sequences of triangular arbitrage operations in FX markets containing 4 currencies and trader-arbitrageurs tend to display periodicity or grow exponentially rather than being self-extinguishing. This paper extends the analysis to 5 or higher-order currency worlds. The key findings are that in a 5-currency world arbitrage sequences may also follow an exponential law as well as display periodicity, but that in higher-order currency worlds a double exponential law may additionally apply. There is an "inheritance of instability" in the higher-order currency worlds. Profitable arbitrage operations are thus endemic rather that displaying the self-extinguishing properties implied by the EMH.Comment: 22 pages, 22 bibliography references, expanded Introduction and Conclusion, added bibliohraphy reference

Complementary Patents and Market Structure

Many high technology goods are based on standards that require several essential patents owned by different IP holders. This gives rise to a complements and a double mark-up problem. We compare the welfare effects of two different business strategies dealing with these problems. Vertical integration of an IP holder and a downstream producer solves the double mark-up problem between these firms. Nevertheless, it may raise royalty rates and reduce output as compared to non-integration. Horizontal integration of IP holders solves the complements problem but not the double mark-up problem. Vertical integration discourages entry and reduces innovation incentives, while horizontal integration always benefits from entry and innovatio

Bailouts in a common market: a strategic approach

Governments in the EU grant Rescue and Restructure Subsidies to bail out ailing firms. In an international asymmetric Cournot duopoly we study effects of such subsidies on market structure and welfare. We adopt a common market setting, where consumers from the two countries form one market. We show that the subsidy is positive also when it fails to prevent the exit. The reason is a strategic effect, which forces the more efficient firm to make additional cost-reducing effort. When the exit is prevented, allocative and productive efficiencies are lower and the only gaining player is the rescued firm

Uniqueness of Nash equilibria in quantum Cournot duopoly game

A quantum Cournot game of which classical form game has multiple Nash equilibria is examined. Although the classical equilibria fail to be Pareto optimal, the quantum equilibrium exhibits the following two properties, (i) if the measurement of entanglement between strategic variables chosen by the competing firms is sufficiently large, the multiplicity of equilibria vanishes, and, (ii) the more strongly the strategic variables are entangled, the more closely the unique equilibrium approaches to the optimal one.Comment: 7 pages, 2 figure

Come back Marshall, all is forgiven? : Complexity, evolution, mathematics and Marshallian exceptionalism

Marshall was the great synthesiser of neoclassical economics. Yet with his qualified assumption of self-interest, his emphasis on variation in economic evolution and his cautious attitude to the use of mathematics, Marshall differs fundamentally from other leading neoclassical contemporaries. Metaphors inspire more specific analogies and ontological assumptions, and Marshall used the guiding metaphor of Spencerian evolution. But unfortunately, the further development of a Marshallian evolutionary approach was undermined in part by theoretical problems within Spencer's theory. Yet some things can be salvaged from the Marshallian evolutionary vision. They may even be placed in a more viable Darwinian framework.Peer reviewedFinal Accepted Versio

Modeling Airline Frequency Competition for Airport Congestion Mitigation

Demand often exceeds capacity at congested airports. Airline frequency competition is partially responsible for the growing demand for airport resources. We propose a game-theoretic model for airline frequency competition under slot constraints. The model is solved to obtain a Nash equilibrium using a successive optimizations approach, wherein individual optimizations are performed using a dynamic programming-based technique. The model predictions are validated against actual frequency data, with the results indicating a close fit to reality. We use the model to evaluate different strategic slot allocation schemes from the perspectives of the airlines and the passengers. The most significant result of this research shows that a small reduction in the total number of allocated slots translates into a substantial reduction in flight and passenger delays and also a considerable improvement in airlines' profits

Dynamics & Predictions in the Co-Event Interpretation

Sorkin has introduced a new, observer independent, interpretation of quantum mechanics that can give a successful realist account of the 'quantum microworld' as well as explaining how classicality emerges at the level of observable events for a range of systems including single time 'Copenhagen measurements'. This 'co-event interpretation' presents us with a new ontology, in which a single 'co-event' is real. A new ontology necessitates a review of the dynamical & predictive mechanism of a theory, and in this paper we begin the process by exploring means of expressing the dynamical and predictive content of histories theories in terms of co-events.Comment: 35 pages. Revised after refereein

Patterns of adiposity, vascular phenotypes and cognitive function in the 1946 British Birth Cohort.

BACKGROUND: The relationship between long-term exposure to whole body or central obesity and cognitive function, as well as its potential determinants, remain controversial. In this study, we assessed (1) the potential impact of 30 years exposure to different patterns of whole body and central adiposity on cognitive function at 60-64 years, (2) whether trajectories of central adiposity can provide additional information on later cognitive function compared to trajectories of whole body adiposity, and (3) the influence of vascular phenotypes on these associations. METHODS: The study included 1249 participants from the prospective cohort MRC National Survey of Health and Development. Body mass index (BMI), waist circumference (WC), and vascular (carotid intima-media thickness, carotid-femoral pulse wave velocity) and cognitive function (memory, processing speed, reaction time) data, at 60-64 years, were used to assess the associations between different patterns of adult WC or BMI (from 36 years of age) and late midlife cognitive performance, as well as the proportion of this association explained by cardiovascular phenotypes. RESULTS: Longer exposure to elevated WC was related to lower memory performance (p < 0.001 for both) and longer choice reaction time (p = 0.003). A faster gain of WC between 36 and 43 years of age was associated with the largest change in reaction time and memory test (P < 0.05 for all). Similar associations were observed when patterns of WC were substituted with patterns of BMI, but when WC and BMI were included in the same model, only patterns of WC remained significantly associated with cognitive function. Participants who dropped one BMI category and maintained a lower BMI had similar memory performance to those of normal weight during the whole follow-up. Conversely, those who dropped and subsequently regained one BMI category had a memory function similar to those with 30 years exposure to elevated BMI. Adjustment for vascular phenotypes, levels of cardiovascular risk factors, physical activity, education, childhood cognition and socioeconomic position did not affect these associations. CONCLUSIONS: Longer exposure to elevated WC or BMI and faster WC or BMI gains between 36 and 43 years are related to lower cognitive function at 60-64 years. Patterns of WC in adulthood could provide additional information in predicting late midlife cognitive function than patterns of BMI. The acquisition of an adverse cardiovascular phenotype associated with adiposity is unlikely to account for these relationships

Twistor form of massive 6D superparticle

The massive six-dimensional (6D) superparticle with manifest (n, 0) supersymmetry is shown to have a supertwistor formulation in which its “hidden” (0, n) supersymmetry is also manifest. The mass-shell constraint is replaced by Spin(5) spin-shell constraints which imply that the quantum superparticle has zero superspin; for n = 1 it propagates the 6D Proca supermultiplet.PKT acknowledges support from the UK Science and Technology Facilities Council (grant ST/L000385/1). AJR is supported by a grant from the London Mathematical Society.This is the final version of the article. It was first available from IOP Science via http://dx.doi.org/10.1088/1751-8113/49/2/02540

Impulsiveness, postprandial blood glucose and glucoregulation affect measures of behavioral flexibility

Behavioral flexibility (BF) performance is influenced by both psychological and physiological factors. Recent evidence suggests that impulsivity and blood glucose can affect executive function, of which BF is a subdomain. Here, we hypothesized that impulsivity, fasting blood glucose (FBG), glucose changes (i.e. glucoregulation) from postprandial blood glucose (PBG) following the intake of a 15g glucose beverage could account for variability in BF performance. The Stroop Color-Word Test and the Wisconsin Card Sorting Test (WCST) were used as measures of BF, and the Barratt Impulsiveness Scale (BIS-11) to quantify participants’ impulsivity. In Study 1, neither impulsivity nor FBG could predict performance on the Stroop or the WCST. In Study 2, we tested whether blood glucose levels following the intake of a sugary drink, and absolute changes in glucose levels following the intake of the glucose beverage could better predict BF. Results showed that impulsivity and the difference in blood glucose between time 1 (postprandial) and time 2, but not blood glucose levels at time 2 per se could account for variation in performance on the WCST but not on the Stroop task. More specifically, lower impulsivity scores on the BIS-11, and smaller differences in blood glucose levels from time 1 to time 2 predicted a decrease in the number of total and perseverative errors on the WCST. Our results show that measures of impulsivity and glucoregulation can be used to predict BF. Importantly our data extend the work on glucose and cognition to a clinically relevant domain of cognition