An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Three-loop \beta-functions for top-Yukawa and the Higgs self-interaction in the Standard Model

We analytically compute the dominant contributions to the \beta-functions for the top-Yukawa coupling, the strong coupling and the Higgs self-coupling as well as the anomalous dimensions of the scalar, gluon and quark fields in the unbroken phase of the Standard Model at three-loop level. These are mainly the QCD and top-Yukawa corrections. The contributions from the Higgs self-interaction which are negligible for the running of the top-Yukawa and the strong coupling but important for the running of the Higgs self-coupling are also evaluated.Comment: 22 pages, 7 figures. Few extra citations are added; the plots are improved. Results in computer readable form can be retrieved from http://www-ttp.particle.uni-karlsruhe.de/Progdata/ttp12/ttp12-012

Corporate governance compliance and disclosure in the banking sector: using data from Japan

Using regression model this study investigates which characteristics of a bank is associated with the extent of corporate governance disclosure in Japan. The findings suggest that on average 8 banks out of a sample of 46 disclose optimal corporate governance information. The regression model results reveal in general that non-executive directors, cross-ownership, capital adequacy ratio and type of auditors are associated with the extent of corporate governance disclosure. Of these four variables, non-executive directors have a more significant impact on the extent of disclosure contrary to total assets and audit firms of banks in the context of Japan. The findings of this paper are relevant for corporate regulators, professional associations and developers of corporate governance code when designing or updating corporate governance code

A Shift Symmetry in the Higgs Sector: Experimental Hints and Stringy Realizations

We interpret reported hints of a Standard Model Higgs boson at ~ 125 GeV in terms of high-scale supersymmetry breaking with a shift symmetry in the Higgs sector. More specifically, the Higgs mass range suggested by recent LHC data extrapolates, within the (non-supersymmetric) Standard Model, to a vanishing quartic Higgs coupling at a UV scale between 10^6 and 10^18 GeV. Such a small value of lambda can be understood in terms of models with high-scale SUSY breaking if the Kahler potential possesses a shift symmetry, i.e., if it depends on H_u and H_d only in the combination (H_u+\bar{H}_d). This symmetry is known to arise rather naturally in certain heterotic compactifications. We suggest that such a structure of the Higgs Kahler potential is common in a wider class of string constructions, including intersecting D7- and D6-brane models and their extensions to F-theory or M-theory. The latest LHC data may thus be interpreted as hinting to a particular class of compactifications which possess this shift symmetry.Comment: v2: References added. v3: References added, published versio

Proceedings of the 2nd Workshop on Flavor Symmetries and Consequences in Accelerators and Cosmology (FLASY12)

These are the proceedings of the 2nd Workshop on Flavor Symmetries and Consequences in Accelerators and Cosmology, held 30 June 2012 - 4 July 2012, Dortmund, Germany.Comment: Order 400 pages, several figures including the group picture v2: corrected author list and contributio

Higgs mass and vacuum stability in the Standard Model at NNLO

We present the first complete next-to-next-to-leading order analysis of the Standard Model Higgs potential. We computed the two-loop QCD and Yukawa corrections to the relation between the Higgs quartic coupling (lambda) and the Higgs mass (Mh), reducing the theoretical uncertainty in the determination of the critical value of Mh for vacuum stability to 1 GeV. While lambda at the Planck scale is remarkably close to zero, absolute stability of the Higgs potential is excluded at 98% C.L. for Mh < 126 GeV. Possible consequences of the near vanishing of lambda at the Planck scale, including speculations about the role of the Higgs field during inflation, are discussed.Comment: 35 pages, 8 figures. Final published version, misprints fixed, figures update

The 3-3-1 model with S_4 flavor symmetry

We construct a 3-3-1 model based on family symmetry S_4 responsible for the neutrino and quark masses. The tribimaximal neutrino mixing and the diagonal quark mixing have been obtained. The new lepton charge \mathcal{L} related to the ordinary lepton charge L and a SU(3) charge by L=2/\sqrt{3} T_8+\mathcal{L} and the lepton parity P_l=(-)^L known as a residual symmetry of L have been introduced which provide insights in this kind of model. The expected vacuum alignments resulting in potential minimization can origin from appropriate violation terms of S_4 and \mathcal{L}. The smallness of seesaw contributions can be explained from the existence of such terms too. If P_l is not broken by the vacuum values of the scalar fields, there is no mixing between the exotic and the ordinary quarks at the tree level.Comment: 20 pages, revised versio

The Intermediate Scale MSSM, the Higgs Mass and F-theory Unification

Even if SUSY is not present at the Electro-Weak scale, string theory suggests its presence at some scale M_{SS} below the string scale M_s to guarantee the absence of tachyons. We explore the possible value of M_{SS} consistent with gauge coupling unification and known sources of SUSY breaking in string theory. Within F-theory SU(5) unification these two requirements fix M_{SS} ~ 5 x 10^{10} GeV at an intermediate scale and a unification scale M_c ~ 3 x 10^{14} GeV. As a direct consequence one also predicts the vanishing of the quartic Higgs SM self-coupling at M_{SS} ~10^{11} GeV. This is tantalizingly consistent with recent LHC hints of a Higgs mass in the region 124-126 GeV. With such a low unification scale M_c ~ 3 x 10^{14} GeV one may worry about too fast proton decay via dimension 6 operators. However in the F-theory GUT context SU(5) is broken to the SM via hypercharge flux. We show that this hypercharge flux deforms the SM fermion wave functions leading to a suppression, avoiding in this way the strong experimental proton decay constraints. In these constructions there is generically an axion with a scale of size f_a ~ M_c/(4\pi)^2 ~ 10^{12} GeV which could solve the strong CP problem and provide for the observed dark matter. The prize to pay for these attractive features is to assume that the hierarchy problem is solved due to anthropic selection in a string landscape.Comment: 48 pages, 8 figures. v3: further minor correction

Constraining Bosonic Supersymmetry from Higgs results and 8 TeV ATLAS multi-jets plus missing energy data

The collider phenomenology of models with Universal Extra Dimensions (UED) is surprisingly similar to that of supersymmetric (SUSY) scenarios. For each level-1 bosonic (fermionic) Kaluza-Klein (KK) state, there is a fermionic (bosonic) analog in SUSY and thus UED scenarios are often known as bosonic supersymmetry. The minimal version of UED (mUED) gives rise to a quasi-degenerate particle spectrum at each KK-level and thus, can not explain the enhanced Higgs to diphoton decay rate hinted by the ATLAS collaboration of the Large Hadron Collider (LHC) experiment. However, in the non-minimal version of the UED (nmUED) model, the enhanced Higgs to diphoton decay rate can be easily explained via the suitable choice of boundary localized kinetic (BLK) terms for higher dimensional fermions and gauge bosons. BLK terms remove the degeneracy in the KK mass spectrum and thus, pair production of level-1 quarks and gluons at the LHC gives rise to hard jets, leptons and large missing energy in the final state. These final states are studied in details by the ATLAS and CMS collaborations in the context of SUSY scenarios. We find that the absence of any significant deviation of the data from the Standard Model (SM) prediction puts a lower bound of about 2.1 TeV on equal mass excited quarks and gluons.Comment: 19 page

CARoma Therapy: Pleasant Scents Promote Safer Driving, Better Mood, and Improved Well-Being in Angry Drivers

Driving is a task that is often affected by emotions. The effect of emotions on driving has been extensively studied. Anger is an emotion that dominates in such investigations. Despite the knowledge on strong links between scents and emotions, few studies have explored the effect of olfactory stimulation in a context of driving. Such an outcome provides HCI practitioners very little knowledge on how to design for emotions using olfactory stimulation in the car. We carried out three studies to select scents of different valence and arousal levels (i.e. rose, peppermint, and civet) and anger eliciting stimuli (i.e. affective pictures and on-road events). We used this knowledge to conduct the fourth user study investigating how the selected scents change the emotional state, well-being, and driving behaviour of drivers in an induced angry state. Our findings enable better decisions on what scents to choose when designing interactions for angry drivers