Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk

We study the functioning and possible breakdown of the interbank market due to asymmetric information about counterparty risk. We allow for privately observed shocks to the distribution of asset risk across banks after the initial portfolio of liquid and illiquid investments is chosen. Our model generates sev- eral interbank market regimes: 1) low interest rate spread and full participation; 2) elevated spread and adverse selection; and 3) liquidity hoarding leading to a market breakdown. The regimes are in line with observed developments in the interbank market before and during the 2007-09 financial crisis. We use the model to examine various policy responses.Financial crisis;Interbank market;Liquidity;Asymmetric in- formation

Multirelational Organization of Large-scale Social Networks in an Online World

The capacity to collect fingerprints of individuals in online media has revolutionized the way researchers explore human society. Social systems can be seen as a non-linear superposition of a multitude of complex social networks, where nodes represent individuals and links capture a variety of different social relations. Much emphasis has been put on the network topology of social interactions, however, the multi-dimensional nature of these interactions has largely been ignored in empirical studies, mostly because of lack of data. Here, for the first time, we analyze a complete, multi-relational, large social network of a society consisting of the 300,000 odd players of a massive multiplayer online game. We extract networks of six different types of one-to-one interactions between the players. Three of them carry a positive connotation (friendship, communication, trade), three a negative (enmity, armed aggression, punishment). We first analyze these types of networks as separate entities and find that negative interactions differ from positive interactions by their lower reciprocity, weaker clustering and fatter-tail degree distribution. We then proceed to explore how the inter-dependence of different network types determines the organization of the social system. In particular we study correlations and overlap between different types of links and demonstrate the tendency of individuals to play different roles in different networks. As a demonstration of the power of the approach we present the first empirical large-scale verification of the long-standing structural balance theory, by focusing on the specific multiplex network of friendship and enmity relations.Comment: 7 pages, 5 figures, accepted for publication in PNA

Heavy Superheated Droplet Detectors as a Probe of Spin-independent WIMP Dark Matter Existence

At present, application of Superheated Droplet Detectors (SDDs) in WIMP dark matter searches has been limited to the spin-dependent sector, owing to the general use of fluorinated refrigerants which have high spin sensitivity. Given their recent demonstration of a significant constraint capability with relatively small exposures and the relative economy of the technique, we consider the potential impact of heavy versions of such devices on the spin-independent sector. Limits obtainable from a $\mathrm{CF_{3}I}$-loaded SDD are estimated on the basis of the radiopurity levels and backgrounds already achieved by the SIMPLE and PICASSO experiments. With 34 kgd exposure, equivalent to the current CDMS, such a device may already probe to below 10$^{-6}$ pb in the spin-independent cross section.Comment: 9 pages, 4 figures, accepted Phys. Rev.

Statistical relational learning with soft quantifiers

Quantification in statistical relational learning (SRL) is either existential or universal, however humans might be more inclined to express knowledge using soft quantifiers, such as ``most'' and ``a few''. In this paper, we define the syntax and semantics of PSL^Q, a new SRL framework that supports reasoning with soft quantifiers, and present its most probable explanation (MPE) inference algorithm. To the best of our knowledge, PSL^Q is the first SRL framework that combines soft quantifiers with first-order logic rules for modelling uncertain relational data. Our experimental results for link prediction in social trust networks demonstrate that the use of soft quantifiers not only allows for a natural and intuitive formulation of domain knowledge, but also improves the accuracy of inferred results

Status of the PICASSO Project

The Picasso project is a dark matter search experiment based on the superheated droplet technique. Preliminary runs performed at the Picasso Lab in Montreal have showed the suitability of this detection technique to the search for weakly interacting cold dark matter particles. In July 2002, a new phase of the project started. A batch of six 1-liter detectors with an active mass of approximately 40g was installed in a gallery of the SNO observatory in Sudbury, Ontario, Canada at a depth of 6,800 feet (2,070m). We give a status report on the new experimental setup, data analysis, and preliminary limits on spin-dependent neutralino interaction cross section.Comment: 3 pages, 2 figures. To appear in the Proceedings of the TAUP 2003 conference, 5-9 September, 2003, University of Washington, Seattle, US

Nonlinear eigenvalue problem for optimal resonances in optical cavities

The paper is devoted to optimization of resonances in a 1-D open optical cavity. The cavity's structure is represented by its dielectric permittivity function e(s). It is assumed that e(s) takes values in the range 1 <= e_1 <= e(s) <= e_2. The problem is to design, for a given (real) frequency, a cavity having a resonance with the minimal possible decay rate. Restricting ourselves to resonances of a given frequency, we define cavities and resonant modes with locally extremal decay rate, and then study their properties. We show that such locally extremal cavities are 1-D photonic crystals consisting of alternating layers of two materials with extreme allowed dielectric permittivities e_1 and e_2. To find thicknesses of these layers, a nonlinear eigenvalue problem for locally extremal resonant modes is derived. It occurs that coordinates of interface planes between the layers can be expressed via arg-function of corresponding modes. As a result, the question of minimization of the decay rate is reduced to a four-dimensional problem of finding the zeroes of a function of two variables.Comment: 16 page

Kink far below the Fermi level reveals new electron-magnon scattering channel in Fe

Many properties of real materials can be modeled using ab initio methods within a single-particle picture. However, for an accurate theoretical treatment of excited states, it is necessary to describe electron-electron correlations including interactions with bosons: phonons, plasmons, or magnons. In this work, by comparing spin- and momentum-resolved photoemission spectroscopy measurements to many-body calculations carried out with a newly developed first-principles method, we show that a kink in the electronic band dispersion of a ferromagnetic material can occur at much deeper binding energies than expected (E_b=1.5 eV). We demonstrate that the observed spectral signature reflects the formation of a many-body state that includes a photohole bound to a coherent superposition of renormalized spin-flip excitations. The existence of such a many-body state sheds new light on the physics of the electron-magnon interaction which is essential in fields such as spintronics and Fe-based superconductivity.Comment: 6 pages, 2 figure

Dynamics of Social Balance on Networks

We study the evolution of social networks that contain both friendly and unfriendly pairwise links between individual nodes. The network is endowed with dynamics in which the sense of a link in an imbalanced triad--a triangular loop with 1 or 3 unfriendly links--is reversed to make the triad balanced. With this dynamics, an infinite network undergoes a dynamic phase transition from a steady state to "paradise"--all links are friendly--as the propensity p for friendly links in an update event passes through 1/2. A finite network always falls into a socially-balanced absorbing state where no imbalanced triads remain. If the additional constraint that the number of imbalanced triads in the network does not increase in an update is imposed, then the network quickly reaches a balanced final state.Comment: 10 pages, 7 figures, 2-column revtex4 forma

Optimization of quasi-normal eigenvalues for Krein-Nudelman strings

The paper is devoted to optimization of resonances for Krein strings with total mass and statical moment constraints. The problem is to design for a given $\alpha \in \R$ a string that has a resonance on the line \alpha + \i \R with a minimal possible modulus of the imaginary part. We find optimal resonances and strings explicitly.Comment: 9 pages, these results were extracted in a slightly modified form from the earlier e-print arXiv:1103.4117 [math.SP] following an advise of a journal's refere