Resolving the liquidity effect.

Liquidity (Economics)

Automated Grain Yield Behavior Classification

A method for classifying grain stress evolution behaviors using unsupervised learning techniques is presented. The method is applied to analyze grain stress histories measured in-situ using high-energy X-ray diffraction microscopy (HEDM) from the aluminum-lithium alloy Al-Li 2099 at the elastic-plastic transition (yield). The unsupervised learning process automatically classified the grain stress histories into four groups: major softening, no work-hardening or softening, moderate work-hardening, and major work-hardening. The orientation and spatial dependence of these four groups are discussed. In addition, the generality of the classification process to other samples is explored

Capital allocation for credit portfolios with kernel estimators

Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.Comment: 22 pages, 12 tables, 1 figure, some amendment

The Planck-LFI flight model composite waveguides

The Low Frequency Instrument on board the PLANCK satellite is designed to give the most accurate map ever of the CMB anisotropy of the whole sky over a broad frequency band spanning 27 to 77 GHz. It is made of an array of 22 pseudo-correlation radiometers, composed of 11 actively cooled (20 K) Front End Modules (FEMs), and 11 Back End Modules (BEMs) at 300K. The connection between the two parts is made with rectangular Wave Guides. Considerations of different nature (thermal, electromagnetic and mechanical), imposed stringent requirements on the WGs characteristics and drove their design. From the thermal point of view, the WG should guarantee good insulation between the FEM and the BEM sections to avoid overloading the cryocooler. On the other hand it is essential that the signals do not undergo excessive attenuation through the WG. Finally, given the different positions of the FEM modules behind the focal surface and the mechanical constraints given by the surrounding structures, different mechanical designs were necessary. A composite configuration of Stainless Steel and Copper was selected to satisfy all the requirements. Given the complex shape and the considerable length (about 1.5-2 m), manufacturing and testing the WGs was a challenge. This work deals with the development of the LFI WGs, including the choice of the final configuration and of the fabrication process. It also describes the testing procedure adopted to fully characterize these components from the electromagnetic point of view and the space qualification process they underwent. Results obtained during the test campaign are reported and compared with the stringent requirements. The performance of the LFI WGs is in line with requirements, and the WGs were successfully space qualified.Comment: this paper is part of the Prelaunch status LFI papers published on JINST: http://www.iop.org/EJ/journal/-page=extra.proc5/jins

Scaling of the distribution of fluctuations of financial market indices

We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\Delta t$, where $\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\Delta t \leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent $\alpha \approx 3$, well outside the stable L\'evy regime $0 < \alpha < 2$. To test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-97. We find estimates of $\alpha$ consistent with those describing the distribution of S&P 500 daily-returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than $(\Delta t)_{\times} \approx 4$ days, our results are consistent with slow convergence to Gaussian behavior.Comment: 12 pages in multicol LaTeX format with 27 postscript figures (Submitted to PRE May 20, 1999). See http://polymer.bu.edu/~amaral/Professional.html for more of our work on this are

Planck pre-launch status: calibration of the Low Frequency Instrument flight model radiometers

The Low Frequency Instrument (LFI) on-board the ESA Planck satellite carries eleven radiometer subsystems, called Radiometer Chain Assemblies (RCAs), each composed of a pair of pseudo-correlation receivers. We describe the on-ground calibration campaign performed to qualify the flight model RCAs and to measure their pre-launch performances. Each RCA was calibrated in a dedicated flight-like cryogenic environment with the radiometer front-end cooled to 20K and the back-end at 300K, and with an external input load cooled to 4K. A matched load simulating a blackbody at different temperatures was placed in front of the sky horn to derive basic radiometer properties such as noise temperature, gain, and noise performance, e.g. 1/f noise. The spectral response of each detector was measured as was their susceptibility to thermal variation. All eleven LFI RCAs were calibrated. Instrumental parameters measured in these tests, such as noise temperature, bandwidth, radiometer isolation, and linearity, provide essential inputs to the Planck-LFI data analysis.Comment: 15 pages, 18 figures. Accepted for publication in Astronomy and Astrophysic

Planck-LFI: Design and Performance of the 4 Kelvin Reference Load Unit

The LFI radiometers use a pseudo-correlation design where the signal from the sky is continuously compared with a stable reference signal, provided by a cryogenic reference load system. The reference unit is composed by small pyramidal horns, one for each radiometer, 22 in total, facing small absorbing targets, made of a commercial resin ECCOSORB CR (TM), cooled to approximately 4.5 K. Horns and targets are separated by a small gap to allow thermal decoupling. Target and horn design is optimized for each of the LFI bands, centered at 70, 44 and 30 GHz. Pyramidal horns are either machined inside the radiometer 20K module or connected via external electro-formed bended waveguides. The requirement of high stability of the reference signal imposed a careful design for the radiometric and thermal properties of the loads. Materials used for the manufacturing have been characterized for thermal, RF and mechanical properties. We describe in this paper the design and the performance of the reference system.Comment: This is an author-created, un-copyedited version of an article accepted for publication in JINST. IOP Publishing Ltd is not responsible for any errors or omissions in this version of the manuscript or any version derived from it. The definitive publisher authenticated version is available online at [10.1088/1748-0221/4/12/T12006]. 14 pages, 34 figure

Economic Fluctuations and Diffusion

Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of transactions $N_{\Delta t}$ - and the price change $G_{\Delta t}$, for a given stock, over a time interval $[t, t+\Delta t]$. To this end, we analyze a database documenting every transaction for 1000 US stocks over the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of diffusion, where the diffusion coefficient fluctuates drastically in time. We relate the analog of the diffusion coefficient to two microscopic quantities: (i) the number of transactions $N_{\Delta t}$ in $\Delta t$, which is the analog of the number of collisions and (ii) the local variance $w^2_{\Delta t}$ of the price changes for all transactions in $\Delta t$, which is the analog of the local mean square displacement between collisions. We study the distributions of both $N_{\Delta t}$ and $w_{\Delta t}$, and find that they display power-law tails. Further, we find that $N_{\Delta t}$ displays long-range power-law correlations in time, whereas $w_{\Delta t}$ does not. Our results are consistent with the interpretation that the pronounced tails of the distribution of $G_{\Delta t} are due to$w_{\Delta t}$, and that the long-range correlations previously found for$| G_{\Delta t} |$are due to$N_{\Delta t}$.Comment: RevTex 2 column format. 6 pages, 36 references, 15 eps figure