Volatility term structures in commodity markets

In this study, we comprehensively examine the volatility term structures in commodity markets. We model state‐dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a substantial interconnectedness of the volatility term structures of commodities. Accounting for intra‐commodity‐market spillovers significantly improves out‐of‐sample forecasts of the components of the volatility term structure. Spillovers following macroeconomic news announcements account for a large proportion of this forecast power. There thus seems to be substantial information transmission between different commodity markets

Titan's Stratospheric Condensibles at High Northern Latitudes During Northern Winter

The Infrared Interferometer Spectrometer (IRIS) instrument on board Voyager 1 caught the first glimpse of an unidentified particulate feature in Titan's stratosphere that spectrally peaks at 221 per centimeter. Until recently, this feature that we have termed 'the haystack,' has been seen persistently at high northern latitudes with the Composite Infrared Spectrometer (CIRS) instrument onboard Cassini, The strength of the haystack emission feature diminishes rapidly with season, becoming drastically reduced at high northern latitudes, as Titan transitions from northern winter into spring, In contrast to IRIS whose shortest wavenumber was 200 per centimeter, CIRS extends down to 10 per centimeter, thus revealing an entirely unexplored spectral region in which nitrile ices have numerous broad lattice vibration features, Unlike the haystack, which is only found at high northern latitudes during northern winter/early northern spring, this geometrically thin nitrile cloud pervades Titan's lower stratosphere, spectrally peaking at 160 per centimeter, and is almost global in extent spanning latitudes 85 N to 600 S, The inference of nitrile ices are consistent with the highly restricted altitude ranges over which these features are observed, and appear to be dominated by a mixture of HCN and HC3N, The narrow range in altitude over which the nitrile ices extend is unlike the haystack, whose vertical distribution is significantly broader, spanning roughly 70 kilometers in altitude in Titan's lower stratosphere, The nitrile clouds that CIRS observes are located in a dynamically stable region of Titan's atmosphere, whereas CH4 clouds, which ordinarily form in the troposphere, form in a more dynamically unstable region, where convective cloud systems tend to occur. In the unusual situation where Titan's tropopause cools significantly from the HASI 70.5K temperature minimum, CH4 should condense in Titan's lower stratosphere, just like the aforementioned nitrile clouds, although in significantly larger abundances. We will present the spectral and vertical distribution of Titan's stratospheric particulates during northern winter on Titan. The drastically changing abundance of the haystack over a small latitude range will be highlighted, specifically comparing the IRIS and CIRS epochs, Finally, we will discuss the situation in which CH4 condenses in Titan's lower stratosphere, forming an unexpected quasi steady-state stratospheric Ice cloud

Activity Dependent Branching Ratios in Stocks, Solar X-ray Flux, and the Bak-Tang-Wiesenfeld Sandpile Model

We define an activity dependent branching ratio that allows comparison of different time series $X_{t}$. The branching ratio $b_x$ is defined as $b_x= E[\xi_x/x]$. The random variable $\xi_x$ is the value of the next signal given that the previous one is equal to $x$, so $\xi_x=\{X_{t+1}|X_t=x\}$. If $b_x>1$, the process is on average supercritical when the signal is equal to $x$, while if $b_x<1$, it is subcritical. For stock prices we find $b_x=1$ within statistical uncertainty, for all $x$, consistent with an ``efficient market hypothesis''. For stock volumes, solar X-ray flux intensities, and the Bak-Tang-Wiesenfeld (BTW) sandpile model, $b_x$ is supercritical for small values of activity and subcritical for the largest ones, indicating a tendency to return to a typical value. For stock volumes this tendency has an approximate power law behavior. For solar X-ray flux and the BTW model, there is a broad regime of activity where $b_x \simeq 1$, which we interpret as an indicator of critical behavior. This is true despite different underlying probability distributions for $X_t$, and for $\xi_x$. For the BTW model the distribution of $\xi_x$ is Gaussian, for $x$ sufficiently larger than one, and its variance grows linearly with $x$. Hence, the activity in the BTW model obeys a central limit theorem when sampling over past histories. The broad region of activity where $b_x$ is close to one disappears once bulk dissipation is introduced in the BTW model -- supporting our hypothesis that it is an indicator of criticality.Comment: 7 pages, 11 figure

Enhanced Zeeman splitting in Ga0.25In0.75As quantum point contacts

The strength of the Zeeman splitting induced by an applied magnetic field is an important factor for the realization of spin-resolved transport in mesoscopic devices. We measure the Zeeman splitting for a quantum point contact etched into a Ga0.25In0.75As quantum well, with the field oriented parallel to the transport direction. We observe an enhancement of the Lande g-factor from |g*|=3.8 +/- 0.2 for the third subband to |g*|=5.8 +/- 0.6 for the first subband, six times larger than in GaAs. We report subband spacings in excess of 10 meV, which facilitates quantum transport at higher temperatures.Comment: [Version 2] Revtex4, 11 pages, 3 figures, accepted for publication in Applied Physics Letter

Socially Optimal Mining Pools

Mining for Bitcoins is a high-risk high-reward activity. Miners, seeking to reduce their variance and earn steadier rewards, collaborate in pooling strategies where they jointly mine for Bitcoins. Whenever some pool participant is successful, the earned rewards are appropriately split among all pool participants. Currently a dozen of different pooling strategies (i.e., methods for distributing the rewards) are in use for Bitcoin mining. We here propose a formal model of utility and social welfare for Bitcoin mining (and analogous mining systems) based on the theory of discounted expected utility, and next study pooling strategies that maximize the social welfare of miners. Our main result shows that one of the pooling strategies actually employed in practice--the so-called geometric pay pool--achieves the optimal steady-state utility for miners when its parameters are set appropriately. Our results apply not only to Bitcoin mining pools, but any other form of pooled mining or crowdsourcing computations where the participants engage in repeated random trials towards a common goal, and where "partial" solutions can be efficiently verified

Revealed cardinal preference

I prove that as long as we allow the marginal utility for money (lambda) to vary between purchases (similarly to the budget) then the quasi-linear and the ordinal budget-constrained models rationalize the same data. However, we know that lambda is approximately constant. I provide a simple constructive proof for the necessary and sufficient condition for the constant lambda rationalization, which I argue should replace the Generalized Axiom of Revealed Preference in empirical studies of consumer behavior. 'Go Cardinals!' It is the minimal requirement of any scientifi c theory that it is consistent with the data it is trying to explain. In the case of (Hicksian) consumer theory it was revealed preference -introduced by Samuelson (1938,1948) - that provided an empirical test to satisfy this need. At that time most of economic reasoning was done in terms of a competitive general equilibrium, a concept abstract enough so that it can be built on the ordinal preferences over baskets of goods - even if the extremely specialized ones of Arrow and Debreu. However, starting in the sixties, economics has moved beyond the 'invisible hand' explanation of how -even competitive- markets operate. A seemingly unavoidable step of this 'revolution' was that ever since, most economic research has been carried out in a partial equilibrium context. Now, the partial equilibrium approach does not mean that the rest of the markets are ignored, rather that they are held constant. In other words, there is a special commodity -call it money - that reflects the trade-offs of moving purchasing power across markets. As a result, the basic building block of consumer behavior in partial equilibrium is no longer the consumer's preferences over goods, rather her valuation of them, in terms of money. This new paradigm necessitates a new theory of revealed preference

Imaging a 1-electron InAs quantum dot in an InAs/InP nanowire

Nanowire heterostructures define high-quality few-electron quantum dots for nanoelectronics, spintronics and quantum information processing. We use a cooled scanning probe microscope (SPM) to image and control an InAs quantum dot in an InAs/InP nanowire, using the tip as a movable gate. Images of dot conductance vs. tip position at T = 4.2 K show concentric rings as electrons are added, starting with the first electron. The SPM can locate a dot along a nanowire and individually tune its charge, abilities that will be very useful for the control of coupled nanowire dots

The Combinatorial World (of Auctions) According to GARP

Revealed preference techniques are used to test whether a data set is compatible with rational behaviour. They are also incorporated as constraints in mechanism design to encourage truthful behaviour in applications such as combinatorial auctions. In the auction setting, we present an efficient combinatorial algorithm to find a virtual valuation function with the optimal (additive) rationality guarantee. Moreover, we show that there exists such a valuation function that both is individually rational and is minimum (that is, it is component-wise dominated by any other individually rational, virtual valuation function that approximately fits the data). Similarly, given upper bound constraints on the valuation function, we show how to fit the maximum virtual valuation function with the optimal additive rationality guarantee. In practice, revealed preference bidding constraints are very demanding. We explain how approximate rationality can be used to create relaxed revealed preference constraints in an auction. We then show how combinatorial methods can be used to implement these relaxed constraints. Worst/best-case welfare guarantees that result from the use of such mechanisms can be quantified via the minimum/maximum virtual valuation function

Electronic transport in Si nanowires: Role of bulk and surface disorder

We calculate the resistance and mean free path in long metallic and semiconducting silicon nanowires (SiNWs) using two different numerical approaches: A real space Kubo method and a recursive Green's function method. We compare the two approaches and find that they are complementary: depending on the situation a preferable method can be identified. Several numerical results are presented to illustrate the relative merits of the two methods. Our calculations of relaxed atomic structures and their conductance properties are based on density functional theory without introducing adjustable parameters. Two specific models of disorder are considered: Un-passivated, surface reconstructed SiNWs are perturbed by random on-site (Anderson) disorder whereas defects in hydrogen passivated wires are introduced by randomly removed H atoms. The un-passivated wires are very sensitive to disorder in the surface whereas bulk disorder has almost no influence. For the passivated wires, the scattering by the hydrogen vacancies is strongly energy dependent and for relatively long SiNWs (L>200 nm) the resistance changes from the Ohmic to the localization regime within a 0.1 eV shift of the Fermi energy. This high sensitivity might be used for sensor applications.Comment: 9 pages, 7 figures, submitted to Phys. Rev.