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MARKET MICROSTRUCTURE, INFORMATION AGGREGATION AND EQUILIBRIUM UNIQUENESS IN A GLOBAL GAME
This paper studies the outcome of a two-stage global game wherein a market-based asset price determined at the trading stage of the game provides an endogenous public signal about the fundamental that a¤ects traders' decisions in the coordination stage of the game. The microstructure of the trading stage is one in which informed traders may place market orders –rather than full demand schedules– and where a competitive market-making sector sets the price. Because market-order traders face price execution risk, they trade less aggressively on their private information than demand-schedule traders, which slows down information aggregation and limits the informativeness of the asset price. When all traders place market orders, the precision of the price signal is bounded above and the outcome of the coordination stage is unique as the noise in the private signals vanishes. More generally, in an asset market with both market-order and demand-schedule traders, the presence of the former may drastically limit the range of parameters leading to multiple equilibria. This is especially true when traders optimise over their type of order, in which case market-order traders tend to overwhelm the market when the precision of the private signal is large
New semi-conducting rotaxane based on β-cyclodextrin and anthracene moieties
International audienceA new rotaxane (BPAAn/β-CD), consisting of an anthracene-based semi-conducting material (BPAAn) encapsulated into β-cyclodextrin (β-CD), has been synthesized via the Williamson reaction in solvent-free conditions. The supramolecular structure of the compound was confirmed by NMR and FT-IR spectroscopies. The optical and morphological properties of this organic material were investigated by UV–visible absorption, photoluminescence spectroscopy and atomic force microscopy. BPAAn/β-CD film has an optical gap of 2.9 eV and exhibits green photoluminescence. An optical gap of 2.9 eV was estimated from the absorption edge of the rotaxane thin film. The BPAAn/β-CD exhibits a blue photoluminescence in dilute solution; whereas, a green emission was observed in the solid state, due to the π–π interaction in the anthracene moieties. The rotaxane shows a significantly enhanced PL quantum yield and improved film quality in comparison with the free BPAAn. The HOMO and LUMO levels were estimated using cyclic voltammetry analysis, and show enhanced electron affinity of the BPAAn in its complexed form. A single-layer device with the configuration [ITO/rotaxane/Aluminum] has been elaborated and showed low turn-on voltage of 5 V
Dobrushin ergodicity coefficient for Markov operators on cones
Also arXiv:1307.4649International audienceDoeblin and Dobrushin characterized the contraction rate of Markov operators with respect the total variationnorm. We generalize their results by giving an explicit formula for the contraction rate of a Markov operator over a conein terms of pairs of extreme points with disjoint support in a set of abstract probability measures. By duality, we derive a characterization of the contraction rate of consensus dynamics over a cone with respect to Hopf’s oscillation seminorm (the infinitesimal seminorm associated with Hilbert’s projective metric). We apply these results to Kraus maps (noncommutative Markov chains, representing quantum channels), and characterize the ultimate contraction of the map in terms of the existence of a rank one matrix in a certain subspace
Identification of weakly coupled multiphysics problems. Application to the inverse problem of electrocardiography
International audienceThis work addresses the inverse problem of electrocardiography from a new perspective, by combining electrical and mechanical measurements. Our strategy relies on the defini-tion of a model of the electromechanical contraction which is registered on ECG data but also on measured mechanical displacements of the heart tissue typically extracted from medical images. In this respect, we establish in this work the convergence of a sequential estimator which combines for such coupled problems various state of the art sequential data assimilation methods in a unified consistent and efficient framework. Indeed we ag-gregate a Luenberger observer for the mechanical state and a Reduced Order Unscented Kalman Filter applied on the parameters to be identified and a POD projection of the electrical state. Then using synthetic data we show the benefits of our approach for the estimation of the electrical state of the ventricles along the heart beat compared with more classical strategies which only consider an electrophysiological model with ECG measurements. Our numerical results actually show that the mechanical measurements improve the identifiability of the electrical problem allowing to reconstruct the electrical state of the coupled system more precisely. Therefore, this work is intended to be a first proof of concept, with theoretical justifications and numerical investigations, of the ad-vantage of using available multi-modal observations for the estimation and identification of an electromechanical model of the heart
De Newton à Boltzmann et Einstein : validation des modèles cinétiques et de diffusion,: d’après T. Bodineau, I. Gallagher, L. Saint-Raymond, B. Texier
39 pages. Séminaire Bourbaki, Mars 2014International audienceLa théorie cinétique des gaz de Maxwell et Boltzmann s’est trouvée au cœur de controverses scientifiques majeures. L’incompatibilité supposée entre le caractère réversible des équations de la mécanique classique et l’augmentation de l’entropie, qui, dans le cadre de la théorie cinétique des gaz, est une propriété mathématique de l’équation de Boltzmann connue sous le nom de théorème H, était l’un des arguments couramment utilisés contre la validité de cette théorie. Il a fallu attendre environ un siècle pour que O. Lanford propose, en 1974, une stratégie de preuve permettant de démontrer que l’équation de Boltzmann décrit une certaine limite asymptotique des équations de Newton de la mécanique classique pour un système formé d’un très grand nombre N de particules sphériques identiques n’interagissant qu’au cours de collisions élastiques. Un travail récent de I. Gallagher, L. Saint-Raymond et B. Texier précise la preuve de Lanford et l’étend au cas où l’interaction entre particules est décrite par un potentiel à très courte portée. Un article ultérieur de T. Bodineau, I. Gallagher et L. Saint-Raymond étudie ensuite la dynamique d’une particule marquée parmi N dans la même limite asymptotique, établissant ainsi la validité de l’équation de Boltzmann linéaire sur un intervalle de temps dont la longueur tend vers l’infini avec N. En utilisant des résultats aujourd’hui classiques sur la théorie asymptotique de l’équation de Boltzmann linéaire, les mêmes auteurs démontrent que le processus stochastique connu sous le nom de mouvement brownien décrit une certaine limite de la dynamique déterministe de particules en interaction
Testing Hadronic Interaction Models using a Highly Granular Silicon-Tungsten Calorimeter
See paper for full list of authors – 25 pages, 22 figures - Subm. to NIM AInternational audienceA detailed study of hadronic interactions is presented using data recorded with the highly granular CALICE silicon-tungsten electromagnetic calorimeter. Approximately 600,000 selected negatively changed pion events at energies between 2 and 10 GeV have been studied. The predictions of several physics models available within the GEANT4 simulation tool kit are compared to this data. Although a reasonable overall description of the data is observed, there are significant quantitative discrepancies in the longitudinal and transverse distributions of reconstructed energy
Analytical approximations of BSDEs with non-smooth driver
We provide and analyse analytical approximations of BSDEs in the limit of small non-linearity {and short time}, in the case of non-smooth drivers. We identify the first and the second order approximations within this asymptotics and consider two topical financial applications: the two interest rates problem and the Funding Value Adjustment. In high dimensional diffusion setting, we show how to compute explicitly the first order formula by taking advantage of recent proxy techniques. Numerical tests up to dimension 10 illustrate the efficiency of the numerical schemes
Asymptotic stability of the black soliton for the Gross-Pitaevskii equation
International audienceWe introduce a new framework for the analysis of the stability of solitons for the one-dimensional Gross-Pitaevskii equation. In particular, we establish the asymptotic stability of the black soliton with zero speed
HESS J1818-154, a new composite supernova remnant discovered in TeV gamma rays and X-rays
Composite supernova remnants (SNRs) constitute a small subclass of remnants of massive stellar explosions where non-thermal radiation is observed from both the expanding shell-like shock front and from a pulsar wind nebula (PWN) located inside of the SNR. These systems represent a unique evolutionary phase of SNRs where observations in the radio, X-ray and gamma-ray regimes allow the study of the co-evolution of both of these energetic phenomena. In this article, we report results from observations of the shell-type SNR G15.4+0.1 performed with the High Energy Stereoscopic System (H.E.S.S.) and XMM-Newton. A compact TeV gamma-ray source, HESSJ1818-154, located in the center and contained within the shell of G15.4+0.1 is detected by H.E.S.S. featuring a spectrum best represented by a power-law model with a spectral index of and an integral flux of F)=( cm s. Furthermore, a recent observation with XMM-Newton reveals extended X-ray emission strongly peaked in the center of G15.4+0.1. The X-ray source shows indications for an energy-dependent morphology featuring a compact core at energies above 4 keV and more extended emission that fills the entire region within the SNR at lower energies. Together, the X-ray and VHE gamma-ray emission provide strong evidence for the existence of a PWN located inside the shell of G15.4+0.1 and this SNR can therefore be classified as a composite based on these observations. The radio, X-ray and gamma-ray emission from the PWN is compatible with a one-zone leptonic model which requires a low average magnetic field inside the emission region. An unambiguous counterpart to the putative pulsar, thought to power the PWN, has not been detected neither in radio nor in X-ray observations of G15.4+0.1