113,679 research outputs found
Multiphoton processes in driven mesoscopic systems
No full textWe study the statistics of multiphoton absorption/emission processes in a mesoscopic ring threaded by a harmonic time-dependent flux Phi(t). For this sake, we demonstrate a useful analogy between the Keldysh quantum kinetic equation for the electron distribution function and a continuous time random walk in energy space with corrections due to interference effects. Studying the probability to absorb/emit n quanta h omega per scattering event, we explore the crossover between ultraquantum/low-intensity limit and quasiclassical/high-intensity regime, and the role of multiphoton processes in driving it. © 2007 The American Physical Society
Conduction in quasiperiodic and quasirandom lattices: Fibonacci, Riemann, and Anderson models
No full textWe study the ground state conduction properties of noninteracting electrons in aperiodic but nonrandom one-dimensional models with chiral symmetry and make comparisons against Anderson models with nondeterministic disorder. The first model we consider is the Fibonacci lattice, which is a paradigmatic model of quasicrystals; the second is the Riemann lattice, which we define inspired by Dyson's proposal on the possible connection between the Riemann hypothesis and a suitably defined quasicrystal. Our analysis is based on Kohn's many-particle localization tensor defined within the modern theory of the insulating state. In the Fibonacci quasicrystal, where all single-particle eigenstates are critical (i.e., intermediate between ergodic and localized), the noninteracting electron gas is found to be an insulator, due to spectral gaps, at various specific fillings rho, including the values rho = 1/g(n), where g is the golden ratio and n is any integer; however away from these spectral anomalies, the system is found to be a conductor, including the half-filled case. In the Riemann lattice metallic behavior is found at half filling as well; however, in contrast to the Fibonacci quasicrystal, the Riemann lattice is generically an insulator due to single-particle eigenstate localization, likely at all other fillings. Its behavior turns out to be alike that of the off-diagonal Anderson model, albeit with different system-size scaling of the band-center anomalies. The advantages of analyzing the Kohn's localization tensor instead of other measures of localization familiar from the theory of Anderson insulators (such as the participation ratio or the Lyapunov exponent) are highlighted
Porovnanie modelov pre oceňovanie warrantov
No full textThe theme of this master’s thesis is warrant pricing methods. Four models will be presented, the benchmark Black-Scholes model originally developed for option pricing, the diluted version, the Galai-Schneller model and the Ukhov model implementing the firm volatility. Fourteen warrants quoted on the Hong Kong Stock Exchange are priced in the practical part. Appropriate risk-free rate and volatility measures are discussed. In the empirical part of the work results of the pricing models are presented. Author used three volatility estimation methods, the standard equal weighted, GARCH and implied volatility. The best results were given by the combination of the Galai-Schneller model and the implied volatility. The Black-Scholes model intended for option valuation performed the worst.Témou diplomovej práce je oceňovanie warrantov. Budú predstavené štyri modely, základný Black-Scholes model pôvodne určený pre oceňovanie opcií, jeho alternatíva upravená o mieru rozdelenia, Galai-Schneller model a Ukhov model implementujúci volatilitu firmy. V praktickej časti bude ocenených štrnásť warrantov kótovaných na Hong Kong burze. Podnetom diskusie bude vhodný výber risk-free sadzby a metódy odhadu volatility. V praktickej časti práce sú prezentované výsledky ocenenia, pričom autorka uvádza 3 možnosti odhadu volatility, štandardnú metódu rovnakých váh, GARCH model a implikovanú volatilitu an základe tržných dát. Najlepšie výsledky mal Galai-Schneller model v kombinácii s implikovanou volatilitou. Black Scholes model určený pre oceňovavnie opcií mal výsledky najhoršie
author-bios-SRD-19-0063.R1 – Supplemental material for The Network Structure of Police Misconduct
No full textSupplemental material, author-bios-SRD-19-0063.R1 for The Network Structure of Police Misconduct by George Wood, Daria Roithmayr and Andrew V. Papachristos in Socius</p
Formation of Galaxy Clusters
No full textFormation of galaxy clusters corresponds to the collapse of the largest gravitationally bound overdensities in the initial density field and is accompanied by the most energetic phenomena since the Big Bang and by the complex interplay between gravity-induced dynamics of collapse and baryonic processes associated with galaxy formation. Galaxy clusters are, thus, at the cross-roads of cosmology and astrophysics and are unique laboratories for testing models of gravitational structure formation, galaxy evolution, thermodynamics of the intergalactic medium, and plasma physics. At the same time, their large masses make them a useful probe of growth of structure over cosmological time, thus providing cosmological constraints that are complementary to other probes. In this review, we describe our current understanding of cluster formation: from the general picture of collapse from initial density fluctuations in an expanding Universe to detailed simulations of cluster formation including the effects of galaxy formation. We outline both the areas in which highly accurate predictions of theoretical models can be obtained and areas where predictions are uncertain due to uncertain physics of galaxy formation and feedback. The former includes the description of the structural properties of the dark matter halos hosting clusters, their mass function, and clustering properties. Their study provides a foundation for cosmological applications of clusters and for testing the fundamental assumptions of the standard model of structure formation. The latter includes the description of the total gas and stellar fractions and the thermodynamical and nonthermal processes in the intracluster plasma. Their study serves as a testing ground for galaxy formation models and plasma physics. In this context, we identify a suitable radial range where the observed thermal properties of the intracluster plasma exhibit the most regular behavior and, thus, can be used to define robust observational proxies for the total cluster mass. Finally, we discuss the formation of clusters in nonstandard cosmological models, such as non-Gaussian models for the initial density field and models with modified gravity, along with prospects for testing these alternative scenarios with large cluster surveys in the near future
Essays on Banking and Financial Regulations
No full textThis dissertation thesis comprises three working papers on the selected topics in financial regulations, supervision and financial stability. The focus is on the analysis of the response of financial institutions to the regulations and regulatory actions across the time and regions. The first essay examines the changes in the portfolio structures and investment decisions associated with EU-wide stress test rounds in 2011, 2014 and 2016. Using the empirical methods of causal inference and event study, we document a substantial impact of EU-wide stress tests in 2011, 2014 and 2016 on the banks’ portfolio strategies. We find that regulatory stress testing contributes to a decline of risk density of portfolios, which is mostly attributable to a decrease in its numerator i.e. risk-weighted assets. Seemingly it does not affect the realized risk that is measured by the proportion of non-performing exposure in portfolios. We argue that regulatory stress testing incentivizes banks to altering a mix of assets in their balance sheets towards less capital-intensive areas, potentially creating concerns on the concentrations and economic misallocation of resources. On the other hand, we observe that the enhanced regulatory scrutiny prevents the stress tested banks from engaging in risky behaviour i.e. increase risk in a portfolio or excessive loan growth. Thus, the regulatory stress testing fulfils its objective of promoting prudent risk management practices. Our results are robust in a number of alternative specifications such as modelling with instrument variable in the continuous form within the treated sample, under less restrictive assumptions of the structural equations and based on the alternative samples. In the second essay, we examine the impact of the supervision efforts as a monitoring activity and regulatory scrutiny on the risk-adjusted performance of the banking institutions in the Central Eastern Southern Eastern Europe. Our main hypothesis is that the supervisory monitoring efforts are associated with lower riskiness of the banking institutions and simultaneously not impacting their performance. We find that a higher intensity of supervision activities, especially by the centralized form of supervision, contributes to the decline in riskiness of the larger banks while not affecting their economic performance. The regulatory power and stringency indicate a positive effect on the risk-adjusted performance for the capital constraint banks, but moderately decreasing the economic performance of the larger banks. The findings highlight the potential area of attention for regulators and policymakers and therefore, contributes to the designing of effective supervision mechanism in the region. The third essay with a corresponding article has been published in the European Financial and Accounting Journal (co-author Karel Janda). This paper investigates the implications and effectiveness of the microprudential policy on Basel III leverage ratio as an additional measure to already existing capital requirements for the banking sector in the Czech Republic and across the CEE region. We identify the potential binding constraints from the regulatory limits and analyse the interactions among ratios over the country’s economic cycle (from 2007 to 2016). Our analysis suggests that the total assets or exposure in contrast to the Tier 1 capital are the main contributors to the cyclical movements. The results of the regression model confirm that the leverage ratio in normal times is strongly pro-cyclical to the capital ratio and counter-cyclical in the crisis period. Our findings point to the active balance sheet adjustments in response to the cyclical changes and therefore advocate in favour of constraining regulations on the leverage.Tato disertační práce obsahuje tři pracovní práce k vybraným tématům v oblasti finančních předpisů, dohledu a finanční stability. Tématem disertační práce je analýza reakce finančních institucí na regulační a regulační opatření v čase a regionech. První esej zkoumá změny ve strukturách portfolia a investičních rozhodnutích souvisejících s cykly zátěžových testů v celé EU v letech 2011, 2014 a 2016. Pomocí empirických metod kauzální inference a studie událostí dokumentujeme podstatný dopad zátěžových testů v celé EU. v roce 2011, 2014 a 2016 o portfoliových strategiích bank. Zjistili jsme, že regulační zátěžové testování přispívá k poklesu hustoty rizik portfolií, což lze většinou přičíst snížení jeho čitatele, tj. Rizikově vážených aktiv. Zdá se, že to neovlivňuje realizované riziko, které se měří podílem nevýkonné expozice v portfoliích. Tvrdíme, že regulační zátěžové testování motivuje banky ke změně kombinace aktiv v jejich rozvahách směrem k méně kapitálově náročným oblastem, což může vyvolávat obavy ohledně koncentrací a ekonomického nesprávného přidělování zdrojů. Na druhou stranu pozorujeme, že zvýšená regulační kontrola brání stresově testovaným bankám zapojit se do rizikového chování, tj. Zvýšit riziko v portfoliu nebo nadměrný růst úvěrů. Tím pádem, regulační zátěžové testování splňuje svůj cíl podpory obezřetných postupů řízení rizik. Naše výsledky jsou robustní v řadě alternativních specifikací, jako je modelování s proměnnou nástroje v kontinuální formě v ošetřeném vzorku, za méně omezujících předpokladů strukturálních rovnic a na základě alternativních vzorků. Ve druhé eseji zkoumáme dopad úsilí v oblasti dohledu jako monitorovací činnosti a regulační kontroly na výkonnost bankovních institucí ve střední a jihovýchodní Evropě upravenou o riziko. Naší hlavní hypotézou je, že snahy dohledového monitorování jsou spojeny s nižší rizikovostí bankovních institucí a současně nemají dopad na jejich výkonnost. Zjistili jsme, že vyšší intenzita supervizních činností, zejména centralizovanou formou dohledu, přispívá k poklesu rizikovosti větších bank, aniž by ovlivňoval jejich ekonomickou výkonnost. Regulační síla a přísnost naznačují pozitivní vliv na výkonnost bank s omezením kapitálu upravenou o riziko, avšak mírně snižují ekonomickou výkonnost větších bank. Zjištění zdůrazňují potenciální oblast pozornosti regulačních orgánů a tvůrců politik, a proto přispívají k navrhování účinných mechanismů dohledu v regionu. Třetí esej s odpovídajícím článkem byla publikována v European Financial and Accounting Journal (spoluautor Karel Janda). Tento příspěvek zkoumá dopady a účinnost mikroobezřetnostní politiky na pákový poměr Basel III jako dodatečné opatření k již existujícím kapitálovým požadavkům pro bankovní sektor v České republice a v celém regionu střední a východní Evropy. Identifikujeme potenciální vazební omezení plynoucí z regulačních limitů a analyzujeme interakce mezi poměry v průběhu ekonomického cyklu země (od roku 2007 do roku 2016). Naše analýza naznačuje, že celková aktiva nebo expozice na rozdíl od kapitálu Tier 1 jsou hlavními přispěvateli k cyklickým pohybům. Výsledky regresního modelu potvrzují, že pákový poměr v normálních dobách je silně procyklický k poměru kapitálu a proticyklický v krizovém období
Superbosonization formula and its application to random matrix theory
No full textStarting from Gaussian random matrix models we derive a new supermatrix field theory model. In contrast to the conventional non-linear sigma models, the new model is applicable for any range of correlations of the elements of the random matrices. We clarify the domain of integration for the supermatrices, and give a demonstration of how the model works by calculating the density of states for an ensemble of almost diagonal matrices. It is also shown how one can reduce the supermatrix model to the conventional sigma model.J. E. Bunder, K. B. Efetov, V. E. Kravtsov, O. M. Yevtushenko and M. R. Zirnbaue
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Strengthening Effectiveness of Ancient Masonry Bridges
No full textA study aimed to investigate the effectiveness of two new strengthening techniques for ancient masonry bridges is herein presented. In particular the spandrel walls are subjected to both in-plane and out-of- plane actions: the former mainly due to shear and the latter due to the filling thrust or earthquake excitation. The proposed techniques concern the application on the masonry surface of a GFRP reinforced lime and cement mortar coating or a reinforced repointing with a net of stainless strands. Some experimental diagonal compression tests evidenced the significant effectiveness of the first technique to shear. A numerical simula-tion of the experimental tests allowed determining the mechanical parameters to be used in the material model. A second numerical study was aimed to investigate the effectiveness of both strengthening techniques for out-of-plane actions (flexure). The results obtained in the study show good performances of the strengthening techniques both for in-plane and out-of-plane actions of two types of masonry walls: rubble stone and solid brick
GEOECOLOGICAL ANALYSIS OF THE NW BLACK SEA SHELF BASED ON THE STUDY OF OSTRACODS
No full textBlack Sea-Mediterranean corridor during the last 30 ky: sea level change and human adaptation (2005-2009) joint meeting and field trip, IGCP 521 (2007), Gelendzhik; Kerch
Extended abstracts, 8-17 Sept., 2007 / Black Sea-Mediterranean corridor during the last 30 ky: sea level change and human adaptation (2005-2009) joint meeting and field trip, IGCP 521 (2007), Gelendzhik; Kerch ; Dating Caspian Sea level change (2003-2007),joint meeting and field trip IGCP 481 (2007); Gelendzhik; Kerch, RAS, P.P. Shirshov Institute of Oceanology . – Moscow : Rosselkhozakademiya Printing House, 2007 . – XXII, 178 p. : Fig. – (UNESCO-IUGS-IGCP-INQUA) .When undertaking geoecological monitoring, one of the important aspects is the choice of a sensitive bioindicator system, which responds to the conditions of accumulation of toxic substances in bottom sediments
(Kravchuk and Kravchuk 2000). Biological components comprising the ecological biotopes of the shelf region are controlled by the physico-chemical parameters and the concentration of a substance within sediments. The assessment of the situation and the general knowledge of the active processes can be obtained by investigating the changes in species content of various groups of living organisms. The pollution of marine environments by organic byproducts causes noticeable influence on the ostracod communities (Kravtsov et al. 2007)
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