A comparative long-memory Analysis between Spanish, Mexican and U.S. interest rates

Evidence exists that many natural facts are described better as a fractal. Although fractals are very useful for describing nature, it is also appropiate to review the concept of random fractal in finance. Due to the extraordinary importance of Brownian motion in physics, chemistry or biology, we will consider the generalization that supposes fractional Brownian motion introduced by Mandelbrot.The main goal of this work is to analyse the existence of long range dependence in instantaneous forward rates of different financial markets. Concretelly, we perform an empirical analysis on the Spanish, Mexican and U.S. interbanking interest rate. We work with three time series of daily data corresponding to 1 day operations from 28th March 1996 to 21st May 2002. From among all the existing tests on this matter we apply the methodology proposed in Taqqu, Teverovsky and Willinger (1995).

Term structure of interest rates. European financial integration

In this paper we estimate, analyze and compare the term structures of interest rates in six different countries over the period 1992-2004. We apply the Nelson-Siegel model to obtain the term structures of interest rates at weekly intervals. A total of 4,038 curves are estimated and analyzed. Four European Monetary Union countries¿Spain, France, Germany and Italy¿are included. The UK is also included as a European non-member of the Monetary Union. Finally the US completes the analysis. The goal is to determine the differences in the shapes of the term structure of interest rates among these countries. Likewise, we can determine the most usual term structure shapes that appear for each country.*****

New evidence of the real interest rate parity for OECD countries using panel unit root tests with breaks

This paper tests for real interest parity (RIRP) among the nineteen major OECD countries over the period 1978:Q2-1998:Q4. The econometric methods applied consist of combining the use of several unit root or stationarity tests designed for panels valid under cross-section dependence and presence of multiple structural breaks. Our results strongly support the fulfilment of the weak version of the RIRP for the studied period once dependence and structural breaks are accounted for.

Deficit, human capital and economic growth dynamics

Long-run economic growth arouses a great interest since it can shed light on the income-path of an economy and try to explain the large differences in income we observe across countries and over time. The neoclassical model has been followed by several endogenous growth models which, contrarily to the former, seem to predict that economies with similar preferences and technological level, do not necessarily tend to converge to similar per capita income levels. This paper attempts to show a possible mechanismthrough which macroeconomic disequilibria and inefficiencies, represented by budget deficits, may hinder human capital accumulation and therefore economic growth. Using a mixed education system, deficit is characterized as a bug agent which may end up sharply reducing the resources devoted to education and training. The paper goes a step further from the literature on deficit by introducing a rich dynamic analysis of the effects of a deficit reduction on different economic aspects.Following a simple growth model and allowing for slight changes in the law of human capital accumulation, we reach a point where deficit might sharply reduce human capital accumulation. On the other hand, a deficit reduction carried on for a long time, taking that reduction as a more efficient management of the economy, may prove useful in inducing endogenous growth. Empirical evidence for a sample of countries seems to support the theoretical assumptions in the model: (1) evidence on an inverse relationship betweendeficit and human capital accumulation, (2) presence of a strongly negative associationbetween the quantity of deficit in the economy and the rate of growth. They may prove a certain role for budget deficit in economic growth

A comparison of the processes of institutionalisation of political economy in Spain and Italy (1860-1900)

[spa] El estudio de los procesos a través de los cuales la economía política se ha transformado en una disciplina académica es un área de creciente interés en la historia del pensamiento económico. Dicho estudio se ha abordado a través del análisis de la importancia de la economía política en un conjunto de instituciones, consideradas clave en la expansión de la economía en las sociedades occidentales en la segunda mitad del siglo XIX y primeras décadas del XX: universidades, sociedades económicas, publicaciones periódicas de contenido económico y los parlamentos nacionales. Este papel presenta una comparación entre los desarrollos del proceso de institutionalización de la economía política en España e Italia, a través del estudio de la presencia de esta disciplina en las instituciones mencionadas para el periodo 1860-1900. El objetivo es medir la posible existencia de una vía común en la institucionalización de la economía política en ambos países, como un primer paso hacia la elaboración de un modelo supranacional de institucionalización de la economía en este periodo.

Inaugural adress: The concept of biostratigraphy: the view point of a stratigrapher

Colleagues, Ladies and Gentlemen. My presence here is due to accidental circumstances and I must confess that I feel a little embarassed by the fact Both your scientific quality and the worlwide acceptance of the results achieved by you in your research fields make me prudent and, to a certain extent, cautious.

Hysteresis and return-point memory in deterministic cellular automata

We have investigated hysteresis and the return-point memory (RPM) property in deterministic cellular automata with avalanche dynamics. The RPM property reflects a partial ordering of metastable states, preserved by the dynamics. Recently, Sethna et al. [Phys. Rev. Lett. 70, 3347 (1993)] proved this behavior for a homogeneously driven system with static disorder. This Letter shows that the partial ordering and the RPM can be displayed as well by systems driven heterogeneously, as a result of its own evolution dynamics. In particular, we prove the RPM property for a deterministic 2D sandpile automaton driven at a central site.

Woody Allen i l'esperit de la tragèdia grega: de Crimes and Misdemeanors a Match Point

Nombrosos són ja els estudis que s'han centrat en l'anomenat "cinema seriós" de Woody Allen i, entre ells, paga la pena de mencionar el que Pau Gilabert Barberà, autor d'aquest article, va escriure (2006) sobre el que, en opinió seva, és el llegat sofístic subjacent en el guió de Crimes and Misdemeanors. En aquesta ocasió, el seu objectiu és analitzar la trajectòria fluctuant del director americà en relació a la tragèdia grega, des de la convicció que, només així, és possible revelar la seva empatia amb l'esperit tràgic dels grecs i comprendre la seva necessitat de presentar aquell gènere literari com un paradigma des del qual entendre les grandeses i misèries del món contemporani.

Woody Allen and the Spirit of the Greek Tragedy: from Crimes and Misdemeanors to Match Point

Many studies have already paid attention to what is called the "serious films" by Woody Allen and, among them, it is also worth mentioning the one written by the very Pau Gilabert Barberà (2006), which is devoted to the Sophistic legacy underlying in his opinion the screenplay of Crimes and Misdemeanors. On this occasion, his aim is to analyse the fluctuating sight of the American director with regard to the Greek tragedy. Indeed, Gilabert is convinced that, only in this way, it is possible to reveal the true Allen¿s sympathy with the tragic spirit of the Greeks, as well as to understand his urge to present that ancient literary genre as a paradigm with the help of which one can evaluate the greatness and misery of our contemporary world.

Woody Allen y el espíritu de la tragedia griega: de Crimes and Misdemeanors a Match Point

Numerosos son ya los estudios que se han centrado en el llamado "cine serio" de Woody Allen y, entre ellos, cabe mencionar el que Pau Gilabert Barberà, autor de este artículo, escribió (2006) sobre lo que, en su opinión, es el legado sofístico subyacente en el guión de Crimes and Misdemeanors. En esta ocasión, su objetivo es analizar la trayectoria fluctuante del director americano en relación con la tragedia griega, desde la convicción de que, sólo así, es posible revelar su empatía con el espíritu trágico de los griegos y comprender su necesidad de presentar aquel género literario como un paradigma desde el cual entender las grandezas y miserias del mundo contemporáneo.

Reconfigurable beams with arbitrary polarization and shape distributions at a given plane

Methods for generating beams with arbitrary polarization based on the use of liquid crystal displays have recently attracted interest from a wide range of sources. In this paper we present a technique for generating beams with arbitrary polarization and shape distributions at a given plane using a Mach-Zehnder setup. The transverse components of the incident beam are processed independently by means of spatial light modulators placed in each path of the interferometer. The modulators display computer generated holograms designed to dynamically encode any amplitude value and polarization state for each point of the wavefront in a given plane. The steps required to design such beams are described in detail. Several beams performing different polarization and intensity landscapes have been experimentally implemented. The results obtained demonstrate the capability of the proposed technique to tailor the amplitude and polarization of the beam simultaneously.

Symmetries and fixed point stability of stochastic differential equations modeling self-organized criticality

A stochastic nonlinear partial differential equation is constructed for two different models exhibiting self-organized criticality: the Bak-Tang-Wiesenfeld (BTW) sandpile model [Phys. Rev. Lett. 59, 381 (1987); Phys. Rev. A 38, 364 (1988)] and the Zhang model [Phys. Rev. Lett. 63, 470 (1989)]. The dynamic renormalization group (DRG) enables one to compute the critical exponents. However, the nontrivial stable fixed point of the DRG transformation is unreachable for the original parameters of the models. We introduce an alternative regularization of the step function involved in the threshold condition, which breaks the symmetry of the BTW model. Although the symmetry properties of the two models are different, it is shown that they both belong to the same universality class. In this case the DRG procedure leads to a symmetric behavior for both models, restoring the broken symmetry, and makes accessible the nontrivial fixed point. This technique could also be applied to other problems with threshold dynamics.

Front form and point form formulation in P.R.M. noninteractions theorems

The front form and the point form of dynamics are studied in the framework of predictive relativistic mechanics. The non-interaction theorem is proved when a Poincar-invariant Hamiltonian formulation with canonical position coordinates is required.

Finite-size scaling investigation of the liquid-liquid critical point in ST2 water and its stability with respect to crystallization.

The liquid-liquid critical point scenario of water hypothesizes the existence of two metastable liq- uid phases low-density liquid (LDL) and high-density liquid (HDL) deep within the supercooled region. The hypothesis originates from computer simulations of the ST2 water model, but the stabil- ity of the LDL phase with respect to the crystal is still being debated. We simulate supercooled ST2 water at constant pressure, constant temperature, and constant number of molecules N for N ≤ 729 and times up to 1 μs. We observe clear differences between the two liquids, both structural and dynamical. Using several methods, including finite-size scaling, we confirm the presence of a liquid-liquid phase transition ending in a critical point. We find that the LDL is stable with respect to the crystal in 98% of our runs (we perform 372 runs for LDL or LDL-like states), and in 100% of our runs for the two largest system sizes (N = 512 and 729, for which we perform 136 runs for LDL or LDL-like states). In all these runs, tiny crystallites grow and then melt within 1 μs. Only for N ≤ 343 we observe six events (over 236 runs for LDL or LDL-like states) of spontaneous crystal- lization after crystallites reach an estimated critical size of about 70 ± 10 molecules.

Financial crisis: theory and practice

In the last 50 years, we have had approximately 40 events with characteristics related to financial crisis. The most severe crisis was in 1929, when the financial markets plummet and the US gross domestic product decline in more than 30 percent. Recently some years ago, a new crisis developed in the United States, but instantly caused consequences and effects in the rest of the world.This new economic and financial crisis has increased the interest and motivation for the academic community, professors and researchers, to understand the causes and effects of the crisis, to learn from it. This is the one of the main reasons for the compilation of this book, which begins with a meeting of a group of IAFI researchers from the University of Barcelona, where researchers form Mexico and Spain, explain causes and consequences of the crisis of 2007.For that reason, we believed this set of chapters related to methodologies, applications and theories, would conveniently explained the characteristics and events of the past and future financial crisisThis book consists in 3 main sections, the first one called "State of the Art and current situation", the second named "Econometric applications to estimate crisis time periods" , and the third one "Solutions to diminish the effects of the crisis". The first section explains the current point of view of many research papers related to financial crisis, it has 2 chapters. In the first one, it describe and analyzes the models that historically have been used to explain financial crisis, furthermore, it proposes to used alternative methodologies such as Fuzzy Cognitive Maps. On the other hand , Chapter 2 , explains the characteristics and details of the 2007 crisis from the US perspective and its comparison to 1929 crisis, presenting some effects in Mexico and Latin America.The second section presents two econometric applications to estimate possible crisis periods. For this matter, Chapter 3, studies 3 Latin-American countries: Argentina, Brazil and Peru in the 1994 crisis and estimates the multifractal characteristics to identify financial and economic distress.Chapter 4 explains the crisis situations in Argentina (2001), Mexico (1994) and the recent one in the United States (2007) and its effects in other countries through a financial series methodology related to the stock market.The last section shows an alternative to prevent the effects of the crisis. The first chapter explains the financial stability effects through the financial system regulation and some globalization standards. Chapter 6, study the benefits of the Investor activism and a way to protect personal and national wealth to face the financial crisis risks.