Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

We give sufficient conditions for existence, uniqueness and ergodicity of invariant measures for Musiela's stochastic partial differential equation with deterministic volatility and a Hilbert space valued driving Lévy noise. Conditions for the absence of arbitrage and for the existence of mild solutions are also discussed.

When do central banks prefer to intervene secretly?

Central banks often intervene secretly in the foreign exchange market. This secrecy seems to be at odds with the signalling channel. In this article we will analyse when a central bank intervening in the foreign exchange rate market purely through the signalling channel would prefer to act secretly or publicly. By using a microstructure model, we will show that the consistency of the intervention with fundamentals, the volume of noise trading, the weight given to the effectiveness of intervention and the degree of superior information held by the central bank will influence the decision to intervene secretly or publicly. Keywords: foreign exchange intervention, market microstructure. JEL Classifi…cation: D82, E58, F31, G14.

Link between microstructure and properties in new metallurgical concepts for very low loss non-oriented electrical steel

The influence of chemistry and soaking temperature (maximal temperature of the continuous annealing) on the final properties of non-oriented electrical steels has been studied. With this objective two different studies have been performed. First the Mn, Ni and Cr content of a low loss electrical steel composition has been modified. An intermediate content and a high content of each element has been added in order to study the influence of this components on the magnetic looses, grain size and texture. Secondly the influence of the soaking temperature on magnetic properties, grain size and oxidation in four grades of non-oriented electrical steels (Steel A, B, C and D) was studied.

Point-occurrence self-similarity in crackling-noise systems and in other complex systems

It has been recently found that a number of systems displaying crackling noise also show a remarkable behavior regarding the temporal occurrence of successive events versus their size: a scaling law for the probability distributions of waiting times as a function of a minimum size is fulfilled, signaling the existence on those systems of self-similarity in time-size. This property is also present in some non-crackling systems. Here, the uncommon character of the scaling law is illustrated with simple marked renewal processes, built by definition with no correlations. Whereas processes with a finite mean waiting time do not fulfill a scaling law in general and tend towards a Poisson process in the limit of very high sizes, processes without a finite mean tend to another class of distributions, characterized by double power-law waiting-time densities. This is somehow reminiscent of the generalized central limit theorem. A model with short-range correlations is not able to escape from the attraction of those limit distributions. A discussion on open problems in the modeling of these properties is provided.

Creació automàtica de gràfics estadístics a partir de dades de soroll d’Europa amb tecnologies Open Source en el visor Noise Map Viewer de l’ETC-LUSI

El projecte ha consistit en la creació de gràfics estadístics de soroll d’Europa de forma automàtica amb tecnologies Open Source dins el visor Noise Map Viewer per Europa de l’ETC-LUSI. La llibreria utilitzada per fer aquest procés ha estat JFreeChart i el llenguatge de programació utilitzat ha estat Java (programació orientada a objectes) dins l’entorn de desenvolupament integrat Eclipse. La base de dades utilitzada ha estat PostgreSQL. Com a servidors s’han fet servir Apache (servidor HTTP) i Tomcat (servidor contenidor d’aplicacions). Un cop acabat el procés s’ha integrat dins de MapFish canviant el codi JavaScript corresponent de la web original.

A Folk Theorem for Games when Frequent Monitoring Decreases Noise

This paper studies frequent monitoring in an infinitely repeated game with imperfect public information and discounting, where players observe the state of a continuous time Brownian process at moments in time of length _. It shows that a limit folk theorem can be achieved with imperfect public monitoring when players monitor each other at the highest frequency, i.e., _. The approach assumes that the expected joint output depends exclusively on the action profile simultaneously and privately decided by the players at the beginning of each period of the game, but not on _. The strong decreasing effect on the expected immediate gains from deviation when the interval between actions shrinks, and the associated increase precision of the public signals, make the result possible in the limit. JEL: C72/73, D82, L20. KEYWORDS: Repeated Games, Frequent Monitoring, Public Monitoring, Brownian Motion.

Friction Stir Processing : a new microstructure improvement technique

In the present work, microstructure improvement using FSP (Friction Stir Processing) is studied. In the first part of the work, the microstructure improvement of as-cast A356 is demonstrated. Some tensile tests were applied to check the increase in ductility. However, the expected results couldn’t be achieved. In the second part, the microstructure improvement of a fusion weld in 1050 aluminium alloy is presented. Hardness tests were carried out to prove the mechanical propertyimprovements. In the third and last part, the microstructure improvement of 1050 aluminium alloy is achieved. A discussion of the mechanical property improvements induced by FSP is made. The influence of tool traverse speed on microstructure and mechanical properties is also discussed. Hardness tests and recrystallization theory enabled us to find out such influence

Market Transparency, Market Quality and Sunshine Trading

This paper analyzes the implications of pre-trade transpareny on market performance. We find that transparency increases the precision held by agents, however we show that this increase in precision may not be due to prices themselves. In competitive markets, transparency increases market liquidity and reduces price volatility, whereas these results may not hold under imperfect competition. More importantly, market depth and volatility might be positively related with proper priors. Moreover, we study the incentives for liquidity traders to engage in sunshine trading. We obtain that the choice of sunshine/dark trading for a noise trader is independent of his order size, being the traders with higher liquidity needs more interested in sunshine trading, as long as this practice is desirable. Key words: Market Microstructure, Transparency, Prior Information, Market Quality, Sunshine Trading

Noise and aggregation of information in large markets

We study a novel class of noisy rational expectations equilibria in markets with largenumber of agents. We show that, as long as noise increases with the number of agents inthe economy, the limiting competitive equilibrium is well-defined and leads to non-trivialinformation acquisition, perfect information aggregation, and partially revealing prices,even if per capita noise tends to zero. We find that in such equilibrium risk sharing and price revelation play dierent roles than in the standard limiting economy in which per capita noise is not negligible. We apply our model to study information sales by a monopolist, information acquisition in multi-asset markets, and derivatives trading. Thelimiting equilibria are shown to be perfectly competitive, even when a strategic solutionconcept is used.

Bayesian image reconstruction with space-variant noise suppression

In this paper we present a Bayesian image reconstruction algorithm with entropy prior (FMAPE) that uses a space-variant hyperparameter. The spatial variation of the hyperparameter allows different degrees of resolution in areas of different statistical characteristics, thus avoiding the large residuals resulting from algorithms that use a constant hyperparameter. In the first implementation of the algorithm, we begin by segmenting a Maximum Likelihood Estimator (MLE) reconstruction. The segmentation method is based on using a wavelet decomposition and a self-organizing neural network. The result is a predetermined number of extended regions plus a small region for each star or bright object. To assign a different value of the hyperparameter to each extended region and star, we use either feasibility tests or cross-validation methods. Once the set of hyperparameters is obtained, we carried out the final Bayesian reconstruction, leading to a reconstruction with decreased bias and excellent visual characteristics. The method has been applied to data from the non-refurbished Hubble Space Telescope. The method can be also applied to ground-based images.

Shot-noise suppression in Schottky barrier diodes

We give a theoretical interpretation of the noise properties of Schottky barrier diodes based on the role played by the long range Coulomb interaction. We show that at low bias Schottky diodes display shot noise because the presence of the depletion layer makes the effects of the Coulomb interaction negligible on the current fluctuations. When the device passes from barrier to flat band conditions, the Coulomb interaction becomes active, thus introducing correlation between different current fluctuations. Therefore, the crossover between shot and thermal noise represents the suppression due to long range Coulomb interaction of the otherwise full shot noise. Similar ideas can be used to interpret the noise properties of other semiconductor devices.

Unipolar transport and shot noise in metal-semiconductor-metal structures

We carry out a self-consistent analytical theory of unipolar current and noise properties of metal-semiconductor-metal structures made of highly resistive semiconductors in the presence of an applied bias of arbitrary strength. By including the effects of the diffusion current we succeed in studying the whole range of carrier injection conditions going from low level injection, where the structure behaves as a linear resistor, to high level injection, where the structure behaves as a space charge limited diode. We show that these structures display shot noise at the highest voltages. Remarkably the crossover from Nyquist noise to shot noise exhibits a complicated behavior with increasing current where an initial square root dependence (double thermal noise) is followed by a cubic power law.

Microstructure and secondary phases in coevaporated CuInS2 films: Dependence on growth temperature and chemical composition

The microstructure of CuInS2-(CIS2) polycrystalline films deposited onto Mo-coated glass has been analyzed by Raman scattering, Auger electron spectroscopy (AES), transmission electron microscopy, and x-ray diffraction techniques. Samples were obtained by a coevaporation procedure that allows different Cu-to-In composition ratios (from Cu-rich to Cu-poor films). Films were grown at different temperatures between 370 and 520-°C. The combination of micro-Raman and AES techniques onto Ar+-sputtered samples has allowed us to identify the main secondary phases from Cu-poor films such as CuIn5S8 (at the central region of the layer) and MoS2 (at the CIS2/Mo interface). For Cu-rich films, secondary phases are CuS at the surface of as-grown layers and MoS2 at the CIS2/Mo interface. The lower intensity of the MoS2 modes from the Raman spectra measured at these samples suggests excess Cu to inhibit MoS2 interface formation. Decreasing the temperature of deposition to 420-°C leads to an inhibition in observing these secondary phases. This inhibition is also accompanied by a significant broadening and blueshift of the main A1 Raman mode from CIS2, as well as by an increase in the contribution of an additional mode at about 305 cm-1. The experimental data suggest that these effects are related to a decrease in structural quality of the CIS2 films obtained under low-temperature deposition conditions, which are likely connected to the inhibition in the measured spectra of secondary-phase vibrational modes.

Low noise pixel detectors based on gated geiger mode avalanche photodiodes

The gated operation is proposed as an effective method to reduce the noise in pixel detectors based on Geiger mode avalanche photodiodes. A prototype with the sensor and the front-end electronics monolithically integrated has been fabricated with a conventional HV-CMOS process. Experimental results demonstrate the increase of the dynamic range of the sensor by applying this technique.