Optical Spectroscopy of Unbound Asteroid Pairs

The recently discovered unbound asteroid pairs have been suggested to be the result of the decoupling of binary asteroids formed either through collision processes or, more likely, rotational fission of a rubble-pile asteroid after spin-up (Vokrouhlicky et al. 2008, AJ 136, 280; Pravec et al., 2010, Nature, 466, 1085). Much of the evidence for linkage of the asteroids in each pair relies solely on the backwards integrations of their orbits. We report new results from our continuing spectroscopic survey of the unbound asteroid pairs, including the youngest known pair, (6070) Rhineland - (54827) 2001 NQ8. The survey goal is to determine whether the asteroids in each unbound pair have similar spectra and therefore composition, expected if they have formed from a common parent body. Low-resolution spectroscopy covering the range 0.4-0.95 microns was conducted using the 3.6m ESO NTT+EFOSC2 during 2011-2012 and the 4.2m WHT+ACAM. We have attempted to maintain a high level of consistency between the observations of the components in each pair to ensure that differences in the asteroid spectra are not the result of the observing method or data reduction, but purely caused by compositional differences. Our WHT data indicates that the asteroids of unbound pair 17198 - 229056 exhibit different spectra and have been assigned different taxonomies, A and R respectively. Initial analysis of our data from the NTT suggests that the asteroids in unbound pairs 6070 - 54827 and 38707 - 32957 are likely silicate-dominated asteroids. The components of pair 23998 - 205383 are potentially X-type asteroids. We present final taxonomic classifications and the likelihood of spectral similarity in each pair.

Schur multipliers of Cartan pairs

We define the Schur multipliers of a separable von Neumann algebra M with Cartan masa A, generalising the classical Schur multipliers of B(` 2 ). We characterise these as the normal A-bimodule maps on M. If M contains a direct summand isomorphic to the hyper- finite II1 factor, then we show that the Schur multipliers arising from the extended Haagerup tensor product A ⊗eh A are strictly contained in the algebra of all Schur multipliers.

The significance of interconnector counter-trading in a security constrained electricity market

Throughout the European Union there is an increasing amount of wind generation being dispatched-down due to the binding of power system operating constraints from high levels of wind generation. This paper examines the impact a system non-synchronous penetration limit has on the dispatch-down of wind and quantifies the significance of interconnector counter-trading to the priority dispatching of wind power. A fully coupled economic dispatch and security constrained unit commitment model of the Single Electricity Market of the Republic of Ireland and Northern Ireland and the British Electricity Trading and Transmission Arrangement was used in this study. The key finding was interconnector counter-trading reduces the impact the system non-synchronous penetration limit has on the dispatch-down of wind. The capability to counter-trade on the interconnectors and an increase in system non-synchronous penetration limit from 50% to 55% reduces the dispatch-down of wind by 311 GW h and decreases total electricity payments to the consumer by €1.72/MW h. In terms of the European Union electricity market integration, the results show the importance of developing individual electricity markets that allow system operators to counter-trade on interconnectors to ensure the priority dispatch of the increasing levels of wind generation.

Eurozone Network Connectedness During Calm and Crisis: Evidence from the MTS Platform for Interdealer Trading of European Sovereign Debt

This paper examines the connectedness of the Eurozone sovereign debt market over the period 2005–2011. By employing measures built from the variance decompositions of approximating models we are able to define weighted, directed networks that enable a deeper understanding of the relationships between the Eurozone countries. We find that connectedness in the Eurozone was very high during the calm market conditions preceding the global financial crisis but decreased dramatically when the crisis took hold, and worsened as the Eurozone sovereign debt crisis emerged. The drop in connectedness was especially prevalent in the case of the peripheral countries with some of the most peripheral countries deteriorating into isolation. Our results have implications for both market participants and regulators.

Le traitement de l'erreur à l'oral entre pairs sous l'approche communicative dans une classe de français langue seconde

Ce mémoire aborde le traitement de l'erreur à l'oral entre apprenants dans une classe de français langue seconde de l'Université de Sherbrooke (Québec). Dans les classes de français langue seconde de cette institution, les étudiants travaillent la plupart du temps en équipes du fait que l'approche communicative est utilisée comme modèle pédagogique. L'objectif général de cette recherche a été d'explorer, à partir du moment où une erreur est produite, les relations entre les types de rétroactions utilisées par les apprenants dans le but de corriger leurs collègues et les réponses suivant ces rétroactions. Principalement, cette étude sur le traitement de l'erreur à l'oral dans un contexte de travail en équipe a révélé que la correction faite par un pair ne passe pas inaperçue et qu'elle est fréquemment suivie par une réparation immédiate de l'énoncé fautif initial ou encore, d'une tentative de correction.

A risk-averse optimization model for trading wind energy in a market environment under uncertainty

In this paper, a stochastic programming approach is proposed for trading wind energy in a market environment under uncertainty. Uncertainty in the energy market prices is the main cause of high volatility of profits achieved by power producers. The volatile and intermittent nature of wind energy represents another source of uncertainty. Hence, each uncertain parameter is modeled by scenarios, where each scenario represents a plausible realization of the uncertain parameters with an associated occurrence probability. Also, an appropriate risk measurement is considered. The proposed approach is applied on a realistic case study, based on a wind farm in Portugal. Finally, conclusions are duly drawn. (C) 2011 Elsevier Ltd. All rights reserved.

European Union emissions trading scheme impact on the Spanish electricity price during phase II and phase III implementation

The European Union Emissions Trading Scheme (EU ETS) is a cornerstone of the European Union's policy to combat climate change and its key tool for reducing industrial greenhouse gas emissions cost-effectively. The purpose of the present work is to evaluate the influence of CO2 opportunity cost on the Spanish wholesale electricity price. Our sample includes all Phase II of the EU ETS and the first year of Phase III implementation, from January 2008 to December 2013. A vector error correction model (VECM) is applied to estimate not only long-run equilibrium relations, but also short-run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The four commodities prices are modeled as joint endogenous variables with air temperature and renewable energy as exogenous variables. We found a long-run relationship (cointegration) between electricity price, carbon price, and fuel prices. By estimating the dynamic pass-through of carbon price into electricity price for different periods of our sample, it is possible to observe the weakening of the link between carbon and electricity prices as a result from the collapse on CO2 prices, therefore compromising the efficacy of the system to reach proposed environmental goals. This conclusion is in line with the need to shape new policies within the framework of the EU ETS that prevent excessive low prices for carbon over extended periods of time.

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

Credit default swap (CDS) prediction model & trading strategy

This project focuses on the study of different explanatory models for the behavior of CDS security, such as Fixed-Effect Model, GLS Random-Effect Model, Pooled OLS and Quantile Regression Model. After determining the best fitness model, trading strategies with long and short positions in CDS have been developed. Due to some specifications of CDS, I conclude that the quantile regression is the most efficient model to estimate the data. The P&L and Sharpe Ratio of the strategy are analyzed using a backtesting analogy, where I conclude that, mainly for non-financial companies, the model allows traders to take advantage of and profit from arbitrages.

Pair trading: Clustering based on principal component analysis

This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

O abuso de informação privilegiada (insider trading)

In the stock market, information takes on special relevance, due to the market’s permanent updating and the great fluidity of information existent therein. Just as in any other negotiations, the party with the better information has a bargaining advantage, as it is able to make more advantageous business decisions. However, unlike most other markets, the proper functioning of the stock market is greatly dependent on investors’ trust in the market itself. As such, if there are investors who, due to any condition they possess or office they hold, have access to relevant information which is not accessible to the general public, distrust is bred within the market and, consequently, investment is lessened. Thus, there is a need to prevent those who hold privileged information from using it in abusive ways. In Portugal, abuse of privileged information is set out and punished criminally in Article 378. of the Portuguese Securities Code (‘Código dos Valores Mobiliários’). In this dissertation, I have set out, firstly, to analyze the inherent conditions for there to be a crime of abuse of privileged information; secondly, to analyze two well-known cases, which took place and were decided in other jurisdictions, and attempt to understand how these cases would fall under Article 378. of the Portuguese Securities Code. Whereas the first case, Chiarella v. United States, was scrutinize under Article 378 of the Portuguese Securities Code, in the second, Lafonta v. AMF, the conclusion arrived at was that the crime taken place was different. This analysis allowed, on one hand, the application to a particular case of prerequisites and concepts which were explained, at a first approach, from a more theoretical perspective; on the other hand, it also allowed the further development of specific aspects of the regime, namely the difference between an insider and a tipee, as well as to more clearly set out the limits to the precise character of the information at hand.