Additional utility of insiders with imperfect dynamical information

In this paper we consider an insider with privileged information thatis affected by an independent noise vanishing as the revelation timeapproaches. At this time, information is available to every trader. Ourfinancial markets are based on Wiener space. In probabilistic terms weobtain an infinite dimensional extension of Jacod s theorem to covercases of progressive enlargement of filtrations. The application ofthis result gives the semimartingale decomposition of the originalWiener process under the progressively enlarged filtration. As anapplication we prove that if the rate at which the additional noise inthe insider s information vanishes is slow enough then there is noarbitrage and the additional utility of the insider is finite.

Valuation bubbles and sequential bubbles

Price bubbles in an Arrow-Debreu valuation equilibrium in infinite-timeeconomy are a manifestation of lack of countable additivity of valuationof assets. In contrast, known examples of price bubbles in sequentialequilibrium in infinite time cannot be attributed to the lack of countableadditivity of valuation. In this paper we develop a theory of valuation ofassets in sequential markets (with no uncertainty) and study the nature ofprice bubbles in light of this theory. We consider an operator, calledpayoff pricing functional, that maps a sequence of payoffs to the minimumcost of an asset holding strategy that generates it. We show that thepayoff pricing functional is linear and countably additive on the set ofpositive payoffs if and only if there is no Ponzi scheme, and providedthat there is no restriction on long positions in the assets. In the knownexamples of equilibrium price bubbles in sequential markets valuation islinear and countably additive. The presence of a price bubble indicatesthat the asset's dividends can be purchased in sequential markers at acost lower than the asset's price. We also present examples of equilibriumprice bubbles in which valuation is nonlinear but not countably additive.

Voting with preferences over margins of victory

This paper analyzes a two-alternative voting model with the distinctive feature that voters have preferences over margins of victory. We study voting contests with a finite as well as an infinite number of voters, and with and without mandatory voting. The main result of the paper is the existence and characterization of a unique equilibrium outcome in all those situations. At equilibrium, voters who prefer a larger support for one of the alternatives vote for such alternative.The model also provides a formal argument for the conditional sincerity voting condition in Alesina and Rosenthal (1995) and the benefit of voting function in Llavador (2006). Finally, we offer new insights on explaining why some citizens may vote strategically for an alternative different from the one declared as the most preferred.

On the throughput-WIP trade-off in queueing systems, diminishing returns and the threshold property: A linear programming approach

We present a new unifying framework for investigating throughput-WIP(Work-in-Process) optimal control problems in queueing systems,based on reformulating them as linear programming (LP) problems withspecial structure: We show that if a throughput-WIP performance pairin a stochastic system satisfies the Threshold Property we introducein this paper, then we can reformulate the problem of optimizing alinear objective of throughput-WIP performance as a (semi-infinite)LP problem over a polygon with special structure (a thresholdpolygon). The strong structural properties of such polygones explainthe optimality of threshold policies for optimizing linearperformance objectives: their vertices correspond to the performancepairs of threshold policies. We analyze in this framework theversatile input-output queueing intensity control model introduced byChen and Yao (1990), obtaining a variety of new results, including (a)an exact reformulation of the control problem as an LP problem over athreshold polygon; (b) an analytical characterization of the Min WIPfunction (giving the minimum WIP level required to attain a targetthroughput level); (c) an LP Value Decomposition Theorem that relatesthe objective value under an arbitrary policy with that of a giventhreshold policy (thus revealing the LP interpretation of Chen andYao's optimality conditions); (d) diminishing returns and invarianceproperties of throughput-WIP performance, which underlie thresholdoptimality; (e) a unified treatment of the time-discounted andtime-average cases.

Adaptive model selection using empirical complexities

Given $n$ independent replicates of a jointly distributed pair $(X,Y)\in {\cal R}^d \times {\cal R}$, we wish to select from a fixed sequence of model classes ${\cal F}_1, {\cal F}_2, \ldots$ a deterministic prediction rule $f: {\cal R}^d \to {\cal R}$ whose risk is small. We investigate the possibility of empirically assessingthe {\em complexity} of each model class, that is, the actual difficulty of the estimation problem within each class. The estimated complexities are in turn used to define an adaptive model selection procedure, which is based on complexity penalized empirical risk.The available data are divided into two parts. The first is used to form an empirical cover of each model class, and the second is used to select a candidate rule from each cover based on empirical risk. The covering radii are determined empirically to optimize a tight upper bound on the estimation error. An estimate is chosen from the list of candidates in order to minimize the sum of class complexity and empirical risk. A distinguishing feature of the approach is that the complexity of each model class is assessed empirically, based on the size of its empirical cover.Finite sample performance bounds are established for the estimates, and these bounds are applied to several non-parametric estimation problems. The estimates are shown to achieve a favorable tradeoff between approximation and estimation error, and to perform as well as if the distribution-dependent complexities of the model classes were known beforehand. In addition, it is shown that the estimate can be consistent,and even possess near optimal rates of convergence, when each model class has an infinite VC or pseudo dimension.For regression estimation with squared loss we modify our estimate to achieve a faster rate of convergence.

Dynamic higher order expectations

In models where privately informed agents interact, agents may need to formhigher order expectations, i.e. expectations of other agents' expectations. This paper develops a tractable framework for solving and analyzing linear dynamic rational expectationsmodels in which privately informed agents form higher order expectations. The frameworkis used to demonstrate that the well-known problem of the infinite regress of expectationsidentified by Townsend (1983) can be approximated to an arbitrary accuracy with a finitedimensional representation under quite general conditions. The paper is constructive andpresents a fixed point algorithm for finding an accurate solution and provides weak conditions that ensure that a fixed point exists. To help intuition, Singleton's (1987) asset pricingmodel with disparately informed traders is used as a vehicle for the paper.

Microsatellite variation reveals low genetic subdivision in a chromosome race of Sorex araneus (Mammalia, Insectivora)

Two hundred and forty-five individuals of the common shrew (Sorex araneus, Insectivora, Mammalia) from 24 sampling localities situated in four different valleys of the western European Alps were genotyped for six microsatellite loci. Allelic variability ranged from 3 to 32 different alleles at a single locus and the average gene diversity over all loci was 0.69. An analysis for F and R statistics revealed weak genetic population subdivision (Fst = 0.032; Rst = 0.016). This suggests considerable gene flow and little phylogeographic structure within and between valleys. We tested whether a stepwise mutation model (SMM) better explained variation at the microsatellite loci than an infinite allele model (IAM). No trend in favor of either model was detected.

Can we identify Walrasian allocations?

[eng] We consider a discrete time, pure exchange infinite horizon economy with two or more consumers and at least one concumption good per period. Within the framework of decentralized mechanisms, we show that for a given consumption trade at any period of time, say at time one, the consumers will need, in general, an infinite dimensional (informational) space to identigy such a trade as an intemporal Walrasian one. However, we show and characterize a set of enviroments where the Walrasian trades at each period of time can be achieved as the equilibrium trades of a sequence of decentralized competitive mechanisms, using only both current prices and quantities to coordinate decisions.

Semiclassical image potential at a solid surface

A surface dielectric function of a semi-infinite plane-bounded metal is defined in the spirit of the plasmon-pole dielectric function of the bulk. It is modeled in such a way that the surface-plasmon dispersion relation is recovered for small momentum transfer. This function is employed to compute the image potential at all distances outside the surface. Interaction with bulk modes is neglected for simplicity and clarity. The interaction of a massive point charge with a metal surface is also considered in the context of a boson model for surface-plasmon excitation. We present a new definition of the image potential for this case.

Variational Wigner-Kirkwood approach to relativistic mean field theory

The recently developed variational Wigner-Kirkwood approach is extended to the relativistic mean field theory for finite nuclei. A numerical application to the calculation of the surface energy coefficient in semi-infinite nuclear matter is presented. The new method is contrasted with the standard density functional theory and the fully quantal approach.

Delta(1232) isobar excitations in nuclear many-body systems from varios NN interactions.

Delta isobar components in the nuclear many-body wave function are investigated for the deuteron, light nuclei (16O), and infinite nuclear matter within the framework of the coupled-cluster theory. The predictions derived for various realistic models of the baryon-baryon interaction are compared to each other. These include local (V28) and nonlocal meson exchange potentials (Bonn2000) but also a model recently derived by the Salamanca group accounting for quark degrees of freedom. The characteristic differences which are obtained for the NDelta and Delta Delta correlation functions are related to the approximation made in deriving the matrix elements for the baryon-baryon interaction.

Correlations in hot asymmetric nuclear matter

Bulk and single-particle properties of hot hyperonic matter are studied within the Brueckner-Hartree-Fock approximation extended to finite temperature. The bare interaction in the nucleon sector is the Argonne V18 potential supplemented with an effective three-body force to reproduce the saturating properties of nuclear matter. The modern Nijmegen NSC97e potential is employed for the hyperon-nucleon and hyperon-hyperon interactions. The effect of temperature on the in-medium effective interaction is found to be, in general, very small and the single-particle potentials differ by at most 25% for temperatures in the range from 0 to 60 MeV. The bulk properties of infinite matter of baryons, either nuclear isospin symmetric or a Beta-stable composition that includes a nonzero fraction of hyperons, are obtained. It is found that the presence of hyperons can modify the thermodynamical properties of the system in a non-negligible way.

Bulk and single-particle properties of hyperonic matter at finite temperature

Bulk and single-particle properties of hot hyperonic matter are studied within the Brueckner-Hartree-Fock approximation extended to finite temperature. The bare interaction in the nucleon sector is the Argonne V18 potential supplemented with an effective three-body force to reproduce the saturating properties of nuclear matter. The modern Nijmegen NSC97e potential is employed for the hyperon-nucleon and hyperon-hyperon interactions. The effect of temperature on the in-medium effective interaction is found to be, in general, very small and the single-particle potentials differ by at most 25% for temperatures in the range from 0 to 60 MeV. The bulk properties of infinite matter of baryons, either nuclear isospin symmetric or a Beta-stable composition that includes a nonzero fraction of hyperons, are obtained. It is found that the presence of hyperons can modify the thermodynamical properties of the system in a non-negligible way.

Comment on "Influence of bulk properties on the surface structure of finite nuclei"

We comment on a recent paper by Uma Maheswari et al. in which it is claimed that quantal calculations of the half-infinite nuclear matter, in contrast to semiclassical approximations, exhibit an unusually strong dependence of the 90%10% surface thickness of the density profile on the Fermi momentum kF at saturation. This conclusion was carried over to the surface incompressibility. On the contrary we find essential agreement between semiclassical and quantal results and very weak dependence on kF of the quantities in question.

Microscopic calculations of the excitation spectrum of one 3He impurity in liquid 4He

We calculate the chemical potential ¿0 and the effective mass m*/m3 of one 3He impurity in liquid 4He. First a variational wave function including two- and three-particle dynamical correlations is adopted. Triplet correlations bring the computed values of ¿0 very close to the experimental results. The variational estimate of m*/m3 includes also backflow correlations between the 3He atom and the particles in the medium. Different approximations for the three-particle distribution function give almost the same values for m*/m3. The variational approach underestimates m*/m3 by ~10% at all of the considered densities. Correlated-basis perturbation theory is then used to improve the wave function to include backflow around the particles of the medium. The perturbative series built up with one-phonon states only is summed up to infinite order and gives results very close to the variational ones. All the perturbative diagrams with two independent phonons have then been summed to compute m*/m3. Their contribution depends to some extent on the form used for the three-particle distribution function. When the scaling approximation is adopted, a reasonable agreement with the experimental results is achieved.