The extreme core allocations of the assignment game

Although assignment games are hardly ever convex, in this paper a characterization of their set or extreme points of the core is provided, which is also valid for the class of convex games. For each ordering in the player set, a payoff vector is defined where each player receives his marginal contribution to a certain reduced game played by his predecessors. We prove that the whole set of reduced marginal worth vectors, which for convex games coincide with the usual marginal worth vectors, is the set of extreme points of the core of the assignment game

Diffusionless first-order phase transitions in systems with frozen configurational degrees of freedom

We consider systems that can be described in terms of two kinds of degree of freedom. The corresponding ordering modes may, under certain conditions, be coupled to each other. We may thus assume that the primary ordering mode gives rise to a diffusionless first-order phase transition. The change of its thermodynamic properties as a function of the secondary-ordering-mode state is then analyzed. Two specific examples are discussed. First, we study a three-state Potts model in a binary system. Using mean-field techniques, we obtain the phase diagram and different properties of the system as a function of the distribution of atoms on the different lattice sites. In the second case, the properties of a displacive structural phase transition of martensitic type in a binary alloy are studied as a function of atomic order. Because of the directional character of the martensitic-transition mechanism, we find only a very weak dependence of the entropy on atomic order. Experimental results are found to be in quite good agreement with theoretical predictions.

Noise-induced scenario for inverted phase diagrams

We introduce a class of exactly solvable models exhibiting an ordering noise-induced phase transition in which order arises as a result of a balance between the relaxing deterministic dynamics and the randomizing character of the fluctuations. A finite-size scaling analysis of the phase transition reveals that it belongs to the universality class of the equilibrium Ising model. All these results are analyzed in the light of the nonequilibrium probability distribution of the system, which can be obtained analytically. Our results could constitute a possible scenario of inverted phase diagrams in the so-called lower critical solution temperature transitions.

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.

External fluctuations in a pattern-forming instability

The effect of external fluctuations on the formation of spatial patterns is analyzed by means of a stochastic Swift-Hohenberg model with multiplicative space-correlated noise. Numerical simulations in two dimensions show a shift of the bifurcation point controlled by the intensity of the multiplicative noise. This shift takes place in the ordering direction (i.e., produces patterns), but its magnitude decreases with that of the noise correlation length. Analytical arguments are presented to explain these facts.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Intrinsic noise-induced phase transitions: Beyond the noise interpretation

We discuss intrinsic noise effects in stochastic multiplicative-noise partial differential equations, which are qualitatively independent of the noise interpretation (Itô vs Stratonovich), in particular in the context of noise-induced ordering phase transitions. We study a model which, contrary to all cases known so far, exhibits such ordering transitions when the noise is interpreted not only according to Stratonovich, but also to Itô. The main feature of this model is the absence of a linear instability at the transition point. The dynamical properties of the resulting noise-induced growth processes are studied and compared in the two interpretations and with a reference Ginzburg-Landau-type model. A detailed discussion of a different numerical algorithm valid for both interpretations is also presented.

Nonequilibrium transitions induced by multiplicative noise

A simple model exhibiting a noise-induced ordering transition (NIOT) and a noise-induced disordering transition (NIDT), in which the noise is purely multiplicative, is presented. Both transitions are found in two dimensions as well as in one dimension. We show analytically and numerically that the critical behavior of these two transitions is described by the so called multiplicative noise (MN) universality class. A computation of the set of critical exponents is presented in both d=1 and d=2.

Neutron diffraction analysis on FINEMET alloys

Neutron diffraction has been used to study in situ the nanocrystallization process of Fe73.5Cu1Nb3Si22.5-xBx (x = 5, 9, and 12) amorphous alloys. Nanocrystallization results in a decrease of both the silicon content and the grain size of the Fe(Si) phase with increasing value of x. By comparing the radial distribution function peak areas with those predicted for ideal bcc and DO3 structure, it can be concluded that the ordering in DO3 Fe(Si) crystals increases with the silicon content.

Coexisting ferro- and antiferromagnetism in Ni2MnAl Heusler alloys

The structural and magnetic properties of stoichiometric Ni2MnAl are studied to clarify the conditions for ferromagnetic and antiferromagnetic ordering claimed to occur in this compound. X-ray and magnetization measurements show that although a single phase B2 structure can be stabilized at room temperature, a single L21 phase is not readily stabilized, but rather a mixed L21+B2 state occurs. The mixed state incorporates ferromagnetic and antiferromagnetic parts for which close-lying Curie and a Néel temperatures can be identified from magnetization measurements.

Lattice-gas model of particles with orientational and positional degrees of freedom: Mean-field treatment

We consider a lattice-gas model of particles with internal orientational degrees of freedom. In addition to antiferromagnetic nearest-neighbor (NN) and next-nearest-neighbor (NNN) positional interactions we also consider NN and NNN interactions arising from the internal state of the particles. The system then shows positional and orientational ordering modes with associated phase transitions at Tp and To temperatures at which long-range positional and orientational ordering are, respectively, lost. We use mean-field techniques to obtain a general approach to the study of these systems. By considering particular forms of the orientational interaction function we study coupling effects between both phase transitions arising from the interplay between orientational and positional degrees of freedom. In mean-field approximation coupling effects appear only for the phase transition taking place at lower temperatures. The strength of the coupling depends on the value of the long-range order parameter that remains finite at that temperature.

Valtiosääntöinen päätöksenteko talous- ja rahaliittoon liittymisestä

Abstract: The constitutional decision-making to join European Economic and Monetary Union

Static structure and dynamics of the liquid Li-Na and Li-Mg alloys

We present calculations for the static structure and ordering properties of two lithium-based s-p bonded liquid alloys, Li-Na and Li-Mg. Our theoretical approach is based on the neutral pseudoatom method to derive the interatomic pair potentials, and on the modified-hypernetted-chain theory of liquids to obtain the liquid static structure, leading to a whole combination that is free of adjustable parameters. The study is complemented by performing molecular dynamics simulations which, besides checking the theoretical static structural results, also allow a calculation of some dynamical properties. The obtained results are compared with the available experimental data.

Molecular dynamics study of the longitudinal modes in disparate-mass binaryliquid mixtures.

A series of molecular dynamics simulations of simple liquid binary mixtures of soft spheres with disparate-mass particles were carried out to investigate the origin of the marked differences between the dynamic structure factors of some liquid binary mixtures such as the Li0.7Mg0.3 and Li0.8Pb0.2 alloys. It is shown that the facility for observing peaks associated with fast-propagating modes in the partial Li-Li dynamic structure factor of Li0.8Pb0.2 should be mainly attributed to the structure of this alloy, which is characterized by an incipient ABAB ordering as found in molten salts. The longitudinal dispersion relations at intermediate wave vectors obtained from the longitudinal current spectra are very similar for the two alloys and reflect the existence of both fast-and slow-propagating modes of kinetic character associated with light and heavy particles, respectively. The influence of the hardness of the repulsive potential cores as well as the composition of the mixture on the longitudinal collective modes is also discussed.

Spin-glass behaviour in mixed metal oxides with a rutile-type structure

We report here on the magnetic properties of compounds of composition Fe1−xCrxSbO4 and Fe1−xGaxSbO4. The introduction of paramagnetic Cr3+ and diamagnetic Ga3+ into the rutile‐related iron antimonate lattice does not destroy the antisite atomic ordering which exists in iron antimonate of composition FeSbO4. The initial slope of the Curie temperature dependence on x is similar in both series, indicating that Fe3+‐Cr3+ interactions are very small. The magnetic susceptibility measurements recorded from the compounds of composition Fe1−xCrxSbO4, x<0.4, and Fe0.9Ga0.1SbO4 show them to behave as spin glasses at low temperatures. The inhibition of compounds of the type Fe1−xCrxSbO4, x>0.4, and Fe1−xGaxSbO4, x>0.1 to undergo a spin‐glass transition above 4.2 K is associated with a dilution effect.