Search results for " spread"
showing 10 items of 241 documents
Preface
2019
The Enrico Fermi Schools are a highly prestigious series of summer schools of the Italian Physical Society with a tradition of more than 60 years and with many Nobel laureates as lecturers (https://www.sif.it/attivita/scuola_fermi/). The International Schools devote special care in planning the program and produces proceedings of the school that have become classics. Recently an increasing number of interdisciplinary topics have been selected and our school fits into this trend. Our school will consider complex systems of social and economic origin by teaching and discussing concepts and topics of computational social science and econophysics. These are fields, where physicists, computer sc…
Market reaction to a bid-ask spread change: a power-law relaxation dynamics.
2009
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of price…
Modelling and Analysis of Non-Stationary Multipath Fading Channels with Time-Variant Angles of Arrival
2017
In mobile radio channel modelling, it is generally assumed that the angles of arrival (AOAs) are independent of time. This assumption does in general not agree with real-world channels in which the AOAs vary with the position of a moving receiver. In this paper, we first present a mathematical model for the time-variant AOAs. This model serves as the basis for the development of two non-stationary multipath fading channels models. The statistical properties of both channel models are analysed with emphasis on the time-dependent autocorrelation function (ACF), time-dependent mean Doppler shift, time-dependent Doppler spread, and the Wigner-Ville spectrum. It is shown that these characteristi…
Integrating Environmental Temperature Conditions into the SIR Model for Vector-Borne Diseases
2020
International audience; Nowadays, Complex networks are used to model and analyze various problems of real-life e.g. information diffusion in social networks, epidemic spreading in human population etc. Various epidemic spreading models are proposed for analyzing and understanding the spreading of infectious diseases in human contact networks. In classical epidemiological models, a susceptible person becomes infected after getting in contact with an infected person among the human population only. However, in vector-borne diseases, a human can be infected also by a living organism called a vector. The vector population that also help in spreading diseases is very sensitive to environmental f…
Modelling of Non-WSSUS Channels with Time-Variant Doppler and Delay Characteristics
2018
This paper deals with the modelling of non-wide-sense stationary uncorrelated scattering (non-WSSUS) channels in which the angles of arrival (AOAs), Doppler frequencies, and propagation delays vary with time. Starting from a geometrical model in which the mobile station (MS) travels along a predefined path with time-variant velocity, it is shown how the parameters of the non-WSSUS model can be computed analytically assuming that the scatterers are fixed. One of the key results of our analysis is that the time-variant Doppler frequencies and the time-variant propagation delays of WSSUS and non-WSSUS channels are connected by a fundamental relationship. Furthermore, the time-variant channel t…
Enhanced islanding detection in smart interface protection systems of distributed generation
2021
The widespread presence of distributed generators (DGs) and storage systems (DSSs) in electricity grids has increased the risk of islanding occurrence. This phenomenon must be suitably managed by Distribution System Operators (DSO), in order to avoid adverse situations, in terms of grid-protection problems, equipment damage, safety hazards, power quality problems and so on. Currently anti-islanding protection functions are handled by interface protection systems (IPSs), which are built in accordance with relevant standards for DGs and DSSs connection to power systems. However, some problems may occur in case of operation within the so-called non detection zone (NDZ). This paper presents an …
Contingent convertible bonds for sovereign debt risk management
2015
We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the likelihood of debt crises and imposes ex-post risk sharing between creditors and the debtor. Drawing from literature on contingent contracts, neglected risks, and bank CoCo, we extend prevailing arguments in favor of sovereign CoCo (S-CoCo). We discuss issues relating to their design: which market trigger, market discipline and sovereign incentives, and errors of false alarms or missed crises, and provide supporting evidence with eurozone data and a simple simulation on t…
Problems of the Constitutionalism of the Legal Norms related to the Restrictions of the Spread of Covid-19 infection
2022
Plašās diskusijas Latvijas sabiedrībā par Covid-19 infekcijas slimības ietekmē pieņemtajiem ierobežojumiem, to nozīmi un izpratni, kā arī Satversmes tiesā iesniegto pieteikumu skaits un ierosinātās lietas par iespējamo ar Covid-19 infekcijas slimības izplatības ierobežojumiem saistīto tiesību normu neatbilstību Satversmei norāda uz šī temata nozīmīgumu, kā arī uz to, ka par tiesību normās ietvertajiem ierobežojumiem nolūkā mazināt vīrusa slimības izplatību nav vienprātīgas nostājas. Pētījuma mērķis ir noskaidrot ar Covid-19 infekcijas slimības izplatības ierobežojumiem saistīto tiesību normu satversmības problēmas. Dažādu tiesību institūtu izpratne normatīvajos aktos un tiesību realitātē va…
Portfolio diversification in the sovereign credit swap markets
2018
We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to be diversified. However, we identify regime switching in the times series of CDS spreads and spread returns, and the optimal diversified strategies can be regime dependent. The developed models trade off the CVaR risk measure against expected return, consistently with the statistical properties of spreads. We consider three investment strategies suited for different CDS market participants: for investors with long positions, speculators that hold unco…
Multispectral integral imaging acquisition and processing using a monochrome camera and a liquid crystal tunable filter
2012
This paper presents an acquisition system and a procedure to capture 3D scenes in different spectral bands. The acquisition system is formed by a monochrome camera, and a Liquid Crystal Tunable Filter (LCTF) that allows to acquire images at different spectral bands in the [480, 680]nm wavelength interval. The Synthetic Aperture Integral Imaging acquisition technique is used to obtain the elemental images for each wavelength. These elemental images are used to computationally obtain the reconstruction planes of the 3D scene at different depth planes. The 3D profile of the acquired scene is also obtained using a minimization of the variance of the contribution of the elemental images at each …