Information Network Modeling for U.S. Banking Systemic Risk

In this work we investigate whether information theory measures like mutual information and transfer entropy, extracted from a bank network, Granger cause financial stress indexes like LIBOR-OIS (London Interbank Offered Rate-Overnight Index Swap) spread, STLFSI (St. Louis Fed Financial Stress Index) and USD/CHF (USA Dollar/Swiss Franc) exchange rate. The information theory measures are extracted from a Gaussian Graphical Model constructed from daily stock time series of the top 74 listed US banks. The graphical model is calculated with a recently developed algorithm (LoGo) which provides very fast inference model that allows us to update the graphical model each market day. We therefore can generate daily time series of mutual information and transfer entropy for each bank of the network. The Granger causality between the bank related measures and the financial stress indexes is investigated with both standard Granger-causality and Partial Granger-causality conditioned on control measures representative of the general economy conditions.     

Ab initio molecular dynamics simulation of a medium-sized water cluster anion: from an interior to a surface-located excess electron via a delocalized state

We present a computational study of the structure and dynamics of an excess electron in a medium-sized water cluster aimed at addressing the question of interior vs exterior solvation. Ab initio Born-Oppenheimer molecular dynamics simulations were performed within the DFT framework, employing a hybrid Gaussian and plane-wave formalism together with the PBE exchange-correlation functional and norm-conserving pseudopotentials. Analysis of a 15-ps trajectory allowed us to reach the following conclusions: (i) the excess electron is predominantly located at the cluster surface (even if it is initially placed in the interior), (ii) the computed electron binding energies correlate with the electron localization rather than with its bulk vs surface location, and (iii) a dynamical interconversion between two different H-bond patterns around the electron occurs. The computed electron binding energies and the most relevant features of the IR spectrum are in a very good agreement with results of previous experimental studies.     

Swelling and contraction of ferrocyanide-containing polyelectrolyte multilayers upon application of an electric potential

We developed a new platform at the interface of polyelectrolyte multilayers (PEMs) and electroactive polymers (EAPs) by combining the easy buildup of PEM thin films and the deformation characteristics of the EAPs. The PEM films were made of poly(L-glutamic acid) (PGA) and poly(allylamine hydrochloride) (PAH). After [Fe(CN)6]4- ions (FCIV) were added, cyclic voltammetry (CV) was performed, resulting in a reversible expansion and contraction of the film. The shape change as well as the film buildup prior to the cycling were monitored in situ using the electrochemical quartz crystal microbalance with dissipation monitoring (EC-QCM-D). Electrochemical atomic force microscopy (EC-AFM) images confirmed the rapid shape deformation. The process takes place in an aqueous environment under mild conditions (maximum potential of 600 mV and no pH change), which makes it a promising tool for biomedical applications. In addition, the electrochemically active films are produced using the layer-by-layer (LbL) method that is already established in biotechnology and biomaterials science; therefore, the presented approach can be readily adapted in these areas, bringing about a new possibility for the nanoscale dynamic control of coating thickness in various applications.     

Energy barriers of proton transfer reactions between amino acid side chain analogs and water from ab initio calculations

Proton transfer reactions were studied in all titratable pairs of amino acid side chains where, under physiologically reasonable conditions, one amino acid may function as a donor and the other one as an acceptor. Energy barriers for shifting the proton from donor to acceptor atom were calculated by electronic structure methods at the MP2/6-31++G(d,p) level, and the well-known double-well potentials were characterized. The energy difference between both minima can be expressed by a parabola using as argument the donor-acceptor distance R(DA). In this work, the fit parameters of the quadratic expression are determined for each donor-acceptor pair. Moreover, it was found previously that the energy barriers of the reactions can be expressed by an analytical expression depending on the distance between donor and acceptor and the energy difference between donor and acceptor bound states. The validity of this approach is supported by the extensive new data set. This new parameterization of proton transfer barriers between titratable amino acid side chains allows us to very efficiently estimate proton transfer probabilities in molecular modelling studies or during classical molecular dynamics simulation of biomolecular systems.     

Causal Construction of the Massless Vertex Diagram

The massless one-loop vertex diagram is constructed by exploiting the causal structure of the diagram in configuration space, which can be translated directly into dispersive relations in momentum space.     

Focusing of high-energy particles in the electrostatic field of a homogeneously charged sphere and the effective momentum approximation

The impact of the strongly attractive electromagnetic field of heavy nuclei on electrons in quasi-elastic (e, e') scattering is often accounted for by the effective momentum approximation. This method is a plane wave Born approximation which takes the twofold effect of the attractive nucleus on initial- and final-state electrons into account, namely the modification of the electron momentum in the vicinity of the nucleus, and the focusing of electrons towards the nuclear region leading to an enhancement of the corresponding wave function amplitudes. The focusing effect due to the attractive Coulomb field of a homogeneously charged sphere on a classical ensemble of charged particles incident on the field is calculated in the highly relativistic limit and compared to results obtained from exact solutions of the Dirac equation. The result is relevant for the theoretical foundation of the effective momentum approximation and describes the high-energy behavior of the amplitude of continuum Dirac waves in the potential of a homogeneously charged sphere. Our findings indicate that the effective momentum approximation is a useful approximation for the calculation of Coulomb corrections in (e, e') scattering off heavy nuclei for sufficiently high electron energies and momentum transfer.     

Time-dependent scaling patterns in high frequency financial data

We measure the influence of different time-scales on the intraday dynamics of financial markets. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures of complexity: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices of various stock market indices. Our results reveal intraday trends where different time-horizons contribute with variable relative amplitudes over the course of the trading day. Our findings indicate that the time series we analysed have a non-stationary multifractal nature with predominantly persistent behaviour at the middle of the trading session and anti-persistent behaviour at the opening and at the closing of the session. We demonstrate that these patterns are statistically significant, robust, reproducible and characteristic of each stock market. We argue that any modelling, analytics or trading strategy must take into account these non-stationary intraday scaling patterns.     

Self-referential order

Abstract

We introduce the concept of self-referential order which provides a way to quantify structural organization in non-crystalline materials. The key idea consists in the observation that, in a disordered system, where there is no ideal, reference, template structure, each sub-portion of the whole structure can be taken as reference for the rest and the system can be described in terms of its parts in a self-referential way. Some parts carry larger information about the rest of the structure and they are identified as motifs. We discuss how this method can efficiently reduce the amount of information required to describe a complex disordered structure by encoding it in a set of motifs and matching rules. We propose an information-theoretic approach to define a self-referential-order-parameter and we show that, by means of entropic measures, such a parameter can be quantified explicitly. A proof of concept application to equal disk packing is presented and discussed.