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.     

Efficient Images Storage Due to a Microwave Field in a Cold Four-Level Atomic System

International Journal of Theoretical Physics - Quantum memories that are able to store arbitrary two-dimensional images offer advantages over light pulses memories, in terms of both speed and...     

A Bayesian Entropy Approach to Sectoral Systemic Risk Modeling

We investigate the dynamics of systemic risk of European companies using an approach that merges paradigmatic risk measures such as Marginal Expected Shortfall, CoVaR, and Delta CoVaR, with a Bayesian entropy estimation method. Our purpose is to bring to light potential spillover effects of the entropy indicator for the systemic risk measures computed on the 24 sectors that compose the STOXX 600 index. Our results show that several sectors have a high proclivity for generating spillovers. In general, the largest influences are delivered by Capital Goods, Banks, Diversified Financials, Insurance, and Real Estate. We also bring detailed evidence on the sectors that are the most pregnable to spillovers and on those that represent the main contributors of spillovers.     

Energy Losses Due to Radiation Reaction for Electrons Accelerated by Interfering Intense Laser Pulses with Tilted Amplitude Fronts

The dynamics of an electron accelerated by laser radiation with the help of a scheme based on the interference of three relativistically intense electromagnetic pulses with titled amplitude fronts is analyzed. It is shown that, starting at the center of the interference pattern, the electron moves along a spiral trajectory with the axis perpendicular to the wave vectors of the laser beams, gaining considerable kinetic energy in the process. The impact of radiation reaction under the arrangement is simulated numerically in the framework of various approaches intended to take into account the energy loss resulting from the effect. The energy loss by the electron is shown to depend strongly on its initial energy and on whether the electron and the laser pulse initially travel in the same or opposite directions. The relation between small energy losses due to radiation reaction and the electron capture by the optical field is established. (© 2013 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Research on Financial Systemic Risk in ASEAN Region

The research of financial systemic risk is an important issue, however the research on the financial systemic risk in ASEAN region lacks. This paper uses the minimum density method to calculate the interbank network of ASEAN countries and uses the node centrality to judge the systemically important banks of various countries. Then the DebtRank algorithm is constructed to calculate the systemic risk value based on the interbank network. By comparing the systemic risk values obtained through the initial impact on the system important banks and non-important banks, we find that the systemic risk tends to reach the peak in the case of the initial impact on the system important banks. Furthermore, it is found that countries with high intermediary centrality and closeness centrality have higher systemic risk. It suggests that the regulatory authorities should implement legal supervision, strict supervision, and comprehensive supervision for key risk areas and weak links.     

Losses in pendular suspensions due to centrifugal coupling

We present an analysis of the centrifugal coupling of a simple pendulum to a dissipative support. We show that such a coupling leads to an amplitude dependent quality factor. For amplitudes which could be present in laser interferometer gravitational wave detector suspensions, this mechanism could limit the quality factor of the test mass suspension significantly to 10¹⁰ and should be considered in the design of advanced LIGO type detectors.     

Possibility of Using a Multilayer Target to Reduce Losses of Tritium in a Neutron Tube

The ability of yttria layers to act as barriers to hydrogen desorption is studied. The possibility is discussed of using these layers to reduce losses of tritium from a neutron tube target. The composition of a multilayer target in which tritium desorption is reduced by an accumulator layer (zirconium) and barrier layers (yttria) is described. It is shown that deuterium losses observed in thermal desorption tests over 4 h at 623 K fell by 85–87%. A system is proposed for the renewal of an external barrier layer subjected to sputtering by a deuteron ion flux.     

Theoretical Study of Polarized Optical Bistability Due to Rydberg State in a Four-Level Atomic System under External Magnetic Field

International Journal of Theoretical Physics - In this paper, we proposed a model based on Rydberg atoms for controlling the optical bistability (OB) and optical multistability (OM) in a ring...     

Energy Losses of a Charged Particle due to Excitation of Helicons in Plasma-Like Media

We study the energy lost by a particle moving along the helical line in a static magnetic field due to Vavilov–Cherenkov radiation of volume and surface helicons. It is found that the energy losses related to excitation of volume helicons are equivalent to the energy losses of a magnetic moment created due to the charge rotation. The magnetic moment moves at a constant velocity along the magnetic field. It is shown that collisionless damping of volume helicons in plasmas is based on the Cherenkov radiation of magnetic moment. Radiation of surface helicons by a particle does not correspond to the energy losses of a moving magnetic moment. This is related to the fact that not only magnetic (H) waves but also electric (E) waves contribute to the excitation of surface helicons, which leads to an increase in the energy losses of a particle.     

调制不稳定性对级联放大光纤传输系统信噪比的影响

在考虑光纤损耗和级联放大器的情况下，推导了调制不稳定性的产生条件和增益的普适解析表达式，分析了调制不稳定性对信噪比的影响，给出了一个新的计算信噪比的表达式。     

Dynamic Time Warping Algorithm in Modeling Systemic Risk in the European Insurance Sector

We are looking for tools to identify, model, and measure systemic risk in the insurance sector. To this aim, we investigated the possibilities of using the Dynamic Time Warping (DTW) algorithm in two ways. The first way of using DTW is to assess the suitability of the Minimum Spanning Trees’ (MST) topological indicators, which were constructed based on the tail dependence coefficients determined by the copula-DCC-GARCH model in order to establish the links between insurance companies in the context of potential shock contagion. The second way consists of using the DTW algorithm to group institutions by the similarity of their contribution to systemic risk, as expressed by DeltaCoVaR, in the periods distinguished. For the crises and the normal states identified during the period 2005–2019 in Europe, we analyzed the similarity of the time series of the topological indicators of MST, constructed for 38 European insurance institutions. The results obtained confirm the effectiveness of MST topological indicators for systemic risk identification and the evaluation of indirect links between insurance institutions.     

Systemic Risk Analysis of Multi-Layer Financial Network System Based on Multiple Interconnections between Banks,Firms, and Assets

Global financial systems are increasingly interconnected, and risks can spread more easily, potentially causing systemic risks. Research on systemic risk based on multi-layer financial networks is relatively scarce, and studies usually focus on only one type of risk. This paper develops a model of the multi-layer financial network system based on three types of links: firm-bank credit, asset-bank portfolio, and interbank lending, which simulates systemic risk under three risk sources: firm credit default, asset depreciation, and bank bankruptcy. The impact of the multi-layer financial network structure, default risk threshold, and bank asset allocation strategy is further explored. It has been shown that the larger the risk shock, the greater the systemic risk under different risk sources, and the risk propagation cycle tends to rise and then decline. As centralized nodes in the multi-layer financial network system, bank nodes may play both blocking and propagation roles under different risk sources. Furthermore, the multi-layer financial network system is most susceptible to bank bankruptcy risk, followed by firm credit default risk. Further research indicates that increasing the average degree of firms in the bank–firm credit network, the density of the bank-asset portfolio network, and the bank capital adequacy ratio all contribute to reducing systemic risk under the three risk sources. Additionally, the more assets a bank holds in a single market, the more vulnerable it is to the risks associated with that market.     

Rapidity Losses in Heavy-Ion Collisions from AGS to RHIC Energies

We study the rapidity losses in central heavy-ion collisions from ACS to RHIC encrgolcs with the mean rapidity determined from the projectile net-baryon distribution after collisions. The projectile net-baryon distribution in the full rapidity range is obtained by phenomenologically removing the target contribution at the forward rapidity region from the experimental net-baryon measurements and taking into account the projectile contribution in the backward rapidity region. Based on the full projectile net-baryon distributions, calculations show that the rapidity loss stops increasing from the SPS top energy to RHIC energies, indicating that baryon transport does not depend strongly on energy at high energies.     

Enhancement of Second-Harmonic Generation in a Micropillar Resonator Due to the Engineered Destructive Interference

JETP Letters - We show that engineering the cavity aspect ratio of AlGaAs micropillar resonator allows for the two orders of magnitude increase in the efficiency of second harmonic generation at...     

Modal Birefringence Dependent Supercontinuum Due to Cross-Phase Modulation in a Dispersion-Flattened/Decreasing Fiber

It was found by numerical analysis that a 320 nm wide and flat spectrum at 20 dB less than the central maximum intensity is generated from cross-phase modulated soliton pulses with 3.5 ps pulse width and 2.3 W peak power, which are propagated through a 2.4km length of dispersion-flattened/decreasing fiber (DFDF). The cross-phase modulation (XPM) at a central wavelength of 1.55 μm is achieved by exciting two orthogonally polarized modes into the principal axes. The wave-vector mismatch between the orthogonal pulses can be neglected because of soliton trapping when the modal birefringence of the DFDF is less than |n_ox - n_0y| = 10⁻⁶. The effect of modal birefringence on supercontinuum generation is discussed in temporal and spectral regimes by numerical analysis.     

An MHD Effect on a Newtonian Fluid Flow Due to a Superlinear Stretching Sheet

The preliminary aim of this article is to investigate the effect of magnetohydrodynamic (MHD) flows of a viscous fluid due to a superlinear stretching sheet. These boundary layer flows arise in the industrial processes such as polymer extrusion processes, metal spinning, glass blowing and heat exchangers. The representing frameworks of highly nonlinear partial differential equations are mapped to nonlinear ordinary differential equations with a constant coefficient via similarity transformation and are solved analytically. The results are analyzed by means of various plots to provide the comparison and found to be in better agreement with the classical results of Crane and Pavlov. The viscous fluid due to a superlinear stretching sheet in the presence ofMHDhas enormous amount of nonlinearity in conducting the solution area with different arrangements.     

Entropies of a Toroidal Black Hole Due to Scalar and Dirac Fields

Using the thin film brick-wall model, the entropies of a toroidal black hole due to scalar and Dirac fields are investigated. The entropy due to the scalar field is one fourth of the horizon area, and that due to the Dirac field is seven eighth of the area. These results are similar to that in black holes with horizon topology S ². The cutoff in toroidal black hole is chosen as the same as one in black holes with horizon topology S ², which seems to mean that the thin film brick-wall model is universal.     

Non-Markovian Dynamics of a Localized Electron Spin Due to the Hyperfine Interaction

We review our theoretical work on the dynamics of a localized electron spin interacting with an environment of nuclear spins. Our perturbative calculation is valid for arbitrary polarization p of the nuclear spin system and arbitrary nuclear spin I in a sufficiently large magnetic field. In general, the electron spin shows rich dynamics, described by a sum of contributions with exponential decay, nonexponential decay, and undamped oscillations. We have found an abrupt crossover in the long-time spin dynamics at a critical shape and dimensionality of the electron envelope wave function. We conclude with a discussion of our proposed scheme to measure the relevant dynamics using a standard spin–echo technique.