Extreme-value dependence: An application to exchange rate markets

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to another. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence between paired exchange rates. However, for asymptotic-independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations.     

Shear banding in biphasic liquid-liquid systems

In this Letter, we present the first systematic report of shear-induced banding in microconfined biphasic liquid-liquid systems, i.e., formation of alternating regions of high and low volume fraction of dispersed-phase droplets in a parallel plate flow cell. Such a flow-driven, gap-dependent phenomenon is only observed at low values of the viscosity ratio between the dispersed and the continuous phase, and in a given range of the applied shear rate. Based on rheological measurements, band formation is found to be associated with a viscosity decrease as compared to the homogeneous, structureless case, thus showing that system microstructure is somehow evolving towards reduced viscous dissipation under shear flow.     

The Forwarding Indices of Random Graphs

A routing R of a graph G is a set of n(n ? 1) elementary paths R(u, v) specified for all ordered pairs (u, v) of vertices of G. The vertex-forwarding index ξ(G) of G, is defined by Where ξ(G, R) is the maximum number of paths of the routing R passing through any vertex of G and the minimum is taken over all the routings of G. Let G_p denote the random graph on n vertices with edge probability p and let m = np. It is proved among other things that, under natural growth conditions on the function p = p(n), the ratio Tends to 1 in probability as n tends to infinity.     

Minimum Distance Between the Faces of Two Convex Polyhedra: A Sufficient Condition

The problem of finding the Euclidean distance between two convex polyhedra can be reduced to the combinatorial optimization problem of finding the minimum distance between their faces. This paper presents a global optimality criterion for this problem. An algorithm (QLDPA) for the fast computation of the distance between convex and bounded polyhedra is proposed as an application of it. Computer experiments show its fast performance, especially when the total number of vertices is large.     

Neutron scattering study of the magnetoelectric compound GaFeO 3

We present a neutron scattering study carried out on single-crystals of the magnetoelectric compound GaFeO₃, prepared by the floating-zone (FZ) method. The refinement of the crystal structure indicates the existence of a large amount of iron on the gallium site, corresponding to a strong internal substitution disorder. We show that the Ga/Fe disorder and the magnetic transition temperature are weakly dependent on the growth conditions. The disorder also affects the magnetic excitations; our measurements evidence damped spin waves, well defined only close to the Brillouin zone centre.     

Evidence for muon neutrino oscillation in an accelerator-based experiment

We present results for nu(mu) oscillation in the KEK to Kamioka (K2K) long-baseline neutrino oscillation experiment. K2K uses an accelerator-produced nu(mu) beam with a mean energy of 1.3 GeV directed at the Super-Kamiokande detector. We observed the energy-dependent disappearance of nu(mu), which we presume have oscillated to nu(tau). The probability that we would observe these results if there is no neutrino oscillation is 0.0050% (4.0 sigma).