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  • 2020-2024
  • 2000-2004  (8)
  • 1935-1939
  • 1890-1899
  • 1870-1879
  • 1820-1829
  • 2001  (8)
  • 1935
  • 1824
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
  • PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements  (2)
  • PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions  (2)
  • PACS. 64.60.-i General studies of phase transitions – 64.60.Fr Equilibrium properties near critical points, critical exponents – 75.40.-s Critical-point effects, specific heats, short-range order  (2)
Datenquelle
Materialart
Erscheinungszeitraum
  • 2020-2024
  • 2000-2004  (8)
  • 1935-1939
  • 1890-1899
  • 1870-1879
    • +
Jahr
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Beliefs and stochastic modelling of interest rate scenario risk (2001)
    Springer
    The European physical journal 20 (2001), S. 511-515 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We present a framework that allows for a systematic assessment of risk given a specific model and belief on the market. Within this framework the time evolution of risk is modeled in a twofold way. On the one hand, risk is modeled by the time discrete and nonlinear garch(1,1) process, which allows for a (time-)local understanding of its level, together with a short term forecast. On the other hand, via a diffusion approximation, the time evolution of the probability density of risk is modeled by a Fokker-Planck equation. Then, as a final step, using Bayes theorem, beliefs are conditioned on the stationary probability density function as obtained from the Fokker-Planck equation. We believe this to be a highly rigorous framework to integrate subjective judgments of future market behavior and underlying models. In order to demonstrate the approach, we apply it to risk assessment of empirical interest rate scenario methodologies, i.e. the application of Principal Component Analysis to the the dynamics of bonds.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011107
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  • 2
    Digitale Medien
    Digitale Medien
    Extracting factors for interest rate scenarios (2001)
    Springer
    The European physical journal 20 (2001), S. 517-522 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/
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  • 3
    Digitale Medien
    Digitale Medien
    Subleading long-range interactions and violations of finite size scaling (2001)
    Springer
    The European physical journal 21 (2001), S. 251-268 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 64.60.-i General studies of phase transitions – 64.60.Fr Equilibrium properties near critical points, critical exponents – 75.40.-s Critical-point effects, specific heats, short-range order
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We study the behavior of systems in which the interaction contains a long-range component that does not dominate the critical behavior. Such a component is exemplified by the van der Waals force between molecules in a simple liquid-vapor system. In the context of the mean spherical model with periodic boundary conditions we are able to identify, for temperatures close above T c, finite-size contributions due to the subleading term in the interaction that are dominant in this region decaying algebraically as a function of L. This mechanism goes beyond the standard formulation of the finite-size scaling but is to be expected in real physical systems. We also discuss other ways in which critical point behavior is modified that are of relevance for analysis of Monte Carlo simulations of such systems.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170201
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  • 4
    Digitale Medien
    Digitale Medien
    Two-point correlation function in systems with van der Waals type interaction (2001)
    Springer
    The European physical journal 23 (2001), S. 211-219 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 64.60.-i General studies of phase transitions – 64.60.Fr Equilibrium properties near critical points, critical exponents – 75.40.-s Critical-point effects, specific heats, short-range order
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: The behavior of the bulk two-point correlation function G( ;T| d ) in d-dimensional system with van der Waals type interactions is investigated and its consequences on the finite-size scaling properties of the susceptibility in such finite systems with periodic boundary conditions is discussed within mean-spherical model which is an example of Ornstein and Zernike type theory. The interaction is supposed to decay at large distances r as r - (d + σ), with 2 〈 d 〈 4, 2 〈 σ 〈 4 and d + σ≤6. It is shown that G( ;T| d ) decays as r - (d - 2) for 1 ≪r≪ξ, exponentially for ξ≪r≪r *, where r * = (σ - 2)ξlnξ, and again in a power law as r - (d + σ) for r≫r *. The analytical form of the leading-order scaling function of G( ;T| d ) in any of these regimes is derived.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170070
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  • 5
    Digitale Medien
    Digitale Medien
    Single-beam optical bottle for cold atoms using a conical lens (2001)
    Springer
    The European physical journal 14 (2001), S. 373-376 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We report a new method to generate an optical dipole potential with a null intensity region surrounded in all directions by light walls. This is achieved with a simple scheme based on a conical lens. Applications to optical trapping of neutral atoms are discussed.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170205
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  • 6
    Digitale Medien
    Digitale Medien
    A continuous cold atomic beam from a magneto-optical trap (2001)
    Springer
    The European physical journal 15 (2001), S. 245-249 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 32.80.Pj Optical cooling of atoms; trapping – 42.50.Vk Mechanical effects of light on atoms, molecules, electrons, and ions
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We have developed and characterized a new method to produce a continuous beam of cold atoms from a standard vapour-cell magneto-optical trap (MOT). The experimental apparatus is very simple. Using a single laser beam it is possible to hollow out in the source MOT a direction of unbalanced radiation pressure along which cold atoms can be accelerated out of the trap. The transverse cooling process that takes place during the extraction reduces the beam divergence. The atomic beam is used to load a magneto-optical trap operating in an ultra-high vacuum environment. At a vapour pressure of 10-8mbar in the loading cell, we have produced a continuous flux of 7×107atoms/s at the recapture cell with a mean velocity of 14 m/s. A comparison of this method with a pulsed transfer scheme is presented.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170172
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  • 7
    Digitale Medien
    Digitale Medien
    Design study of 3-D tomography diagnostics for spherical tokamaks (2001)
    Springer
    The European physical journal 14 (2001), S. 97-103 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: A novel three-dimensional (3-D) tomography software has been developed for spherical tokamak (ST) plasmas with thin central coils. It enables us to measure whole 3-D annular profiles of ST plasma emissivity (line spectrum etc.) using limited number of detectors located on a sphere outside of its separatrix. The numbers and positions of detectors have been optimized for STs that contain low-n toroidal modes from n = 1 to 5. Mathematical method allowing for the removal of the thin central coil from the region of reconstruction and to reconstruct STs with single and double axes are also discussed. The shadow effect of center coil region was found to limit the reconstruction accuracy, indicating that the low-aspect ratio torus (ST) is essential to this new 3-D tomography diagnostics.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170240
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  • 8
    Digitale Medien
    Digitale Medien
    Tomographic determination of plasma velocity with the use of ion Doppler spectroscopy (2001)
    Springer
    The European physical journal 17 (2001), S. 337-344 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: An inversion method for ion Doppler shift of spectrum lines was developed for plasma velocity measurements. By reducing the problem to the vectorial Radon transform, the characteristics of plasma ion velocity distribution such as vector potential/vorticity and velocity components were computed in two-dimensional space. Computer simulation of the reconstruction of different vector potential (vector field) models gives evidence that the reconstruction errors are acceptable, and the method can surely be used for real experimental data.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170008
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