The Influence of Channel Planform and Slope Topography on Turbidity Current Overbank Processes: The Example of the Acquarone Fan (Southeastern Tyrrhenian Sea)

Overbank deposits provide a potentially valuable record of flows that have passed through a submarine channel. The architecture of overbank deposits has generally assumed to relate to autogenic processes related to channel construction. In previous models, which are largely based on passive margins, the distribution and geometry of these deposits is relatively simple, and hence generally predictable. Here, we show how the interaction of different flow types with the complex morphology on a highly-tectonically modified margin can profoundly affect overbank depositional processes, and hence also the resultant deposit geometry and architecture. Our case study is the Acquarone Fan, located in the intraslope Gioia Basin in the south-eastern Tyrrhenian Sea, whose topography is mainly controlled by the presence of the Acquarone structural ridge, which results in the confinement of the left south-west side of the channel-levee system. The research is carried out through analysis of multibeam bathymetric and high-resolution Chirp sub-bottom profiler data. Seven depositional units (Units I-VII) record the recent depositional history of the fan; their thickness has been mapped and their parent flow-types have been interpreted through their seismic response. According to unit thickness maps, two main patterns of deposition are recognized in the overbank area. Their depocenters coincide with different extensive sediment wave fields developed in specific tracts of the right levee and in the frontal splay area. We show that the location of the depocenters varies in time according to the prevalent flow-type and by its interaction with the surrounding seafloor topography and channel planform. We interpret that the lateral confinement of the channel by the structural high generates episodic rebound of the overspilling flow and the inversion of the channel asymmetry. The vertical stratification of the flow strongly influences the overbank deposition where the channel planform has a non-linear shape such as bends and knick-points. In particular, the vertical stratification influences the hydraulic jump size that conditions the amount of overspill and thus the location of overbank depocenters. This study highlights that variations in the sediment distribution and composition on the overbank can be related to the way different flows interact with tectonic setting.

Modeling Market Order Arrivals on the German Intraday Electricity Market with the Hawkes Process

We use point processes to analyze market order arrivals on the intraday market for hourly electricity deliveries in Germany in the second quarter of 2015. As we distinguish between buys and sells, we work in a multivariate setting. We model the arrivals with a Hawkes process whose baseline intensity comprises either only an exponentially increasing component or a constant in addition to the exponentially increasing component, and whose excitation decays exponentially. Our goodness-of-fit tests indicate that the models where the intensity of each market order type is excited at least by events of the same type are the most promising ones. Based on the Akaike information criterion, the model without a constant in the baseline intensity and only self-excitation is selected in almost 50% of the cases on both market sides. The typical jump size of intensities in case of the arrival of a market order of the same type is quite large, yet rather short lived. Diurnal patterns in the parameters of the baseline intensity and the branching ratio of self-excitation are observable. Contemporaneous relationships between different parameters such as the jump size and decay rate of self and cross-excitation are found.

Vanishing Contagion Spreads

We study default in a multifirm equilibrium setting with incomplete information. Defaults are consistent with the firm’s balance sheet and aggregation. We show that the endogenous volatility and jump size of debt and equity generated by other firms’ shocks vanish as the number of firms in the economy increases. As a result, credit spreads depend asymptotically only on the firms’ own cash flow risk. Our vanishing contagion spread result calls into question recent findings based on production economies, in which quantities of risk (volatilities and jump sizes of securities) are specified exogenously, that attribute credit spreads mostly to contagion. This paper was accepted by Kay Giesecke, finance.

Jumps and Cojumps analyses of major and minor cryptocurrencies

This paper empirically examines jumps and cojumps of both major and minor cryptocurrencies. Understanding the nature of their jumps and cojumps plays an important role in risk management, asset allocation and pricing of derivatives. We find that all cryptocurrencies display significant jumps. Furthermore, minor cryptocurrencies appear to have significantly higher jump intensity and jump size than major cryptocurrencies. Finally, we find that cojumps of the Thai stock market index and minor cryptocurrencies have a greater intensity than that of major cryptocurrencies.

On the consistency of jump-diffusion dynamics for FX rates under inversion

We investigate the consistency under inversion of jump diffusion processes in the foreign exchange market. That is, if the EUR/USD exchange rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? After giving a numerical description of this property, we establish a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze both constant and random jump size. While in the first scenario consistency is automatically satisfied, the second case is more involved. A fairly general class of admissible densities for the jump size in the domestic measure is determined.

Exact and WKB-approximate distributions in a gene expression model with feedback in burst frequency, burst size, and protein stability

The expression of individual genes into functional protein molecules is a noisy dynamical process. Here we model the protein concentration as a jump-drift process which combines discrete stochastic production bursts (jumps) with continuous deterministic decay (drift). We allow the drift rate, the jump rate, and the jump size to depend on the current protein level in an arbitrary fashion to implement feedback in protein stability, burst frequency, and burst size. Two versions of feedback in burst size are considered: in the “infinitesimally delayed” version, only those molecules of protein that have been present before a burst started can regulate the size of the burst; in the “undelayed” version, newly produced molecules also partake in the regulation of the further growth of a burst. Excluding the infinitesimal delay in burst size, the model is explicitly solvable. With the inclusion of the infinitesimal delay, an exact distribution to the model is no longer available, but we are able to construct a WKB approximation that applies in the asymptotic regime of small but frequent bursts. Comparing the asymptotic behaviour of the two model versions, we report that they yield the same WKB quasi-potential but a different exponential prefactor. We illustrate the difference on the case of a bimodal protein distribution sustained by a sigmoid feedback in burst size: we show that the omission of the infinitesimal delay overestimates the weight of the upper mode of the protein distribution. The analytic results are supported by kinetic Monte-Carlo simulations.

Tail Risk and Robust Portfolio Decisions

This paper formulates a portfolio choice problem in a multiasset incomplete market characterized by ambiguous jumps and arbitrary tail assumptions. We derive the optimal portfolio in closed form through a decomposition approach. We show that, due to fear of tail incidents, an investor diminishes portfolio diversification, and even more so under heavy-tailed jumps that intensify misspecification concerns. We then implement our model in international equity markets to quantify the impact of tail risk on portfolio selection, through comparisons between a normal and a slowly decaying jump size distribution. We find that, without jump ambiguity, constant relative risk aversion (CRRA) investors increase their jump exposures merely slightly and suffer negligible wealth losses from underestimating tail risk, given that the first two moments of the jump size distributions are preserved regardless of the tail properties. In stark contrast, sizable portfolio rebalancing and subsequent wealth losses are encountered in the presence of jump ambiguity. This paper was accepted by David Simchi-Levi, finance.

Direction of Apparent Motion During Smooth Pursuit Is Determined Using a Mixture of Retinal and Objective Proximities

Many studies have investigated various effects of smooth pursuit on visual motion processing, especially the effects related to the additional retinal shifts produced by eye movement. In this article, we show that the perception of apparent motion during smooth pursuit is determined by the interelement proximity in retinal coordinates and also by the proximity in objective world coordinates. In Experiment 1, we investigated the perceived direction of the two-frame apparent motion of a square-wave grating with various displacement sizes under fixation and pursuit viewing conditions. The retinal and objective displacements between the two frames agreed with each other under the fixation condition. However, the displacements differed by 180 degrees in terms of phase shift, under the pursuit condition. The proportions of the reported motion direction between the two viewing conditions did not coincide when they were plotted as a function of either the retinal displacement or of the objective displacement; however, they did coincide when plotted as a function of a mixture of the two. The result from Experiment 2 showed that the perceived jump size of the apparent motion was also dependent on both retinal and objective displacements. Our findings suggest that the detection of the apparent motion during smooth pursuit considers the retinal proximity and also the objective proximity. This mechanism may assist with the selection of a motion path that is more likely to occur in the real world and, therefore, be useful for ensuring perceptual stability during smooth pursuit.