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Within the scenario of large extra dimensions, the Planck scale is lowered to values soon accessible. Among the predicted effects, the production of TeV mass black holes at the LHC is one of the most exciting possibilities. Though the final phases of the black hole’s evaporation are still unknown, the formation of a black hole remnant is a theoretically well motivated expectation. We analyze the observables emerging from a black hole evaporation with a remnant instead of a final decay. We show that the formation of a black hole remnant yields a signature which differs substantially from a final decay. We find the total transverse momentum of the black hole event to be significantly dominated by the presence of a remnant mass providing a strong experimental signature for black hole remnant formation.
We discuss modifications of the gyromagnetic moment of electrons and muons due to a minimal length scale combined with a modified fundamental scaleMf . First-order deviations from the theoretical standard model value for g-2 due to these String Theory-motivated e ects are derived. Constraints for the new fundamental scale Mf are given.
Probing the density dependence of the symmetry potential in intermediate energy heavy ion collisions
(2005)
Based on the ultrarelativistic quantum molecular dynamics (UrQMD) model, the effects of the density-dependent symmetry potential for baryons and of the Coulomb potential for produced mesons are investigated for neutron-rich heavy ion collisions at intermediate energies. The calculated results of the Delta-/Delta++ and pi -/pi + production ratios show a clear beam-energy dependence on the density-dependent symmetry potential, which is stronger for the pi -/pi + ratio close to the pion production threshold. The Coulomb potential of the mesons changes the transverse momentum distribution of the pi -/pi + ratio significantly, though it alters only slightly the pi- and pi+ total yields. The pi- yields, especially at midrapidity or at low transverse momenta and the p-/pi+ ratios at low transverse momenta, are shown to be sensitive probes of the density-dependent symmetry potential in dense nuclear matter. The effect of the density-dependent symmetry potential on the production of both, K0 and K+ mesons, is also investigated.
String theory suggests modifications of our spacetime such as extra dimensions and the existence of a mininal length scale. In models with addidional dimensions, the Planck scale can be lowered to values accessible by future colliders. Effective theories which extend beyond the standart-model by including extra dimensions and a minimal length allow computation of observables and can be used to make testable predictions. Expected effects that arise within these models are the production of gravitons and black holes. Furthermore, the Planck-length is a lower bound to the possible resolution of spacetime which might be reached soon.
In this study, we analyze the recently proposed charge transfer fluctuations within a finite pseudo-rapidity space. As the charge transfer fluctuation is a measure of the local charge correlation length, it is capable of detecting inhomogeneity in the hot and dense matter created by heavy ion collisions. We predict that going from peripheral to central collisions, the charge transfer fluctuations at midrapidity should decrease substantially while the charge transfer fluctuations at the edges of the observation window should decrease by a small amount. These are consequences of having a strongly inhomogeneous matter where the QGP component is concentrated around midrapidity. We also show how to constrain the values of the charge correlations lengths in both the hadronic phase and the QGP phase using the charge transfer fluctuations.
The regeneration of hadronic resonances is discussed for heavy ion collisions at SPS and SIS-300 energies. The time evolutions of Delta, rho and phi resonances are investigated. Special emphasize is put on resonance regeneration after chemical freeze-out. The emission time spectra of experimentally detectable resonances are explored.
The influence of the isospin-independent, isospin- and momentum-dependent equation of state (EoS), as well as the Coulomb interaction on the pion production in intermediate energy heavy ion collisions (HICs) is studied for both isospin-symmetric and neutron-rich systems. The Coulomb interaction plays an important role in the reaction dynamics, and strongly influences the rapidity and transverse momentum distributions of charged pions. It even leads to the pi- pi+ ratio deviating slightly from unity for isospin-symmetric systems. The Coulomb interaction between mesons and baryons is also crucial for reproducing the proper pion flow since it changes the behavior of the directed and the elliptic flow components of pions visibly. The EoS can be better investigated in neutron-rich system if multiple probes are measured simultaneously. For example, the rapidity and the transverse momentum distributions of the charged pions, the pi- pi+ ratio, the various pion flow components, as well as the difference of pi+-pi- flows. A new sensitive observable is proposed to probe the symmetry potential energy at high densities, namely the transverse momentum distribution of the elliptic flow difference [Delta v_2^pi+ - pi-(p_t rm c.m.].
We compare multiplicities as well as rapidity and transverse momentum distributions of protons, pions and kaons calculated within presently available transport approaches for heavy ion collisions around 1 AGeV. For this purpose, three reactions have been selected: Au+Au at 1 and 1.48 AGeV and Ni+Ni at 1.93 AGeV.
It is investigated whether canonical suppression associated with the exact conservation of an U(1)-charge can be reproduced correctly by current transport models. Therefore a pion-gas having a volume-limited cross section for kaon production and annihilation is simulated within two different transport prescriptions for realizing the inelastic collisions. It is found that both models can indeed dynamically account for the canonical suppression in the yields of rare strange particles.
Longitudinal hadron spectra from proton-proton (pp) and nucleus-nucleus (AA) collisions from E_lab= 2 AGeV to sqrt s=200 AGeV are investigated. The widths of the rapidity spectra for various particle species increases monotonously with energy. The present calculation indicates no sign of a step like behaviour as excepted from the Kaon transverse mass systematics. For Pions, the transport simulation is consistent with a Landau type scaling of the rapidity widths, both in central AA reactions and in pp collisions. However, other hadron species do not follow the Landau scaling. The present model predicts a decreasing rapidity width with particle mass for newly produced particles, not supporting a Landau type flow interpretation.
Transverse hadron spectra from proton-proton, proton-nucleus and nucleus-nucleus collisions from 2 AGeV to 21.3 ATeV are investigated within two independent transport approaches (HSD and UrQMD). For central Au+Au (Pb+Pb) collisions at energies above E lab ~ 5 AGeV, the measured K +- transverse mass spectra have a larger inverse slope parameter than expected from the default calculations. The additional pressure - as suggested by lattice QCD calculations at finite quark chemical potential mu q and temperature T - might be generated by strong interactions in the early pre-hadronic/partonic phase of central Au+Au (Pb+Pb) collisions. This is supported by a non-monotonic energy dependence of v2/pT in the present transport model.
Within the ADD-model, we elaborate an idea by Vacavant and Hinchliffe and show quantitatively how to determine the fundamental scale of TeV-gravity and the number of compactified extra dimensions from data at LHC. We demonstrate that the ADD-model leads to strong correlations between the missing E_T in gravitons at different center of mass energies. This correlation puts strong constraints on this model for extra dimensions, if probed at sqr s=5.5 TeV and sqrt s=14 TeV at LHC.
The cumulant method is applied to study elliptic flow (v_2) in Au+Au collisions at sqrt s=200 AGeV, with the UrQMD model. In this approach, the true event plane is known and both the non-flow effects and event-by-event spatial (epsilon) and v_2 fluctuations exist. Qualitatively, the hierarchy of v_2 's from two, four and six-particle cumulants is consistent with the STAR data, however, the magnitude of v_2 in the UrQMD model is only 60% of the data. We find that the four and six-particle cumulants are good measures of the real elliptic flow over a wide range of centralities except for the most central and very peripheral events. There the cumulant method is affected by the v_2 fluctuations. In mid-central collisions, the four and six-particle cumulants are shown to give a good estimation of the true differential v_2, especially at large transverse momentum, where the two-particle cumulant method is heavily affected by the non-flow effects.
We predict transverse and longitudinal momentum spectra and yields of rho 0 and omega mesons reconstructed from hadron correlations in C+C reactions at 2~AGeV. The rapidity and pT distributions for reconstructable rho 0 mesons differs strongly from the primary distribution, while the omega's distributions are only weakly modified. We discuss the temporal and spatial distributions of the particles emitted in the hadron channel. Finally, we report on the mass shift of the rho 0 due to its coupling to the N*(1520), which is observable in both the di-lepton and pi pi channel. Our calculations can be tested with the Hades experiment at GSI, Darmstadt.
Trapping black hole remnants
(2005)
Large extra dimensions lower the Planck scale to values soon accessible. The production of TeV mass black holes at the LHC is one of the most exciting predictions. However, the final phases of the black hole's evaporation are still unknown and there are strong indications that a black hole remnant can be left. Since a certain fraction of such objects would be electrically charged, we argue that they can be trapped. In this paper, we examine the occurrence of such charged black hole remnants. These trapped remnants are of high interest, as they could be used to closely investigate the evaporation characteristics. Due to the absence of background from the collision region and the controlled initial state, the signal would be very clear. This would allow to extract information about the late stages of the evaporation process with high precision.
The recently proposed baryon-strangeness correlation (C_BS) is studied with a string-hadronic transport model (UrQMD) for various energies from E_lab=4 AGeV to \sqrt s=200 AGeV. It is shown that rescattering among secondaries can not mimic the predicted correlation pattern expected for a Quark-Gluon-Plasma. However, we find a strong increase of the C_BS correlation function with decreasing collision energy both for pp and Au+Au/Pb+Pb reactions. For Au+Au reactions at the top RHIC energy (\sqrt s=200 AGeV), the C_BS correlation is constant for all centralities and compatible with the pp result. With increasing width of the rapidity window, C_BS follows roughly the shape of the baryon rapidity distribution. We suggest to study the energy and centrality dependence of C_BS which allow to gain information on the onset of the deconfinement transition in temperature and volume.
We analyze longitudinal pion spectra from E_lab= 2AGeV to sqrt s_NN=200GeV within Landau's hydrodynamical model. From the measured data on the widths of the pion rapidity spectra, we extract the sound velocity c_s in the early stage of the reactions. It is found that the sound velocity has a local minimum (indicating a softest point in the equation of state, EoS) at E_beam=30AGeV. This softening of the EoS is compatible with the assumption of the formation of a mixed phase at the onset of deconfinement.
Course management software : supporting the university’s teaching with technology initiatives
(2004)
An increasingly important element of the teaching with technology activities at Northwestern University is the course management system, a web-based class communication and administration environment. The usage growth of the system is substantial and amplifies the need for integration with other web services and resources. Integration is particularly material in area of library services. This presentation contains a case study of Northwestern University's implementation of its course management system software and highlights examples of how the system is being used to enhance the teaching and learning. A description of the integration efforts with library resources is provided. The goal of the presentation is to equip librarians with the basic knowledge required to engage with their colleagues in conversations surrounding the nature of integration of these systems within the teaching and learning landscapes of their home institutions.
Determination of field strength and quality factor of heavily HOM damped accelerator cavities
(1992)
Two methods of of measuring field strength in accelerator cavities, heavily damped with respect to higher order modes (HOM), are presented. From the results of the field measurements the coupling (damping) factor and thus the quality factor of the damped resonator can be derived. Measurements of a pillbox resonator with heavily damped TM110-mode (Q < 20) demonstrate the usefulness of the techniques presented, even in this extreme range.
The key hypothesis is that the IT industry lure us into the IT world with a promise to solve our information problems. Do we sign the contract, we will recognise that the IT industry can´t keep the promise. One reason: they themselves lost sight over there own game. Therefore they have to invent new tools continiously. LIS professionals should not leave the field IT professionals. LIS professional should rather put stress on to reveal the difference in the value chain between data – information – knowledge. Information and knowledge is brainware and not produced by hard and software in the sense of IT philosophy. Against the background of the language game of Jean-François Lyotard, the author explains the information and knowledge society as language game invented by the IT industry. Furthermore his beliefs of postmodernen LIS professionals and the consequences involved for LIS traning will be presented.
In this paper we present a non-deterministic call-by-need (untyped) lambda calculus lambda nd with a constant choice and a let-syntax that models sharing. Our main result is that lambda nd has the nice operational properties of the standard lambda calculus: confluence on sets of expressions, and normal order reduction is sufficient to reach head normal form. Using a strong contextual equivalence we show correctness of several program transformations. In particular of lambdalifting using deterministic maximal free expressions. These results show that lambda nd is a new and also natural combination of non-determinism and lambda-calculus, which has a lot of opportunities for parallel evaluation. An intended application of lambda nd is as a foundation for compiling lazy functional programming languages with I/O based on direct calls. The set of correct program transformations can be rigorously distinguished from non-correct ones. All program transformations are permitted with the slight exception that for transformations like common subexpression elimination and lambda-lifting with maximal free expressions the involved subexpressions have to be deterministic ones.
A version of this paper was originally written for a plenary session about "The Futures of Ethnography" at the 1998 EASA conference in Frankfurt/Main. In the preparation of the paper, I sent out some questions to my former fellow researchers by e-mail. I thank Douglas Anthony, Jan-Patrick Heiß, Alaine Hutson, Matthias Krings, and Brian Larkin for their answers.
Evidence for an exotic S=-2, Q=-2 baryon resonance in proton-proton collisions at the CERN SPS
(2004)
Results of resonance searches in the Xi - pi -, Xi - pi +, Xi -bar+ pi -, and Xi -bar+ pi + invariant mass spectra in proton-proton collisions at sqrt[s]=17.2 GeV are presented. Evidence is shown for the existence of a narrow Xi - pi - baryon resonance with mass of 1.862±0.002 GeV/c2 and width below the detector resolution of about 0.018 GeV/c2. The significance is estimated to be above 4.2 sigma . This state is a candidate for the hypothetical exotic Xi --3/2 baryon with S=-2, I=3 / 2, and a quark content of (dsdsu-bar). At the same mass, a peak is observed in the Xi - pi + spectrum which is a candidate for the Xi 03/2 member of this isospin quartet with a quark content of (dsusd-bar). The corresponding antibaryon spectra also show enhancements at the same invariant mass.
The results from the STAR Collaboration on directed flow (v1), elliptic flow (v2), and the fourth harmonic (v4) in the anisotropic azimuthal distribution of particles from Au+Au collisions at sqrt[sNN]=200GeV are summarized and compared with results from other experiments and theoretical models. Results for identified particles are presented and fit with a blast-wave model. Different anisotropic flow analysis methods are compared and nonflow effects are extracted from the data. For v2, scaling with the number of constituent quarks and parton coalescence are discussed. For v4, scaling with v22 and quark coalescence are discussed.
Midrapidity open charm spectra from direct reconstruction of D0(D0-bar)-->K± pi ± in d+Au collisions and indirect electron-positron measurements via charm semileptonic decays in p+p and d+Au collisions at sqrt[sNN]=200 GeV are reported. The D0(D0-bar) spectrum covers a transverse momentum (pT) range of 0.1<pT<3 GeV/c, whereas the electron spectra cover a range of 1<pT<4 GeV/c. The electron spectra show approximate binary collision scaling between p+p and d+Au collisions. From these two independent analyses, the differential cross section per nucleon-nucleon binary interaction at midrapidity for open charm production from d+Au collisions at BNL RHIC is d sigma NNcc-bar/dy=0.30±0.04(stat)±0.09(syst) mb. The results are compared to theoretical calculations. Implications for charmonium results in A+A collisions are discussed.
We present the first large-acceptance measurement of event-wise mean transverse momentum <pt> fluctuations for Au-Au collisions at nucleon-nucleon center-of-momentum collision energy sqrt[sNN] = 130 GeV. The observed nonstatistical <pt> fluctuations substantially exceed in magnitude fluctuations expected from the finite number of particles produced in a typical collision. The r.m.s. fractional width excess of the event-wise <pt> distribution is 13.7±0.1(stat) ±1.3(syst)% relative to a statistical reference, for the 15% most-central collisions and for charged hadrons within pseudorapidity range | eta |<1,2 pi azimuth, and 0.15 <= pt <= 2 GeV/c. The width excess varies smoothly but nonmonotonically with collision centrality and does not display rapid changes with centrality which might indicate the presence of critical fluctuations. The reported <pt> fluctuation excess is qualitatively larger than those observed at lower energies and differs markedly from theoretical expectations. Contributions to <pt> fluctuations from semihard parton scattering in the initial state and dissipation in the bulk colored medium are discussed.
The short-lived K(892)* resonance provides an efficient tool to probe properties of the hot and dense medium produced in relativistic heavy-ion collisions. We report measurements of K* in sqrt[sNN]=200GeV Au+Au and p+p collisions reconstructed via its hadronic decay channels K(892)*0-->K pi and K(892)*±-->K0S pi ± using the STAR detector at the Relativistic Heavy Ion Collider at Brookhaven National Laboratory. The K*0 mass has been studied as a function of pT in minimum bias p+p and central Au+Au collisions. The K*pT spectra for minimum bias p+p interactions and for Au+Au collisions in different centralities are presented. The K*/K yield ratios for all centralities in Au+Au collisions are found to be significantly lower than the ratio in minimum bias p+p collisions, indicating the importance of hadronic interactions between chemical and kinetic freeze-outs. A significant nonzero K*0 elliptic flow (v2) is observed in Au+Au collisions and is compared to the K0S and Lambda v2. The nuclear modification factor of K* at intermediate pT is similar to that of K0S but different from Lambda . This establishes a baryon-meson effect over a mass effect in the particle production at intermediate pT (2<pT <= 4GeV/c).
We present a systematic analysis of two-pion interferometry in Au+Au collisions at sqrt[sNN]=200GeV using the STAR detector at Relativistic Heavy Ion Collider. We extract the Hanbury-Brown and Twiss radii and study their multiplicity, transverse momentum, and azimuthal angle dependence. The Gaussianness of the correlation function is studied. Estimates of the geometrical and dynamical structure of the freeze-out source are extracted by fits with blast-wave parametrizations. The expansion of the source and its relation with the initial energy density distribution is studied.
Correlations in the hadron distributions produced in relativistic Au+Au collisions are studied in the discrete wavelet expansion method. The analysis is performed in the space of pseudorapidity (| eta | <= 1) and azimuth(full 2 pi ) in bins of transverse momentum (pt) from 0.14 <= pt <= 2.1GeV/c. In peripheral Au+Au collisions a correlation structure ascribed to minijet fragmentation is observed. It evolves with collision centrality and pt in a way not seen before, which suggests strong dissipation of minijet fragmentation in the longitudinally expanding medium.
Results on high transverse momentum charged particle emission with respect to the reaction plane are presented for Au+Au collisions at sqrt[sNN]=200 GeV. Two- and four-particle correlations results are presented as well as a comparison of azimuthal correlations in Au+Au collisions to those in p+p at the same energy. The elliptic anisotropy v2 is found to reach its maximum at pt~3 GeV/c, then decrease slowly and remain significant up to pt ~ 7-10 GeV/c. Stronger suppression is found in the back-to-back high-pt particle correlations for particles emitted out of plane compared to those emitted in plane. The centrality dependence of v2 at intermediate pt is compared to simple models based on jet quenching.
Azimuthally sensitive Hanbury Brown-Twiss interferometry in Au+Au collisions at sqrt[sNN]=200 GeV
(2004)
We present the results of a systematic study of the shape of the pion distribution in coordinate space at freeze-out in Au+Au collisions at BNL RHIC using two-pion Hanbury Brown-Twiss (HBT) interferometry. Oscillations of the extracted HBT radii versus emission angle indicate sources elongated perpendicular to the reaction plane. The results indicate that the pressure and expansion time of the collision system are not sufficient to completely quench its initial shape.
The pseudorapidity asymmetry and centrality dependence of charged hadron spectra in d+Au collisions at sqrt[sNN ]=200 GeV are presented. The charged particle density at midrapidity, its pseudorapidity asymmetry, and centrality dependence are reasonably reproduced by a multiphase transport model, by HIJING, and by the latest calculations in a saturation model. Ratios of transverse momentum spectra between backward and forward pseudorapidity are above unity for pT below 5 GeV/c . The ratio of central to peripheral spectra in d+Au collisions shows enhancement at 2< pT <6 GeV/c , with a larger effect at backward rapidity than forward rapidity. Our measurements are in qualitative agreement with gluon saturation and in contrast to calculations based on incoherent multiple partonic scatterings.
Transverse energy ( ET ) distributions have been measured for Au+Au collisions at sqrt[sNN ]=200 GeV by the STAR Collaboration at RHIC. ET is constructed from its hadronic and electromagnetic components, which have been measured separately. ET production for the most central collisions is well described by several theoretical models whose common feature is large energy density achieved early in the fireball evolution. The magnitude and centrality dependence of ET per charged particle agrees well with measurements at lower collision energy, indicating that the growth in ET for larger collision energy results from the growth in particle production. The electromagnetic fraction of the total ET is consistent with a final state dominated by mesons and independent of centrality.
We report inclusive photon measurements about midrapidity ( |y| <0.5 ) from 197 Au + 197 Au collisions at sqrt[sNN ]=130 GeV at RHIC. Photon pair conversions were reconstructed from electron and positron tracks measured with the Time Projection Chamber (TPC) of the STAR experiment. With this method, an energy resolution of Delta E/E ~ 2% at 0.5 GeV has been achieved. Reconstructed photons have also been used to measure the transverse momentum ( pt ) spectra of pi 0 mesons about midrapidity ( |y| <1 ) via the pi 0 --> gamma gamma decay channel. The fractional contribution of the pi 0 --> gamma gamma decay to the inclusive photon spectrum decreases by 20%±5% between pt =1.65 GeV/c and pt =2.4 GeV/c in the most central events, indicating that relative to pi 0 --> gamma gamma decay the contribution of other photon sources is substantially increasing.
We present STAR measurements of charged hadron production as a function of centrality in Au+Au collisions at sqrt[sNN ]=130 GeV . The measurements cover a phase space region of 0.2< pT <6.0 GeV/c in transverse momentum and -1< eta <1 in pseudorapidity. Inclusive transverse momentum distributions of charged hadrons in the pseudorapidity region 0.5< | eta | <1 are reported and compared to our previously published results for | eta | <0.5 . No significant difference is seen for inclusive pT distributions of charged hadrons in these two pseudorapidity bins. We measured dN/d eta distributions and truncated mean pT in a region of pT > pcutT , and studied the results in the framework of participant and binary scaling. No clear evidence is observed for participant scaling of charged hadron yield in the measured pT region. The relative importance of hard scattering processes is investigated through binary scaling fraction of particle production.
We report on the rapidity and centrality dependence of proton and antiproton transverse mass distributions from 197Au + 197Au collisions at sqrt[sNN ]=130 GeV as measured by the STAR experiment at the Relativistic Heavy Ion Collider (RHIC). Our results are from the rapidity and transverse momentum range of |y| <0.5 and 0.35< pt <1.00 GeV/c . For both protons and antiprotons, transverse mass distributions become more convex from peripheral to central collisions demonstrating characteristics of collective expansion. The measured rapidity distributions and the mean transverse momenta versus rapidity are flat within |y| <0.5 . Comparisons of our data with results from model calculations indicate that in order to obtain a consistent picture of the proton (antiproton) yields and transverse mass distributions the possibility of prehadronic collective expansion may have to be taken into account.
We present data on e+ e- pair production accompanied by nuclear breakup in ultraperipheral gold-gold collisions at a center of mass energy of 200 GeV per nucleon pair. The nuclear breakup requirement selects events at small impact parameters, where higher-order diagrams for pair production should be enhanced. We compare the data with two calculations: one based on the equivalent photon approximation, and the other using lowest-order quantum electrodynamics (QED). The data distributions agree with both calculations, except that the pair transverse momentum spectrum disagrees with the equivalent photon approach. We set limits on higher-order contributions to the cross section.
The transverse mass spectra and midrapidity yields for Xi s and Omega s are presented. For the 10% most central collisions, the Xi -bar+/h- ratio increases from the Super Proton Synchrotron to the Relativistic Heavy Ion Collider energies while the Xi -/h- stays approximately constant. A hydrodynamically inspired model fit to the Xi spectra, which assumes a thermalized source, seems to indicate that these multistrange particles experience a significant transverse flow effect, but are emitted when the system is hotter and the flow is smaller than values obtained from a combined fit to pi , K, p, and Lambda s.
Measurements of the production of forward high-energy pi 0 mesons from transversely polarized proton collisions at sqrt[s]=200 GeV are reported. The cross section is generally consistent with next-to-leading order perturbative QCD calculations. The analyzing power is small at xF below about 0.3, and becomes positive and large at higher xF, similar to the trend in data at sqrt[s] <= 20 GeV. The analyzing power is in qualitative agreement with perturbative QCD model expectations. This is the first significant spin result seen for particles produced with pT>1 GeV/c at a polarized proton collider.
Transverse mass and rapidity distributions for charged pions, charged kaons, protons, and antiprotons are reported for sqrt[sNN]=200 GeV pp and Au+Au collisions at Relativistic Heary Ion Collider (RHIC). Chemical and kinetic equilibrium model fits to our data reveal strong radial flow and long duration from chemical to kinetic freeze-out in central Au+Au collisions. The chemical freeze-out temperature appears to be independent of initial conditions at RHIC energies.
We report results on rho (770)0--> pi + pi - production at midrapidity in p+p and peripheral Au+Au collisions at sqrt[sNN]=200 GeV. This is the first direct measurement of rho (770)0--> pi + pi - in heavy-ion collisions. The measured rho 0 peak in the invariant mass distribution is shifted by ~40 MeV/c2 in minimum bias p+p interactions and ~70 MeV/c2 in peripheral Au+Au collisions. The rho 0 mass shift is dependent on transverse momentum and multiplicity. The modification of the rho 0 meson mass, width, and shape due to phase space and dynamical effects are discussed.
We report the first observations of the first harmonic (directed flow, v1) and the fourth harmonic (v4), in the azimuthal distribution of particles with respect to the reaction plane in Au+Au collisions at the BNL Relativistic Heavy Ion Collider (RHIC). Both measurements were done taking advantage of the large elliptic flow (v2) generated at RHIC. From the correlation of v2 with v1 it is determined that v2 is positive, or in-plane. The integrated v4 is about a factor of 10 smaller than v2. For the sixth (v6) and eighth (v8) harmonics upper limits on the magnitudes are reported.
We present STAR measurements of the azimuthal anisotropy parameter v2 and the binary-collision scaled centrality ratio RCP for kaons and lambdas ( Lambda + Lambda -bar) at midrapidity in Au+Au collisions at sqrt[sNN]=200 GeV. In combination, the v2 and RCP particle-type dependencies contradict expectations from partonic energy loss followed by standard fragmentation in vacuum. We establish pT ~ 5 GeV/c as the value where the centrality dependent baryon enhancement ends. The K0S and Lambda + Lambda -bar v2 values are consistent with expectations of constituent-quark-number scaling from models of hadron formation by parton coalescence or recombination.
Pion-kaon correlation functions are constructed from central Au+Au STAR data taken at sqrt[sNN]=130 GeV by the STAR detector at the Relativistic Heavy Ion Collider (RHIC). The results suggest that pions and kaons are not emitted at the same average space-time point. Space-momentum correlations, i.e., transverse flow, lead to a space-time emission asymmetry of pions and kaons that is consistent with the data. This result provides new independent evidence that the system created at RHIC undergoes a collective transverse expansion.
Data from the first physics run at the Relativistic Heavy-Ion Collider at Brookhaven National Laboratory, Au+Au collisions at sqrt[sNN]=130 GeV, have been analyzed by the STAR Collaboration using three-pion correlations with charged pions to study whether pions are emitted independently at freeze-out. We have made a high-statistics measurement of the three-pion correlation function and calculated the normalized three-particle correlator to obtain a quantitative measurement of the degree of chaoticity of the pion source. It is found that the degree of chaoticity seems to increase with increasing particle multiplicity.
We report high statistics measurements of inclusive charged hadron production in Au+Au and p+p collisions at sqrt[sNN]=200 GeV. A large, approximately constant hadron suppression is observed in central Au+Au collisions for 5<pT<12 GeV/c. The collision energy dependence of the yields and the centrality and pT dependence of the suppression provide stringent constraints on theoretical models of suppression. Models incorporating initial-state gluon saturation or partonic energy loss in dense matter are largely consistent with observations. We observe no evidence of pT-dependent suppression, which may be expected from models incorporating jet attenuation in cold nuclear matter or scattering of fragmentation hadrons.
We report measurements of single-particle inclusive spectra and two-particle azimuthal distributions of charged hadrons at high transverse momentum (high pT) in minimum bias and central d+Au collisions at sqrt[sNN]=200 GeV. The inclusive yield is enhanced in d+Au collisions relative to binary-scaled p+p collisions, while the two-particle azimuthal distributions are very similar to those observed in p+p collisions. These results demonstrate that the strong suppression of the inclusive yield and back-to-back correlations at high pT previously observed in central Au+Au collisions are due to final-state interactions with the dense medium generated in such collisions.
We present the results of charged particle fluctuations measurements in Au+Au collisions at sqrt[sNN ]=130 GeV using the STAR detector. Dynamical fluctuations measurements are presented for inclusive charged particle multiplicities as well as for identified charged pions, kaons, and protons. The net charge dynamical fluctuations are found to be large and negative providing clear evidence that positive and negative charged particle production is correlated within the pseudorapidity range investigated. Correlations are smaller than expected based on model-dependent predictions for a resonance gas or a quark-gluon gas which undergoes fast hadronization and freeze-out. Qualitative agreement is found with comparable scaled p+p measurements and a heavy ion jet interaction generation model calculation based on independent particle collisions, although a small deviation from the 1/N scaling dependence expected from this model is observed.
The balance function is a new observable based on the principle that charge is locally conserved when particles are pair produced. Balance functions have been measured for charged particle pairs and identified charged pion pairs in Au+Au collisions at sqrt[sNN]=130 GeV at the Relativistic Heavy Ion Collider using STAR. Balance functions for peripheral collisions have widths consistent with model predictions based on a superposition of nucleon-nucleon scattering. Widths in central collisions are smaller, consistent with trends predicted by models incorporating late hadronization.
Azimuthal anisotropy (v2) and two-particle angular correlations of high pT charged hadrons have been measured in Au+Au collisions at sqrt[sNN]=130 GeV for transverse momenta up to 6 GeV/c, where hard processes are expected to contribute significantly. The two-particle angular correlations exhibit elliptic flow and a structure suggestive of fragmentation of high pT partons. The monotonic rise of v2(pT) for pT<2 GeV/c is consistent with collective hydrodynamical flow calculations. At pT>3 GeV/c, a saturation of v2 is observed which persists up to pT=6 GeV/c.
Azimuthal anisotropy (v2) and two-particle angular correlations of high pT charged hadrons have been measured in Au+Au collisions at sqrt[sNN]=130 GeV for transverse momenta up to 6 GeV/c, where hard processes are expected to contribute significantly. The two-particle angular correlations exhibit elliptic flow and a structure suggestive of fragmentation of high pT partons. The monotonic rise of v2(pT) for pT<2 GeV/c is consistent with collective hydrodynamical flow calculations. At pT>3 GeV/c, a saturation of v2 is observed which persists up to pT=6 GeV/c.
The STAR Collaboration reports the first observation of exclusive rho 0 photoproduction, AuAu-->AuAu rho 0, and rho 0 production accompanied by mutual nuclear Coulomb excitation, AuAu-->Au [star] Au [star] rho 0, in ultraperipheral heavy-ion collisions. The rho 0 have low transverse momenta, consistent with coherent coupling to both nuclei. The cross sections at sqrt[sNN]=130 GeV agree with theoretical predictions treating rho 0 production and Coulomb excitation as independent processes.
Inclusive transverse momentum distributions of charged hadrons within 0.2<pT<6.0 GeV/c have been measured over a broad range of centrality for Au+Au collisions at sqrt[sNN]=130 GeV. Hadron yields are suppressed at high pT in central collisions relative to peripheral collisions and to a nucleon-nucleon reference scaled for collision geometry. Peripheral collisions are not suppressed relative to the nucleon-nucleon reference. The suppression varies continuously at intermediate centralities. The results indicate significant nuclear medium effects on high-pT hadron production in heavy-ion collisions at high energy.
We report STAR results on the azimuthal anisotropy parameter v2 for strange particles K0S, Lambda , and Lambda -bar at midrapidity in Au+Au collisions at sqrt[sNN]=130 GeV at the Relativistic Heavy Ion Collider. The value of v2 as a function of transverse momentum, pt, of the produced particle and collision centrality is presented for both particles up to pt~3.0 GeV/c. A strong pt dependence in v2 is observed up to 2.0 GeV/c. The v2 measurement is compared with hydrodynamic model calculations. The physics implications of the pt integrated v2 magnitude as a function of particle mass are also discussed.
We report the first measurement of strange ( Lambda ) and antistrange ( Lambda -bar) baryon production from sqrt[sNN]=130 GeV Au+Au collisions at the Relativistic Heavy Ion Collider (RHIC). Rapidity density and transverse mass distributions at midrapidity are presented as a function of centrality. The yield of Lambda and Lambda -bar hyperons is found to be approximately proportional to the number of negative hadrons. The production of Lambda -bar hyperons relative to negative hadrons increases very rapidly with transverse momentum. The magnitude of the increase cannot be described by existing hadronic string fragmentation models alone.
We report the first observation of K*(892)0--> pi K in relativistic heavy ion collisions. The transverse momentum spectrum of (K*0+K*0)/2 from central Au+Au collisions at sqrt[sNN]=130 GeV is presented. The ratios of the K*0 yield derived from these data to the yields of negative hadrons, charged kaons, and phi mesons have been measured in central and minimum bias collisions and compared with model predictions and comparable e+e-, pp, and p-barp results. The data indicate no dramatic reduction of K*0 production in relativistic heavy ion collisions despite expected losses due to rescattering effects.
Elliptic flow holds much promise for studying the early-time thermalization attained in ultrarelativistic nuclear collisions. Flow measurements also provide a means of distinguishing between hydrodynamic models and calculations which approach the low density (dilute gas) limit. Among the effects that can complicate the interpretation of elliptic flow measurements are azimuthal correlations that are unrelated to the reaction plane (nonflow correlations). Using data for Au + Au collisions at sqrt[sNN]=130 GeV from the STAR time projection chamber, it is found that four-particle correlation analyses can reliably separate flow and nonflow correlation signals. The latter account for on average about 15% of the observed second-harmonic azimuthal correlation, with the largest relative contribution for the most peripheral and the most central collisions. The results are also corrected for the effect of flow variations within centrality bins. This effect is negligible for all but the most central bin, where the correction to the elliptic flow is about a factor of 2. A simple new method for two-particle flow analysis based on scalar products is described. An analysis based on the distribution of the magnitude of the flow vector is also described.
We present the first measurement of midrapidity vector meson phi production in Au+Au collisions at RHIC (sqrt[sNN]=130 GeV) from the STAR detector. For the 11% highest multiplicity collisions, the slope parameter from an exponential fit to the transverse mass distribution is T=379±50(stat)±45(syst) MeV, the yield dN/dy=5.73±0.37(stat)±0.69(syst) per event, and the ratio N phi /Nh- is found to be 0.021±0.001(stat)±0.004(syst). The measured ratio N phi /Nh- and T for the phi meson at midrapidity do not change for the selected multiplicity bins.
We report the first measurement of inclusive antiproton production at midrapidity in Au+Au collisions at sqrt[sNN] = 130 GeV by the STAR experiment at RHIC. The antiproton transverse mass distributions in the measured transverse momentum range of 0.25<pperp<0.95 GeV/c are found to fall less steeply for more central collisions. The extrapolated antiproton rapidity density is found to scale approximately with the negative hadron multiplicity density.
The first measurements of light antinucleus production in Au+Au collisions at the Relativistic Heavy-Ion Collider are reported. The observed production rates for d-bar and 3He-bar are much larger than in lower energy nucleus-nucleus collisions. A coalescence model analysis of the yields indicates that there is little or no increase in the antinucleon freeze-out volume compared to collisions at CERN SPS energy. These analyses also indicate that the 3He-bar freeze-out volume is smaller than the d-bar freeze-out volume.
We report first results on elliptic flow of identified particles at midrapidity in Au+Au collisions at sqrt[sNN] = 130 GeV using the STAR TPC at RHIC. The elliptic flow as a function of transverse momentum and centrality differs significantly for particles of different masses. This dependence can be accounted for in hydrodynamic models, indicating that the system created shows a behavior consistent with collective hydrodynamical flow. The fit to the data with a simple model gives information on the temperature and flow velocities at freeze-out.
The minimum-bias multiplicity distribution and the transverse momentum and pseudorapidity distributions for central collisions have been measured for negative hadrons ( h-) in Au+Au interactions at sqrt[sNN] = 130 GeV. The multiplicity density at midrapidity for the 5% most central interactions is dNh-/d eta | eta = 0 = 280±1(stat)±20(syst), an increase per participant of 38% relative to pp-bar collisions at the same energy. The mean transverse momentum is 0.508±0.012 GeV/c and is larger than in central Pb+Pb collisions at lower energies. The scaling of the h- yield per participant is a strong function of pperp. The pseudorapidity distribution is almost constant within | eta |<1.
Two-pion correlation functions in Au+Au collisions at sqrt[sNN] = 130 GeV have been measured by the STAR (solenoidal tracker at RHIC) detector. The source size extracted by fitting the correlations grows with event multiplicity and decreases with transverse momentum. Anomalously large sizes or emission durations, which have been suggested as signals of quark-gluon plasma formation and rehadronization, are not observed. The Hanbury Brown-Twiss parameters display a weak energy dependence over a broad range in sqrt[sNN].
We report results on the ratio of midrapidity antiproton-to-proton yields in Au+Au collisions at sqrt[sNN] = 130 GeV per nucleon pair as measured by the STAR experiment at RHIC. Within the rapidity and transverse momentum range of | y|<0.5 and 0.4<pt<1.0 GeV/c, the ratio is essentially independent of either transverse momentum or rapidity, with an average of 0.65±0.01(stat)±0.07(syst) for minimum bias collisions. Within errors, no strong centrality dependence is observed. The results indicate that at this RHIC energy, although the p-p-bar pair production becomes important at midrapidity, a significant excess of baryons over antibaryons is still present.
Elliptic flow from nuclear collisions is a hadronic observable sensitive to the early stages of system evolution. We report first results on elliptic flow of charged particles at midrapidity in Au+Au collisions at sqrt[sNN] = 130 GeV using the STAR Time Projection Chamber at the Relativistic Heavy Ion Collider. The elliptic flow signal, v2, averaged over transverse momentum, reaches values of about 6% for relatively peripheral collisions and decreases for the more central collisions. This can be interpreted as the observation of a higher degree of thermalization than at lower collision energies. Pseudorapidity and transverse momentum dependence of elliptic flow are also presented.
Observation of enhanced subthreshold K+ production in central collisions between heavy nuclei
(1994)
In the very heavy collision system 197Au+197Au the K+ production process was studied as a function of impact parameter at 1 GeV/nucleon, a beam energy well below the free N-N threshold. The K+ multiplicity increases more than linearly with the number of participant nucleons and the K+/ pi + ratio rises significantly when going from peripheral to central collisions. The measured K+ double differential cross section is enhanced by a factor of 6 compared to microscopic transport calculations if secondary processes (Delta N-->K Lambda N and Delta Delta -->K Lambda N) are ignored.
The energy dependence of rapidity distributions and flow effects was studied in central Ar+Pb collisions at 400, 800, and 1800 MeV/nucleon using a streamer chamber. Rapidity distributions for proton and pions are found to have a Gaussian shape whereas those for deuterons exhibit a two-peak structure at the two higher energies. The average in-plane transverse momentum per/nucleon and per/event shows saturation of flow around 800 MeV/nucleon for this asymmetric system. The aspect ratio of the sphericity tensor is closely correlated with the flow angle. This correlation appears to be independent of beam energy. The number of participating nucleons in central collisions varies from 213 at 400 to 135 at 1800 MeV/nucleon indicating that at the lowest energy almost the entire target nucleus participates in the collision.
Nuclear resonance fluorescence experiments have been performed on the deformed actinide nucleus 236U. Bremsstrahlung of 3.9 MeV endpoint energy has been used as the photon source. The scattered photons were detected by three high resolution Ge- gamma -spectrometers installed at scattering angles of 92°, 128°, and 150°, respectively. Precise excitation energies, decay branching ratios, and ground state decay widths of numerous previously unknown spin 1 states in the excitation energy range 1.8-3.2 MeV have been extracted. The dipole strength has been found to be concentrated in the energy range 2.1-2.5 MeV. The systematics of the so-called scissors mode observed as a result of the previous ( gamma , gamma ') and (e,e') experiments on 232Th and 238U and, in particular, their combined analysis suggests likewise to attribute these new dipole excitations in 236U to the orbital M1 scissors mode.
Semicentral Ar+KCl, La+La, and Ar+Pb collisions at 800 MeV/nucleon were studied using a streamer chamber. The results are analyzed in the framework of the transverse momentum analysis and in terms of the average sphericity matrix. A critical examination of the analysis procedures, both experimental and theoretical, is given. New procedures are described to account for overall momentum conservation in the reaction, and to correct for azimuthal variations in the detection efficiency. Average transverse momenta per nucleon in the reaction plane are presented for deuterons emitted in the forward hemisphere, as these provide the most reliable information. A Vlasov-Uehling-Uhlenbeck calculation with a stiff equation of state gives a good fit to the momenta in the Ar+Pb reaction. Flow effects parametrized further using the sphericity tensor are found stronger than in the cascade model and consistently weaker than predicted by hydrodynamics. Parameters from the sphericity tensor exhibit a larger variation as a function of multiplicity than do the average momenta per nucleon.
The challenging intricacies of strongly correlated electronic systems necessitate the use of a variety of complementary theoretical approaches. In this thesis, we analyze two distinct aspects of strong correlations and develop further or adapt suitable techniques. First, we discuss magnetization transport in insulating one-dimensional spin rings described by a Heisenberg model in an inhomogeneous magnetic field. Due to quantum mechanical interference of magnon wave functions, persistent magnetization currents are shown to exist in such a geometry in analogy to persistent charge currents in mesoscopic normal metal rings. The second, longer part is dedicated to a new aspect of the functional renormalization group technique for fermions. By decoupling the interaction via a Hubbard-Stratonovich transformation, we introduce collective bosonic variables from the beginning and analyze the hierarchy of flow equations for the coupled field theory. The possibility of a cutoff in the momentum transfer of the interaction leads to a new flow scheme, which we will refer to as the interaction cutoff scheme. Within this approach, Ward identities for forward scattering problems are conserved at every instant of the flow leading to an exact solution of a whole hierarchy of flow equations. This way the known exact result for the single-particle Green's function of the Tomonaga-Luttinger model is recovered.
Models with multiple equilibria are a popular way to explain currency attacks. Morris and Shin (1998) have shown that, in the context of those models, unique equilibria may prevail once noisy private information is introduced. In this paper, we generalize the results of Morris and Shin to a broader class of probability distributions and show - using the technique of iterated elimination of dominated strategies - that uniqueness will hold, even if we allow for sunspots and individual uncertainty about strategic behavior of other agents. We provide a clear exposition of the logic of this model and we analyse the impact of transparency on the probability of a speculative attack. For the case of uniform distribution of noisy signals, we show that increased transparency of government policy reduces the likelihood of attacks. JEL Classification F 31, D 82
During the last decade, there has been a significant bias towards bond financing on emerging markets, with private investors relying on a bail-out of bonds by the international community. The bias has been a main cause for recent excessive fragility of international capital markets. The paper shows how collective action clauses in bonds contracts help to involve the private sector in risk sharing. It argues that such clauses, as a market based instrument, will raise spreads for emerging market debt and so help to correct a market failure towards excessive bond finance. Recent pressure by the IMF to involve the private sector is facing a conflict between the principle to honour existing contracts and the principle of equal treatment of bondholders.
The paper analyzes the incentive for the ECB to establish reputation by pursuing a restrictive policy right at the start of its operation. The bank is modelled as risk averse with respect to deviations of both inflation and output from her target. The public, being imperfectly informed about the bank’s preferences uses observed inflation as (imperfect) signal for the unknown preferences. Under linear learning rules - which are commonly used in the literature - a gradual build up of reputation is the optimal response. The paper shows that such a linear learning rule is not consistent with efficient signaling. It is shown that in a game with efficient signaling, a cold turkey approach - allowing for deflation - is optimal for a strong bank - accepting high current output losses at the beginning in order to demonstrate its toughness. JEL classification: D 82, E 58
During the last years the relationship between financial development and economic growth has received widespread attention in the literature on growth and development. This paper summarises in its first part the results of this research, stressing the growth-enhancing effects of an increased interpersonal re-allocation of resources promoted by financial development. The second part of the paper seeks to identify the determinants of financial development based on Diamond's theory of financial intermediation as delegated monitoring. The analysis shows that the quality of corporate governance of banks is the key factor in financial system development. Accordingly, financial sector reforms in developing countries will only succeed if they strengthen the corporate governance of financial institutions. In this area, financial institution building has an important contribution to make. Paper presented at the First Annual Seminar on New Development Finance held at the Goethe University of Frankfurt, September 22 - October 3, 1997
The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on short- and long-term asset returns, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.
The extension of long-term loans, e.g. to finance housing, is adversely affected by inflation. For one thing, the higher nominal interest rates charged by the banks in response to inflation mean that borrowers have to make (nominally) higher interest payments, which unnecessarily reduces their borrowing capacity. For another, long-term loans with variable interest rates increase the probability that borrowers will become unable to meet their payment obligations. The present paper examines these two assertions in detail. At the same time, it presents a concept for substantially reducing the weaknesses of conventional lending methodologies. We start by investigating the consequences of a stable inflation rate on the borrowing capacity of credit clients, then go on to analyze the impact of fluctuating inflation rates on the risk of default.
Competition for order flow can be characterized as a coordination game with multiple equilibria. Analyzing competition between dealer markets and a crossing network, we show that the crossing network is more stable for lower traders’ disutilities from unexecuted orders. By introducing private information, we prove existence of a unique equilibrium with market consolidation. Assets with low volatility and large volumes are traded on crossing networks, others on dealer markets. Efficiency requires more assets to be traded on crossing networks. If traders’ disutilities differ sufficiently, a unique equilibrium with market fragmentation exists. Low disutility traders use the crossing network while high disutility traders use the dealer market. The crossing network’s market share is inefficiently small.
In this paper, we estimate the demand for homeowner insurance in Florida. Since we are interested in a number of factors influencing demand, we approach the problem from two directions. We first estimate two hedonic equations representing the premium per contract and the price mark-up. We analyze how the contracts are bundled and how contract provisions, insurer characteristics and insured risk characteristics and demographics influence the premium per contract and the price mark-up. Second, we estimate the demand for homeowners insurance using two-stage least squares regression. We employ ISO's indicated loss costs as our proxy for real insurance services demanded. We assume that the demand for coverage is essentially a joint demand and thus we can estimate the demand for catastrophe coverage separately from the demand for noncatastrophe coverage. We determine that price elasticities are less elastic for catastrophic coverage than for non-catastrophic coverage. Further estimated income elasticities suggest that homeowners insurance is an inferior good. Finally, we conclude based on the results of a selection model that our sample of ISO reporting companies well represents the demand for insurance in the Florida market as a whole.
At present, the question of how national pension or retirement payment systems should be organised is being hotly debated in various countries, and opinions vary widely as to what should be regarded as the optimal design for such systems. It appears to the authors of the present paper that in this entire discussion one aspect is largely overlooked: What relationships exist between the pension system and the financial system in a given country? As such relationships might prove to be important, the present paper investigates the following questions: (1) Are there differences between the national pension systems of three major European countries – Germany, France and the U.K. – and between the financial systems of these countries? (2) And if the existence of such differences can be demonstrated, is there a correspondence between the differences with respect to the various national pension systems and the differences as regards the countries’ financial systems? (3) And if such a correspondence exists, is there any kind of interrelationship between the national financial and pension systems of the individual countries which goes beyond a mere correspondence? Looking mainly at two aspects – namely, risk allocation and the incentives to create human capital – the authors of this paper argue (1) that there are indeed considerable differences between the financial and pension systems of the three countries; (2) that in both Germany and the U.K. there are also systematic correspondences between the respective pension systems and financial systems and their economic characteristics, but that such a correspondence cannot be identified in the case of France; and (3) that these parallels are, in the final analysis, based on complementarities and are therefore likely to contribute to the efficiency of the German and the British systems. The paper concludes with a brief look at policy implications which the existence of, or the lack of, consistency between national pension systems and national financial systems might have.
Although the world of banking and finance is becoming more integrated every day, in most aspects the world of financial regulation continues to be narrowly defined by national boundaries. The main players here are still national governments and governmental agencies. And until recently, they tended to follow a policy of shielding their activities from scrutiny by their peers and members of the academic community rather than inviting critical assessments and an exchange of ideas. The turbulence in international financial markets in the 1980s, and its impact on U.S. banks, gave rise to the notion that academics working in the field of banking and financial regulation might be in a position to make a contribution to the improvement of regulation in the United States, and thus ultimately to the stability of the entire financial sector. This provided the impetus for the creation of the “U.S. Shadow Financial Regulatory Committee”. In the meantime, similar shadow committees have been founded in Europe and Japan. The specific problems associated with financial regulation in Europe, as well as the specific features which distinguish the European Shadow Financial Regulatory Committee from its counterparts in the U.S. and Japan, derive from the fact that while Europe has already made substantial progress towards economic and political integration, it is still primarily a collection of distinct nation-states with differing institutional set-ups and political and economic traditions. Therefore, any attempt to work towards a European approach to financial regulation must include an effort to promote the development of a European culture of co-operation in this area, and this is precisely what the European Shadow Financial Regulatory Committee (ESFRC) seeks to do. In this paper, Harald Benink, chairman of the ESFRC, and Reinhard H. Schmidt, one of the two German members, discuss the origin, the objectives and the functioning of the committee and the thrust of its recommendations.
Structural positions are very common in investment practice. A structural position is defined as a permanent overweighting of a riskier asset class relative to a prespecified benchmark portfolio. The most prominent example for a structural position is the equity bias in a balanced fund that arises by consistently overweighting equities in tactical asset allocation. Another example is the permanent allocation of credit in a fixed income portfolio with a government benchmark. The analysis provided in this article shows that whenever possible, structural positions should be avoided. Graphical illustrations based on Pythagorean theorem are used to make a connection between the active risk/return and the total risk/return framework. Structural positions alter the risk profile of the portfolio substantially, and the appeal of active management – to provide active returns uncorrelated to benchmark returns and hence to shift the efficient frontier outwards – gets lost. The article demonstrates that the commonly used alpha – tracking error criterion is not sufficient for active management. In addition, structural positions complicate measuring managers’ skill. The paper also develops normative implications for active portfolio management. Tactical asset allocation should be based on the comparison of expected excess returns of an asset class to the equilibrium risk premium of the same asset class and not to expected excess returns of other asset classes. For the cases, where structural positions cannot be avoided, a risk budgeting approach is introduced and applied to determine the optimal position size. Finally, investors are advised not to base performance evaluation only on simple manager rankings because this encourages managers to take structural positions and does not reward efforts to produce alpha. The same holds true for comparing managers’ information ratios. Information ratios, in investment practice defined as the ratio of active return to active risk, do not uncover structural positions.
In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate howa portfolio optimisation approach can be used for asset-liability management.
Our study provides evidence on the share price reactions to the announcement of equity issues in Germany, where capital market is characterized by institutional features distinct from the U.S. market. German seasoned equity issues yield a positive market reaction which contrasts to the significant negative abnormal returns reported for the U.S. We provide evidence that these results are due to differences in both issuing characteristics and floatation methods, and in the corporate governance and ownership structures of the two countries. Our study explains much of the empirical puzzle of different market reactions to seemingly similar events across financial markets.
Real options theory applies techniques known from finance theory to the valuation of capital investments. The present paper investigates further into this analogy, considering the case of a portfolio of real options. An implementation of real option models in practice will mostly be concerned with a portfolio of real options, so the analysis of portfolio aspects is of both academic and practical interest. Is a portfolio of real options special? In order to shed some light on this question, the present paper will outline the relevant features of a portfolio of real options. It will show that the analogy to financial options remains great if compound option models are applied. As a result, a portfolio of real options, and therefore the firm as such, generally is to be understood as one single compound, real option.
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly regressions with a mean of 32.9%. For the individual factors we give the percentage of the weeks when they yielded statistically significant influence on stock returns. The best explanatory power – apart from the dominant country factors – was found among the statistical constructs „success“ and „variability in markets“.
Who knows what when? : The information content of pre-IPO market prices : [Version March/June 2002]
(2002)
To resolve the IPO underpricing puzzle it is essential to analyze who knows what when during the issuing process. In Germany, broker-dealers make a market in IPOs during the subscription period. We examine these pre-issue prices and find that they are highly informative. They are closer to the first price subsequently established on the exchange than both the midpoint of the bookbuilding range and the offer price. The pre-issue prices explain a large part of the underpricing left unexplained by other variables. The results imply that information asymmetries are much lower than the observed variance of underpricing suggests.
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model.
Banking and markets
(2001)
This paper integrates a number of recent themes in the literature in banking and asset markets–optimal risk sharing, limited market participation, asset-price volatility, market liquidity, and financial crises–in a general-equilibrium theory of the financial system. A complex financial system comprises both financial markets financial institutions. Financial institutions can take the form of intermediaries or banks. Banks, inlike intermediaries, are subject to runs, but crises do not imply market failure. We show that a sophisticated financiel system–a system with complete markets for aggregate risk and limited market participation–is incentive-efficient, if the institutions take the form of intermediaries, or else constrained-efficient, of they take the form of banks. We also consider an economy in which the markets for aggregate risks are incomplete. In this context, there is a rolefpr prudential regulation: regulating liquidity can improve welfare.
Executive Stock Option Programs (SOPs) have become the dominant compensation instrument for top-management in recent years. The incentive effects of an SOP both with respect to corporate investment and financing decisions critically depend on the design of the SOP. A specific problem in designing SOPs concerns dividend protection. Usually, SOPs are not dividend protected, i.e. any dividend payout decreases the value of a manager’s options. Empirical evidence shows that this results in a significant decrease in the level of corporate dividends and, at the same time, into an increase in share repurchases. Yet, few suggestions have been made on how to account for dividends in SOPs. This paper applies arguments from principal-agent-theory and from the theory of finance to analyze different forms of dividend protection, and to address the relevance of dividend protection in SOPs. Finally, the paper relates the theoretical analysis to empirical work on the link between share repurchases and SOPs.
Since the beginning of the 1990s, it has been widely expected that the implementation of the European Single Market would lead to a rapid convergence of Europe’s financial systems. In the present paper we will show that at least in the period prior to the introduction of the common currency this expected convergence did not materialise. Our empirical studies on the significance of various institutions within the financial sectors, on the financing patterns of firms in various countries and on the predominant mechanisms of corporate governance, which are summarised and placed in a broader context in this paper, point to few, if any, signs of a convergence at a fundamental or structural level between the German, British and French financial systems. The German financial system continues to appear to be bank-dominated, while the British system still appears to be capital market-dominated. During the period covered by the research, i.e. 1980 – 1998, the French system underwent the most far-reaching changes, and today it is difficult to classify. In our opinion, these findings can be attributed to the effects of strong path dependencies, which are in turn an outgrowth of relationships of complementarity between the individual system components. Projecting what we have observed into the future, the results of our research indicate that one of two alternative paths of development is most likely to materialise: either the differences between the national financial systems will persist, or – possibly as a result of systemic crises – one financial system type will become the dominant model internationally. And if this second path emerges, the Anglo-American, capital market-dominated system could turn out to be the “winner”, because it is better able to withstand and weather crises, but not necessarily because it is more efficient.
In this paper we study the benefits derived from international diversification of stock portfolios from German and Hungarian point of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realize substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above me ntioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.