Meta-heuristic algorithms inspired by biological species have become very popular in recent years. Collective intelligence of various social insects such as ants, bees, wasps, termites, birds, fish, ...has been investigated to develop a number of meta-heuristic algorithms in the general domain of swarm intelligence (SI). The developed SI algorithms are found effective in solving different optimization tasks. Travelling Salesman Problem (TSP) is the combinatorial optimization problem where a salesman starting from a home city travels all the other cities and returns to home city in the shortest possible path. TSP is a popular problem due to the fact that the instances of TSP can be applied to solve real-world problems, implication of which turns TSP into a standard test bench for performance evaluation of new algorithms. Spider Monkey Optimization (SMO) is a recent addition to SI algorithms based on the social behaviour of spider monkeys. SMO implicitly adopts grouping and regrouping for the interactions to improve solutions; such multi-population approach is the motivation of this study to develop an effective method for TSP. This paper presents an effective variant of SMO to solve TSP called discrete SMO (DSMO). In DSMO, every spider monkey represents a TSP solution where Swap Sequence (SS) and Swap Operator (SO) based operations are employed, which enables interaction among monkeys in obtaining the optimal TSP solution. The SOs are generated using the experience of a specific spider monkey as well as the experience of other members (local leader, global leader, or a randomly selected spider monkey) of the group. The performance and effectiveness of the proposed method have been verified on a large set of TSP instances and the outcomes are compared to other well-known methods. Experimental results demonstrate the effectiveness of the proposed DSMO for solving TSP.
•Novel SMO based method for highly constrained Travelling Salesman Problem.•Novel operator-based operations are employed enabling interaction between solutions.•Proposed method outperformed prominent meta-heuristic methods for real-life scenario.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
The Dodd-Frank Act mandates that certain standard over-the-counter (OTC) derivatives must be traded on swap execution facilities (SEFs). Using message-level data, we provide a granular analysis of ...dealers’ and customers’ trading behavior on the two largest dealer-to-customer SEFs for index credit default swaps (CDS). On average, a typical customer contacts few dealers when seeking liquidity. A theoretical model shows that the benefit of competition through wider order exposure is mitigated by a winner’s curse problem and dealer-customer relationships. Consistent with the model, we find that order size, market conditions, and customer-dealer relationships are important empirical determinants of customers’ choice of trading mechanism and dealers’ liquidity provision.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This paper investigates the spillover effects of money market turbulence in 2007–08 on the short-term covered interest parity (CIP) condition between the US dollar and the euro through the foreign ...exchange (FX) swap market. Sharp and persistent deviations from the CIP condition observed during the turmoil are found to be significantly associated with differences in the counterparty risk between European and US financial institutions. Furthermore, evidence is found that US dollar term funding auctions by the ECB, supported by US dollar swap lines with the Federal Reserve, alleviated the level of dislocations, as well as the instability, of the FX swap market.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
Since the global financial crisis, interest rate swap rates, which represent future uncollateralized interbank borrowing, have fallen below maturity-matched Treasury rates. This is surprising, ...because US Treasuries, which are deemed expensive because of superior liquidity and safety, should produce yields that are lower than those of swap rates. We show, by no-arbitrage, that sovereign default risk explains negative swap spreads even without frictions such as balance sheet constraints, convenience yield, and hedging demand. We support this explanation with an equilibrium model that jointly accounts for macroeconomic fundamentals and the term structures of interest and US credit default swap rates.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
This paper attempts to explain the credit default swap (CDS) premium, using a novel approach to identify the volatility and jump risks of individual firms from high-frequency equity prices. Our ...empirical results suggest that the volatility risk alone predicts 48% of the variation in CDS spread levels, whereas the jump risk alone forecasts 19%. After controlling for credit ratings, macroeconomic conditions, and firms' balance sheet information, we can explain 73% of the total variation. We calibrate a Merton-type structural model with stochastic volatility and jumps, which can help to match credit spreads after controlling for the historical default rates. Simulation evidence suggests that the high-frequency-based volatility measures can help to explain the credit spreads, above and beyond what is already captured by the true leverage ratio.
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BFBNIB, INZLJ, NMLJ, NUK, PNG, SAZU, UL, UM, UPUK, ZRSKP
α
1
‐Antitrypsin (α1AT) deficiency is a disease with multiple manifestations, including cirrhosis and emphysema, caused by the accumulation of stable polymers of mutant protein in the endoplasmic ...reticulum of hepatocytes. However, the molecular basis of misfolding and polymerization remain unknown. We produced and crystallized a trimeric form of α1AT that is recognized by an antibody specific for the pathological polymer. Unexpectedly, this structure reveals a polymeric linkage mediated by domain swapping the carboxy‐terminal 34 residues. Disulphide‐trapping and antibody‐binding studies further demonstrate that runaway C‐terminal domain swapping, rather than the s4A/s5A domain swap previously proposed, underlies polymerization of the common Z‐mutant of α1AT
in vivo
.
The structure of the toxic oligomeric species of α
1
‐antitrypsin is unexpectedly different from what had been proposed and enabled by the domain swap of the carboxy‐terminal 34 residues. Such oligomers react with an antibody that recognizes aggregates in patients and are shown to occur
in vivo
.
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FZAB, GIS, IJS, KILJ, NLZOH, NUK, OILJ, SBCE, SBMB, UL, UM, UPUK
•Novel PSO based method for highly constrained University Course Scheduling.•Swap sequence, selective search and force mechanism introduced for velocity operation.•Proposed method outperformed ...prominent meta-heuristic methods for real-life scenario.
The University Course Scheduling Problem (UCSP) is a highly constrained real-world combinatorial optimization task. Solving UCSP means creating an optimal course schedule by assigning courses to specific rooms, instructors, students, and timeslots by taking into account the given constraints. Several studies have reported different metaheuristic approaches for solving UCSP including Genetic Algorithm (GA) and Harmony Search (HS) algorithm. Various Swarm Intelligence (SI) optimization methods have also been investigated for UCSP in recent times and a few Particle Swarm Optimization (PSO) based methods among them with different adaptations are shown to be effective. In this study, a novel PSO-based method is investigated for solving highly constrained UCSP in which basic PSO operations are transformed to tackle combinatorial optimization task of UCSP and a few new operations are introduced to PSO to solve UCSP efficiently. In the proposed method, swap sequence-based velocity computation and its application are developed to transform individual particles in order to improve them. Selective search and forceful swap operation with repair mechanism are the additional new operations in the proposed method for updating particles with calculated swap sequences as velocities. The proposed PSO with selective search (PSOSS) method has been tested on an instance of UCSP for the Computer Science and Engineering Department of Khulna University of Engineering & Technology which has many hard and soft constraints. Experimental results revealed the effectiveness and the superiority of the proposed method compared to other prominent metaheuristic methods (e.g., GA, HS).
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NLZOH, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UILJ, UL, UM, UPCLJ, UPUK, ZAGLJ, ZRSKP
Central clearing and collateral demand Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume
Journal of financial economics,
05/2015, Volume:
116, Issue:
2
Journal Article
Peer reviewed
Open access
We use an extensive data set of bilateral credit default swap (CDS) positions to estimate the impact on collateral demand of new clearing and margin regulations. The estimated collateral demands ...include initial margin and the frictional demands associated with the movement of variation margin through the network of market participants. We estimate the impact on total collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing parties (CCPs), an increase in the number of clearing members, the proliferation of CCPs of both specialized and non-specialized types, collateral rehypothecation practices, and client clearing. System-wide collateral demand is increased significantly by the application of initial margin requirements for dealers, whether or not the CDS are cleared. Given these dealer-to-dealer initial margin requirements, mandatory central clearing is shown to lower, not raise, system-wide collateral demand, provided there is no significant proliferation of CCPs. Central clearing does, however, have significant distributional consequences for collateral requirements across market participants.
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GEOZS, IJS, IMTLJ, KILJ, KISLJ, NUK, OILJ, PNG, SAZU, SBCE, SBJE, UL, UM, UPCLJ, UPUK
Universal quantum gates are the core elements in quantum information processing. We design two schemes to realize more general (SWAP)1/m and controlled-(swap)1/m gates (for integer m ≥ 1 ) by ...directing flying single photons to solid-state quantum dots. The parameter m is easily controlled by adjusting two quarter-wave plates and one half-wave plate. Additional computational qubits are not required to construct the two gates. Evaluations of the gates indicate that our proposals are feasible with current experimental technology.
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