Discrete Time Non-Homogeneous Semi-Markov Reliability Transition Credit Risk Models and the Default Distribution Functions

This paper shows how to apply discrete time non-homogeneous semi-Markov processes (DTNHSMP) with an age index to credit risk. The idea is to consider the credit risk problem as a reliability model indexed by the age and in this way, many semi-Markov results could be adapted to describe credit risk problem. The default state is seen as a “non working state”. As the semi-Markov process is a generalization of Markov process, the presented model can be seen as a more general migration model. In fact, in semi-Markov environment the distribution function (d.f.) of the waiting time before a transition can be of any type and without the strong constraints of the Markov model. Furthermore, some results on the asymptotic behavior of the presented model are given. This permits the construction of the d.f. of the default random variable for each “working state”. An example, constructed manipulating some Standard & Poor’s (S&P) data, is presented.     

Optimal correlation attack on the multiplexer generator

The security of the well-known multiplexer generator with respect to correlation attacks on the data shift register is investigated. Apart from the basic correlation attack exploiting the bitwise correlation between the output sequence and any data input sequence, two new correlation attacks are introduced. One is based on computing the a posteriori probabilities and is statistically optimal, whereas the other makes use of the accumulated bitwise correlation to all data input sequences. It is theoretically argued and experimentally confirmed that the optimal attack requires a significantly shorter output sequence to be successful than the basic attack. The experiments also show that the less complex accumulated correlation attack requires a somewhat longer output sequence than the optimal attack.     

A polyfluoroalkyl imidazolium ionic liquid as iodide ion source in dye sensitized solar cells

We report on the use of a fluorinated imidazolium ionic liquid as a source of iodide ions in solvent-based electrolytes for DSSCs. Efficient dye regeneration and fast charge transport in the fluorinated electrolyte result in an overall improvement of the device performances compared to conventional hydrogenated ionic liquids.     

A ticket to ride: Education and migration from lagging areas

National policies may have heterogeneous effects at the regional level. When coming to programmes aimed at increasing human capital, worker mobility from poorer to richer regions can reduce the benefits of the policy for the former areas. We focus on Italy and estimate the impact of education on the probability of migrating from a lagging area to a leading one. Endogeneity is addressed by exploiting an increase in the minimum school-leaving age in an instrumental variable framework. We find that one additional year of education increases the probability to migrate by 1.7 percentage points (9% of the average migration rate).     

Searching for Inefficiencies in Exchange Rate Dynamics

This paper develops a new pair trading method to detect inefficiencies in exchange rates movements and arbitrage opportunities using a convergence/divergence indicator (CDI) belonging to the oscillatory class. The proposed technique is applied to 11 exchange rates over the period 2010–2015, and trading rules based on CDI signals are obtained. The CDI indicator is shown to outperform others of the oscillatory class and in some cases (for EURAUD and AUDJPY) to generate profits. The suggested approach is of general interest and can be applied to different financial markets and assets.     

A smartphone-based fall detection system

Falls are a major cause of injuries and hospital admissions among elderly people. Thus, the caregiving process and the quality of life of older adults can be improved by adopting systems for the automatic detection of falls. This paper presents a smartphone-based fall detection system that monitors the movements of patients, recognizes a fall, and automatically sends a request for help to the caregivers. To reduce the problem of false alarms, the system includes novel techniques for the recognition of those activities of daily living that could be erroneously mis-detected as falls (such as sitting on a sofa or lying on a bed). To limit the intrusiveness of the system, a small external sensing unit can also be used for the acquisition of movement data.     

Valuing credit default swap in a non-homogeneous semi-Markovian rating based model

In this paper, we use a discrete time non-homogeneous semi-Markov model for the rating evolution of the credit quality of a firm C (see D’Amico, Janssen, and Manca Proceedings of the II international workshop in applied probablity, 2004a) and we determine the credit default swap spread for a contract between two parties, A and B that, respectively, sell and buy a protection about the failure of the firm C. We work both in the case of deterministic and stochastic recovery rate. We also highlight the link between credit risk and reliability theory.     

Thermal conductivity of ME771 glass-epoxy laminate from millikelvin temperatures to 4 K

Permaglas ME771 is a glass-epoxy laminate which is suitable for use at cryogenic temperatures. We have measured the thermal conductivity of a sample of this material between 64 mK and 4.2 K in the direction parallel to the reinforcing fibres, enabling us to make a comparison with the better known material G-10CR. The thermal conductivity follows the form that would be expected for such a material, and is similar to that of G-10CR, which has a similar (room temperature) tensile strength. We comment on some confusion that has arisen over the difference between G-10CR, a material specifically produced for cryogenic use, and G-10, the more common equivalent.