arXiv subjects

Jun Deng

Publications and source records attributed to Jun Deng.

At least 37 records · Page 2Linked to original sources

arXiv2021

Spin-flip-driven giant magneto-transport in A-type antiferromagnet NaCrTe2

For anisotropic magneto-resistance (AMR) effect, its value synergistically depends on the magnitudes of magneto-resistance (MR) and magneto-crystalline anisotropy energy (MAE) simultaneously. In a magnetic material, the concurrence of gigantic AMR and MR signals is rather difficult due to weak spin-lattice coupling and small MAE. Here we report the considerable magneto-transport effect in layered A-type antiferromagnetic (AFM) NaCrTe2 by realigning the spin configurations. By applying H, the antiparallel spins of adjacent layers are flipped to ferromagnetic (FM) coupling either Ising-type along c-axis or XY-type within ab-plane. Theoretical calculations reveal that the energy bandgap narrows from 0.39 eV to 0.11 eV, accompanying a transition from semiconductor (high-R state) and half-semiconductor (low-R state), respectively. Thus, gigantic negative MR ratio of -90% is obtained at 10 K. More importantly, the decrement of R along H//c is far quicker than that of H//ab because the MAE of Ising-FM state is 1017 μeV/Cr3+ lower than that of XY-FM. The distinct trends result in the AMR ratio of 732% at 10 K, which is the record value to our best knowledge. These findings unravel the intrinsic origin of magneto in NaCrTe2 and will stimulate us to exploring the H-sensitive transport property in more AFM materials.

cond-mat.mtrl-sci↗

arXiv2021

Fermi surface nesting, vacancy ordering and the emergence of superconductivity in IrSb compounds

Fermi surface nesting, as a peculiar reciprocal space feature, is not only closely correlated with the real space superstructure, but also directly modulates the underlying electronic behavior. In this work, we elucidate the Fermi surface nesting feature of the IrSb compound with buckled-honeycomb-vacancy (BHV) ordering through Rh and Sn doping, and its correlation with structure and electronic state evolution. The advantageous substitution of atom sites (i.e., Rh on the Ir sites, Sn on the Sb sites, respectively), rather than the direct occupation of vacancies, induces the collapse of BHV order and the emergence of superconductivity. The distinct superconducting behavior of Rh and Sn incorporated systems are ascribed to the mismatch of Fermi surface nesting in the Sn case.

cond-mat.supr-con↗

arXiv2021

Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading

We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of the hedged portfolio and the probability of liquidations due to insufficient collateral. The optimal solution depends on the statistical characteristics of the spot and futures extreme returns and parameters that characterise the hedger by loss aversion, choice of leverage and collateral management. An empirical analysis of bitcoin shows that the optimal strategy combines superior hedge effectiveness with a reduction in the probability of liquidation. We compare the performance of seven major direct and inverse hedging instruments traded on five different exchanges, based on minute-level data. We also link this performance to novel speculative trading metrics, which differ markedly between venues.

q-fin.RM↗

arXiv2021

Highly-robust reentrant superconductivity in CsV3Sb5 under pressure

Here we present the superconducting property and structural stability of kagome CsV3Sb5 under in-situ high pressures. For the initial SC-I phase, its Tc is quickly enhanced from 3.5 K to 7.6 K and then totally suppressed at P~10 GPa. Further increasing the applied pressures, an SC-II phase emerges at P~15 GPa and persists up to 100 GPa. The Tc rapidly increases to the maximal value of 5.2 K at P=53.6 GPa and rather slowly decreases to 4.7 K at P=100 GPa. A two-dome-like variation of Tc in CsV3Sb5 is concluded here. The Raman measurements demonstrate that weakening of E2g model and strengthening of A1g model occur without phase transition as entering the SC-II phase, which is supported by the results of phonon spectra calculations. Electronic structure calculations reveal that exertion of pressure may bridge the gap of topological surface nontrivial states near EF, i. e. Z2 invariant. Meanwhile, it enlarges Fermi surface significantly, consistent with the increased carrier density. The findings here point out the change of electronic structure and strengthened electron-phonon coupling should be responsible for the pressure-induced reentrant SC.

cond-mat.supr-con↗

arXiv2021

Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets

Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX shows that (1) daily forced liquidations to out- standing futures are substantial at 3.51%, and 1.89% for long and short; (2) investors got forced liquidation do trade aggressively with average leverage of 60X; and (3) exchanges should elevate current 1% margin requirement to 33% (3X leverage) for long and 20% (5X leverage) for short to reduce the daily margin call probability to 1%. Our results further suggest normality assumption on return significantly underestimates optimal margins. Policy implications are also discussed.

q-fin.TR↗

arXiv2020

Quadratic Hedging for Sequential Claims with Random Weights in Discrete Time

We study a quadratic hedging problem for a sequence of contingent claims with random weights in discrete time. We obtain the optimal hedging strategy explicitly in a recursive representation, without imposing the non-degeneracy (ND) condition on the model and square integrability on hedging strategies. We relate the general results to hedging under random horizon and fair pricing in the quadratic sense. We illustrate the significance of our results in an example in which the ND condition fails.

q-fin.MF↗

arXiv2020

Proactive Action Visual Residual Reinforcement Learning for Contact-Rich Tasks Using a Torque-Controlled Robot

Contact-rich manipulation tasks are commonly found in modern manufacturing settings. However, manually designing a robot controller is considered hard for traditional control methods as the controller requires an effective combination of modalities and vastly different characteristics. In this paper, we firstly consider incorporating operational space visual and haptic information into reinforcement learning(RL) methods to solve the target uncertainty problem in unstructured environments. Moreover, we propose a novel idea of introducing a proactive action to solve the partially observable Markov decision process problem. Together with these two ideas, our method can either adapt to reasonable variations in unstructured environments and improve the sample efficiency of policy learning. We evaluated our method on a task that involved inserting a random-access memory using a torque-controlled robot, and we tested the success rates of the different baselines used in the traditional methods. We proved that our method is robust and can tolerate environmental variations very well.

cs.RO↗

arXiv2020

Large spin gaps in half metals MN4 (M=Mn, Fe, Co) with N2 dimers

We predict that cubic MN4 (M=Mn, Fe, Co) are all half metals with the largest spin gap up to ~ 5 eV. They possess robust ferromagnetic ground states with the highest Curie temperature up to ~ 103 K. Our calculations indicate these compounds are energetically favored, dynamically and mechanically stable. It is proposed that self-doping of these 3d transition metals occurs in MN4 due to the reduction in electronegativity of N2 dimers. This model can well explain the calculated integer magnetic moments, large spin gaps of MN4 and semiconducting behavior for NiN4 as well. Our results highlight the difference in electronegativity between transition metal ions and non-metal entities in forming half metals and the role of N2 dimer in enlarging the spin gaps for nitride half metals.

cond-mat.mtrl-sci↗

arXiv2020

Molecule Oxygen Induced Ferromagnetism and Half-metallicity in α-BaNaO4: A First Principles Study

Molecule oxygen resembles 3d and 4f metals in exhibiting long-range spin ordering and electron strong correlated behaviors in compounds. The ferromagnetic spin ordering and half-metallicity, however, are quite elusive and have not been well acknowl-edged. In this article, we address this issue to study how spins will interact each other if the oxygen dimers are arranged in a dif-ferent way from that in the known super- and per-oxides by first principles calculations. Based on the results of structure search, thermodynamic study and lattice dynamics, we show that tetragonal α-BaNaO4 is a stable half-metal with a Curie temperature at 120 K, a first example in this class of compounds. Like 3d and 4f metals, the O2 dimer carries a local magnetic moment 0.5 μB due to the unpaired electrons in its π* orbitals. This compound can be regarded as forming from the O2 dimer layers stacking in a head to head way. Different from that in AO2 (A=K, Rb, Cs), the spins are both ferromagnetically coupled within and between the layers. Spin polarization occurs in π* orbitals with spin-up electrons fully occupying the valence band and spin-down electrons partially the conduction band, forming the semiconducting and metallic channels, respectively. Our results highlight the im-portance of geometric arrangement of O2 dimers in inducing ferromagnetism and other novel properties in O2 dimer containing compounds.

cond-mat.mtrl-sci↗

arXiv2020

Center-of-Mass-based Robust Grasp Planning for Unknown Objects Using Tactile-Visual Sensors

An unstable grasp pose can lead to slip, thus an unstable grasp pose can be predicted by slip detection. A regrasp is required afterwards to correct the grasp pose in order to finish the task. In this work, we propose a novel regrasp planner with multi-sensor modules to plan grasp adjustments with the feedback from a slip detector. Then a regrasp planner is trained to estimate the location of center of mass, which helps robots find an optimal grasp pose. The dataset in this work consists of 1 025 slip experiments and 1 347 regrasps collected by one pair of tactile sensors, an RGB-D camera and one Franka Emika robot arm equipped with joint force/torque sensors. We show that our algorithm can successfully detect and classify the slip for 5 unknown test objects with an accuracy of 76.88% and a regrasp planner increases the grasp success rate by 31.0% compared to the state-of-the-art vision-based grasping algorithm.

cs.RO↗

arXiv2019

Superconductivity in Li-intercalated 1T-SnSe2 driven by electric-field gating

Creating carrier reservoirs in layered compounds can effectively tune the carrier density, which often induces a variety of emergent properties. Based on solid-ion-conductor gating technique, we successfully induce superconductivity of 4.8 K in ultrathin Li-intercalated SnSe2 samples. The Li+ ions are driven in between interspacing of SnSe2 layers and form a single reservoir layer to provide electrons. In addition, a dome-like T c is found through substituting of S for Se, where the optimal T c is 6.2 K for SnSe1.8S0.2. Density functional theory calculations confirm that the intercalated LiSnSe2 is thermodynamically favorable, where the intercalation of Li expands the interlayer spacing by 10% and increases the carrier density by two orders of magnitude. Meanwhile the calculated results reveal that the enhanced electron-phonon interaction due to softened phonon determines the occurrence of superconductivity. Our results demonstrate that this strategy is very effective to explore superconductors in layered materials with narrow bandgap.

cond-mat.supr-con↗

arXiv2018

Structure conditions under progressively added information

It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes known in the literature as "{\it Structure Conditions}". In this paper, we consider a semi-martingale market model, and an arbitrary random time that is not adapted to the information flow of the market model. This random time may model the default time of a firm, the death time of an insured, or any the occurrence time of an event that might impact the market model somehow. By adding additional uncertainty to the market model, via this random time, the {\it structures conditions} may fail and hence the Markowitz's optimal portfolio and other quadratic-optimal portfolios might fail to exist. Our aim is to investigate the impact of this random time on the structures conditions from different perspectives. Our analysis allows us to conclude that under some mild assumptions on the market model and the random time, these structures conditions will remain valid on the one hand. Furthermore, we provide two examples illustrating the importance of these assumptions. On the other hand, we describe the random time models for which these structure conditions are preserved for any market model. These results are elaborated separately for the two contexts of stopping with the random time and incorporating totally a specific class of random times respectively.

q-fin.RM↗

arXiv2018

An Explicit Default Contagion Model and Its Application to Credit Derivatives Pricing

We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic characterizations for the default process, and use them to derive pricing formulas in explicit forms for synthetic collateralized debt obligations (CDOs). Furthermore, we use market data to calibrate the model and conduct numerical studies on the tranche spreads of CDOs. We find evidence to support that systematic default risk coupled with default contagion could have the leading component of the total default risk.

q-fin.RM↗

arXiv2016

Non-Arbitrage under a Class of Honest Times

This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of Aksamit/Choulli/Deng/Jeanblanc [1] in which the authors studied similar topics for the case of stopping at the random time instead, while herein we are concerned with the part after the occurrence of the random time. Given that all the literature -up to our knowledge- proves that the NUPBR notion is always violated after honest times that avoid stopping times in a continuous filtration, herein we propose a new class of honest times for which the NUPBR notion can be preserved for some models. For this family of honest times, we elaborate two principal results. The first main result characterizes the pairs of initial market and honest time for which the resulting model preserves the NUPBR property, while the second main result characterizes the honest times that preserve the NUPBR property for any quasi-left continuous model. Furthermore, we construct explicitly "the-after-tau" local martingale deflators for a large class of initial models (i.e. models in the small filtration) that are already risk-neutralized.

q-fin.PR↗

arXiv2015

Non-Arbitrage Under Additional Information for Thin Semimartingale Models

This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price processes are quasi-left-continuous (do not jump on predictable stopping times). Herein, we focus on the NUPBR for semimartingales models that live on thin predictable sets only and the progressive enlargement with a random time. For this flow of information, we explain how far the NUPBR property is affected when one stops the model by an arbitrary random time or when one incorporates fully an honest time into the model. This also generalizes \cite{choulli/deng} to the case when the jump times are not ordered in anyway. Furthermore, for the current context, we show how to construct explicitly local martingale deflator under the bigger filtration from those of the smaller filtration.

q-fin.MF↗

arXiv2014

Non-arbitrage for Informational Discrete Time Market Models

This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $τ$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market $S$, we prove that the non-arbitrage condition is preserved under a mild condition. On the other hand, we give the necessary and sufficient equivalent conditions on the unknown information $τ$ to ensure the validity of the non-arbitrage condition for any market. Two concrete examples are presented to illustrate the importance of these conditions, where we calculate explicitly the arbitrage opportunities when they exist.

q-fin.MF↗

arXiv2014

How Non-Arbitrage, Viability and Numéraire Portfolio are Related

This paper proposes two approaches that quantify the exact relationship among the viability, the absence of arbitrage, and/or the existence of the numéraire portfolio under minimal assumptions and for general continuous-time market models. Precisely, our first and principal contribution proves the equivalence among the No-Unbounded-Profit-with-Bounded-Risk condition (NUPBR hereafter), the existence of the numéraire portfolio, and the existence of the optimal portfolio under an equivalent probability measure for any "nice" utility and positive initial capital. Herein, a 'nice" utility is any smooth von Neumann-Morgenstern utility satisfying Inada's conditions and the elasticity assumptions of Kramkov and Schachermayer. Furthermore, the equivalent probability measure ---under which the utility maximization problems have solutions--- can be chosen as close to the real-world probability measure as we want (but might not be equal). Without changing the underlying probability measure and under mild assumptions, our second contribution proves that the NUPBR is equivalent to the "{\it local}" existence of the optimal portfolio. This constitutes an alternative to the first contribution, if one insists on working under the real-world probability. These two contributions lead naturally to new types of viability that we call weak and local viabilities.

q-fin.GN↗

arXiv2014

Non-Arbitrage up to Random Horizon for Semimartingale Models

This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this non-arbitrage notion, we obtain two principal results. The first result lies in describing the pairs of market model and random time for which the resulting stopped model fulfills NUPBR condition. The second main result characterises the random time models that preserve the NUPBR property after stopping for any market model. These results are elaborated in a very general market model, and we also pay attention to some particular and practical models. The analysis that drives these results is based on new stochastic developments in semimartingale theory with progressive enlargement. Furthermore, we construct explicit martingale densities (deflators) for some classes of local martingales when stopped at random time.

q-fin.PR↗