The jump component of S&P 500 volatility and the VIX index

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts. Implied volatility has the potential to reflect information that a model-based forecast could not. This paper considers two issues relating to the informational content of the S&P 500 VIX implied volatility index. First, whether it subsumes information on how historical jump activity contributed to the price volatility, followed by whether the VIX reflects any incremental information pertaining to future jump activity relative to model-based forecasts. It is found that the VIX index both subsumes information relating to past jump contributions to total volatility and reflects incremental information pertaining to future jump activity. This issue has not been examined previously and expands our understanding of how option markets form their volatility forecasts.

‘It’s not like we’re going to jump them’: how transgressing heteronormativity shapes police interactions with LGBT young people

This paper explores how visibly transgressing heteronormativity shapes police interactions with LGBT young people. While research evidences how sexually and gender diverse bodies can be abused in schools, policing is overlooked. Interviews with 35 LGBT young people demonstrate how bodies transgressing heteronormativity (that is, non-heteronormative bodies) mediate their policing experiences in Queensland, Australia. Drawing on Foucault, Butler, and others, the paper suggests police interactions and use of discretion with LGBT young people was informed by non-heteronormative bodies discursively performing queerness in ways read by police. The paper concludes noting tensions produced for youthful LGBT bodies in public spaces.

Velocity-jump models with crowding effects

Velocity jump processes are discrete random walk models that have many applications including the study of biological and ecological collective motion. In particular, velocity jump models are often used to represent a type of persistent motion, known as a “run and tumble”, which is exhibited by some isolated bacteria cells. All previous velocity jump processes are non-interacting, which means that crowding effects and agent-to-agent interactions are neglected. By neglecting these agent-to-agent interactions, traditional velocity jump models are only applicable to very dilute systems. Our work is motivated by the fact that many applications in cell biology, such as wound healing, cancer invasion and development, often involve tissues that are densely packed with cells where cell-to-cell contact and crowding effects can be important. To describe these kinds of high cell density problems using a velocity jump process we introduce three different classes of crowding interactions into a one-dimensional model. Simulation data and averaging arguments lead to a suite of continuum descriptions of the interacting velocity jump processes. We show that the resulting systems of hyperbolic partial differential equations predict the mean behavior of the stochastic simulations very well.

Velocity jump processes with proliferation

Cell invasion involves a population of cells that migrate along a substrate and proliferate to a carrying capacity density. These two processes, combined, lead to invasion fronts that move into unoccupied tissues. Traditional modelling approaches based on reaction–diffusion equations cannot incorporate individual–level observations of cell velocity, as information propagates with infinite velocity according to these parabolic models. In contrast, velocity jump processes allow us to explicitly incorporate individual–level observations of cell velocity, thus providing an alternative framework for modelling cell invasion. Here, we introduce proliferation into a standard velocity–jump process and show that the standard model does not support invasion fronts. Instead, we find that crowding effects must be explicitly incorporated into a proliferative velocity–jump process before invasion fronts can be observed. Our observations are supported by numerical and analytical solutions of a novel coupled system of partial differential equations, including travelling wave solutions, and associated random walk simulations.

Marginal reversible jump Markov chain Monte Carlo with application to motor unit number estimation

Motor unit number estimation (MUNE) is a method which aims to provide a quantitative indicator of progression of diseases that lead to loss of motor units, such as motor neurone disease. However the development of a reliable, repeatable and fast real-time MUNE method has proved elusive hitherto. Ridall et al. (2007) implement a reversible jump Markov chain Monte Carlo (RJMCMC) algorithm to produce a posterior distribution for the number of motor units using a Bayesian hierarchical model that takes into account biological information about motor unit activation. However we find that the approach can be unreliable for some datasets since it can suffer from poor cross-dimensional mixing. Here we focus on improved inference by marginalising over latent variables to create the likelihood. In particular we explore how this can improve the RJMCMC mixing and investigate alternative approaches that utilise the likelihood (e.g. DIC (Spiegelhalter et al., 2002)). For this model the marginalisation is over latent variables which, for a larger number of motor units, is an intractable summation over all combinations of a set of latent binary variables whose joint sample space increases exponentially with the number of motor units. We provide a tractable and accurate approximation for this quantity and also investigate simulation approaches incorporated into RJMCMC using results of Andrieu and Roberts (2009).

Pinned fronts in heterogeneous media of jump type

In this paper, we analyse the impact of a (small) heterogeneity of jump type on the most simple localized solutions of a 3-component FitzHugh–Nagumo-type system. We show that the heterogeneity can pin a 1-front solution, which travels with constant (non-zero) speed in the homogeneous setting, to a fixed, explicitly determined, distance from the heterogeneity. Moreover, we establish the stability of this heterogeneous pinned 1-front solution. In addition, we analyse the pinning of 1-pulse, or 2-front, solutions. The paper is concluded with simulations in which we consider the dynamics and interactions of N-front patterns in domains with M heterogeneities of jump type (N = 3, 4, M ≥ 1).

Jump into Number

The DVD, Jump into Number, was a joint project between Independent Schools Queensland, Queensland University of Technology and Catholic Education (Diocese of Cairns) aimed at improving mathematical practice in the early years. Independent Schools Queensland Executive Director Dr John Roulston said the invaluable teaching resource features a series of unscripted lessons which demonstrate the possibilities of learning among young Indigenous students. “Currently there is a lack of teaching resources for numeracy in younger students, especially from pre Prep to Year 3 which is such an important stage of a child’s early education. Jump into Number is a benchmark for all teachers to learn more about the mathematical development of younger students,” Dr Roulston said.

A directed continuous time random walk model with jump length depending on waiting time

In continuum one-dimensional space, a coupled directed continuous time random walk model is proposed, where the random walker jumps toward one direction and the waiting time between jumps affects the subsequent jump. In the proposed model, the Laplace-Laplace transform of the probability density function P(x,t) of finding the walker at position at time is completely determined by the Laplace transform of the probability density function φ(t) of the waiting time. In terms of the probability density function of the waiting time in the Laplace domain, the limit distribution of the random process and the corresponding evolving equations are derived.

Spatial B-jump at sudden channel enlargements with abrupt drop

An analytical and experimental study of the hydraulic jump in stilling basins with abrupt drop and sudden enlargement, called the spatial B-jump here, is carried out for finding the sequent depth ratio and resulting energy dissipation. The spatial B-jump studied has its toe downstream of the expansion section, and the stream lines at the toe are characterized by downward curvature. An expression is obtained for the sequent depth ratio based on the momentum equation with suitable assumptions for the extra pressure force term because of the abrupt drop in the bed and sudden enlargement in the basin width. Predictions compare favorably with experiments. It is shown that the spatial B-jump needs less tailwater depth, thereby enhancing the stability of the jump when compared either with spatial jump, which forms in sudden expanding channels, or with B-jump, which forms in a channel with an abrupt drop in bed. It is also shown that there is a significant increase in relative energy loss for the spatial B-jump compared to either the spatial jump or B-jump alone.

Proline ring conformations corresponding to a bistable jump model from 13C spin-lattice relaxation times

A formalism for extracting the conformations of a proline ring based on the bistable jump model of R. E. London [(1978) J. Am. Chem. Soc. 100, 2678-2685] from 13C spin-lattice relaxation times (T1) is given. The method is such that the relaxation data are only partially used to generate the conformations; these conformations are constrained to satisfy the rest of the relaxation data and to yield acceptable ring geometry. An alternate equation for T1 of 13C nuclei to that of London is given. The formalism is illustrated through an example.

Jump Reorientation of Water Molecules Confined in Narrow Carbon Nanotubes

We used molecular dynamics (MD) simulations to study the reorientational dynamics of water molecules confined inside narrow carbon nanotubes immersed in a bath of water. Our simulations show that the confined water molecules exhibit bistability in their reorientational relaxation, which proceeds by angular jumps between the two stable states. The angular jump of a water molecule in the bulk involves the breaking of a hydrogen bond with one of its neighbors and the formation of a hydrogen bond with a different neighbor. In contrast, the angular jump of a confined water molecule corresponds to an interchange of the two hydrogen atoms that can form a hydrogen bond with the same neighbor. The free energy barrier between these two states is a few k(B)T. The analytic solution of a simplified two-state jump model that qualitatively explains the reorientational behavior observed in simulations is also presented.

The jump in vorticity across a shock wave in relativistic hydrodynamics

Using the singular surface theory, an expression for the jump in vorticity across a shock wave of arbitrary shape propagating in a uniform, perfect fluid occupying the space-time of special relativity, has been derived. It has been shown that the jump in vorticity across a shock of given strength and curvature depends only on the velocity of the medium ahead of the shock.