Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts

The main objective of this paper is to analyse the value of information contained in prices of options on the IBEX 35 index at the Spanish Stock Exchange Market. The forward looking information is extracted using implied risk-neutral density functions estimated by a mixture of two-lognormals and three alternative risk-adjustments: the classic power and exponential utility functions and a habit-based specification that allows for a counter-cyclical variation of risk aversion. Our results show that at four-week horizon we can reject the hypothesis that between October 1996 and March 2000 the risk-neutral densities provide accurate predictions of the distributions of future realisations of the IBEX 35 index at a four-week horizon. When forecasting through risk-adjusted densities the performance of this period is statistically improved and we no longer reject that hypothesis. All risk-adjusted densities generate similar forecasting statistics. Then, at least for a horizon of four-weeks, the actual risk adjustment does not seem to be the issue. By contrast, at the one-week horizon risk-adjusted densities do not improve the forecasting ability of the risk-neutral counterparts.

An Optical Fiber Bundle Sensor for Tip Clearance and Tip Timing Measurements in a Turbine Rig

When it comes to measuring blade-tip clearance or blade-tip timing in turbines, reflective intensity-modulated optical fiber sensors overcome several traditional limitations of capacitive, inductive or discharging probe sensors. This paper presents the signals and results corresponding to the third stage of a multistage turbine rig, obtained from a transonic wind-tunnel test. The probe is based on a trifurcated bundle of optical fibers that is mounted on the turbine casing. To eliminate the influence of light source intensity variations and blade surface reflectivity, the sensing principle is based on the quotient of the voltages obtained from the two receiving bundle legs. A discrepancy lower than 3% with respect to a commercial sensor was observed in tip clearance measurements. Regarding tip timing measurements, the travel wave spectrum was obtained, which provides the average vibration amplitude for all blades at a particular nodal diameter. With this approach, both blade-tip timing and tip clearance measurements can be carried out simultaneously. The results obtained on the test turbine rig demonstrate the suitability and reliability of the type of sensor used, and suggest the possibility of performing these measurements in real turbines under real working conditions.