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.

A semantic middleware to enhance current multimedia retrieval systems with content-based functionalities

210 p. : graf.

Uncovering Ecosystem Service Bundles through Social Preferences

11 p.

Optimal Monetary Policy with Asymmetric Preferences for Output

Using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003, 2004) finds empirical evidence that the authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetric for output. We also find evidence that the monetary authority targets potential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model.

Rol semantikoen etiketatze automatikoa : rol multzoak eta hautapen murriztapenak

158 p. : graf.

Exploring Semantic Textual Similarity

[EN]Measuring semantic similarity and relatedness between textual items (words, sentences, paragraphs or even documents) is a very important research area in Natural Language Processing (NLP). In fact, it has many practical applications in other NLP tasks. For instance, Word Sense Disambiguation, Textual Entailment, Paraphrase detection, Machine Translation, Summarization and other related tasks such as Information Retrieval or Question Answering. In this masther thesis we study di erent approaches to compute the semantic similarity between textual items. In the framework of the european PATHS project1, we also evaluate a knowledge-base method on a dataset of cultural item descriptions. Additionaly, we describe the work carried out for the Semantic Textual Similarity (STS) shared task of SemEval-2012. This work has involved supporting the creation of datasets for similarity tasks, as well as the organization of the task itself.

Preferences, actions and voting rules

In this paper we address several issues related to collective dichotomous decision-making by means of quaternary voting rules, i.e., when voters may choose between four actions: voting yes, voting no, abstaining and not turning up-which are aggregated by a voting rule into a dichotomous decision: acceptance or rejection of a proposal. In particular we study the links between the actions and preferences of the actors. We show that quaternary rules (unlike binary rules, where only two actions -yes or no- are possible) leave room for "manipulability" (i.e., strategic behaviour). Thus a preference profile does not in general determine an action profile. We also deal with the notions of success and decisiveness and their ex ante assessment for quaternary voting rules, and discuss the role of information and coordination in this context.

Semantic change

[ES] En este trabajo se define el cambio semántico, se analizan las causas de que se produzca y se especifican sus tipos en el griego antiguo.

Weighting social preferences in participatory multi-criteria evaluations: a case study on sustainable natural resource management

28 p.

Reconciling yield stability with international fisheries agencies precautionary preferences: the role of non constant discount factors in age structured models

International fisheries agencies recommend exploitation paths that satisfy two features. First, for precautionary reasons exploitation paths should avoid high fishing mortality in those fisheries where the biomass is depleted to a degree that jeopardise the stock's capacity to produce the Maximum Sustainable Yield (MSY). Second, for economic and social reasons, captures should be as stable (smooth) as possible over time. In this article we show that a conflict between these two interests may occur when seeking for optimal exploitation paths using age structured bioeconomic approach. Our results show that this conflict be overtaken by using non constant discount factors that value future stocks considering their relative intertemporal scarcity.

Automatically exposing OpenLifeData via SADI semantic Web Services

Background: Two distinct trends are emerging with respect to how data is shared, collected, and analyzed within the bioinformatics community. First, Linked Data, exposed as SPARQL endpoints, promises to make data easier to collect and integrate by moving towards the harmonization of data syntax, descriptive vocabularies, and identifiers, as well as providing a standardized mechanism for data access. Second, Web Services, often linked together into workflows, normalize data access and create transparent, reproducible scientific methodologies that can, in principle, be re-used and customized to suit new scientific questions. Constructing queries that traverse semantically-rich Linked Data requires substantial expertise, yet traditional RESTful or SOAP Web Services cannot adequately describe the content of a SPARQL endpoint. We propose that content-driven Semantic Web Services can enable facile discovery of Linked Data, independent of their location. Results: We use a well-curated Linked Dataset - OpenLifeData - and utilize its descriptive metadata to automatically configure a series of more than 22,000 Semantic Web Services that expose all of its content via the SADI set of design principles. The OpenLifeData SADI services are discoverable via queries to the SHARE registry and easy to integrate into new or existing bioinformatics workflows and analytical pipelines. We demonstrate the utility of this system through comparison of Web Service-mediated data access with traditional SPARQL, and note that this approach not only simplifies data retrieval, but simultaneously provides protection against resource-intensive queries. Conclusions: We show, through a variety of different clients and examples of varying complexity, that data from the myriad OpenLifeData can be recovered without any need for prior-knowledge of the content or structure of the SPARQL endpoints. We also demonstrate that, via clients such as SHARE, the complexity of federated SPARQL queries is dramatically reduced.

What Can the Brain Teach Us about Winemaking? An fMRI Study of Alcohol Level Preferences

Over the last few decades, wine makers have been producing wines with a higher alcohol content, assuming that they are more appreciated by consumers. To test this hypothesis, we used functional magnetic imaging to compare reactions of human subjects to different types of wine, focusing on brain regions critical for flavor processing and food reward. Participants were presented with carefully matched pairs of high- and low- alcohol content red wines, without informing them of any of the wine attributes. Contrary to expectation, significantly greater activation was found for low- alcohol than for high- alcohol content wines in brain regions that are sensitive to taste intensity, including the insula as well as the cerebellum. Wines were closely matched for all physical attributes except for alcohol content, thus we interpret the preferential response to the low- alcohol content wines as arising from top-down modulation due to the low alcohol content wines inducing greater attentional exploration of aromas and flavours. The findings raise intriguing possibilities for objectively testing hypotheses regarding methods of producing a highly complex product such as wine.