Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Measuring the biases in self-reported disability status : Evidence from aggregate data

Self-reported health status measures are generally used to analyse Social Security Disability Insurance's (SSDI) application and award decisions as well as the relationship between its generosity and labour force participation. Due to endogeneity and measurement error, the use of self-reported health and disability indicators as explanatory variables in economic models is problematic. We employ county-level aggregate data, instrumental variables and spatial econometric techniques to analyse the determinants of variation in SSDI rates and explicitly account for the endogeneity and measurement error of the self-reported disability measure. Two surprising results are found. First, it is shown that measurement error is the dominating source of the bias and that the main source of measurement error is sampling error. Second, results suggest that there may be synergies for applying for SSDI when the disabled population is larger. © 2011 Taylor & Francis.

Control of density of self-organized carbon nanotube arrays by catalyst pretreatment through plasma immersion ion implantation

A simple and effective method of controlling the growth of vertically aligned carbon nanotube arrays in a lowerature plasma is presented. Ni catalyst was pretreated by plasma immersion ion implantation prior to the nanotube growth by plasma-enhanced chemical vapor deposition. Both the size distribution and the areal density of the catalyst nanoparticles decrease due to the ion-surface interactions. Consequently, the resulting size distribution of the vertically aligned carbon nanotubes is reduced to 50 ∼ 100 nm and the areal density is lowered (by a factor of ten) to 10 8 cm -2, which is significantly different from the very-high-density carbon nanotube forests commonly produced by thermal chemical vapor deposition. The efficiency of this pretreatment is compared with the existing techniques such as neutral gas annealing and plasma etching. These results are highly relevant to the development of the next-generation nanoelectronic and optoelectronic devices that require effective control of the density of nanotube arrays.

Increased size selectivity of Si quantum dots on SiC at low substrate temperatures : an ion-assisted self-organization approach

A simple, effective, and innovative approach based on ion-assisted self-organization is proposed to synthesize size-selected Si quantum dots (QDs) on SiC substrates at low substrate temperatures. Using hybrid numerical simulations, the formation of Si QDs through a self-organization approach is investigated by taking into account two distinct cases of Si QD formation using the ionization energy approximation theory, which considers ionized in-fluxes containing Si3+ and Si1+ ions in the presence of a microscopic nonuniform electric field induced by a variable surface bias. The results show that the highest percentage of the surface coverage by 1 and 2 nm size-selected QDs was achieved using a bias of -20 V and ions in the lowest charge state, namely, Si1+ ions in a low substrate temperature range (227-327 °C). As low substrate temperatures (≤500 °C) are desirable from a technological point of view, because (i) low-temperature deposition techniques are compatible with current thin-film Si-based solar cell fabrication and (ii) high processing temperatures can frequently cause damage to other components in electronic devices and destroy the tandem structure of Si QD-based third-generation solar cells, our results are highly relevant to the development of the third-generation all-Si tandem photovoltaic solar cells.

Simulation and visualization of self-assembled nanodevice networks synthesized via plasma–surface interaction

Using advanced visualization techniques, a comprehensive visualization of all the stages of the self-organized growth of internetworked nanostructures on plasma-exposed surface has been made. Atomistic kinetic Monte Carlo simulation for the initial stage of deposition, with 3-D visualization of the whole system and half-tone visualization of the density field of the adsorbed atoms, makes it possible to implement a multiscale predictive modeling of the development of the nanoscale system.

Deterministic control of plasma-assembled self-organized Ge/Si quantum dot arrays

Self-assembly of size-uniform and spatially ordered quantum dot (QD) arrays is one of the major challenges in the development of the new generation of semiconducting nanoelectronic and photonic devices. Assembly of Ge QD (in the ∼5-20 nm size range) arrays from randomly generated position and size-nonuniform nanodot patterns on plasma-exposed Si (100) surfaces is studied using hybrid multiscale numerical simulations. It is shown, by properly manipulating the incoming ion/neutral flux from the plasma and the surface temperature, the uniformity of the nanodot size within the array can be improved by 34%-53%, with the best improvement achieved at low surface temperatures and high external incoming fluxes, which are intrinsic to plasma-aided processes. Using a plasma-based process also leads to an improvement (∼22% at 700 K surface temperature and 0.1 MLs incoming flux from the plasma) of the spatial order of a randomly sampled nanodot ensemble, which self-organizes to position the dots equidistantly to their neighbors within the array. Remarkable improvements in QD ordering and size uniformity can be achieved at high growth rates (a few nms) and a surface temperature as low as 600 K, which broadens the range of suitable substrates to temperature-sensitive ultrathin nanofilms and polymers. The results of this study are generic, can also be applied to nonplasma-based techniques, and as such contributes to the development of deterministic strategies of nanoassembly of self-ordered arrays of size-uniform QDs, in the size range where nanodot ordering cannot be achieved by presently available pattern delineation techniques.

Assembly and self-organization of nanomaterials

The increasing interest in nanoscience and nanotechnology has prompted intense investigations into appropriate fabrication techniques. Self-organized, bottom-up growth of nanomaterials using plasma nanofabrication techniques1–10 has proven to be one of the most promising approaches for the construction of precisely tailored nanostructures (i.e., quantum dots,11–13 nanotubes,14–17 nanowires,18–20 etc.) arrays. Thus the primary aim of this chapter is to show how plasmas may be used to achieve a high level of control during the self-organized growth of a range of nanomaterials, from zero-dimensional quantum dots (Section 15.2) to one- and two-dimensional nanomaterials (Section 15.3) to nanostructured films (Section 15.4)...

Electrochemical and spectral studies of self-assembled monolayer of 1,8,15,22-tetraaminophthalocyanatocobalt(II) on indium tin oxide surface

Self-assembled monolayer (SAM) of 1,8,15,22-tetraaminophthalocyanatocobalt(II) (4α-CoIITAPc) was prepared on indium tin oxide (ITO) electrode by spontaneous adsorption from dimethylformamide (DMF) solution containing 4α-CoIITAPc. The SAM of 4α-CoIITAPc formed on ITO electrode was characterized by cyclic voltammetry, Raman and UV–visible spectroscopic techniques. The cyclic voltammogram (CV) of 4α-CoIITAPc SAM shows two pairs of well-defined redox peaks corresponding to CoIII/CoII and CoIIIPc−1/CoIIIPc−2. The surface coverage (Γ) was calculated by integrating the charge under the anodic wave corresponding to CoII oxidation and it was found to be 2.25 × 10−10 mol cm−2. Raman spectrum obtained for the SAM of 4α-CoIITAPc on ITO surface shows strong stretching and breathing bands of Pc macrocycle, pyrrole ring and isoindole ring. Further, the –NH2 bending mode of vibration was absent for the SAM of 4α-CoIITAPc on ITO surface which indirectly confirmed that all the amino groups of 4α-CoIITAPc are involved in bonding with ITO surface. UV–visible spectrum for the SAM of 4α-CoIITAPc on ITO surface shows an intense B-band, Q-band and n–π∗ transition with slight broadening when compared to that of 4α-CoIITAPc in DMF.

Insomnia : A Self Help Handbook

This book is a practical and useful tool for getting your sleep back on track. Even if you have suffered from insomnia for many years, this book contains simple, easy to learn strategies to manage your sleep loss through evidence-based techniques such as cognitive therapy and stimulus control. Dr. Sacre will guide you through these approaches and explain how they work and why they are recommended above other approaches. There is a chapter on special populations that tells you what to do if you are a shift worker, long distance traveller, parent, older adult, woman (including pregnancy and menopause) or an elite athlete. If you want to enjoy natural, healthy and satisfying sleep again, this handbook gives you all the tools you need to achieve it. You only need to have the motivation and discipline to apply the strategies and stick to them over time. This handbook first explains what normal sleep is all about and challenges some myths about sleep and insomnia. Then you will be guided through a thorough sleep assessment. Insomnia is then described in detail including different types of insomnia and the kinds of factors that contribute to sleep loss. Through the following chapters, you will be shown step-by-step what to do to bring about change in your sleeping patterns and habits, through addressing the factors that perpetuate poor sleep. These factors mainly revolve around unhelpful thinking, compensatory behaviors, poor sleep hygiene and environmental influences. These are all things that are within your control and Dr. Sacre will show you how. Dr. Sacre has worked in the fields of sleep health, mental health and addictive disorders for 25 years and over that time, she has encountered hundreds of people who have struggled with insomnia and sleep loss due to other causes. She currently heads the Therapy Programs department at Belmont Private Hospital in Brisbane, Australia, where there is an emphasis on Cognitive Behavioral Therapy, including a Cognitive Behavioral Therapy for Insomnia (CBT-i) program. A psychologist and nurse, Dr. Sacre is a long-time member of the Australasian Sleep Association and the Australian Psychological Society. She has conducted research into the function of dreaming, online sleep surveys and the usefulness of sleep self-help guides for students, older adults and carers of people with dementia. She has also published on diverse topics, including the management of nightmares in war veterans. She is an Adjunct Associate Professor at Queensland University of Technology, Brisbane and lectures professionals, including psychologists, school counselors and psychiatrists, on sleep disorders and their management as well as Cognitive Behavioral Therapy.

Reflexivity and self-care for creative facilitators: Stepping outside the circle

Those who work with others to explore new and creative ways of thinking about community and organizational participation, ways of engaging with others, individual well-being and creative solutions to problems, have a significant role in a cohesive society. Creative forms of learning can stimulate reflexive practices of self-care and lead to enhanced relationships and practices both personally and professionally. We argue that those who facilitate such practices for others do not always practice their own self-care, which potentially leads to burnout and disillusionment. This research sought to explore understandings and practices of self-care with such facilitators in order to develop resources or techniques to support more sustainable professional identities. A key finding is that reflexive processes are most effective and transforming when shared as a social practice.

Two-step self-assembly of hierarchically-ordered nanostructures

Due to their unique size- and shape-dependent physical and chemical properties, highly hierarchically-ordered nanostructures have attracted great attention with a view to application in emerging technologies, such as novel energy generation, harvesting, and storage devices. The question of how to get controllable ensembles of nanostructures, however, still remains a challenge. This concept paper first summarizes and clarifies the concept of the two-step self-assembly approach for the synthesis of hierarchically-ordered nanostructures with complex morphology. Based on the preparation processes, two-step self-assembly can be classified into two typical types, namely, two-step self-assembly with two discontinuous processes and two-step self-assembly completed in one-pot solutions with two continuous processes. Compared to the conventional one-step self-assembly, the two-step self-assembly approach allows the combination of multiple synthetic techniques and the realization of complex nanostructures with hierarchically-ordered multiscale structures. Moreover, this approach also allows the self-assembly of heterostructures or hybrid nanomaterials in a cost-effective way. It is expected that widespread application of two-step self-assembly will give us a new way to fabricate multifunctional nanostructures with deliberately designed architectures. The concept of two-step self-assembly can also be extended to syntheses including more than two chemical/physical reaction steps (multiple-step self-assembly).

Toward Self-Organising Service Communities

This paper discusses a framework in which catalog service communities are built, linked for interaction, and constantly monitored and adapted over time. A catalog service community (represented as a peer node in a peer-to-peer network) in our system can be viewed as domain specific data integration mediators representing the domain knowledge and the registry information. The query routing among communities is performed to identify a set of data sources that are relevant to answering a given query. The system monitors the interactions between the communities to discover patterns that may lead to restructuring of the network (e.g., irrelevant peers removed, new relationships created, etc.).