Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities

We develop general model-free adjustment procedures for the calculation of unbiased volatility loss functions based on practically feasible realized volatility benchmarks. The procedures, which exploit recent nonparametric asymptotic distributional results, are both easy-to-implement and highly accurate in empirically realistic situations. We also illustrate that properly accounting for the measurement errors in the volatility forecast evaluations reported in the existing literature can result in markedly higher estimates for the true degree of return volatility predictability.

Nonparametric estimation of structural models for high-frequency currency market data

Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method for estimation of structural economic models. The method forces the model to match (under a GMM criterion) the score function of a nonparametric estimate of the conditional density of observed data. The estimation uses weekly U.S.-German currency market data, 1975-90. © 1995.

Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.

Mapping the semantic structure of cognitive neuroscience.

Cognitive neuroscience, as a discipline, links the biological systems studied by neuroscience to the processing constructs studied by psychology. By mapping these relations throughout the literature of cognitive neuroscience, we visualize the semantic structure of the discipline and point to directions for future research that will advance its integrative goal. For this purpose, network text analyses were applied to an exhaustive corpus of abstracts collected from five major journals over a 30-month period, including every study that used fMRI to investigate psychological processes. From this, we generate network maps that illustrate the relationships among psychological and anatomical terms, along with centrality statistics that guide inferences about network structure. Three terms--prefrontal cortex, amygdala, and anterior cingulate cortex--dominate the network structure with their high frequency in the literature and the density of their connections with other neuroanatomical terms. From network statistics, we identify terms that are understudied compared with their importance in the network (e.g., insula and thalamus), are underspecified in the language of the discipline (e.g., terms associated with executive function), or are imperfectly integrated with other concepts (e.g., subdisciplines like decision neuroscience that are disconnected from the main network). Taking these results as the basis for prescriptive recommendations, we conclude that semantic analyses provide useful guidance for cognitive neuroscience as a discipline, both by illustrating systematic biases in the conduct and presentation of research and by identifying directions that may be most productive for future research.

Time-dependent transport through molecular junctions.

We investigate transport properties of molecular junctions under two types of bias--a short time pulse or an ac bias--by combining a solution for Green's functions in the time domain with electronic structure information coming from ab initio density functional calculations. We find that the short time response depends on lead structure, bias voltage, and barrier heights both at the molecule-lead contacts and within molecules. Under a low frequency ac bias, the electron flow either tracks or leads the bias signal (resistive or capacitive response) depending on whether the junction is perfectly conducting or not. For high frequency, the current lags the bias signal due to the kinetic inductance. The transition frequency is an intrinsic property of the junctions.

Modulating unimolecular charge transfer by exciting bridge vibrations.

Ultrafast UV-vibrational spectroscopy was used to investigate how vibrational excitation of the bridge changes photoinduced electron transfer between donor (dimethylaniline) and acceptor (anthracene) moieties bridged by a guanosine-cytidine base pair (GC). The charge-separated (CS) state yield is found to be lowered by high-frequency bridge mode excitation. The effect is linked to a dynamic modulation of the donor-acceptor coupling interaction by weakening of H-bonding and/or by disruption of the bridging base-pair planarity.

Quantitative Analysis of Kilohertz-Frequency Neurostimulation

Mainstream electrical stimulation therapies, e.g., spinal cord stimulation (SCS) and deep brain stimulation, use pulse trains that are delivered at rates no higher than 200 Hz. In recent years, stimulation of nerve fibers using kilohertz-frequency (KHF) signals has received increased attention due to the potential to penetrate deeper in the tissue and to the ability to block conduction of action potentials. As well, there are a growing number of clinical applications that use KHF waveforms, including transcutaneous electrical stimulation (TES) for overactive bladder and SCS for chronic pain. However, there is a lack of fundamental understanding of the mechanisms of action of KHF stimulation. The goal of this research was to analyze quantitatively KHF neurostimulation.

We implemented a multilayer volume conductor model of TES including dispersion and capacitive effects, and we validated the model with in vitro measurements in a phantom constructed from dispersive materials. We quantified the effects of frequency on the distribution of potentials and fiber excitation. We also quantified the effects of a novel transdermal amplitude modulated signal (TAMS) consisting of a non-zero offset sinusoidal carrier modulated by a square-pulse train. The model revealed that high-frequency signals generated larger potentials at depth than did low frequencies, but this did not translate into lower stimulation thresholds. Both TAMS and conventional rectangular pulses activated more superficial fibers in addition to the deeper, target fibers, and at no frequency did we observe an inversion of the strength-distance relationship. In addition, we performed in vivo experiments and applied direct stimulation to the sciatic nerve of cats and rats. We measured electromyogram and compound action potential activity evoked by pulses, TAMS and modified versions of TAMS in which we varied the amplitude of the carrier. Nerve fiber activation using TAMS showed no difference with respect to activation with conventional pulse for carrier frequencies of 20 kHz and higher, regardless the size of the carrier. Therefore, TAMS with carrier frequencies >20 kHz does not offer any advantage over conventional pulses, even with larger amplitudes of the carrier, and this has implications for design of waveforms for efficient and effective TES.

We developed a double cable model of a dorsal column (DC) fiber to quantify the responses of DC fibers to a novel KHF-SCS signal. We validated the model using in vivo recordings of the strength-duration relationship and the recovery cycle of single DC fibers. We coupled the fiber model to a model of SCS in human and applied the KHF-SCS signal to quantify thresholds for activation and conduction block for different fiber diameters at different locations in the DCs. Activation and block thresholds increased sharply as the fibers were placed deeper in the DCs, and decreased for larger diameter fibers. Activation thresholds were > 5 mA in all cases and up to five times higher than for conventional (~ 50 Hz) SCS. For fibers exhibiting persistent activation, the degree of synchronization of the firing activity to the KHF-SCS signal, as quantified using the vector strength, was low for a broad amplitude range, and the dissimilarity between the activities in pairs of fibers, as quantified using the spike time distance, was high and decreased for more closely positioned fibers. Conduction block thresholds were higher than 30 mA for all fiber diameters at any depth and well above the amplitudes used clinically (0.5 – 5 mA). KHF-SCS appears to activate few, large, superficial fibers, and the activated fibers fire asynchronously to the stimulation signal and to other activated fibers.

The outcomes of this work contribute to the understanding of KHF neurostimulation by establishing the importance of the tissue filtering properties on the distribution of potentials, assessing quantitatively the impact of KHF stimulation on nerve fiber excitation, and developing and validating a detailed model of a DC fiber to characterize the effects of KHF stimulation on DC axons. The results have implications for design of waveforms for efficient and effective nerve fiber stimulation in the peripheral and central nervous system.