A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

Assuming that daily spot exchange rates follow a martingale process, we derive the implied time series process for the vector of 30-day forward rate forecast errors from using weekly data. The conditional second moment matrix of this vector is modelled as a multivariate generalized ARCH process. The estimated model is used to test the hypothesis that the risk premium is a linear function of the conditional variances and covariances as suggested by the standard asset pricing theory literature. Little supportt is found for this theory; instead lagged changes in the forward rate appear to be correlated with the 'risk premium.'. © 1990.

Typical delay determines waiting time on periodic-food schedules: Static and dynamic tests.

Pigeons and other animals soon learn to wait (pause) after food delivery on periodic-food schedules before resuming the food-rewarded response. Under most conditions the steady-state duration of the average waiting time, t, is a linear function of the typical interfood interval. We describe three experiments designed to explore the limits of this process. In all experiments, t was associated with one key color and the subsequent food delay, T, with another. In the first experiment, we compared the relation between t (waiting time) and T (food delay) under two conditions: when T was held constant, and when T was an inverse function of t. The pigeons could maximize the rate of food delivery under the first condition by setting t to a consistently short value; optimal behavior under the second condition required a linear relation with unit slope between t and T. Despite this difference in optimal policy, the pigeons in both cases showed the same linear relation, with slope less than one, between t and T. This result was confirmed in a second parametric experiment that added a third condition, in which T + t was held constant. Linear waiting appears to be an obligatory rule for pigeons. In a third experiment we arranged for a multiplicative relation between t and T (positive feedback), and produced either very short or very long waiting times as predicted by a quasi-dynamic model in which waiting time is strongly determined by the just-preceding food delay.

Accelerating self-consistent field convergence with the augmented Roothaan-Hall energy function.

Based on Pulay's direct inversion iterative subspace (DIIS) approach, we present a method to accelerate self-consistent field (SCF) convergence. In this method, the quadratic augmented Roothaan-Hall (ARH) energy function, proposed recently by Høst and co-workers [J. Chem. Phys. 129, 124106 (2008)], is used as the object of minimization for obtaining the linear coefficients of Fock matrices within DIIS. This differs from the traditional DIIS of Pulay, which uses an object function derived from the commutator of the density and Fock matrices. Our results show that the present algorithm, abbreviated ADIIS, is more robust and efficient than the energy-DIIS (EDIIS) approach. In particular, several examples demonstrate that the combination of ADIIS and DIIS ("ADIIS+DIIS") is highly reliable and efficient in accelerating SCF convergence.

Communications inspired linear discriminant analysis

We study the problem of supervised linear dimensionality reduction, taking an information-theoretic viewpoint. The linear projection matrix is designed by maximizing the mutual information between the projected signal and the class label. By harnessing a recent theoretical result on the gradient of mutual information, the above optimization problem can be solved directly using gradient descent, without requiring simplification of the objective function. Theoretical analysis and empirical comparison are made between the proposed method and two closely related methods, and comparisons are also made with a method in which Rényi entropy is used to define the mutual information (in this case the gradient may be computed simply, under a special parameter setting). Relative to these alternative approaches, the proposed method achieves promising results on real datasets. Copyright 2012 by the author(s)/owner(s).

Automatic verification of linear controller software

© 2015 IEEE.We consider the problem of verification of software implementations of linear time-invariant controllers. Commonly, different implementations use different representations of the controller's state, for example due to optimizations in a third-party code generator. To accommodate this variation, we exploit input-output controller specification captured by the controller's transfer function and show how to automatically verify correctness of C code controller implementations using a Frama-C/Why3/Z3 toolchain. Scalability of the approach is evaluated using randomly generated controller specifications of realistic size.

Accurate localized resolution of identity approach for linear-scaling hybrid density functionals and for many-body perturbation theory

© 2015 IOP Publishing Ltd and Deutsche Physikalische Gesellschaft.A key component in calculations of exchange and correlation energies is the Coulomb operator, which requires the evaluation of two-electron integrals. For localized basis sets, these four-center integrals are most efficiently evaluated with the resolution of identity (RI) technique, which expands basis-function products in an auxiliary basis. In this work we show the practical applicability of a localized RI-variant ('RI-LVL'), which expands products of basis functions only in the subset of those auxiliary basis functions which are located at the same atoms as the basis functions. We demonstrate the accuracy of RI-LVL for Hartree-Fock calculations, for the PBE0 hybrid density functional, as well as for RPA and MP2 perturbation theory. Molecular test sets used include the S22 set of weakly interacting molecules, the G3 test set, as well as the G2-1 and BH76 test sets, and heavy elements including titanium dioxide, copper and gold clusters. Our RI-LVL implementation paves the way for linear-scaling RI-based hybrid functional calculations for large systems and for all-electron many-body perturbation theory with significantly reduced computational and memory cost.