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.

Multiscale optics for enhanced light collection from a point source.

High-efficiency collection of photons emitted by a point source over a wide field of view (FoV) is crucial for many applications. Multiscale optics offer improved light collection by utilizing small optical components placed close to the optical source, while maintaining a wide FoV provided by conventional imaging optics. In this work, we demonstrate collection efficiency of 26% of photons emitted by a pointlike source using a micromirror fabricated in silicon with no significant decrease in collection efficiency over a 10 mm object space.

Generalized sampling using a compound-eye imaging system for multi-dimensional object acquisition.

In this paper, we propose generalized sampling approaches for measuring a multi-dimensional object using a compact compound-eye imaging system called thin observation module by bound optics (TOMBO). This paper shows the proposed system model, physical examples, and simulations to verify TOMBO imaging using generalized sampling. In the system, an object is modulated and multiplied by a weight distribution with physical coding, and the coded optical signal is integrated on to a detector array. A numerical estimation algorithm employing a sparsity constraint is used for object reconstruction.

The Multiscale Systems Immunology project: software for cell-based immunological simulation.

BACKGROUND: Computer simulations are of increasing importance in modeling biological phenomena. Their purpose is to predict behavior and guide future experiments. The aim of this project is to model the early immune response to vaccination by an agent based immune response simulation that incorporates realistic biophysics and intracellular dynamics, and which is sufficiently flexible to accurately model the multi-scale nature and complexity of the immune system, while maintaining the high performance critical to scientific computing. RESULTS: The Multiscale Systems Immunology (MSI) simulation framework is an object-oriented, modular simulation framework written in C++ and Python. The software implements a modular design that allows for flexible configuration of components and initialization of parameters, thus allowing simulations to be run that model processes occurring over different temporal and spatial scales. CONCLUSION: MSI addresses the need for a flexible and high-performing agent based model of the immune system.

Local kinetic interpretation of entropy production through reversed diffusion.

The time reversal of stochastic diffusion processes is revisited with emphasis on the physical meaning of the time-reversed drift and the noise prescription in the case of multiplicative noise. The local kinematics and mechanics of free diffusion are linked to the hydrodynamic description. These properties also provide an interpretation of the Pope-Ching formula for the steady-state probability density function along with a geometric interpretation of the fluctuation-dissipation relation. Finally, the statistics of the local entropy production rate of diffusion are discussed in the light of local diffusion properties, and a stochastic differential equation for entropy production is obtained using the Girsanov theorem for reversed diffusion. The results are illustrated for the Ornstein-Uhlenbeck process.