36 resultados para conditional volatility
em QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast
Resumo:
It is shown that a linear superposition of two macroscopically distinguishable optical coherent states can be generated using a single photon source and simple all-optical operations. Weak squeezing on a single photon, beam mixing with an auxiliary coherent state, and photon detecting with imperfect threshold detectors are enough to generate a coherent state superposition in a free propagating optical field with a large coherent amplitude (alpha>2) and high fidelity (F>0.99). In contrast to all previous schemes to generate such a state, our scheme does not need photon number resolving measurements nor Kerr-type nonlinear interactions. Furthermore, it is robust to detection inefficiency and exhibits some resilience to photon production inefficiency.
Resumo:
Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.
Resumo:
In this paper we present the application of Hidden Conditional Random Fields (HCRFs) to modelling speech for visual speech recognition. HCRFs may be easily adapted to model long range dependencies across an observation sequence. As a result visual word recognition performance can be improved as the model is able to take more of a contextual approach to generating state sequences. Results are presented from a speaker-dependent, isolated digit, visual speech recognition task using comparisons with a baseline HMM system. We firstly illustrate that word recognition rates on clean video using HCRFs can be improved by increasing the number of past and future observations being taken into account by each state. Secondly we compare model performances using various levels of video compression on the test set. As far as we are aware this is the first attempted use of HCRFs for visual speech recognition.
Resumo:
Many of the challenges faced in health care delivery can be informed through building models. In particular, Discrete Conditional Survival (DCS) models, recently under development, can provide policymakers with a flexible tool to assess time-to-event data. The DCS model is capable of modelling the survival curve based on various underlying distribution types and is capable of clustering or grouping observations (based on other covariate information) external to the distribution fits. The flexibility of the model comes through the choice of data mining techniques that are available in ascertaining the different subsets and also in the choice of distribution types available in modelling these informed subsets. This paper presents an illustrated example of the Discrete Conditional Survival model being deployed to represent ambulance response-times by a fully parameterised model. This model is contrasted against use of a parametric accelerated failure-time model, illustrating the strength and usefulness of Discrete Conditional Survival models.