Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Variació segons edat i sexe del component força de l'escala de Constant de valoració de la funció de l’espatlla

Un dels instruments més utilitzats per a mesurar la funció de l’espatlla és el conegut com a Constant Score on una quarta part del valor total de la valoració funcional de l’espatlla correspon a la força d’aquesta regió anatòmica. En el disseny original del Constant Score no es tingueren en compte les possibles variacions dels valors normals de força en funció de l’edat o del sexe. Aquesta variació no ha estat mai correctament establerta. Aquest treball pretén establir l’existència de diferències en la força de l’espatlla entre diferents grups d’edat i entre sexes.

Modelling the cardiovascular system for automatic interpretation of the blood pressure curve

A four compartment model of the cardiovascular system is developed. To allow for easy interpretation and to minimise the number of parameters, an effort was made to keep the model as simple as possible. A sensitivity analysis is first carried out to determine which are the most important model parameters to characterise the blood pressure signal. A four stage process is then described which accurately determines all parameter values. This process is applied to data from three patients and good agreement is shown in all cases.

Constant coefficient tests for random coefficient regression

Random coefficient regression models have been applied in differentfields and they constitute a unifying setup for many statisticalproblems. The nonparametric study of this model started with Beranand Hall (1992) and it has become a fruitful framework. In thispaper we propose and study statistics for testing a basic hypothesisconcerning this model: the constancy of coefficients. The asymptoticbehavior of the statistics is investigated and bootstrapapproximations are used in order to determine the critical values ofthe test statistics. A simulation study illustrates the performanceof the proposals.

Psychological pressure in competitive environments: Evidence from a randomized natural experiment

Much like cognitive abilities, emotional skills can have major effects on performance and economic outcomes. This paper studies the behavior of professionalsubjects involved in a dynamic competition in their own natural environment. Thesetting is a penalty shoot-out in soccer where two teams compete in a tournamentframework taking turns in a sequence of five penalty kicks each. As the kicking order is determined by the random outcome of a coin flip, the treatment and control groups are determined via explicit randomization. Therefore, absent any psychological effects, both teams should have the same probability of winning regardless of the kicking order. Yet, we find a systematic first-kicker advantage. Using data on 2,731 penalty kicks from 262 shoot-outs for a three decade period, we find that teams kicking first win the penalty shoot-out 60.5% of the time. A dynamic panel data analysis shows that the psychological mechanism underlying this result arises from the asymmetry in the partial score. As most kicks are scored, kicking first typically means having the opportunity to lead in the partial score, whereas kicking second typically means lagging in the score and having the opportunity to, at most, get even. Having a worse prospect than the opponent hinders subjects' performance.Further, we also find that professionals are self-aware of their own psychological effects. When a recent change in regulations gives winners of the coin toss the chance to choose the kicking order, they rationally react to it by systematically choosing to kick first. A survey of professional players reveals that when asked to explain why they prefer to kick first, they precisely identify the psychological mechanism for which we find empirical support in the data: they want to lead in the score inorder to put pressure on the opponent.

Constant interest rate projections without the curse of indeterminacy

Constant interest rate (CIR) projections are often criticized on the grounds that they are inconsistent with the existence of a unique equilibrium in a variety of forward-looking models. This note shows howto construct CIR projections that are not subject to that criticism, using a standard New Keynesian model as a reference framework.

Gas collisions and pressure quenching of the photoluminescence of silicon nanopowder grown by plasma-enhanced chemical vapor deposition

The quenching of the photoluminescence of Si nanopowder grown by plasma-enhanced chemical vapor deposition due to pressure was measured for various gases ( H2, O2, N2, He, Ne, Ar, and Kr) and at different temperatures. The characteristic pressure, P0, of the general dependence I(P) = I0¿exp(¿P/P0) is gas and temperature dependent. However, when the number of gas collisions is taken as the variable instead of pressure, then the quenching is the same within a gas family (mono- or diatomic) and it is temperature independent. So it is concluded that the effect depends on the number of gas collisions irrespective of the nature of the gas or its temperature.

Properties of nitrogen doped silicon films deposited by low-pressure chemical vapor deposition from silane and ammonia

Nitrogen doped silicon (NIDOS) films have been deposited by low-pressure chemical vapor deposition from silane SiH4 and ammonia NH3 at high temperature (750°C) and the influences of the NH3/SiH4 gas ratio on the films deposition rate, refractive index, stoichiometry, microstructure, electrical conductivity, and thermomechanical stress are studied. The chemical species derived from silylene SiH2 into the gaseous phase are shown to be responsible for the deposition of NIDOS and/or (silicon rich) silicon nitride. The competition between these two deposition phenomena leads finally to very high deposition rates (100 nm/min) for low NH3/SiH4 gas ratio (R¿0.1). Moreover, complex variations of NIDOS film properties are evidenced and related to the dual behavior of the nitrogen atom into silicon, either n-type substitutional impurity or insulative intersticial impurity, according to the Si¿N atomic bound. Finally, the use of NIDOS deposition for the realization of microelectromechanical systems is investigated.

A current-mode interface circuit for a piezoresistive pressure sensor

An interfacing circuit for piezoresistive pressure sensors based on CMOS current conveyors is presented. The main advantages of the proposed interfacing circuit include the use of a single piezoresistor, the capability of offset compensation, and a versatile current-mode configuration, with current output and current or voltage input. Experimental tests confirm linear relation of output voltage versus piezoresistance variation.

Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

High-pressure ultrasonic study of vibrational anharmonicity in bcc Cu-Al-Be alloys

To quantify the vibrational anharmonicity of the long-wavelength acoustic modes of bcc Cu74.1Al23.1Be2.8 near its martensitic transition temperature Ms (261 K), the hydrostatic pressure derivatives (¿CIJ/¿P)P=0 of the elastic stiffness moduli have been measured. The Grüneisen parameters at 268 K (just above Ms), especially of longitudinal modes, which become smaller than those of the shear modes, are quite different from those at 295 K: the anharmonicity changes markedly in the vicinity of the transition. Similar trends are noted for Cu66.5Al12.7Zn20.8. Experimental data near Ms are used to estimate cubic invariants in the strain order parameters in a Landau formalism.