Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

The Part-time pay penalty in a segmented labor market

This paper is the first to examine the implications of switching to PT work for women's subsequent earnings trajectories, distinguishing by their type of contract: permanent or fixedterm. Using a rich longitudinal Spanish data set from Social Security records of over 76,000 prime-aged women strongly attached to the Spanish labor market, we find that PT work aggravates the segmentation of the labor market insofar there is a PT pay penalty and this penalty is larger and more persistent in the case of women with fixed-term contracts. The paper discusses problems arising in empirical estimation (including a problem not discussed in the literature up to now: the differential measurement error of the LHS variable by PT status), and how to address them. It concludes with policy implications relevant for Continental Europe and its dual structure of employment protection.

All-Optical Label Stacking: Easing the Trade-offs Between Routing and Architecture Cost in All-Optical Packet Switching

All-optical label swapping (AOLS) forms a key technology towards the implementation of all-optical packet switching nodes (AOPS) for the future optical Internet. The capital expenditures of the deployment of AOLS increases with the size of the label spaces (i.e. the number of used labels), since a special optical device is needed for each recognized label on every node. Label space sizes are affected by the way in which demands are routed. For instance, while shortest-path routing leads to the usage of fewer labels but high link utilization, minimum interference routing leads to the opposite. This paper studies all-optical label stacking (AOLStack), which is an extension of the AOLS architecture. AOLStack aims at reducing label spaces while easing the compromise with link utilization. In this paper, an integer lineal program is proposed with the objective of analyzing the softening of the aforementioned trade-off due to AOLStack. Furthermore, a heuristic aiming at finding good solutions in polynomial-time is proposed as well. Simulation results show that AOLStack either a) reduces the label spaces with a low increase in the link utilization or, similarly, b) uses better the residual bandwidth to decrease the number of labels even more

Context switching accounting mechanism

How many times a given process p preempts, either voluntarily or involuntarily, is an important threat to computer's processes throughput. Whenever running cpu-bound processes on a multi-core system without an actual system grid engine as commonly found on Grid Clusters, their performance and stability are directly related to their accurate implementation and the system reliability which is, to an extend, an important caveat most of the times so difficult to detect. Context Switching is time-consuming. Thus, if we could develop a tool capable of detecting it and gather data from every single performed Context Switch, we would beable to study this data and present some results that should pin-point at whatever their main cause could be.

Hybrid turbo FEC/ARQ systems and distributed space-time coding for cooperative transmission

Cooperative transmission can be seen as a "virtual" MIMO system, where themultiple transmit antennas are in fact implemented distributed by the antennas both at the source and the relay terminal. Depending on the system design, diversity/multiplexing gainsare achievable. This design involves the definition of the type of retransmission (incrementalredundancy, repetition coding), the design of the distributed space-time codes, the errorcorrecting scheme, the operation of the relay (decode&forward or amplify&forward) and thenumber of antennas at each terminal. Proposed schemes are evaluated in different conditionsin combination with forward error correcting codes (FEC), both for linear and near-optimum(sphere decoder) receivers, for its possible implementation in downlink high speed packetservices of cellular networks. Results show the benefits of coded cooperation over directtransmission in terms of increased throughput. It is shown that multiplexing gains areobserved even if the mobile station features a single antenna, provided that cell wide reuse of the relay radio resource is possible.

Clinical consequences of switching from olanzapine to risperidone and vice versa in outpatients with schizophrenia: 36-month results from the worldwide schizophrenia outpatients health outcomes (W-SOHO) study

BACKGROUND: With many atypical antipsychotics now available in the market, it has become a common clinical practice to switch between atypical agents as a means of achieving the best clinical outcomes. This study aimed to examine the impact of switching from olanzapine to risperidone and vice versa on clinical status and tolerability outcomes in outpatients with schizophrenia in a naturalistic setting. METHODS: W-SOHO was a 3-year observational study that involved over 17,000 outpatients with schizophrenia from 37 countries worldwide. The present post hoc study focused on the subgroup of patients who started taking olanzapine at baseline and subsequently made the first switch to risperidone (n=162) and vice versa (n=136). Clinical status was assessed at the visit when the first switch was made (i.e. before switching) and after switching. Logistic regression models examined the impact of medication switch on tolerability outcomes, and linear regression models assessed the association between medication switch and change in the Clinical Global Impression-Schizophrenia (CGI-SCH) overall score or change in weight. In addition, Kaplan-Meier survival curves and Cox-proportional hazards models were used to analyze the time to medication switch as well as time to relapse (symptom worsening as assessed by the CGI-SCH scale or hospitalization). RESULTS: 48% and 39% of patients switching to olanzapine and risperidone, respectively, remained on the medication without further switches (p=0.019). Patients switching to olanzapine were significantly less likely to experience relapse (hazard ratio: 3.43, 95% CI: 1.43, 8.26), extrapyramidal symptoms (odds ratio [OR]: 4.02, 95% CI: 1.49, 10.89) and amenorrhea/galactorrhea (OR: 8.99, 95% CI: 2.30, 35.13). No significant difference in weight change was, however, found between the two groups. While the CGI-SCH overall score improved in both groups after switching, there was a significantly greater change in those who switched to olanzapine (difference of 0.29 points, p=0.013). CONCLUSION: Our study showed that patients who switched from risperidone to olanzapine were likely to experience a more favorable treatment course than those who switched from olanzapine to risperidone. Given the nature of observational study design and small sample size, additional studies are warranted.

Polynomial-time complexity for instances of the endomorphism problem in free groups

We say the endomorphism problem is solvable for an element W in a free group F if it can be decided effectively whether, given U in F, there is an endomorphism Φ of F sending W to U. This work analyzes an approach due to C. Edmunds and improved by C. Sims. Here we prove that the approach provides an efficient algorithm for solving the endomorphism problem when W is a two- generator word. We show that when W is a two-generator word this algorithm solves the problem in time polynomial in the length of U. This result gives a polynomial-time algorithm for solving, in free groups, two-variable equations in which all the variables occur on one side of the equality and all the constants on the other side.

Semidiscretization and long-time asymptotics of nonlinear diffusion equations

We review several results concerning the long time asymptotics of nonlinear diffusion models based on entropy and mass transport methods. Semidiscretization of these nonlinear diffusion models are proposed and their numerical properties analysed. We demonstrate the long time asymptotic results by numerical simulation and we discuss several open problems based on these numerical results. We show that for general nonlinear diffusion equations the long-time asymptotics can be characterized in terms of fixed points of certain maps which are contractions for the euclidean Wasserstein distance. In fact, we propose a new scaling for which we can prove that this family of fixed points converges to the Barenblatt solution for perturbations of homogeneous nonlinearities for values close to zero.

Intermediate asymptotics beyond homogeneity and self-similarity: long time behavior for [formula]

"Vegeu el resum a l'inici del document del fitxer adjunt."

Forecasting volatility using a continuous time model

This paper evaluates the forecasting performance of a continuous stochastic volatility model with two factors of volatility (SV2F) and compares it to those of GARCH and ARFIMA models. The empirical results show that the volatility forecasting ability of the SV2F model is better than that of the GARCH and ARFIMA models, especially when volatility seems to change pattern. We use ex-post volatility as a proxy of the realized volatility obtained from intraday data and the forecasts from the SV2F are calculated using the reprojection technique proposed by Gallant and Tauchen (1998).

Commuters' valuation of travel time variability in Barcelona

The value given by commuters to the variability of travel times is empirically analysed using stated preference data from Barcelona (Spain). Respondents are asked to choose between alternatives that differ in terms of cost, average travel time, variability of travel times and departure time. Different specifications of a scheduling choice model are used to measure the influence of various socioeconomic characteristics. Our results show that travel time variability.

Infinite time aggregation for the critical Patlak-Keller-Segel model in R2

We analyze the two-dimensional parabolic-elliptic Patlak-Keller-Segel model in the whole Euclidean space R2. Under the hypotheses of integrable initial data with finite second moment and entropy, we first show local in time existence for any mass of "free-energy solutions", namely weak solutions with some free energy estimates. We also prove that the solution exists as long as the entropy is controlled from above. The main result of the paper is to show the global existence of free-energy solutions with initial data as before for the critical mass 8 Π/Χ. Actually, we prove that solutions blow-up as a delta dirac at the center of mass when t→∞ keeping constant their second moment at any time. Furthermore, all moments larger than 2 blow-up as t→∞ if initially bounded.

Planificación de aplicaciones best-effort y soft real-time en NOWs

La aparición de nuevos tipos de aplicaciones, como vídeo bajo demanda, realidad virtual y videoconferencias entre otras, caracterizadas por la necesidad de cumplir sus deadlines. Este tipo de aplicaciones, han sido denominadas en la literatura aplicaciones soft-real time (SRT) periódicas. Este trabajo se centra en el problema de la planificación temporal de este nuevo tipo de aplicaciones en clusters no dedicados.

Label Space Reduction in All-Optical Label Switchiing Networks

Report for the scientific sojourn at the Department of Information Technology (INTEC) at the Ghent University, Belgium, from january to june 2007. All-Optical Label Swapping (AOLS) forms a key technology towards the implementation of All-Optical Packet Switching nodes (AOPS) for the future optical Internet. The capital expenditures of the deployment of AOLS increases with the size of the label spaces (i.e. the number of used labels), since a special optical device is needed for each recognized label on every node. Label space sizes are affected by the wayin which demands are routed. For instance, while shortest-path routing leads to the usage of fewer labels but high link utilization, minimum interference routing leads to the opposite. This project studies and proposes All-Optical Label Stacking (AOLStack), which is an extension of the AOLS architecture. AOLStack aims at reducing label spaces while easing the compromise with link utilization. In this project, an Integer Lineal Program is proposed with the objective of analyzing the softening of the aforementioned trade-off due to AOLStack. Furthermore, a heuristic aiming at finding good solutions in polynomial-time is proposed as well. Simulation results show that AOLStack either a) reduces the label spaces with a low increase in the link utilization or, similarly, b) uses better the residual bandwidth to decrease the number of labels even more.

Real time GPS precise positioning of LEO satellites

Report for the scientific sojourn at the German Aerospace Center (DLR) , Germany, during June and July 2006. The main objective of the two months stay has been to apply the techniques of LEO (Low Earth Orbiters) satellites GPS navigation which DLR currently uses in real time navigation. These techniques comprise the use of a dynamical model which takes into account the precise earth gravity field and models to account for the effects which perturb the LEO’s motion (such as drag forces due to earth’s atmosphere, solar pressure, due to the solar radiation impacting on the spacecraft, luni-solar gravity, due to the perturbation of the gravity field for the sun and moon attraction, and tidal forces, due to the ocean and solid tides). A high parameterized software was produced in the first part of work, which has been used to asses which accuracy could be reached exploring different models and complexities. The objective was to study the accuracy vs complexity, taking into account that LEOs at different heights have different behaviors. In this frame, several LEOs have been selected in a wide range of altitudes, and several approaches with different complexity have been chosen. Complexity is a very important issue, because processors onboard spacecrafts have very limited computing and memory resources, so it is mandatory to keep the algorithms simple enough to let the satellite process it by itself.