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).

A general continuous auction model with insiders

We analyse in a unified way how the presence of a trader with privilege information makes the market to be efficient when the release time is known. We establish a general relation between the problem of finding an equilibrium and the problem of enlargement of filtrations. We also consider the case where the time of announcement is random. 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.

Mother’s experiences and perceptions of a continuous caring model with fathers after caesarean section : a qualitative study

Background: In Chile, mothers and newborns are separated after caesarean sections. The caesarean section rate in Chile is approximately 40%. Once separated, newborns will miss out on the benefits of early contact unless a suitable model of early newborn contact after caesarean section is initiated. Aim: To describe mothers experiences and perceptions of a continuous parental model of newborn care after caesarean section during mother-infant separation. Methods: A questionnaire with 4 open ended questions to gather data on the experiences and perceptions of 95 mothers in the obstetric service of Sótero Del Rio Hospital in Chile between 2009 and 2012. Data were analyzed using qualitative content analysis. Results: One theme family friendly practice after caesarean section and four categories. Mothers described the benefits of this model of caring. The fathers presence was important to mother and baby. Mothers were reassured that the baby was not left alone with staff. It was important for the mothers to see that the father could love the baby as much as the mother. This model of care helped create ties between the father and newborn during the period of mother-infant separation and later with the mother. Conclusions: Family friendly practice after caesarean section was an important health care intervention for the whole family. This model could be stratified in the Chilean context in the case of complicated births and all caesarean sections. Clinical Implications: In the Chilean context, there is the potential to increase the number of parents who get to hold their baby immediately after birth and for as long as they like. When the mother and infant are separated after birth, parents can be informed about the benefits of this caring model. Further research using randomized control trials may support biological advantages.

Determination of the numerical parameters of a continuous damage model for the structural analysis of clay brick masonry

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Quantity-quality simulation (QQS) : a detailed continuous planning model for urban runoff control /

Mode of access: Internet.

Change Detection Memory in Rhesus Monkeys and Humans

Visual short-term memory (VSTM) is the storage of visual information over a brief time period (usually a few seconds or less). Over the past decade, the most popular task for studying VSTM in humans has been the change detection task. In this task, subjects must remember several visual items per trial in order to identify a change following a brief delay interval. Results from change detection tasks have shown that VSTM is limited; humans are only able to accurately hold a few visual items in mind over a brief delay. However, there has been much debate in regard to the structure or cause of these limitations. The two most popular conceptualizations of VSTM limitations in recent years have been the fixed-capacity model and the continuous-resource model. The fixed-capacity model proposes a discrete limit on the total number of visual items that can be stored in VSTM. The continuous-resource model proposes a continuous-resource that can be allocated among many visual items in VSTM, with noise in item memory increasing as the number of items to be remembered increases. While VSTM is far from being completely understood in humans, even less is known about VSTM in non-human animals, including the rhesus monkey (Macaca mulatta). Given that rhesus monkeys are the premier medical model for humans, it is important to understand their VSTM if they are to contribute to understanding human memory. The primary goals of this study were to train and test rhesus monkeys and humans in change detection in order to directly compare VSTM between the two species and explore the possibility that direct species comparison might shed light on the fixed-capacity vs. continuous-resource models of VSTM. The comparative results suggest qualitatively similar VSTM for the two species through converging evidence supporting the continuous-resource model and thereby establish rhesus monkeys as a good system for exploring neurophysiological correlates of VSTM.

The generalized multiprocessor periodic resource interface model for hierarchical multiprocessor scheduling

Composition is a practice of key importance in software engineering. When real-time applications are composed it is necessary that their timing properties (such as meeting the deadlines) are guaranteed. The composition is performed by establishing an interface between the application and the physical platform. Such an interface does typically contain information about the amount of computing capacity needed by the application. In multiprocessor platforms, the interface should also present information about the degree of parallelism. Recently there have been quite a few interface proposals. However, they are either too complex to be handled or too pessimistic.In this paper we propose the Generalized Multiprocessor Periodic Resource model (GMPR) that is strictly superior to the MPR model without requiring a too detailed description. We describe a method to generate the interface from the application specification. All these methods have been implemented in Matlab routines that are publicly available.

Time consistent Pareto solutions in common access resource gameswith asymmetric players

In the analysis of equilibrium policies in a di erential game, if agents have different time preference rates, the cooperative (Pareto optimum) solution obtained by applying the Pontryagin's Maximum Principle becomes time inconsistent. In this work we derive a set of dynamic programming equations (in discrete and continuous time) whose solutions are time consistent equilibrium rules for N-player cooperative di erential games in which agents di er in their instantaneous utility functions and also in their discount rates of time preference. The results are applied to the study of a cake-eating problem describing the management of a common property exhaustible natural resource. The extension of the results to a simple common property renewable natural resource model in in nite horizon is also discussed.

Time consistent Pareto solutions in common access resource gameswith asymmetric players

In the analysis of equilibrium policies in a di erential game, if agents have different time preference rates, the cooperative (Pareto optimum) solution obtained by applying the Pontryagin's Maximum Principle becomes time inconsistent. In this work we derive a set of dynamic programming equations (in discrete and continuous time) whose solutions are time consistent equilibrium rules for N-player cooperative di erential games in which agents di er in their instantaneous utility functions and also in their discount rates of time preference. The results are applied to the study of a cake-eating problem describing the management of a common property exhaustible natural resource. The extension of the results to a simple common property renewable natural resource model in in nite horizon is also discussed.

Comments, with reply on 'Continuous time relay-controlled model reference adaptive-system' by A. Abdulkareem and R. Nagarajam

An adaptive scheme is shown by the authors of the above paper (ibid. vol. 71, no. 2, pp. 275-276, Feb. 1983) for continuous time model reference adaptive systems (MRAS), where relays replace the usual multipliers in the existing MRAS. The commenter shows an error in the analysis of the hyperstability of the scheme, such that the validity of this configuration becomes an open question.