Smiling under stochastic volatility

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a whole to alternative degrees of moneyness. The conditions under which the implied volatility function changes whenever there is a change in the parameters associated with Hestons stochastic volatility model for a given degree of moneyness are given.

Statistics of Turbulence in Benthal Boundary Layers

This paper deals with turbulence behavior inbenthalboundarylayers by means of large eddy simulation (LES). The flow is modeled by moving an infinite plate in an otherwise quiescent water with an oscillatory and a steady velocity components. The oscillatory one aims to simulate wave effect on the flow. A number of large-scale turbulence databases have been established, based on which we have obtained turbulencestatisticsof the boundarylayers, such as Reynolds stress, turbulence intensity, skewness and flatness ofturbulence, and temporal and spatial scales of turbulent bursts, etc. Particular attention is paid to the dependences of those statistics on two nondimensional parameters, namely the Reynolds number and the current-wave velocity ratio defined as the steady current velocity over the oscillatory velocity amplitude. It is found that the Reynolds stress and turbulence intensity profile differently from phase to phase, and exhibit two types of distributions in an oscillatory cycle. One is monotonic occurring during the time when current and wave-induced components are in the same direction, and the other inflectional occurring during the time when current and wave-induced components are in opposite directions. Current component makes an asymmetrical time series of Reynolds stress, as well as turbulence intensity, although the mean velocity series is symmetrical as a sine/cosine function. The skewness and flatness variations suggest that the turbulence distribution is not a normal function but approaches to a normal one with the increasing of Reynolds number and the current-wave velocity ratio as well. As for turbulent bursting, the dimensionless period and the mean area of all bursts per unit bed area tend to increase with Reynolds number and current-wave velocity ratio, rather than being constant as in steady channel flows.

Mussel Community Studies [Year Three].

The communities associated with Mytilus californianus (mussel) beds from 20 geographic sites in southern California were examined. The study areas included six mainland sites - Government Point, Goleta Point, Ventura, Corona del Mar, Carlsbad, and San Diego,and two sites on opposite sides of seven offshore islands - San Miguel Island, Santa Rosa Island, Santa Cruz Island, Anacapa Island, San Nicholas Island, Santa Cruz Island and San Clemente Island. : The mussel communities from all areas contributed to the master species list which now encompasses conservatively, 610 species of animals and 141 species of algae. The most diverse collection came from Cat Rock, Anacapa Island where the mussel beds supported 174 species of invertebrates. The lowest diversity was recorded for mussel beds from Ben Weston, Santa Catalina Island which contained 46 species. In general, the island mussel beds supported a greater diversity of both animals and plants. Mussel community samples were collected from upper and lower intertidal areas occupied by the mussel beds within a locality. Community differences in both composition and abundance were associated with these collections. Overall. community similarity analysis revealed five major patterns which corresponded to characteristic species assemblages occupying the mussel beds from the various geographic areas. The patterns included: (1) clusters of localities which display a north-south geographic pattern with respect to the similarity of their respective mussel communities, (2) a separation of selected island and mainland communities because of dissimilarities in their species composition, (3) differences between mussel communities. on opposite sides of the offshore islands, (4) clusters of species whose highest abundances characterize selected localities, (5) species groups ubiquitous to all mussel beds examined. The results of the community analysis further suggest that predictions can be made delineating the probable mussel community inhabitants of areas not sampled. The species distribution patterns observed appear to correspond in part to the influence of currents and water masses which bear planktonic larvae and impinge on selected localities. The most important mussel bed features associated with community differences were quantitative and qualitative differences in the potential microhabitats. Those features associate~ with greater species diversity include the pore base of coarse fraction shell and rock debris, skewness and kurtosis of the sediment grain-size distributions and mussel bed thickness. Those features associated with lower species diversity included the quantity of tar. and rock and shell debris trapped within the mussel bed. (PDF contains 51 pages)

Real-Time Bayesian Analysis of Ground Motion Envelopes for Earthquake Early Warning

Current earthquake early warning systems usually make magnitude and location predictions and send out a warning to the users based on those predictions. We describe an algorithm that assesses the validity of the predictions in real-time. Our algorithm monitors the envelopes of horizontal and vertical acceleration, velocity, and displacement. We compare the observed envelopes with the ones predicted by Cua & Heaton's envelope ground motion prediction equations (Cua 2005). We define a "test function" as the logarithm of the ratio between observed and predicted envelopes at every second in real-time. Once the envelopes deviate beyond an acceptable threshold, we declare a misfit. Kurtosis and skewness of a time evolving test function are used to rapidly identify a misfit. Real-time kurtosis and skewness calculations are also inputs to both probabilistic (Logistic Regression and Bayesian Logistic Regression) and nonprobabilistic (Least Squares and Linear Discriminant Analysis) models that ultimately decide if there is an unacceptable level of misfit. This algorithm is designed to work at a wide range of amplitude scales. When tested with synthetic and actual seismic signals from past events, it works for both small and large events.

Training in African aquaculture development

The article focuses on the types of training needed in African aquaculture development. The author suggested that rather than needing less training, extension agents and others who operate in the idiosyncratic world of the poor African farmer, need a far deeper understanding of fish culture (particularly the basics of pond dynamics and ecology) than do those who can take advantage of industrialized-country infrastructure.

Aplicação de múltiplas ferramentas no estudo do transporte de sedimentos na margem interna da restinga da Marambaia (baía de Sepetiba, RJ)

Dados sedimentológicos e hidrodinâmicos foram utilizados para estudar a dinâmica sedimentar da margem interna da restinga da Marambaia (baía de Sepetiba, Rio de Janeiro, SE Brasil). Foram realizadas três campanhas amostrais para coleta de sedimentos ao longo da restinga da Marambaia e na área submersa adjacente. Adicionalmente, em dezembro de 2013, três fundeios simultâneos para aquisição de dados hidrodinâmicos foram conduzidos paralelamente à restinga, ao longo da profundidade média de 6,5 metros. As medições abrangeram dois ciclos de maré (25 horas), incluindo perfilagem com CTDs, perfilagem correntométrica e coleta de amostras de água para determinação das concentrações do material particulado em suspensão. A partir do processamento das amostras de sedimentos em laboratório, foram obtidos os parâmetros estatísticos (média, desvio-padrão e assimetria) para o detalhamento da caracterização sedimentológica da área de estudo, bem como a aplicação de um modelo de tendência direcional de transporte de sedimentos (GisedTrend). A restinga apresenta areias médias e bem selecionadas, enquanto as amostras coletadas na porção submersa, em profundidades maiores que 2 m, passam de areias finas e bem selecionadas a siltes finos e mal selecionados em maiores profundidades. Quatro casos de tendência de transporte foram explorados em um total de 14 possibilidades e os mais significativos foram analisados com o intuito de identificar áreas de acumulação e remoção de sedimentos, podendo estar associados aos processos responsáveis pelo transporte de sedimentos, tais como correntes geradas pelos ventos locais, marés e dispersão de plumas de sedimentos em suspensão. Os dados hidrodinâmicos, durante o período amostrado, permitiram observar o complexo padrão de circulação existente, especialmente na área adjacente à área central da restinga. Dentre as observações realizadas, verificou-se a ocorrência de assimetria da maré, fato já documentado em trabalhos anteriores conduzidos próximo ao principal canal de acesso à baia, com períodos de enchente mais curtos e períodos de vazante mais longos. Diferentemente do que foi reportado nestes trabalhos, os períodos de vazante foram associados às correntes de maior intensidade. As concentrações de material particulado em suspensão situaram-se, em média, entre 10 e 20 mg/L tanto em superfície como próximo ao fundo; no entanto, suas variações temporais não apresentaram qualquer relação com as fases da maré. Possíveis áreas de convergência e divergência da circulação / células de transporte de sedimentos foram identificadas e comparadas aos vetores de tendência de transporte obtidos através do modelo GisedTrend, com resultados satisfatórios.

The history of contamination in sediments from the Mersey Estuary. Development of a chronology for the contamination of the Mersey Estuary by heavy metals and organochlorines

This is the history of contamination in sediments from the Mersey Estuary: Development of a chronology for the contamination of the Mersey Estuary by heavy metals and organochlorines Report produced by the Environment Agency in 1998. This report looks at the history of industrial contamination of the Mersey and Ribble Estuaries back to the early part of the last century, many decades before the start of monitoring programmes providing a remarkably detailed picture of very complex changes. There is a clear record in the sediment of the contamination by each heavy metal (including: Cu, Cr, Hg, Pb, Zn) and organochlorine chemical (including DDT isomers and PCB congeners) studied. The results of the study clearly show the increases in levels of contamination as industry expanded early last century followed by various improvements as this century progressed. Each pollutant has its own idiosyncratic pattern of change with some improvements predating modern environmental concerns whilst other changes seem to relate directly to recent improvements in legislative control. Overall, for the pollutants studied, the results clearly demonstrate the magnitude of improvement that has been achieved in what was a very polluted area. The only major reservation to this story is that despite the wide range of substances covered, many other potentially important pollutants remain to be studied in a similar manner.

Gestão do conhecimento na EaD corporativa: tensões e possibilidades da transferência do conhecimento tácito nas comunidades e redes sociais

A partir da metade do século 20 o recurso meramente material deixou de ser considerado como a maior fonte de riqueza de uma instituição ou sociedade para ceder lugar à superestimação do ativo intelectual. Essa alternância de paradigma provocou no seio corporativo a preocupação de desenvolver estratégias e ferramentas gerenciais que fossem capazes de propiciar um meio oportuno para a geração e socialização do conhecimento organizacional. Na sociedade da nova economia, ancorada na valorização dos recursos intangíveis, o gerenciamento do conhecimento tácito, altamente pessoal e subjetivo, é concebido como importante tática para prover vantagem competitiva à empresa, inclusive àquelas que prestam serviços educacionais, concedendo lhe status de inovação apontada para o futuro. Uma das estratégias sugeridas pela literatura especializada reside na criação de redes de relacionamentos sociais que visem ampliar e potencializar a interação entre os partícipes no processo de compartilhamento de conhecimentos e troca de experiências para a apreensão da aprendizagem social colaborativa. Portanto, buscou-se examinar, nesta pesquisa, por intermédio de um estudo de caso particular, se uma importante e renomada instituição de ensino superior (IES) atuante no segmento de educação a distância online cumpre os fatores idiossincráticos e organizacionais relevantes para a transferência do conhecimento tácito, bem como se propicia aos docentes inseridos na comunidade virtual de professores (CVP) uma ambientação favorável para tal. O presente estudo sustenta-se em farto e consistente aparato bibliográfico sobre (i) conhecimento; (ii) gestão do conhecimento e (iii) redes, comunidades virtuais e novo social learning e objetiva confrontar as inflexões teóricas apresentadas com as análises realizadas quantitativa e qualitativamente dos dados coletados da unidade de amostra selecionada, na tentativa de prover elucidações capazes de satisfazer as hipóteses formuladas na pesquisa.

Study of the turbulence in the air-side and water-side boundary layers in experimental laboratory wind induced surface waves

This study detailed the structure of turbulence in the air-side and water-side boundary layers in wind-induced surface waves. Inside the air boundary layer, the kurtosis is always greater than 3 (the value for normal distribution) for both horizontal and vertical velocity fluctuations. The skewness for the horizontal velocity is negative, but the skewness for the vertical velocity is always positive. On the water side, the kurtosis is always greater than 3, and the skewness is slightly negative for the horizontal velocity and slightly positive for the vertical velocity. The statistics of the angle between the instantaneous vertical fluctuation and the instantaneous horizontal velocity in the air is similar to those obtained over solid walls. Measurements in water show a large variance, and the peak is biased towards negative angles. In the quadrant analysis, the contribution of quadrants Q2 and Q4 is dominant on both the air side and the water side. The non-dimensional relative contributions and the concentration match fairly well near the interface. Sweeps in the air side (belonging to quadrant Q4) act directly on the interface and exert pressure fluctuations, which, in addition to the tangential stress and form drag, lead to the growth of the waves. The water drops detached from the crest and accelerated by the wind can play a major role in transferring momentum and in enhancing the turbulence level in the water side.On the air side, the Reynolds stress tensor's principal axes are not collinear with the strain rate tensor, and show an angle α σ≈=-20°to-25°. On the water side, the angle is α σ≈=-40°to-45°. The ratio between the maximum and the minimum principal stresses is σ a/σ b=3to4 on the air side, and σ a/σ b=1.5to3 on the water side. In this respect, the air-side flow behaves like a classical boundary layer on a solid wall, while the water-side flow resembles a wake. The frequency of bursting on the water side increases significantly along the flow, which can be attributed to micro-breaking effects - expected to be more frequent at larger fetches. © 2012 Elsevier B.V.

Dynamic technology leadership: The adaptive role of the CTO

OVERVIEW: The importance of the chief technology officer role is widely accepted, particularly in today's turbulent, global conditions. However, not enough is known about the key activities of CTOs or the factors that influence their priorities. Thirty in-depth interviews conducted with the CTOs in global firms identified key activities: aligning technology and corporate strategy and business models, determining technology entry and exit points, and preparing business cases to secure funding for technology development. The research also showed that priority areas for CTOs are related to technology transition points-major contextual and business discontinuities that impact the focus of the CTO. We conclude that the determination of priorities at these technology transition points is highly idiosyncratic and closely related to whether the CTO functions more or less strategically.

Shape signifiers for control of a low-order compressor model

Rotating stall and surge, two instability mechanisms limiting the performance of aeroengines compressors, are studied on the third-order Moore-Greitzer model. The skewness of the compressor characteristic, a single parameter shape signifier, is shown to determine the key qualitative properties of feedback control.

Building global products and competing in innovation: The role of chinese university spin-outs and required innovation capabilities

Usually, firms that produce innovative global products are discussed within the context of developed countries. New ventures in developing countries are typically viewed as low-cost product providers that generate technologically similar products to those produced by developed economies. However, this paper argues that some Chinese university spin-outs (USOs), although rare, have adopted a novel 'catch-up' strategy to build global products on the basis of indigenous platform technologies. This paper attempts to develop a conceptual framework to address the question: how do these specific Chinese USOs develop their innovation capabilities to build global products? In order to explore the idiosyncrasies of the specific USOs, this paper uses the multiple case studies method. The primary data sources are accessed through semi-structured interviews. In addition, archival data and other materials are used as secondary sources. The study analyses the configuration of capabilities that are needed for idiosyncratic growth, and maps them to the globalisation processes. This paper provides a strategic 'roadmap' as an explanatory guide to entrepreneurs, policy makers and investors to better understand the phenomena. © 2014 Inderscience Enterprises Ltd.

The turbulent rotating-disk boundary layer

© 2014 Elsevier Masson SAS. All rights reserved. The turbulent boundary layer on a rotating disk is studied with the aim of giving a statistical description of the azimuthal velocity field and to compare it with the streamwise velocity of a turbulent two-dimensional flat-plate boundary layer. Determining the friction velocity accurately is particularly challenging and here this is done through direct measurement of the velocity distribution close to the rotating disk in the very thin viscous sublayer using hot-wire anemometry. Compared with other flow cases, the rotating-disk flow has the advantage that the highest relative velocity with respect to a stationary hot wire is at the wall itself, thereby limiting the effect of heat conduction to the wall from the hot-wire probe. Experimental results of mean, rms, skewness and flatness as well as spectral information are provided. Comparison with the two-dimensional boundary layer shows that turbulence statistics are similar in the inner region, although the rms-level is lower and the maximum spectral content is found at smaller wavelengths for the rotating case. These features both indicate that the outer flow structures are less influential in the inner region for the rotating case.

Full counting statistics of transport through two-channel Coulomb blockade systems

A mesoscopic Coulomb blockade system with two transport channels is studied in terms of full counting statistics. It is found that the shot noise and skewness are crucially affected by the quantum mechanical interference. In particular, the super-Poisson behavior can be induced as a consequence of constructive interference, and can be understood by the formation of effective fast-and-slow transport channels. Dephasing and finite temperature effects are carried out together with physical interpretations.

The effects of sediment transport on grain-size distributions

Changes in statistics (mean, sorting, and skewness) describing grain-size distributions have long been used to speculate on the direction of sediment transport. We present a simple model whereby the distributions of sediment in transport are related to their source by a sediment transfer function which defines the relative probability that a grain within each particular class interval will be eroded and transported. A variety of empirically derived transfer functions exhibit negatively skewed distributions (on a phi scale). Thus, when a sediment is being eroded, the probability of any grain going into transport increases with diminishing grain size throughout more than half of its size range. This causes the sediment in transport to be finer and more negatively skewed than its source, whereas the remaining sediment (a lag) must become relatively coarser and more positively skewed. Flume experiments show that the distributions of transfer functions change from having a highly negative skewness to being nearly symmetrical (although still negatively skewed) as the energy of the transporting process increases. We call the two extremes low-energy and high-energy transfer functions , respectively. In an expanded sediment-transport model, successive deposits in the direction of transport are related by a combination of two transfer functions. If energy is decreasing and the transfer functions have low-energy distributions, successive deposits will become finer and more negatively skewed. If, however, energy is decreasing, but the initial transfer function has a high-energy distribution, successive deposits will become coarser and more positively skewed. The variance of the distributions of lags, sediment in transport, and successive deposits in the down-current direction must eventually decrease (i.e., the sediments will become better sorted). We demonstrate that it is possible for variance first to increase, but suggest that, in reality, an increasing variance in the direction of transport will seldom be observed, particularly when grain-size distributions are described in phi units. This model describing changes in sediment distributions was tested in a variety of environments where the transport direction was known. The results indicate that the model has real-world validity and can provide a method to predict the directions of sediment transport