The expiration day effect of indexoptions and index futures on the underlying shares

This paper studies the effect of the expiration day of index options and futures on the trading volume, variance and price of the underlying shares. The data consists of all trades for the underlying shares in the FOX-index for expiration days during the period October 1995 to the mid of yer 1999. The main results seem to support the findings of Kan 2001, i.e. no manipulation on a larger scale. However, some indication of manipulation could be found if certain characteristics are favorable. These characteristics include: a) a large quantity of outstanding futures or at/in the money options contracts, b) there exists shares with high index weight but fairly low trading volume. Lastly, there is some indication that manipulation might be more popular towards the end of the examined time period.

Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

The Physical Strenuousness of Work is Slightly Associated with an Upward Trend in the Body Mass Index

This paper explores the relationship between the physical strenuousness of work and the body mass index in Finland, using individual microdata over the period 1972-2002. The data contain self-reported information about the physical strenuousness of a respondent’s current occupation. Our estimates show that the changes in the physical strenuousness of work can explain around 8% at most of the definite increase in BMI observed over the period. The main reason for this appears to be that the quantitative magnitude of the effect of the physical strenuousness of work on BMI is rather moderate. Hence, according to the point estimates, BMI is only around 1.5% lower when one’s current occupation is physically very demanding and involves lifting and carrying heavy objects compared with sedentary job (reference group of the estimations), other things being equal. Accordingly, the changes in eating habits and the amount of physical activity during leisure time must be the most important contributors to the upward trend in BMI in industrialised countries, but not the changes in the labour market structure.

Witten index of supersymmetric chiral theories

The Witten index can be defined in many supersymmetric theories by formulating them in the space-time R×S3. If the index is nonzero for any value of the radius of S3, it can be shown that the theory does not break supersymmetry in Minkowski space. This approach rules out supersymmetry breaking in a large class of models, chiral and otherwise. The index arguments are consistent with previous instanton calculations which indicate supersymmetry breaking in certain theories.

Approximation of Internal Refractive Index Variation Improves Image Guided Diffuse Optical Tomography of Breast

Effective usage of image guidance by incorporating the refractive index (RI) variation in computational modeling of light propagation in tissue is investigated to assess its impact on optical-property estimation. With the aid of realistic patient breast three-dimensional models, the variation in RI for different regions of tissue under investigation is shown to influence the estimation of optical properties in image-guided diffuse optical tomography (IG-DOT) using numerical simulations. It is also shown that by assuming identical RI for all regions of tissue would lead to erroneous estimation of optical properties. The a priori knowledge of the RI for the segmented regions of tissue in IG-DOT, which is difficult to obtain for the in vivo cases, leads to more accurate estimates of optical properties. Even inclusion of approximated RI values, obtained from the literature, for the regions of tissue resulted in better estimates of optical properties, with values comparable to that of having the correct knowledge of RI for different regions of tissue.

High-precision diode-laser-based temperature measurement for air refractive index compensation

We present a laser-based system to measure the refractive index of air over a long path length. In optical distance measurements it is essential to know the refractive index of air with high accuracy. Commonly, the refractive index of air is calculated from the properties of the ambient air using either Ciddor or Edlén equations, where the dominant uncertainty component is in most cases the air temperature. The method developed in this work utilises direct absorption spectroscopy of oxygen to measure the average temperature of air and of water vapor to measure relative humidity. The method allows measurement of temperature and humidity over the same beam path as in optical distance measurement, providing spatially well matching data. Indoor and outdoor measurements demonstrate the effectiveness of the method. In particular, we demonstrate an effective compensation of the refractive index of air in an interferometric length measurement at a time-variant and spatially non-homogenous temperature over a long time period. Further, we were able to demonstrate 7 mK RMS noise over a 67 m path length using 120 s sample time. To our knowledge, this is the best temperature precision reported for a spectroscopic temperature measurement.

A reexamination of the permeability index of clays

The permeability index Ck, similar to the compression index, is the slope of the void ratio – coefficient of permeability relationship. Literature shows that, in general, for sensitive clays it can be related to initial void ratio by Ck = 0.5e0. The possibility of obtaining such a relationship for Cochin marine clays in terms of liquid limit void ratio is indicated in this paper. Analysis of permeability behaviour of Cochin marine clays and the test results available in published literature using generalized state parameter approach show that, in principle, these forms of equations for the permeability index are tenable, even though they were obtained based on experimental observation alone.

Tropical Clays .1. Index Properties And Microstructural Aspects

Soils showing changes in plasticity characteristics upon driving form an important group in tropical soils. These changes are attributed to the grouping of particles into aggregates either due to mineralogy or presence of cementing agents and/or pore fluid characteristics. These changes are found to be permanent. In this paper, the effect of these changes leading to changes in index properties is discussed. The coefficient of permeability has been found to be comparable at liquid limit water content for different soils of varying liquid limit values. Permeability is an indirect reflection of microstructure and indicates the flow rate, which depends upon pore geometry. Other mechanical properties like compressibility and shear strength also depend upon pore geometry. These microstructural aspects of liquid limit as a reference state for the analysis of engineering behavior of tropical soils are examined in detail.