Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers

The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM, and the finite sample properties of the quasi-maximum likelihood estimator of the parameters are analysed. Using high frequency data for three US financial assets, the new model is estimated and evaluated. The forecasting performance of the new model is compared with a novel dynamic realized matrix-exponential conditional covariance model. The volatility and co-volatility spillovers are examined via the news impact curves and the impulse response functions from returns to volatility and co-volatility.

Synchronised firing patterns in a random network of adaptive exponential integrate-and-fire

Acknowledgements This study was possible by partial financial support from the following Brazilian government agencies: CNPq, CAPES, and FAPESP (2011/19296-1 and 2015/07311-7). We also wish thank Newton Fund and COFAP.

[N]pT ensemble and finite-size-scaling study of the critical isostructural transition in the generalized exponential model of index 4.

First-order transitions of system where both lattice site occupancy and lattice spacing fluctuate, such as cluster crystals, cannot be efficiently studied by traditional simulation methods, which necessarily fix one of these two degrees of freedom. The difficulty, however, can be surmounted by the generalized [N]pT ensemble [J. Chem. Phys. 136, 214106 (2012)]. Here we show that histogram reweighting and the [N]pT ensemble can be used to study an isostructural transition between cluster crystals of different occupancy in the generalized exponential model of index 4 (GEM-4). Extending this scheme to finite-size scaling studies also allows us to accurately determine the critical point parameters and to verify that it belongs to the Ising universality class.

Finite Sampling Exponential Bounds

Thesis (Ph.D.)--University of Washington, 2016-08

Search of symmetric composition methods of symmetric integrators

Composition methods are useful when solving Ordinary Differential Equations (ODEs) as they increase the order of accuracy of a given basic numerical integration scheme. We will focus on sy-mmetric composition methods involving some basic second order symmetric integrator with different step sizes [17]. The introduction of symmetries into these methods simplifies the order conditions and reduces the number of unknowns. Several authors have worked in the search of the coefficients of these type of methods: the best method of order 8 has 17 stages [24], methods of order 8 and 15 stages were given in [29, 39, 40], 10-order methods of 31, 33 and 35 stages have been also found [24, 34]. In this work some techniques that we have built to obtain 10-order symmetric composition methods of symmetric integrators of s = 31 stages (16 order conditions) are explored. Given some starting coefficients that satisfy the simplest five order conditions, the process followed to obtain the coefficients that satisfy the sixteen order conditions is provided.

A Petrov-Galerkin method for a singularly perturbed ordinary differential equation with non-smooth data

In this paper, a singularly perturbed ordinary differential equation with non-smooth data is considered. The numerical method is generated by means of a Petrov-Galerkin finite element method with the piecewise-exponential test function and the piecewise-linear trial function. At the discontinuous point of the coefficient, a special technique is used. The method is shown to be first-order accurate and singular perturbation parameter uniform convergence. Finally, numerical results are presented, which are in agreement with theoretical results.

Less popular but more democratic? Corrie, Clarkson and the dancing Cru

The central cultural experience of modernity has been change, both the ‘creative destruction’ of existing structures, and the growth, often exponential, of new knowledge. During the twentieth century, the central cultural platform for the collective experience of modernising societies changed too, from page and stage to the screen – from publishing, the press and radio to cinema, television and latterly computer screens. Despite the successive dominance of new media, none has lasted long at the top. The pattern for each was to give way to a successor platform in popularity, but to continue as part of an increasingly crowded media menu. Modern media are supplemented not supplanted by their successors.

Pornography and erotica: Definitions and prevalence

In this paper, we offer some observations regarding the sex industry, in particular the pornography and erotica sectors. Marketing literature observing pornography and erotica is scant. We find that following exponential growth of the sex industry (given use of the Internet) an evaluation of consumer behaviour and marketing practices is justified. In order to begin a study of these industry sectors, we find it necessary to define both pornography and erotica. Following the development of definitions, we consider these industries from a marketing perspective in the hope that we may encourage research into these areas.

A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean

Phase-type distributions represent the time to absorption for a finite state Markov chain in continuous time, generalising the exponential distribution and providing a flexible and useful modelling tool. We present a new reversible jump Markov chain Monte Carlo scheme for performing a fully Bayesian analysis of the popular Coxian subclass of phase-type models; the convenient Coxian representation involves fewer parameters than a more general phase-type model. The key novelty of our approach is that we model covariate dependence in the mean whilst using the Coxian phase-type model as a very general residual distribution. Such incorporation of covariates into the model has not previously been attempted in the Bayesian literature. A further novelty is that we also propose a reversible jump scheme for investigating structural changes to the model brought about by the introduction of Erlang phases. Our approach addresses more questions of inference than previous Bayesian treatments of this model and is automatic in nature. We analyse an example dataset comprising lengths of hospital stays of a sample of patients collected from two Australian hospitals to produce a model for a patient's expected length of stay which incorporates the effects of several covariates. This leads to interesting conclusions about what contributes to length of hospital stay with implications for hospital planning. We compare our results with an alternative classical analysis of these data.

Free will, moral responsibility and ADHD

One of the oldest problems in philosophy concerns the relationship between free will and moral responsibility. If we adopt the position that we lack free will, in the absolute sense—as have most philosophers who have addressed this issue—how can we truly be held accountable for what we do? This paper will contend that the most significant and interesting challenge to the long-standing status-quo on the matter comes not from philosophy, jurisprudence, or even physics, but rather from psychology. By examining this debate through the lens of contemporary behaviour disorders, such as ADHD, it will be argued that notions of free will, along with its correlate, moral responsibility, are being eroded through the logic of psychology which is steadily reconfiguring large swathes of familiar human conduct as pathology. The intention of the paper is not only to raise some concerns over the exponential growth of behaviour disorders, but also, and more significantly, to flag the ongoing relevance of philosophy for prying open contemporary educational problems in new and interesting ways.

Free will, moral responsibility and ADHD

One of the oldest problems in philosophy concerns the relationship between free will and moral responsibility. If we adopt the position that we lack free will, in the absolute sense—as have most philosophers who have addressed this issue—how can we truly be held accountable for what we do? This paper will contend that the most significant and interesting challenge to the long-standing status-quo on the matter comes not from philosophy, jurisprudence, or even physics, but rather from psychology. By examining this debate through the lens of contemporary behaviour disorders, such as ADHD, it will be argued that notions of free will, along with its correlate, moral responsibility, are being eroded through the logic of psychology which is steadily reconfiguring large swathes of familiar human conduct as pathology. The intention of the paper is not only to raise some concerns over the exponential growth of behaviour disorders, but also, and more significantly, to flag the ongoing relevance of philosophy for prying open contemporary educational problems in new and interesting ways.

Population Monte Carlo Algorithm in High Dimensions

The population Monte Carlo algorithm is an iterative importance sampling scheme for solving static problems. We examine the population Monte Carlo algorithm in a simplified setting, a single step of the general algorithm, and study a fundamental problem that occurs in applying importance sampling to high-dimensional problem. The precision of the computed estimate from the simplified setting is measured by the asymptotic variance of estimate under conditions on the importance function. We demonstrate the exponential growth of the asymptotic variance with the dimension and show that the optimal covariance matrix for the importance function can be estimated in special cases.

Eccentric calf muscle exercise produces a greater acute reduction in Achilles tendon thickness than concentric exercise

Objective: To investigate the acute effects of isolated eccentric and concentric calf muscle exercise on Achilles tendon sagittal thickness. ---------- Design: Within-subject, counterbalanced, mixed design. ---------- Setting: Institutional. ---------- Participants: 11 healthy, recreationally active male adults. ---------- Interventions: Participants performed an exercise protocol, which involved isolated eccentric loading of the Achilles tendon of a single limb and isolated concentric loading of the contralateral, both with the addition of 20% bodyweight. ---------- Main outcome measurements: Sagittal sonograms were acquired prior to, immediately following and 3, 6, 12 and 24 h after exercise. Tendon thickness was measured 2 cm proximal to the superior aspect of the calcaneus. ---------- Results: Both loading conditions resulted in an immediate decrease in normalised Achilles tendon thickness. Eccentric loading induced a significantly greater decrease than concentric loading despite a similar impulse (−0.21 vs −0.05, p<0.05). Post-exercise, eccentrically loaded tendons recovered exponentially, with a recovery time constant of 2.5 h. The same exponential function did not adequately model changes in tendon thickness resulting from concentric loading. Even so, recovery pathways subsequent to the 3 h time point were comparable. Regardless of the exercise protocol, full tendon thickness recovery was not observed until 24 h. ---------- Conclusions: Eccentric loading invokes a greater reduction in Achilles tendon thickness immediately after exercise but appears to recover fully in a similar time frame to concentric loading.