On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

Constant coefficient tests for random coefficient regression

Random coefficient regression models have been applied in differentfields and they constitute a unifying setup for many statisticalproblems. The nonparametric study of this model started with Beranand Hall (1992) and it has become a fruitful framework. In thispaper we propose and study statistics for testing a basic hypothesisconcerning this model: the constancy of coefficients. The asymptoticbehavior of the statistics is investigated and bootstrapapproximations are used in order to determine the critical values ofthe test statistics. A simulation study illustrates the performanceof the proposals.

General preferences for consumption goods in the random matching model of commodity money

This paper generalizes the original random matching model of money byKiyotaki and Wright (1989) (KW) in two aspects: first, the economy ischaracterized by an arbitrary distribution of agents who specialize in producing aparticular consumption good; and second, these agents have preferences suchthat they want to consume any good with some probability. The resultsdepend crucially on the size of the fraction of producers of each goodand the probability with which different agents want to consume eachgood. KW and other related models are shown to be parameterizations ofthis more general one.

Is confidence in decisions related to feedback? Evidence-and lack of evidence-from random samples of real-world managerial behavior?

Confidence in decision making is an important dimension of managerialbehavior. However, what is the relation between confidence, on the onehand, and the fact of receiving or expecting to receive feedback ondecisions taken, on the other hand? To explore this and related issuesin the context of everyday decision making, use was made of the ESM(Experience Sampling Method) to sample decisions taken by undergraduatesand business executives. For several days, participants received 4 or 5SMS messages daily (on their mobile telephones) at random moments at whichpoint they completed brief questionnaires about their current decisionmaking activities. Issues considered here include differences between thetypes of decisions faced by the two groups, their structure, feedback(received and expected), and confidence in decisions taken as well as inthe validity of feedback. No relation was found between confidence indecisions and whether participants received or expected to receivefeedback on those decisions. In addition, although participants areclearly aware that feedback can provide both confirming and disconfirming evidence, their ability to specify appropriatefeedback is imperfect. Finally, difficulties experienced inusing the ESM are discussed as are possibilities for further researchusing this methodology.

Cardio respiratory activity in high-anxious vs. low-anxious professional music students before and during performance

Questionnaire studies indicate that high-anxious musicians may suffer from hyperventilation symptoms before and/or during performance. Reported symptoms include amongst others shortness of breath, fast or deep breathing, dizziness and thumping heart. However, no study has yet tested if these self-reported symptoms reflect actual cardio respiratory changes. Disturbances in breathing patterns and hyperventilation may contribute to the often observed poorer performance of anxious musicians under stressful performance situations. The main goal of this study is to determine if music performance anxiety is manifest physiologically in specific correlates of cardio respiratory activity. We studied 74 professional music students divided into two groups (i.e. high-anxious and lowanxious) based on their self-reported performance anxiety in three distinct situations: baseline, private performance (without audience), public performance (with audience). We measured a) breathing patterns, end-tidal carbon dioxide (EtCO2, a good non-invasive estimator for hyperventilation), ECG and b) self-perceived emotions and self-perceived physiological activation. The poster will concentrate on the preliminary results of this study. The focus will be a) on differences between high-anxious and low-anxious musicians regarding breaths per minute and heart rate and b) on the response coherence between self-perceived palpitations and actual heart rate.

On the performance of small-area estimators: Fixed vs. random area parameters

Most methods for small-area estimation are based on composite estimators derived from design- or model-based methods. A composite estimator is a linear combination of a direct and an indirect estimator with weights that usually depend on unknown parameters which need to be estimated. Although model-based small-area estimators are usually based on random-effects models, the assumption of fixed effects is at face value more appropriate.Model-based estimators are justified by the assumption of random (interchangeable) area effects; in practice, however, areas are not interchangeable. In the present paper we empirically assess the quality of several small-area estimators in the setting in which the area effects are treated as fixed. We consider two settings: one that draws samples from a theoretical population, and another that draws samples from an empirical population of a labor force register maintained by the National Institute of Social Security (NISS) of Catalonia. We distinguish two types of composite estimators: a) those that use weights that involve area specific estimates of bias and variance; and, b) those that use weights that involve a common variance and a common squared bias estimate for all the areas. We assess their precision and discuss alternatives to optimizing composite estimation in applications.

Fixed and random effects in Classical and Bayesian regression

This paper proposes a common and tractable framework for analyzingdifferent definitions of fixed and random effects in a contant-slopevariable-intercept model. It is shown that, regardless of whethereffects (i) are treated as parameters or as an error term, (ii) areestimated in different stages of a hierarchical model, or whether (iii)correlation between effects and regressors is allowed, when the sameinformation on effects is introduced into all estimation methods, theresulting slope estimator is also the same across methods. If differentmethods produce different results, it is ultimately because differentinformation is being used for each methods.

Random measurement error and regression dilution bias.

Summary points: - The bias introduced by random measurement error will be different depending on whether the error is in an exposure variable (risk factor) or outcome variable (disease) - Random measurement error in an exposure variable will bias the estimates of regression slope coefficients towards the null - Random measurement error in an outcome variable will instead increase the standard error of the estimates and widen the corresponding confidence intervals, making results less likely to be statistically significant - Increasing sample size will help minimise the impact of measurement error in an outcome variable but will only make estimates more precisely wrong when the error is in an exposure variable

Characterization of intonation in Karṇāṭaka music by parametrizing context-based Svara Distributions

Intonation is a fundamental music concept that has a special relevance in Indian art music. It is characteristic of the rāga and intrinsic to the musical expression of the performer. Describing intonation is of importance to several information retrieval tasks like the development of rāga and artist similarity measures. In our previous work, we proposed a compact representation of intonation based on the parametrization of the pitch histogram of a performance and demonstrated the usefulness of this representation through an explorative rāga recognition task in which we classified 42 vocal performances belonging to 3 rāgas using parameters of a single svara. In this paper, we extend this representation to employ context-based svara distributions, which are obtained with a different approach to find the pitches belonging to each svara. We quantitatively compare this method to our previous one, discuss the advantages, and the necessary melodic analysis to be carried out in future.

An approach for linking score and audio recordings in Makam music of Turkey

The main information sources to study a particular piece of music are symbolic scores and audio recordings. These are complementary representations of the piece and it isvery useful to have a proper linking between the two of the musically meaningful events. For the case of makam music of Turkey, linking the available scores with the correspondingaudio recordings requires taking the specificities of this music into account, such as the particular tunings, the extensive usage of non-notated expressive elements, and the way in which the performer repeats fragmentsof the score. Moreover, for most of the pieces of the classical repertoire, there is no score written by the original composer. In this paper, we propose a methodology to pair sections of a score to the corresponding fragments of audio recording performances. The pitch information obtained from both sources is used as the common representationto be paired. From an audio recording, fundamental frequency estimation and tuning analysis is done to compute a pitch contour. From the corresponding score, symbolic note names and durations are converted to a syntheticpitch contour. Then, a linking operation is performed between these pitch contours in order to find the best correspondences.The method is tested on a dataset of 11 compositions spanning 44 audio recordings, which are mostly monophonic. An F3-score of 82% and 89% are obtained with automatic and semi-automatic karar detection respectively,showing that the methodology may give us a needed tool for further computational tasks such as form analysis, audio-score alignment and makam recognition.

Menestystarinoilla maailmalle : Music Export Finland musiikkialan yrittäjien tukena kansainvälistymisessä

Opinnäytetyö on kirjallinen selvitys, jossa kartoitetaan musiikkialan ammattilaisten näkemyksiä musiikkialan vientiorganisaatio Music Export Finlandin vienninedistämistyön palveluista. Työn tarkoituksena on selvittää, minkälaiseksi vientityötä jo jonkin aikaa tehneet yrittäjät kokevat ja määrittelevät yhdistyksen roolin sekä sen palveluiden tarpeellisuuden omassa käytännön vientityössään. Teoreettinen viitekehys muodostettiin vientitoiminnan käsikirjoista sekä asiantuntijaorganisaatio Finpron kansainvälistymisstrategian mallista, jonka pohjalta tehtiin myös kuuden asiantuntijan haastattelut. Musex tarjoaa palveluita lähinnä vientitoiminnan käytännön toteutusvaiheeseen. Musexin olemassaolo koetaan alalla yleisesti positiiviseksi asiaksi, vaikka vientityötä jo jonkin aikaa tehneet yrittäjät eivät välttämättä hyödykään yhdistyksen palveluista käytännön tasolla. Musex näyttäytyy heille lähinnä alan yleisen tiedottajan roolissa, musiikkialan yhteisenä äänitorvena, jonka tehtävä on ylläpitää toimivia suhteita valtiovaltaan, lisätä toimialan näkyvyyttä ja edesauttaa toimialan rakenteiden kehittämistä alan intressien mukaisesti. Heille on tärkeää, että musiikkitoimialan tunnettuus ja arvostus lisääntyvät julkisen vallan edustajien joukossa, mitä kautta tarvittavaa rakennemuutosta voidaan viedä konkreettisesti eteenpäin. Musiikkialalla menestyy se, joka hallitsee koko laajan liiketoiminnallisen paketin sekä pystyy tarjoamaan faneilleen jotain ainutlaatuista ja eksklusiivista. Musiikkialan yrityksissä harjoitetaan ammattimaista vientitoimintaa alalle ominaisilla tavoilla ja strategioilla, jotka useinkin poikkeavat monen muun alan menettelytavoista. Vientityön tekeminen edellyttää yrityksiltä halua ja kykyä ajatella liiketoiminnallisesti koko toimintaa, sekä paljon työtä. Yhteistyö koko alan kesken on kansainväliselle toiminnalle ehdotonta. Musiikkitoimialan suurin kompastuskivi yhä edelleen on yleisen arvostuksen ja uskottavuuden puute tai sen vähäisyys, sekä rahoitus. Opinnäytetyö on hankkeistettu sekä Musexin kanssa että Stadian t&k -hankkeeseen Suomalaisten musiikkialan pienyrittäjien vientivalmiuksien kehittäminen.

Comparing Random-based and k-Anonymity-Based Algorithms for Graph Anonymization

Recently, several anonymization algorithms have appeared for privacy preservation on graphs. Some of them are based on random-ization techniques and on k-anonymity concepts. We can use both of them to obtain an anonymized graph with a given k-anonymity value. In this paper we compare algorithms based on both techniques in orderto obtain an anonymized graph with a desired k-anonymity value. We want to analyze the complexity of these methods to generate anonymized graphs and the quality of the resulting graphs.