Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Prediction in dynamic models with time-dependent conditional variances

This paper considers forecasting the conditional mean and variance from a single-equation dynamic model with autocorrelated disturbances following an ARMA process, and innovations with time-dependent conditional heteroskedasticity as represented by a linear GARCH process. Expressions for the minimum MSE predictor and the conditional MSE are presented. We also derive the formula for all the theoretical moments of the prediction error distribution from a general dynamic model with GARCH(1, 1) innovations. These results are then used in the construction of ex ante prediction confidence intervals by means of the Cornish-Fisher asymptotic expansion. An empirical example relating to the uncertainty of the expected depreciation of foreign exchange rates illustrates the usefulness of the results. © 1992.

Muscle Logic: New Knowledge Resource for Anatomy Enables Comprehensive Searches of the Literature on the Feeding Muscles of Mammals.

BACKGROUND: In recent years large bibliographic databases have made much of the published literature of biology available for searches. However, the capabilities of the search engines integrated into these databases for text-based bibliographic searches are limited. To enable searches that deliver the results expected by comparative anatomists, an underlying logical structure known as an ontology is required. DEVELOPMENT AND TESTING OF THE ONTOLOGY: Here we present the Mammalian Feeding Muscle Ontology (MFMO), a multi-species ontology focused on anatomical structures that participate in feeding and other oral/pharyngeal behaviors. A unique feature of the MFMO is that a simple, computable, definition of each muscle, which includes its attachments and innervation, is true across mammals. This construction mirrors the logical foundation of comparative anatomy and permits searches using language familiar to biologists. Further, it provides a template for muscles that will be useful in extending any anatomy ontology. The MFMO is developed to support the Feeding Experiments End-User Database Project (FEED, https://feedexp.org/), a publicly-available, online repository for physiological data collected from in vivo studies of feeding (e.g., mastication, biting, swallowing) in mammals. Currently the MFMO is integrated into FEED and also into two literature-specific implementations of Textpresso, a text-mining system that facilitates powerful searches of a corpus of scientific publications. We evaluate the MFMO by asking questions that test the ability of the ontology to return appropriate answers (competency questions). We compare the results of queries of the MFMO to results from similar searches in PubMed and Google Scholar. RESULTS AND SIGNIFICANCE: Our tests demonstrate that the MFMO is competent to answer queries formed in the common language of comparative anatomy, but PubMed and Google Scholar are not. Overall, our results show that by incorporating anatomical ontologies into searches, an expanded and anatomically comprehensive set of results can be obtained. The broader scientific and publishing communities should consider taking up the challenge of semantically enabled search capabilities.

A reified temporal logic

This paper presents a reified temporal logic for representing and reasoning about temporal and non-temporal relationships between non-temporal assertions. A clear syntax and semantics for the logic is formally provided. Three types of predicates, temporal predicates, non-temporal predicates and meta-predicates, are introduced. Terms of the proposed language are partitioned into three types, temporal terms, non-temporal terms and propositional terms. Reified propositions consist of formulae with each predicate being either a temporal predicate or a meta-predicate. Meta-predicates may take both temporal terms and propositional terms together as arguments or take propositional terms alone. A standard formula of the classical first-order language with each predicate being a non-temporal predicate taking only non-temporal terms as arguments is reified as just a propositional term. A general time ontology has been provided which can be specialized to a variety of existing temporal systems. The new logic allows one to predicate and quantify over propositional terms while according a special status of time; for example, assertions such as ‘effects cannot precede their causes’ is ensured in the logic, and some problematic temporal aspects including the delay time between events and their effects can be conveniently expressed. Applications of the logic are presented including the characterization of the negation of properties and their contextual sentences, and the expression of temporal relations between actions and effects.

Guest Editorial. Special Issue: Temporal logic in engineering

Logic-based models are thriving within artificial intelligence. A great number of new logics have been defined, and their theory investigated. Epistemic logics introduce modal operators for knowledge or belief; deontic logics are about norms, and introduce operators of deontic necessity and possibility (i.e., obligation or prohibition). And then we have a much investigated class—temporal logics—to whose application to engineering this special issue is devoted. This kind of formalism deserves increased widespread recognition and application in engineering, a domain where other kinds of temporal models (e.g., Petri nets) are by now a fairly standard part of the modelling toolbox.

A sound and complete reified temporal logic

There are mainly two known approaches to the representation of temporal information in Computer Science: modal logic approaches (including tense logics and hybrid temporal logics) and predicate logic approaches (including temporal argument methods and reified temporal logics). On one hand, while tense logics, hybrid temporal logics and temporal argument methods enjoy formal theoretical foundations, their expressiveness has been criticised as not power enough for representing general temporal knowledge; on the other hand, although current reified temporal logics provide greater expressive power, most of them lack of complete and sound axiomatic theories. In this paper, we propose a new reified temporal logic with a clear syntax and semantics in terms of a sound and complete axiomatic formalism which retains all the expressive power of the approach of temporal reification.

Narrating the archive and archiving narrative: the electronic book and the logic of the index

The creation of my hypermedia work Index of Love, which narrates a love story as an archive of moments, images and objects recollected, also articulated for me the potential of the book as electronic text. The book has always existed as both narrative and archive. Tables of contents and indexes allow the book to function simultaneously as linear narrative and non-linear, searchable database. The book therefore has more in common with the so-called 'new media' of the 21st century than it does with the dominant 20th century media of film, video and audiotape, whose logic and mode of distribution are resolutely linear. My thesis is that the non-linear logic of new media brings to the fore an aspect of the book - the index - whose potential for the production of narrative is only just beginning to be explored. When a reader/user accesses an electronic work, such as a website, via its menu, they simultaneously experience it as narrative and archive. The narrative journey taken is created through the menu choices made. Within the electronic book, therefore, the index (or menu) has the potential to function as more than just an analytical or navigational tool. It has the potential to become a creative, structuring device. This opens up new possibilities for the book, particularly as, in its paper based form, the book indexes factual work, but not fiction. In the electronic book, however, the index offers as rich a potential for fictional narratives as it does for factual volumes. [ABSTRACT FROM AUTHOR]

Exploring the conditional performance of UK unit trusts

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Simultaneously multiply-configurable or superposed molecular logic systems composed of ICT (internal charge transfer) chromophores and fluorophores integrated with one- or two-ion receptors

Integrated "ICT chromophore-receptor" systems show ion-induced shifts in their electronic absorption spectra. The wavelength of observation can be used to reversibly configure the system to any of the four logic operations permissible with a single input (YES, NOT, PASS 1, PASS 0), under conditions of ion input and transmittance output. We demonstrate these with dyes integrated into Tsien's calcium receptor, 1-2. Applying multiple ion inputs to 1-2 also allows us to perform two- or three-input OR or NOR operations. The weak fluorescence output of 1 also shows YES or NOT logic depending on how it is configured by excitation and emission wavelengths. Integrated "receptor(1)-ICT chromophore-receptor(2)" systems 3-5 selectively target two ions into the receptor terminals. The ion-induced transmittance output of 3-5 can also be configured via wavelength to illustrate several logic types including, most importantly, XOR. The opposite effects of the two ions on the energy of the chromophore excited state is responsible for this behaviour. INHIBIT and REVERSE IMPLICATION are two of the other logic types seen here. Integration of XOR logic with a preceding OR operation can be arranged by using three ion inputs. The fluorescence output of these systems can be configured via wavelength to display INHIBIT or NOR logic under two-input conditions. The superposition or multiplicity of logic gate configurations is an unusual consequence of the ability to simultaneously observe multiple wavelengths.