Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.

Jumps in the Volatility of Financial Markets.

Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments, in particular the conditional variance. Simulation results show that the procedure provides reasonable estimates of the number and location of jumps. This procedure detects several jumps in the conditional variance of daily returns on the S&P 500 index.

"Empirical Analysis of Jumps Contribution to Volatility Forecasting Using High Frequency Data".

Rapport de recherche présenté à la Faculté des arts et des sciences en vue de l'obtention du grade de Maîtrise en sciences économiques.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Distinct Unfolding and Refolding Pathways of Ribonuclease A Revealed by Heating and Cooling Temperature Jumps

Heating and cooling temperature jumps (T-jumps) were performed using a newly developed technique to trigger unfolding and refolding of wild-type ribonuclease A and a tryptophan-containing variant (Y115W). From the linear Arrhenius plots of the microscopic folding and unfolding rate constants, activation enthalpy (ΔH#), and activation entropy (ΔS#) were determined to characterize the kinetic transition states (TS) for the unfolding and refolding reactions. The single TS of the wild-type protein was split into three for the Y115W variant. Two of these transition states, TS1 and TS2, characterize a slow kinetic phase, and one, TS3, a fast phase. Heating T-jumps induced protein unfolding via TS2 and TS3; cooling T-jumps induced refolding via TS1 and TS3. The observed speed of the fast phase increased at lower temperature, due to a strongly negative ΔH# of the folding-rate constant. The results are consistent with a path-dependent protein folding/unfolding mechanism. TS1 and TS2 are likely to reflect X-Pro114 isomerization in the folded and unfolded protein, respectively, and TS3 the local conformational change of the β-hairpin comprising Trp115. A very fast protein folding/unfolding phase appears to precede both processes. The path dependence of the observed kinetics is suggestive of a rugged energy protein folding funne

Time-variations in commodity price jumps

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic volatility jump–diffusion model to capture this seasonal variation. Applying the Markov Chain Monte Carlo (MCMC) methodology, we estimate our model using 20 years of futures data from four different commodity markets. We find strong statistical evidence to suggest that our model with seasonal jump intensity outperforms models featuring a constant jump intensity. To demonstrate the practical relevance of our findings, we show that our model typically improves Value-at-Risk (VaR) forecasts.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Hops, steps and jumps : mathematical progress in the early years

While curriculum frameworks ale major influences on learning, teachers know that children progress at different rates. Sometimes this is evident within a particular topic. and at other times more obvious across different topics. In this paper. we present the hops, steps, and jumps of numeracy learning of some 3000 Australian children. All were assessed using I Can Do Maths, and their achievements mapped to provide a detailed picture of how children hop, step and jump on their numeracy journey. This mapping provides teachers with infonnation about key hurdles to numeracy learning for Australian children.

Visual regulation during competition long jumps and run-throughs

Previous investigators have reported that the ability of long jumpers to visually regulate their stride pattern as they approach the take-off board is critical for success. The importance of visual regulation (VA) on long jump (LJ) distance was assessed in six national-class competitors during two simulated competitions. Linear regression analyses indicated that increased VR contributes to a high average approach velocity -a key predictor of LJ distance. Early VA enabled the athletes to make small systematic adjustments to stride length in order to strike the board in an optimal take-off position, without sacrificing approach velocity. Athletes practice their LJ approach by repeating the stride pattern of the approach, but without the take-off. The current study established that these 'run-throughs' (AT) don't accurately simulate the VR characteristics of a LJ approach. One strategy to increase the VA required during RT's may be to place additional targets across the runway for the athletes to negotiate whilst approaching the take-off board, without compromising approach velocity.

Differential modulation of spinal and corticospinal excitability during drop jumps

Previously it was shown that spinal excitability during hopping and drop jumping is high in the initial phase of ground contact when the muscle is stretched but decreases toward takeoff. To further understand motor control of stretch-shortening cycle, this study aimed to compare modulation of spinal and corticospinal excitability at distinct phases following ground contact in drop jump. Motor-evoked potentials (MEPs) induced by transcranial magnetic stimulation (TMS) and H-reflexes were elicited at the time of the short (SLR)-, medium (MLR)-, and long (LLR, LLR2)-latency responses of the soleus muscle (SOL) after jumps from 31 cm height. MEPs and H-reflexes were expressed relative to the background electromyographic (EMG) activity. H-reflexes were highly facilitated at SLR (172%) and then progressively decreased (MLR = 133%; LLR = 123%; LLR2 = 110%). TMS showed no effect at SLR, MLR, and LLR, whereas MEPs were significantly facilitated at the LLR2 (122%; P = 0.003). Background EMG was highest at LLR and lowest at LLR2. Strong H-reflex facilitation at the beginning of the stance phase indicated significant contribution of Ia-afferent input to the α-motoneurons during this phase that then progressively declined toward takeoff. Conversely, corticospinal excitability was exclusively increased at the phase of push off (LLR2, ∼120 ms). It is argued that corticomotoneurons increased their excitability at LLR2. At LLR (∼90 ms), Ia-afferent transmission as well as corticospinal excitability was low, whereas background EMG was high. Therefore it is speculated that other sources, presumably subcortical in origin, contributed to the EMG activity at LLR in drop jumps.

Modelo HJM com jumps: o caso brasileiro

Utilizando dados de mercado obtidos na BM&F Bovespa, este trabalho propõe uma possível variação do modelo Heath, Jarrow e Morton em sua forma discreta e multifatorial, com a introdução de jumps como forma de considerar o efeito das reuniões realizadas pelo Cômite de Políticas Monetárias (Copom). Através do uso da análise de componentes principais (PCA), é feita a calibração dos parâmetros do modelo, possibilitando a simulação da evolução da estrutura a termo de taxa de juros (ETTJ) da curva prefixada em reais via simulação de Monte Carlo (MCS). Com os cenários da curva simulada em vértices fixos (sintéticos), os resultados são comparados aos dados observados no mercado.