Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

Ecology of the Asian Elephant in Southern India. I. Movement and Habitat Utilization Patterns

The movement and habitat utilization patterns were studied in an Asian elephant population during 1981-83 within a 1130 km2 area in southern India (110 30' N to 120 0' N and 760 50' E to 770 15' E). The study area encompasses a diversity of vegetation types from dry thorn forest (250-400 m) through deciduous forest (400-1400 m) to stunted evergreen shola forest and grassland (1400-1800 m). Home range sizes of some identified elephants were between 105 and 320 km2. Based on the dry season distribution, five different elephant clans, each consisting of between 50 and 200 individuals and having overlapping home ranges, could be defined within the study area. Seaso- nal habitat preferences were related to the availability of water and the palatability of food plants. During the dry months (January-April) elephants congregated at high densities of up to five individuals kM-2 in river valleys where browse plants had a much higher protein content than the coarse tall grasses on hill slopes. With the onset of rains of the first wet season (May- August) they dispersed over a wider area at lower densities, largely into the tall grass forests, to feed on the fresh grasses, which then had a high protein value. During the second wet season (September-December), when the tall grasses became fibrous, they moved into lower elevation short grass open forests. The normal movement pattern could be upset during years of adverse environmental con- ditions. However, the movement pattern of elephants in this region has not basically changed for over a century, as inferred from descriptions recorded during the nineteenth century.

Multi-Pattern Viterbi Algorithm for joint decoding of multiple speech patterns

Joint decoding of multiple speech patterns so as to improve speech recognition performance is important, especially in the presence of noise. In this paper, we propose a Multi-Pattern Viterbi algorithm (MPVA) to jointly decode and recognize multiple speech patterns for automatic speech recognition (ASR). The MPVA is a generalization of the Viterbi Algorithm to jointly decode multiple patterns given a Hidden Markov Model (HMM). Unlike the previously proposed two stage Constrained Multi-Pattern Viterbi Algorithm (CMPVA),the MPVA is a single stage algorithm. MPVA has the advantage that it cart be extended to connected word recognition (CWR) and continuous speech recognition (CSR) problems. MPVA is shown to provide better speech recognition performance than the earlier techniques: using only two repetitions of noisy speech patterns (-5 dB SNR, 10% burst noise), the word error rate using MPVA decreased by 28.5%, when compared to using individual decoding. (C) 2010 Elsevier B.V. All rights reserved.

Direct Writing of Copper Film Patterns by Laser-Induced Decomposition of Copper Acetate

Direct writing of patterns is being widely attempted in the field of microelectronic circuit/device manufacture. Use of this technique eliminates the need for employing photolithographic process. Laser induced direct writing can be achieved by (i) Photochemical reaction [i] , (ii) Evaporation from target material [2], and (iii) decomposition.Micron size features of palladium and copper through decomposition of palladium acetate and copper formate respectively on quartz and silicon using Argon ion laser have been reported [3,4] .In this commuication we report a technique for both single line and large area depositon of copper through decomposition of copper acetate,(CH3COO)2Cu, on alumina substrates.Nd:YAG laser known for its reliability and low maintenance cost as compared to excimer and other gas lasers is used. This technique offers an attractive and economical alternative for manufacture of thin film microcircuits.

An algorithm to detect linearly separable clusters of binary patterns

The clusters of binary patterns can be considered as Boolean functions of the (binary) features. Such a relationship between the linearly separable (LS) Boolean functions and LS clusters of binary patterns is examined. An algorithm is presented to answer the questions of the type: “Is the cluster formed by the subsets of the (binary) data set having certain features AND/NOT having certain other features, LS from the remaining set?” The algorithm uses the sequences of Numbered Binary Form (NBF) notation and some elementary (NPN) transformations of the binary data.

An algorithm to detect linearly separable clusters of binary patterns

The clusters of binary patterns can be considered as Boolean functions of the (binary) features. Such a relationship between the linearly separable (LS) Boolean functions and LS clusters of binary patterns is examined. An algorithm is presented to answer the questions of the type: “Is the cluster formed by the subsets of the (binary) data set having certain features AND/NOT having certain other features, LS from the remaining set?” The algorithm uses the sequences of Numbered Binary Form (NBF) notation and some elementary (NPN) transformations of the binary data.

Temporal associations in fig-wasp-ant interactions: diel and phenological patterns

In a complex multitrophic plant-animal interaction system in which there are direct and indirect interactions between species, comprehending the dynamics of these multiple partners is very important for an understanding of how the system is structured. We investigated the plant Ficus racemosa L. (Moraceae) and its community of obligatory mutualistic and parasitic fig wasps (Hymenoptera: Chalcidoidea) that develop within the fig inflorescence or syconium, as well as their interaction with opportunistic ants. We focused on temporal resource partitioning among members of the fig wasp community over the development cycle of the fig syconia during which wasp oviposition and development occur and we studied the activity rhythm of the ants associated with this community. We found that the seven members of the wasp community partitioned their oviposition across fig syconium development phenology and showed interspecific variation in activity across the day-night cycle. The wasps presented a distinct sequence in their arrival at fig syconia for oviposition, with the parasitoid wasps following the galling wasps. Although fig wasps are known to be largely diurnal, we documented night oviposition in several fig wasp species for the first time. Ant activity on the fig syconia was correlated with wasp activity and was dependent on whether the ants were predatory or trophobiont-tending species; only numbers of predatory ants increased during peak arrivals of the wasps.

Patterns in permuted binary matrices

Reorganizing a dataset so that its hidden structure can be observed is useful in any data analysis task. For example, detecting a regularity in a dataset helps us to interpret the data, compress the data, and explain the processes behind the data. We study datasets that come in the form of binary matrices (tables with 0s and 1s). Our goal is to develop automatic methods that bring out certain patterns by permuting the rows and columns. We concentrate on the following patterns in binary matrices: consecutive-ones (C1P), simultaneous consecutive-ones (SC1P), nestedness, k-nestedness, and bandedness. These patterns reflect specific types of interplay and variation between the rows and columns, such as continuity and hierarchies. Furthermore, their combinatorial properties are interlinked, which helps us to develop the theory of binary matrices and efficient algorithms. Indeed, we can detect all these patterns in a binary matrix efficiently, that is, in polynomial time in the size of the matrix. Since real-world datasets often contain noise and errors, we rarely witness perfect patterns. Therefore we also need to assess how far an input matrix is from a pattern: we count the number of flips (from 0s to 1s or vice versa) needed to bring out the perfect pattern in the matrix. Unfortunately, for most patterns it is an NP-complete problem to find the minimum distance to a matrix that has the perfect pattern, which means that the existence of a polynomial-time algorithm is unlikely. To find patterns in datasets with noise, we need methods that are noise-tolerant and work in practical time with large datasets. The theory of binary matrices gives rise to robust heuristics that have good performance with synthetic data and discover easily interpretable structures in real-world datasets: dialectical variation in the spoken Finnish language, division of European locations by the hierarchies found in mammal occurrences, and co-occuring groups in network data. In addition to determining the distance from a dataset to a pattern, we need to determine whether the pattern is significant or a mere occurrence of a random chance. To this end, we use significance testing: we deem a dataset significant if it appears exceptional when compared to datasets generated from a certain null hypothesis. After detecting a significant pattern in a dataset, it is up to domain experts to interpret the results in the terms of the application.

Comparative Analyses of Age- and Sex-Specific Patterns of Vocal Behaviour in Four Species of Old World Monkeys

Sound recordings and behavioural data were collected from four primate species of two genera (Macaca, Presbytis). Comparative analyses of structural and behavioural aspects of vocal communication revealed a high degree of intrageneric similarity but striking intergeneric differences. In the two macaque species (Macaca silenus, Macaca radiata), males and females shared the major part of the repertoire. In contrast, in the two langurs (Presbytis johnii, Presbytis entellus), many calls were exclusive to adult males. Striking differences between both species groups occurred with respect to age-specific patterns of vocal behaviour. The diversity of vocal behaviour was assessed from the number of different calls used and the proportion of each call in relation to total vocal output for a given age/sex class. In Macaca, diversity decreases with the age of the vocalizer, whereas in Presbytis the age of the vocalizer and the diversity of vocal behaviour are positively correlated. A comparison of the data of the two genera does not suggest any causal relationship between group composition (e.g. multi-male vs. one-male group) and communication system. Within each genus, interspecific differences in vocal behaviour can be explained by differences in social behaviour (e.g. group cohesion, intergroup relation, mating behaviour) and functional disparities. Possible factors responsible for the pronounced intergeneric differences in vocal behaviour between Macaca and Presbytis are discussed.

Lunch eating patterns during working hours and their social and work-related determinants : Study of Finnish employees

Work has a central role in the lives of big share of adult Finns and meals they eat during the workday comprise an important factor in their nutrition, health, and well-being. On workdays, lunch is mainly eaten at worksite canteens or, especially among women, as a packed meal in the workplace s break room. No national-level data is available on the nutritional quality of the meals served by canteens, although the Finnish Institute of Occupational Health laid out the first nutrition recommendations for worksite canteens in 1971. The aim of this study was to examine the contribution of various socio-demographic, socioeconomic, and work-related factors to the lunch eating patterns of Finnish employees during the working day and how lunch eating patterns influence dietary intake. Four different population-based cross-sectional datasets were used in this thesis. Three of the datasets were collected by the National Institute for Health and Welfare (Health Behaviour and Health among the Finnish Adult Population survey from 1979 to 2001, n=24746, and 2005 to 2007, n=5585, the National Findiet 2002 Study, n=261), and one of them by the Finnish Institute of Occupational Health (Work and Health in Finland survey from 1997, 2000, and 2003, n=6369). The Health Behaviour and Health among the Finnish Adult Population survey and the Work and Health in Finland survey are nationally representative studies that are conducted repeatedly. Survey information was collected by self-administered questionnaires, dietary recalls, and telephone interviews. The frequency of worksite canteen use has been quite stable for over two decades in Finland. A small decreasing trend can be seen in all socioeconomic groups. During the whole period studied, those with more years of education ate at worksite canteens more often than the others. The size of the workplace was the most important work-related determinant associated with the use of a worksite canteen. At small workplaces, other work-related determinants, like occupation, physical strain at work, and job control, were also associated with canteen use, whereas at bigger workplaces the associations were almost nonexistent. The major social determinants of worksite canteen availability were the education and occupational status of employees and the only work-related determinant was the size of the workplace. A worksite canteen was more commonly available to employees at larger workplaces and to those with the higher education and the higher occupational status. Even when the canteen was equally available to all employees, its use was nevertheless determined by occupational class and the place of residence, especially among female employees. Those with higher occupational status and those living in the Helsinki capital area ate in canteens more frequently than the others. Employees who ate at a worksite canteen consumed more vegetables and vegetable and fish dishes at lunch than did those who ate packed lunches. Also, the daily consumption of vegetables and the proportion of the daily users of vegetables were higher among those male employees who ate at a canteen. In conclusion, life possibilities, i.e. the availability of a canteen, education, occupational status, and work-related factors, played an important role in the choice of where to eat lunch among Finnish employees. The most basic prerequisite for eating in a canteen was availability, but there were also a number of underlying social determinants. Occupational status and the place of residence were the major structural factors behind individuals choices in their lunch eating patterns. To ensure the nutrition, health, and well-being of employees, employers should provide them with the option to have good quality meals during working hours. The availability of worksite canteens should be especially supported in lower socioeconomic groups. In addition, employees should be encouraged to have lunch at a worksite canteen when one is available by removing structural barriers to its use.