Conditional Moments in Asset Pricing

A better understanding of stock price changes is important in guiding many economic activities. Since prices often do not change without good reasons, searching for related explanatory variables has involved many enthusiasts. This book seeks answers from prices per se by relating price changes to their conditional moments. This is based on the belief that prices are the products of a complex psychological and economic process and their conditional moments derive ultimately from these psychological and economic shocks. Utilizing information about conditional moments hence makes it an attractive alternative to using other selective financial variables in explaining price changes. The first paper examines the relation between the conditional mean and the conditional variance using information about moments in three types of conditional distributions; it finds that the significance of the estimated mean and variance ratio can be affected by the assumed distributions and the time variations in skewness. The second paper decomposes the conditional industry volatility into a concurrent market component and an industry specific component; it finds that market volatility is on average responsible for a rather small share of total industry volatility — 6 to 9 percent in UK and 2 to 3 percent in Germany. The third paper looks at the heteroskedasticity in stock returns through an ARCH process supplemented with a set of conditioning information variables; it finds that the heteroskedasticity in stock returns allows for several forms of heteroskedasticity that include deterministic changes in variances due to seasonal factors, random adjustments in variances due to market and macro factors, and ARCH processes with past information. The fourth paper examines the role of higher moments — especially skewness and kurtosis — in determining the expected returns; it finds that total skewness and total kurtosis are more relevant non-beta risk measures and that they are costly to be diversified due either to the possible eliminations of their desirable parts or to the unsustainability of diversification strategies based on them.

Dynamics and local structure of colossal magnetoresistance manganites

We report Extended X-ray Absorption Fine Structure and anelastic spectroscopy measurements on on hole doped manganese oxides La1-xCaxMnO3 which present the colossal magnetoresistance effect. EXAFS measurements were realized both in the absence and presence of an applied magnetic field of 1.1 Tesla, in a wide temperature range (between 330 and 77 K) and at various dopings (x = 0.25 and x = 0.33). The magnetic field orders the magnetic moments so favouring the electron mobility and the reduction of Mn-O octahedra distortions. We observe the presence of four short and two long Mn-O distances (1.93 and 2.05 Angstrom respectively) above and also below the metal-insulator phase transition. The overall distortion decreases but does not completely disappear in the metallic phase suggesting the possible coexistence of metallic and insulating regions at low temperatures. The magnetic field reduces the lattice distortions showing evidence of a microscopic counterpart of the macroscopic colossal magnetoresistance. We also present preliminary anelastic relaxation spectra in a wide temperature range from 900 K to 1 K on a sample with x = 0.40, in order to study the structural phase transitions and the lattice dynamics. A double peak has been observed at the metal-insulator transition in the imaginary part of Young's modulus. This double peak indicates that the metal-insulator transition could be a more complex phenomenon than a simple second order phase transition. In particular the peak at lower temperatures can be connected with the possible presence of inhomogeneous phase structures. Another intense dissipation peak has been observed corresponding to the structural orthorhombic-trigonal transition around 750 K.

Voltage and Temperature Aware Statistical Leakage Analysis Framework Using Artificial Neural Networks

Artificial neural networks (ANNs) have shown great promise in modeling circuit parameters for computer aided design applications. Leakage currents, which depend on process parameters, supply voltage and temperature can be modeled accurately with ANNs. However, the complex nature of the ANN model, with the standard sigmoidal activation functions, does not allow analytical expressions for its mean and variance. We propose the use of a new activation function that allows us to derive an analytical expression for the mean and a semi-analytical expression for the variance of the ANN-based leakage model. To the best of our knowledge this is the first result in this direction. Our neural network model also includes the voltage and temperature as input parameters, thereby enabling voltage and temperature aware statistical leakage analysis (SLA). All existing SLA frameworks are closely tied to the exponential polynomial leakage model and hence fail to work with sophisticated ANN models. In this paper, we also set up an SLA framework that can efficiently work with these ANN models. Results show that the cumulative distribution function of leakage current of ISCAS'85 circuits can be predicted accurately with the error in mean and standard deviation, compared to Monte Carlo-based simulations, being less than 1% and 2% respectively across a range of voltage and temperature values.

An efficient reduction algorithm for computation of interconnect delay variability for statistical timing analysis in clock tree planning

In this paper, we propose a novel and efficient algorithm for modelling sub-65 nm clock interconnect-networks in the presence of process variation. We develop a method for delay analysis of interconnects considering the impact of Gaussian metal process variations. The resistance and capacitance of a distributed RC line are expressed as correlated Gaussian random variables which are then used to compute the standard deviation of delay Probability Distribution Function (PDF) at all nodes in the interconnect network. Main objective is to find delay PDF at a cheaper cost. Convergence of this approach is in probability distribution but not in mean of delay. We validate our approach against SPICE based Monte Carlo simulations while the current method entails significantly lower computational cost.

Paradigms in Statistical Inference for Finite Populations; Up to the 1950s

Modern sample surveys started to spread after statistician at the U.S. Bureau of the Census in the 1940s had developed a sampling design for the Current Population Survey (CPS). A significant factor was also that digital computers became available for statisticians. In the beginning of 1950s, the theory was documented in textbooks on survey sampling. This thesis is about the development of the statistical inference for sample surveys. For the first time the idea of statistical inference was enunciated by a French scientist, P. S. Laplace. In 1781, he published a plan for a partial investigation in which he determined the sample size needed to reach the desired accuracy in estimation. The plan was based on Laplace s Principle of Inverse Probability and on his derivation of the Central Limit Theorem. They were published in a memoir in 1774 which is one of the origins of statistical inference. Laplace s inference model was based on Bernoulli trials and binominal probabilities. He assumed that populations were changing constantly. It was depicted by assuming a priori distributions for parameters. Laplace s inference model dominated statistical thinking for a century. Sample selection in Laplace s investigations was purposive. In 1894 in the International Statistical Institute meeting, Norwegian Anders Kiaer presented the idea of the Representative Method to draw samples. Its idea was that the sample would be a miniature of the population. It is still prevailing. The virtues of random sampling were known but practical problems of sample selection and data collection hindered its use. Arhtur Bowley realized the potentials of Kiaer s method and in the beginning of the 20th century carried out several surveys in the UK. He also developed the theory of statistical inference for finite populations. It was based on Laplace s inference model. R. A. Fisher contributions in the 1920 s constitute a watershed in the statistical science He revolutionized the theory of statistics. In addition, he introduced a new statistical inference model which is still the prevailing paradigm. The essential idea is to draw repeatedly samples from the same population and the assumption that population parameters are constants. Fisher s theory did not include a priori probabilities. Jerzy Neyman adopted Fisher s inference model and applied it to finite populations with the difference that Neyman s inference model does not include any assumptions of the distributions of the study variables. Applying Fisher s fiducial argument he developed the theory for confidence intervals. Neyman s last contribution to survey sampling presented a theory for double sampling. This gave the central idea for statisticians at the U.S. Census Bureau to develop the complex survey design for the CPS. Important criterion was to have a method in which the costs of data collection were acceptable, and which provided approximately equal interviewer workloads, besides sufficient accuracy in estimation.

Structure and representation of correlation functions and the density matrix for a statistical wave field in optics

A systematic structure analysis of the correlation functions of statistical quantum optics is carried out. From a suitably defined auxiliary two‐point function we are able to identify the excited modes in the wave field. The relative simplicity of the higher order correlation functions emerge as a byproduct and the conditions under which these are made pure are derived. These results depend in a crucial manner on the notion of coherence indices and of unimodular coherence indices. A new class of approximate expressions for the density operator of a statistical wave field is worked out based on discrete characteristic sets. These are even more economical than the diagonal coherent state representations. An appreciation of the subtleties of quantum theory obtains. Certain implications for the physics of light beams are cited.

A statistical analysis of audience sound absorption (A)

The absorption produced by the audience in concert halls is considered a random variable. Beranek's proposal [L. L. Beranek, Music, Acoustics and Architecture (Wiley, New York, 1962), p. 543] that audience absorption is proportional to the area they occupy and not to their number is subjected to a statistical hypothesis test. A two variable linear regression model of the absorption with audience area and residual area as regressor variables is postulated for concert halls without added absorptive materials. Since Beranek's contention amounts to the statement that audience absorption is independent of the seating density, the test of the hypothesis lies in categorizing halls by seating density and examining for significant differences among slopes of regression planes of the different categories. Such a test shows that Beranek's hypothesis can be accepted. It is also shown that the audience area is a better predictor of the absorption than the audience number. The absorption coefficients and their 95% confidence limits are given for the audience and residual areas. A critique of the regression model is presented.

On the exothermic peak during annealing of electrodeposited nanocrystalline nickel

Nanocrystalline metals frequently exhibit poor thermal stability, and the exothermic peak in differential scanning calorimetry is usually attributed to grain growth. We show from experiments on electrodeposited nano-Ni with varying levels of S, and tests with microcrystalline Ni and S powders, that the exothermic peak is associated with the formation of a nickel sulfide phase and concurrent grain growth. Analysis suggests that segregation plays a more important role in limiting grain growth than second-phase particles in nano-Ni. (C) 2010 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.

Can one electrochemically measure the statistical morphology of a rough electrode

We have developed a theory for an electrochemical way of measuring the statistical properties of a nonfractally rough electrode. We obtained the expression for the current transient on a rough electrode which shows three times regions: short and long time limits and the transition region between them. The expressions for these time ranges are exploited to extract morphological information about the surface roughness. In the short and long time regimes, we extract information regarding various morphological features like the roughness factor, average roughness, curvature, correlation length, dimensionality of roughness, and polynomial approximation for the correlation function. The formulas for the surface structure factors (the measure of surface roughness) of rough surfaces in terms of measured reversible and diffusion-limited current transients are also obtained. Finally, we explore the feasibility of making such measurements.

Moments estimation in Radon space

In this paper, we show a method of obtaining general and orthogonal moments, specifically Legendre and Zernicke moments, from the Radon Transform data of a two-dimensional function. The regular or geometric moments are first evaluated directly from the projection data and the orthogonal moments are derived from these regular moments.

Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

The problem of estimating the time-dependent statistical characteristics of a random dynamical system is studied under two different settings. In the first, the system dynamics is governed by a differential equation parameterized by a random parameter, while in the second, this is governed by a differential equation with an underlying parameter sequence characterized by a continuous time Markov chain. We propose, for the first time in the literature, stochastic approximation algorithms for estimating various time-dependent process characteristics of the system. In particular, we provide efficient estimators for quantities such as the mean, variance and distribution of the process at any given time as well as the joint distribution and the autocorrelation coefficient at different times. A novel aspect of our approach is that we assume that information on the parameter model (i.e., its distribution in the first case and transition probabilities of the Markov chain in the second) is not available in either case. This is unlike most other work in the literature that assumes availability of such information. Also, most of the prior work in the literature is geared towards analyzing the steady-state system behavior of the random dynamical system while our focus is on analyzing the time-dependent statistical characteristics which are in general difficult to obtain. We prove the almost sure convergence of our stochastic approximation scheme in each case to the true value of the quantity being estimated. We provide a general class of strongly consistent estimators for the aforementioned statistical quantities with regular sample average estimators being a specific instance of these. We also present an application of the proposed scheme on a widely used model in population biology. Numerical experiments in this framework show that the time-dependent process characteristics as obtained using our algorithm in each case exhibit excellent agreement with exact results. (C) 2010 Elsevier Inc. All rights reserved.