Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

Application of CFD to model fast pyrolysis of biomass

The article deals with the CFD modelling of fast pyrolysis of biomass in an Entrained Flow Reactor (EFR). The Lagrangian approach is adopted for the particle tracking, while the flow of the inert gas is treated with the standard Eulerian method for gases. The model includes the thermal degradation of biomass to char with simultaneous evolution of gases and tars from a discrete biomass particle. The chemical reactions are represented using a two-stage, semi-global model. The radial distribution of the pyrolysis products is predicted as well as their effect on the particle properties. The convective heat transfer to the surface of the particle is computed using the Ranz-Marshall correlation.

Managing uncertainty in complex stochastic models: design and emulation of a Rabies model

In this paper we present a novel method for emulating a stochastic, or random output, computer model and show its application to a complex rabies model. The method is evaluated both in terms of accuracy and computational efficiency on synthetic data and the rabies model. We address the issue of experimental design and provide empirical evidence on the effectiveness of utilizing replicate model evaluations compared to a space-filling design. We employ the Mahalanobis error measure to validate the heteroscedastic Gaussian process based emulator predictions for both the mean and (co)variance. The emulator allows efficient screening to identify important model inputs and better understanding of the complex behaviour of the rabies model.

Verification of the standard model of the photorefractive nonlinearity in BSO crystals

On the basis of the standard model for the photorefractive nonlinearity we investigate whether a systematic description of the dependence of two-beam energy exchange on beam polarization and grating vector K is possible. Our result is that there is good agreement between theory and experiment with respect to the polarization properties and semi-quantitative agreement with respect to the K-dependence of the energy exchange.

Development of a conceptual model of the soil-moisture-plant sub-system of the hydrological cycle

The soil-plant-moisture subsystem is an important component of the hydrological cycle. Over the last 20 or so years a number of computer models of varying complexity have represented this subsystem with differing degrees of success. The aim of this present work has been to improve and extend an existing model. The new model is less site specific thus allowing for the simulation of a wide range of soil types and profiles. Several processes, not included in the original model, are simulated by the inclusion of new algorithms, including: macropore flow; hysteresis and plant growth. Changes have also been made to the infiltration, water uptake and water flow algorithms. Using field data from various sources, regression equations have been derived which relate parameters in the suction-conductivity-moisture content relationships to easily measured soil properties such as particle-size distribution data. Independent tests have been performed on laboratory data produced by Hedges (1989). The parameters found by regression for the suction relationships were then used in equations describing the infiltration and macropore processes. An extensive literature review produced a new model for calculating plant growth from actual transpiration, which was itself partly determined by the root densities and leaf area indices derived by the plant growth model. The new infiltration model uses intensity/duration curves to disaggregate daily rainfall inputs into hourly amounts. The final model has been calibrated and tested against field data, and its performance compared to that of the original model. Simulations have also been carried out to investigate the effects of various parameters on infiltration, macropore flow, actual transpiration and plant growth. Qualitatively comparisons have been made between these results and data given in the literature.

Methodology for development of a physiological model incorporating CYP3A and P-glycoprotein for the prediction of intestinal drug absorption

The small intestine poses a major barrier to the efficient absorption of orally administered therapeutics. Intestinal epithelial cells are an extremely important site for extrahepatic clearance, primarily due to prominent P-glycoprotein-mediated active efflux and the presence of cytochrome P450s. We describe a physiologically based pharmacokinetic model which incorporates geometric variations, pH alterations and descriptions of the abundance and distribution of cytochrome 3A and P-glycoprotein along the length of the small intestine. Simulations using preclinical in vitro data for model drugs were performed to establish the influence of P-glycoprotein efflux, cytochrome 3A metabolism and passive permeability on drug available for absorption within the enterocytes. The fraction of drug escaping the enterocyte (F(G)) for 10 cytochrome 3A substrates with a range of intrinsic metabolic clearances were simulated. Following incorporation of P-glycoprotein in vitro efflux ratios all predicted F(G) values were within 20% of observed in vivo F(G). The presence of P-glycoprotein increased the level of cytochrome 3A drug metabolism by up to 12-fold in the distal intestine. F(G) was highly sensitive to changes in intrinsic metabolic clearance but less sensitive to changes in intestinal drug permeability. The model will be valuable for quantifying aspects of intestinal drug absorption and distribution.

Generalized mean field approximation for parallel dynamics of the Ising model

The dynamics of the non-equilibrium Ising model with parallel updates is investigated using a generalized mean field approximation that incorporates multiple two-site correlations at any two time steps, which can be obtained recursively. The proposed method shows significant improvement in predicting local system properties compared to other mean field approximation techniques, particularly in systems with symmetric interactions. Results are also evaluated against those obtained from Monte Carlo simulations. The method is also employed to obtain parameter values for the kinetic inverse Ising modeling problem, where couplings and local field values of a fully connected spin system are inferred from data. © 2014 IOP Publishing Ltd and SISSA Medialab srl.

The use of a computer model to assess telephony performance

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Investigation of a binding model for anti-cancer cyclohexadienones by computational chemistry and crystallography

DUE TO COPYRIGHT RESTRICTIONS ONLY AVAILABLE FOR CONSULTATION AT ASTON UNIVERSITY LIBRARY AND INFORMATION SERVICES WITH PRIOR ARRANGEMENT

Verification of the standard model of the photorefractive nonlinearity in BSO crystals

On the basis of the standard model for the photorefractive nonlinearity we investigate whether a systematic description of the dependence of two-beam energy exchange on beam polarization and grating vector K is possible. Our result is that there is good agreement between theory and experiment with respect to the polarization properties and semi-quantitative agreement with respect to the K-dependence of the energy exchange.

Impact of high-performance work systems on individual- and branch-level performance:test of a multilevel model of intermediate linkages

We proposed and tested a multilevel model, underpinned by empowerment theory, that examines the processes linking high-performance work systems (HPWS) and performance outcomes at the individual and organizational levels of analyses. Data were obtained from 37 branches of 2 banking institutions in Ghana. Results of hierarchical regression analysis revealed that branch-level HPWS relates to empowerment climate. Additionally, results of hierarchical linear modeling that examined the hypothesized cross-level relationships revealed 3 salient findings. First, experienced HPWS and empowerment climate partially mediate the influence of branch-level HPWS on psychological empowerment. Second, psychological empowerment partially mediates the influence of empowerment climate and experienced HPWS on service performance. Third, service orientation moderates the psychological empowerment-service performance relationship such that the relationship is stronger for those high rather than low in service orientation. Last, ordinary least squares regression results revealed that branch-level HPWS influences branch-level market performance through cross-level and individual-level influences on service performance that emerges at the branch level as aggregated service performance. © 2011 American Psychological Association.

Material and efficient cause interpretations of the formative model:resolving misunderstandings and clarifying conceptual language

This paper presents a causal explanation of formative variables that unpacks and clarifies the generally accepted idea that formative indicators are ‘causes’ of the focal formative variable. In doing this, we explore the recent paper by Diamantopoulos and Temme (AMS Review, 3(3), 160-171, 2013) and show that the latter misunderstand the stance of Lee, Cadogan, and Chamberlain (AMS Review, 3(1), 3-17, 2013; see also Cadogan, Lee, and Chamberlain, AMS Review, 3(1), 38-49, 2013). By drawing on the multiple ways that one can interpret the idea of causality within the MIMIC model, we then demonstrate how the continued defense of the MIMIC model as a tool to validate formative indicators and to identify formative variables in structural models is misguided. We also present unambiguous recommendations on how formative variables can be modelled in lieu of the formative MIMIC model.

On a New Approach to Williamson's Generalization of Pólya's Enumeration Theorem

Pólya’s fundamental enumeration theorem and some results from Williamson’s generalized setup of it are proved in terms of Schur- Macdonald’s theory (S-MT) of “invariant matrices”. Given a permutation group W ≤ Sd and a one-dimensional character χ of W , the polynomial functor Fχ corresponding via S-MT to the induced monomial representation Uχ = ind|Sdv/W (χ) of Sd , is studied. It turns out that the characteristic ch(Fχ ) is the weighted inventory of some set J(χ) of W -orbits in the integer-valued hypercube [0, ∞)d . The elements of J(χ) can be distinguished among all W -orbits by a maximum property. The identity ch(Fχ ) = ch(Uχ ) of both characteristics is a consequence of S-MT, and is equivalent to a result of Williamson. Pólya’s theorem can be obtained from the above identity by the specialization χ = 1W , where 1W is the unit character of W.

Further Generalization of Kobayashi's Gamma Function

In this paper, we introduce a further generalization of the gamma function involving Gauss hypergeometric function 2F1 (a, b; c; z)