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.

Studies on design, fabrication and reliability assessment of embedded passives on a high-density interconnect (HDI) organic substrate using a sequential build-up process

One of the foremost design considerations in microelectronics miniaturization is the use of embedded passives which provide practical solution. In a typical circuit, over 80 percent of the electronic components are passives such as resistors, inductors, and capacitors that could take up to almost 50 percent of the entire printed circuit board area. By integrating passive components within the substrate instead of being on the surface, embedded passives reduce the system real estate, eliminate the need for discrete and assembly, enhance electrical performance and reliability, and potentially reduce the overall cost. Moreover, it is lead free. Even with these advantages, embedded passive technology is at a relatively immature stage and more characterization and optimization are needed for practical applications leading to its commercialization.This paper presents an entire process from design and fabrication to electrical characterization and reliability test of embedded passives on multilayered microvia organic substrate. Two test vehicles focusing on resistors and capacitors have been designed and fabricated. Embedded capacitors in this study are made with polymer/ceramic nanocomposite (BaTiO3) material to take advantage of low processing temperature of polymers and relatively high dielectric constant of ceramics and the values of these capacitors range from 50 pF to 1.5 nF with capacitance per area of approximately 1.5 nF/cm(2). Limited high frequency measurement of these capacitors was performed. Furthermore, reliability assessments of thermal shock and temperature humidity tests based on JEDEC standards were carried out. Resistors used in this work have been of three types: 1) carbon ink based polymer thick film (PTF), 2) resistor foils with known sheet resistivities which are laminated to printed wiring board (PWB) during a sequential build-up (SBU) process and 3) thin-film resistor plating by electroless method. Realization of embedded resistors on conventional board-level high-loss epoxy (similar to 0.015 at 1 GHz) and proposed low-loss BCB dielectric (similar to 0.0008 at > 40 GHz) has been explored in this study. Ni-P and Ni-W-P alloys were plated using conventional electroless plating, and NiCr and NiCrAlSi foils were used for the foil transfer process. For the first time, Benzocyclobutene (BCB) has been proposed as a board level dielectric for advanced System-on-Package (SOP) module primarily due to its attractive low-loss (for RF application) and thin film (for high density wiring) properties.Although embedded passives are more reliable by eliminating solder joint interconnects, they also introduce other concerns such as cracks, delamination and component instability. More layers may be needed to accommodate the embedded passives, and various materials within the substrate may cause significant thermo -mechanical stress due to coefficient of thermal expansion (CTE) mismatch. In this work, numerical models of embedded capacitors have been developed to qualitatively examine the effects of process conditions and electrical performance due to thermo-mechanical deformations.Also, a prototype working product with the board level design including features of embedded resistors and capacitors are underway. Preliminary results of these are presented.

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.

Hormones andCuscuta development: interaction of cytokinin and indole-3-acetic acid in the growth and curvature of subapical stem segments

Cuscuta stem (vines) exhibits two modes of growth—longitudinal elongation forming free-hanging vines, or coiling growth to twine around the host. The elongation zone of free-hanging vine extended up to 160 mm from the stem apex and in vivo growth rate (during 8 h of growth) was maximal in the 20-to-40-mm region. While gibberellic acid (GA3) or fusicoccin (FC) could maintain (GA3) or enhance (FC) the growth rate of apical (10 or 25 mm) segments, indole-3-acetic acid (IAA) (10 mgrM) induced growth only in subapical (5–160 mm) segments. In vitro growth rate induced by IAA (10 mgrM) was similar to the in vivo growth rate up to 40 mm. Thereafter, up to 100 mm, IAA induced growth rate exceeded in vivo growth. p ]Subapical segments (sim13 mm) from 5- to 40-mm regions responded to a cytokinin (BA, Z, or iP) or to low IAA (0.1 mgrM) with curved growth, whereas the segments grew straight in the presence of high IAA (10 mgrM). Curvature (measured as the angle subtended at the center of the circle of which the segment formed an arc) induced by BA and low (0.1 mgrM) IAA was greater than either added separately. Besides, segments induced to curve in BA + low-IAA solution could be made to straighten out by transferring to a solution containing high IAA (10 mgrM) with or without BA. Thus in vivo patterns of straight and coiling growth could be mimicked reversibly in vitro by adjusting the relative concentrations of cytokinin and auxin; low auxin and cytokinin induced coiling growth, whereas high auxin and cytokinin induced straight growth. p ]Beyond 40 mm, BA had no growth-promoting or curvative-inducing effect.Cuscuta vine segments thus showed sequential sensitivity to applied hormones, the apical region (0–25 mm) to GA3, the subapical (5–40 mm) region to BA and IAA and the region beyond (40–160 mm) to IAA alone.

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.

Molecular conformation of alamethicin in dimethylsulfoxide solution A two-dimensional n.m.r. study

The solution conformation of alamethicin, a 20-residue antibiotic peptide, has been investigated using two-dimensional n.m.r. spectroscopy. Complete proton resonance assignments of this peptide have been carried out using COSY, SUPERCOSY, RELAY COSY and NOESY two-dimensional spectroscopies. Observation of a large number of nuclear Overhauser effects between sequential backbone amide protons, between backbone amide protons and CβH protons of preceding residues and extensive intramolecular hydrogen bonding patterns of NH protons has established that this polypeptide is in a largely helical conformation. This result is in conformity with earlier reported solid state X-ray results and a recent n.m.r. study in methanol solution (Esposito et al. (1987) Biochemistry26, 1043-1050) but is at variance with an earlier study which favored an extended conformation for the C-terminal half of alamethicin (Bannerjee et al.

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.

Sequential design of decentralized control systems

Our main result is a new sequential method for the design of decentralized control systems. Controller synthesis is conducted on a loop-by-loop basis, and at each step the designer obtains an explicit characterization of the class C of all compensators for the loop being closed that results in closed-loop system poles being in a specified closed region D of the s-plane, instead of merely stabilizing the closed-loop system. Since one of the primary goals of control system design is to satisfy basic performance requirements that are often directly related to closed-loop pole location (bandwidth, percentage overshoot, rise time, settling time), this approach immediately allows the designer to focus on other concerns such as robustness and sensitivity. By considering only compensators from class C and seeking the optimum member of that set with respect to sensitivity or robustness, the designer has a clearly-defined limited optimization problem to solve without concern for loss of performance. A solution to the decentralized tracking problem is also provided. This design approach has the attractive features of expandability, the use of only 'local models' for controller synthesis, and fault tolerance with respect to certain types of failure.

Easily Diagnosable Sequential Machines

This correspondence throws some light into the area of easily diagnosable machines. Given the behavior of a sequential machine in terms of a state table it explores the possibilities of designing a structure, that facilitates easy diagnosis of faults. The objective is achieved through structural decomposition which has already claimed to produce simpler physical realization.

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.