An Empirical Comparison of Linear and Nonlinear Volatility Models for Nordic Stock Returns

This paper examines how volatility in financial markets can preferable be modeled. The examination investigates how good the models for the volatility, both linear and nonlinear, are in absorbing skewness and kurtosis. The examination is done on the Nordic stock markets, including Finland, Sweden, Norway and Denmark. Different linear and nonlinear models are applied, and the results indicates that a linear model can almost always be used for modeling the series under investigation, even though nonlinear models performs slightly better in some cases. These results indicate that the markets under study are exposed to asymmetric patterns only to a certain degree. Negative shocks generally have a more prominent effect on the markets, but these effects are not really strong. However, in terms of absorbing skewness and kurtosis, nonlinear models outperform linear ones.

An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Mode-dependent dispersion in Raman line shapes: Observation and implications from ultrafast Raman loss spectroscopy

Ultrafast Raman loss spectroscopy (URLS) enables one to obtain the vibrational structural information of molecular systems including fluorescent materials. URLS, a nonlinear process analog to stimulated Raman gain, involves a narrow bandwidth picosecond Raman pump pulse anda femtosecond broadband white light continuum. Under nonresonant condition, the Raman response appears as a negative (loss) signal, whereas, on resonance with the electronic transition the line shape changes from a negative to a positive through a dispersive form. The intensities observed and thus, the Franck-Condon activity (coordinate dependent), are sensitive to the wavelength of the white light corresponding to a particular Raman frequency with respect to the Raman pump pulse wavelength, i.e., there is a mode-dependent response in URLS. (C) 2010 American Institute of Physics.

Polarization relaxation, dielectric dispersion, and solvation dynamics in dense dipolar liquid

A unified treatment of polarization relaxation, dielectric dispersion and solvation dynamics in a dense, dipolar liquid is presented. It is shown that the information of solvent polarization relaxation that is obtained by macroscopic dielectric dispersion experiments is not sufficient to understand dynamics of solvation of a newly created ion or dipole. In solvation, a significant contribution comes from intermediate wave vector processes which depend critically on the short range (nearest‐neighbor) spatial and orientational order that are present in a dense, dipolar liquid. An analytic expression is obtained for the time dependent solvation energy that depends, in addition to the translational and rotational diffusion coefficients of the liquid, on the ratio of solute–solvent molecular sizes and on the microscopic structure of the polar liquid. Mean spherical approximation (MSA) theory is used to obtain numerical results for polarization relaxation, for wave vector and frequency dependent dielectric function and for time dependent solvation energy. We find that in the absence of translational contribution, the solvation of an ion is, in general, nonexponential. In this case, the short time decay is dominated by the longitudinal relaxation time but the long time decay is dominated by much slower large wave vector processes involving nearest‐neighbor molecules. The presence of a significant translational contribution drastically alters the decay behavior. Now, the long‐time behavior is given by the longitudinal relaxation time constant and the short time dynamics is controlled by the large wave vector processes. Thus, although the continuum model itself is conceptually wrong, a continuum model like result is recovered in the presence of a sizeable translational contribution. The continuum model result is also recovered in the limit of large solute to solvent size ratio. In the opposite limit of small solute size, the decay is markedly nonexponential (if the translational contribution is not very large) and a complete breakdown of the continuum model takes place. The significance of these results is discussed.

Fractional quantum Hall edge: Effect of nonlinear dispersion and edge roton

According to Wen's theory, a universal behavior of the fractional quantum Hall edge is expected at sufficiently low energies, where the dispersion of the elementary edge excitation is linear. A microscopic calculation shows that the actual dispersion is indeed linear at low energies, but deviates from linearity beyond certain energy, and also exhibits an "edge roton minimum." We determine the edge exponent from a microscopic approach, and find that the nonlinearity of the dispersion makes a surprisingly small correction to the edge exponent even at energies higher than the roton energy. We explain this insensitivity as arising from the fact that the energy at maximum spectral weight continues to show an almost linear behavior up to fairly high energies. We also study, in an effective-field theory, how interactions modify the exponent for a reconstructed edge with multiple edge modes. Relevance to experiment is discussed.

Dispersion of Zirconia in the Presence of Dolapix PC75

The effect of Dolapix PC75 on the electrokinetic and rheological behavior of nano zirconia particles is presented here. The effect of pH, concentration of dispersant, and solids loading on zeta-potential and rheological behavior was studied. Upon interaction with the dispersant, the iso-electric point of zirconia changed and the surface became more negative with increasing concentration of dispersant, suggesting a strong interaction. Maximum charge was obtained in the presence of about 200ppm of Dolapix. Rheological tests at pH 7 showed that the zirconia suspension is viscous at high solids loading and addition of the dispersant decreased the viscosity substantially especially at high solids loading (50wt%). Sedimentation tests confirmed that Dolapix PC75 is a good dispersant for zirconia particles at pH values of 7 and above.