Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Resonance-enhanced group delay times in an asymmetric single quantum barrier

It is shown that transmission and reflection group delay times in an asymmetric single quantum barrier are greatly enhanced by the transmission resonance when the energy of incident particles is larger than the height of the barrier. The resonant transmission group delay is of the order of the quasibound state lifetime in the barrier region. The reflection group delay can be either positive or negative, depending on the relative height of the potential energies on the two sides of the barrier. Its magnitude is much larger than the quasibound state lifetime. These predictions have been observed in microwave experiments. (c) 2005 Elsevier B.V. All rights reserved.

MODELING OF ELECTRON-TUNNELING TIMES IN ASYMMETRIC DOUBLE QUANTUM-WELLS

A scattering process modeled by an imaginary potential V(I) in the wide well of an asymmetric double quantum well structure (DQWS) is used to model the electron tunneling from the narrow well. Taking V(I) approximately -5 meV, the ground resonant level lifetimes of the narrow well in the DQWS are in quantitative agreement with the experimental resonance and non-resonance tunneling times. The corresponding scattering time 66 fs is much faster than the intersubband scattering time of LO-photon emission.

COMPARISONS OF PHASE TIMES WITH TUNNELING TIMES BASED ON ABSORPTION PROBABILITIES

The times spent by an electron in a scattering event or tunnelling through a potential barrier are investigated using a method based on the absorption probabilities. The reflection and transmission times derived from this method are equal to the local Larmor times if the transmission and reflection probability amplitudes are complex analytic functions of the complex potential. The numerical results show that they coincide with the phase times except as the incident electron energy approaches zero or when the transmission probability is too small. If the imaginary potential covers the whole space the tunnelling times are again equal to the phase times. The results show that the tunnelling times based on absorption probabilities are the best of the various candidates.