An empirical model comparison for valuing crack spread options

In this paper, we investigate the pricing of crack spread options. Particular emphasis is placed on the question of whether univariate modeling of the crack spread or explicit modeling of the two underlyings is preferable. Therefore, we contrast a bivariate GARCH volatility model for cointegrated underlyings with the alternative of modeling the crack spread directly. Conducting an empirical analysis of crude oil/heating oil and crude oil/gasoline crack spread options traded on the New York Mercantile Exchange, the more simplistic univariate approach is found to be superior with respect to option pricing performance.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Transmission of Chlamydia trachomatis through sexual partnerships: a comparison between three individual-based models and empirical data

Chlamydia trachomatis is the most common bacterial sexually transmitted infection (STI) in many developed countries. The highest prevalence rates are found among young adults who have frequent partner change rates. Three published individual-based models have incorporated a detailed description of age-specific sexual behaviour in order to quantify the transmission of C. trachomatis in the population and to assess the impact of screening interventions. Owing to varying assumptions about sexual partnership formation and dissolution and the great uncertainty about critical parameters, such models show conflicting results about the impact of preventive interventions. Here, we perform a detailed evaluation of these models by comparing the partnership formation and dissolution dynamics with data from Natsal 2000, a population-based probability sample survey of sexual attitudes and lifestyles in Britain. The data also allow us to describe the dispersion of C. trachomatis infections as a function of sexual behaviour, using the Gini coefficient. We suggest that the Gini coefficient is a useful measure for calibrating infectious disease models that include risk structure and highlight the need to estimate this measure for other STIs.

What drives adult personality development? A comparison of theoretical perspectives and empirical evidence

Increasing numbers of empirical studies provide compelling evidence that personality traits change across the entire lifespan. What initiates this continuing personality development and how does this development proceed? In this paper, we compare six theoretical perspectives that offer testable predictions about why personality develops the way it does and identify limitations and potentials of these perspectives by reviewing how they hold up against the empirical evidence. While all of these perspectives have received some empirical support, there is only little direct evidence for propositions put forward by the five-factor theory of personality and the theory of genotype→environment effects. In contrast, the neo-socioanalytic theory appears to offer a comprehensive framework that fits the empirical findings and allows the integration of other, more specialized, perspectives that focus on specific aspects of personality development like the role of time, systematic differences between categories of social roles or the active partake of the person himself or herself. We draw conclusions on the likely driving factors for adult personality development and identify avenues for future research.

Overtopping of harbour breakwaters: a comparison of semi-empirical equations, neural networks, and physical model tests

This paper reports extensive tests of empirical equations developed by different authors for harbour breakwater overtopping. First, the existing equations are compiled and evaluated as tools for estimating the overtopping rates on sloping and vertical breakwaters. These equations are then tested using the data obtained in a number of laboratory studies performed in the Centre for Harbours and Coastal Studies of the CEDEX, Spain. It was found that the recommended application ranges of the empirical equations typically deviate from those revealed in the experimental tests. In addition, a neural network model developed within the European CLASH Project is tested. The wind effects on overtopping are also assessed using a reduced scale physical model

Kant and his English critics. A comparison of critical and empirical philosophy.

Mode of access: Internet.

Comparison of rural and urban attitudes to the conservation of Asian elephants in Sri Lanka: empirical evidence

There has been little study of economic and general attitudes towards the conservation of the Asian elephant. This paper reports and analyses results from surveys conducted in Sri Lanka of attitudes of urban dwellers and farmers towards nature conservation in general and the elephant conservation in particular. The analyses are based on urban and a rural sample. Contingent valuation techniques are used as survey instruments. Multivariate logit regression analysis is used to analyse the respondents' attitudes towards conservation of elephants. It is found that, although some variations occurred between the samples, the majority of the respondents (both rural and urban) have positive attitudes towards nature conservation in general. However, marked differences in attitudes toward elephant conservation are evident between these two samples: the majority of urban respondents were in favour of elephant conservation; rural respondents expressed a mixture of positive and negative attitudes. Overall, considerable unrecorded and as yet unutilised economic support for conservation of wild elephants exists in Sri Lanka. (C) 2002 Elsevier Science Ltd. All rights reserved.

Pairwise comparison matrices: an empirical research

Our research focused on testing various characteristics of pairwise comparison (PC) matrices in controlled experiments. About 270 students have been involved in the test exercises and the final pool contained 450 matrices. Our team conducted experiments with matrices of different size obtained from different types of MADM problems. The matrix elements have been generated by different questioning orders, too. The cases have been divided into 18 subgroups according to the key factors to be analyzed. The testing environment made it possible to analyze the dynamics of inconsistency as the number of elements increased in a given case. Various types of inconsistency indices have been applied. The consequent behavior of the decision maker has also been analyzed in case of incomplete matrices using indicators to measure the deviation from the final ranking of alternatives and from the final score vector.

Chloride ingress into marine exposed concrete: A comparison of empirical- and physically- based models

In establishing the reliability of performance-related design methods for concrete – which are relevant for resistance against chloride-induced corrosion - long-term experience of local materials and practices and detailed knowledge of the ambient and local micro-climate are critical. Furthermore, in the development of analytical models for performance-based design, calibration against test data representative of actual conditions in practice is required. To this end, the current study presents results from full-scale, concrete pier-stems under long-term exposure to a marine environment with work focussing on XS2 (below mid-tide level) in which the concrete is regarded as fully saturated and XS3 (tidal, splash and spray) in which the concrete is in an unsaturated condition. These exposures represent zones where concrete structures are most susceptible to ionic ingress and deterioration. Chloride profiles and chloride transport behaviour are studied using both an empirical model (erfc function) and a physical model (ClinConc). The time dependency of surface chloride concentration (Cs) and apparent diffusivity (Da) were established for the empirical model whereas, in the ClinConc model (originally based on saturated concrete), two new environmental factors were introduced for the XS3 environmental exposure zone. Although the XS3 is considered as one environmental exposure zone according to BS EN 206-1:2013, the work has highlighted that even within this zone, significant changes in chloride ingress are evident. This study aims to update the parameters of both models for predicting the long term transport behaviour of concrete subjected to environmental exposure classes XS2 and XS3.

Empirical derivation and validation of a wandering typology

OBJECTIVES: To develop and validate a wandering typology. ---------- DESIGN: Cross-sectional, correlational descriptive design. ---------- SETTING:: Twenty-two nursing homes and six assisted living facilities. ---------- PARTICIPANTS: One hundred forty-two residents with dementia who spoke English, met Diagnostic and Statistical Manual for Mental Disorders, Fourth Edition, criteria for dementia, scored less than 24 on the Mini-Mental State Examination (MMSE), were ambulatory (with or without assistive device), and maintained a stable regime of psychotropic medications were studied. ---------- MEASUREMENTS: Data on wandering were collected using direct observations, plotted serially according to rate and duration to yield 21 parameters, and reduced through factor analysis to four components: high rate, high duration, low to moderate rate and duration, and time of day. Other measures included the MMSE, Minimum Data Set 2.0 mobility items, Cumulative Illness Rating Scale—Geriatric, and tympanic body temperature readings. ---------- RESULTS: Three groups of wanderers were identified through cluster analysis: classic, moderate, and subclinical. MMSE, mobility, and cardiac and upper and lower gastrointestinal problems differed between groups of wanderers and in comparison with nonwanderers. ---------- CONCLUSION: Results have implications for improving identification of wanderers and treatment of possible contributing factors.

An empirical study of data collection protocols for wireless sensor networks

In the past few years, numerous data collection protocols have been developed for wireless sensor networks (WSNs). However, there has been no comparison of their relative performance in realistic environments. Here we report the results of an empirical study using a Fleck3 sensor network testbed for four different data collection protocols: One phase pull Directed Diffusion (DD), Expected Number of Transmissions (ETX), ETX with explicit acknowledgment (ETX-eAck), and ETX with implicit acknowledgment (ETX-iAck). Our empirical study provides useful insights for future sensor network deployments. When the required application end-to-end reliability is not strict (e.g., 70%) and link quality is good, DD and ETX are the best options because of their simplicity and low routing overhead. Both ETX-eAck and ETX-iAck achieve more than 90% end-to-end reliability when the link quality is reasonable (less than 25% packet loss). When the link quality is good, ETX-iAck introduces significantly less routing overhead (up to 50%) than ETX-eAck. However, if the radio transceiver supports variable packet length, ETX-eAck can outperform ETX-iAck when the link quality is poor. The important message from this paper is that choice of data collection protocol should come after the operating environment is understood. This understanding must include the characteristics of the radio transceiver, and link loss statistics from a long-term (across seasons and weather variation) radio survey of the site.