Volatility smile extrapolation with an artificial neural network

I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices.

Neonatal mortality in infants with low birth weigh

Objective To evaluate the factors associated with neonatal mortality in infant born with low birth weight. Method Cross-sectional study that analyzed data from 771 live births with low birth weight (<2500 g) in the city of Cuiabá, MT, in 2010, of whom 54 died in the neonatal period. We obtained data from the Information System on Live Births and Mortality, by integrated linkage. Results In multiple logistic regression, neonatal mortality was associated with: number of prenatal visits less than 7 (OR=3.80;CI:1,66-8,70); gestational age less than 37 weeks (OR=4.77;CI:1.48-15.38), Apgar score less than 7 at the 1st minute (OR=4.25;CI:1.84-9.81) and the 5th minute (OR=5.72,CI:2.24-14.60) and presence of congenital anomaly (OR=14.39;IC:2.72-76.09). Conclusion Neonatal mortality in infants with low birth weight is associated with avoidable factors through adequate attention to prenatal care, childbirth and infants.


Dissolution-reprecipitation of zircon at low-temperature, high-pressure conditions (Lanzo Massif, Italy)

An eclogite facies meta-plagiogranite from the Lanzo massif (western Alps, Italy) contains crystals of zircon intimately associated with allanite. Zircon displays different microtextures ranging from pristine, euhedral, and magmatic to fractured, porous varieties with mosaic zoning, and pervasive recrystallization into euhedral microcrystals. Fractures and voids in the recrystallized zircon microcrystals are mainly filled by high-pressure Na-rich pyroxene. Electron backscattered diffraction analysis revealed a similar crystallographic orientation for primary magmatic zircon crystals and microcrystals, with less than 2 degrees misorientation among neighboring microdomains. The textural change is coupled with chemical and isotopic modifications: recrystallized zircon domains contain significantly less Th and light- to mid-REE, but are richer in Sr than magmatic zircon crystals. Magmatic zircon preserves the protolith U-Pb age of 163.5 +/- 1.7 Ma, whereas zircon microcrystals have a mean age of 55 +/- 1 Ma. The coexisting allanite also contains inclusions of Na-rich pyroxene and has chemical features (elevated Sr and Ni contents and lack of Eu anomaly) indicating formation at high pressure. Despite being associated texturally with zircon, allanite yields a younger Th-Pb age of 46.5 +/- 3.0 Ma, suggesting that the Lanzo unit remained at relatively high pressure conditions for similar to 8 m.y. Zircon recrystallization proceeded with volume reduction and loss of material to an alkaline metamorphic fluid that acted as the agent for a coupled dissolution-reprecipitation process. Recrystallization occurred with minimum transport, in a low-strain environment, and was not significantly enhanced by metamictization. The source of the fluid for zircon recrystallization is most probably related to prograde devolatilization reactions in the surrounding serpentinite.

Metastable liquid-liquid phase transition in a single-component system with only one crystal phase and no density anomaly

We investigate the phase behavior of a single-component system in three dimensions with spherically-symmetric, pairwise-additive, soft-core interactions with an attractive well at a long distance, a repulsive soft-core shoulder at an intermediate distance, and a hard-core repulsion at a short distance, similar to potentials used to describe liquid systems such as colloids, protein solutions, or liquid metals. We showed [Nature (London) 409, 692 (2001)] that, even with no evidence of the density anomaly, the phase diagram has two first-order fluid-fluid phase transitions, one ending in a gas¿low-density-liquid (LDL) critical point, and the other in a gas¿high-density-liquid (HDL) critical point, with a LDL-HDL phase transition at low temperatures. Here we use integral equation calculations to explore the three-parameter space of the soft-core potential and perform molecular dynamics simulations in the interesting region of parameters. For the equilibrium phase diagram, we analyze the structure of the crystal phase and find that, within the considered range of densities, the structure is independent of the density. Then, we analyze in detail the fluid metastable phases and, by explicit thermodynamic calculation in the supercooled phase, we show the absence of the density anomaly. We suggest that this absence is related to the presence of only one stable crystal structure.

Evidence for the influence of the North Atlantic Oscillation on the total ozone column at northern low latitudes and midlatitudes during winter and summer seasons.

The strong influence of the winter North Atlantic Oscillation (NAO) on the total ozone column (TOC) in the Northern Hemisphere has been reported in a number of previous studies. In this study we show that this influence is not restricted to the winter season but is also significant in summer. Especially interesting effects of the summer NAO (SNAO) on the TOC are observed over the eastern Mediterranean region, where a strongly positive SNAO index is related to the creation of a geopotential height-negative anomaly over Greece with maximum amplitude at 200 hPa. Another anomaly was observed west of the Iberian Peninsula with similar effects on the TOC. Analyzing 26 years of Total Ozone Mapping Spectrometer (TOMS) and Ozone Monitoring Instrument (OMI) data from the equator to midlatitudes (60°) in the Northern Hemisphere, we demonstrate that the SNAO accounts for up to 30% of the TOC variability with a strong latitudinal and longitudinal dependence. Additionally, we obtain significant correlations between the NAO index and the thermal tropopause pressure and also with the geopotential heights at 200 and 500 hPa. Finally, some indirect connections between NAO and the TOC through teleconnections are also discussed.

Market integration, return and volatility dynamics; empirical evidence from African stock markets

Frontier and Emerging economies have implemented policies with the objective of liberalizing their equity markets. Equity market liberalization opens the domestic equity market to foreign investors and as well paves the way for domestic investors to invest in foreign equity securities. Among other things, equity market liberalization results in diversification benefits. Moreover, equity market liberalization leads to low cost of equity capital resulting from the lower rate of return by investors. Additionally, foreign and local investors share any potential risks. Liberalized equity markets also become liquid considering that there are more investors to trade. Equity market liberalization results in financial integration which explains the movement of two markets. In crisis period, increased volatility and co-movement between two markets may result in what is termed contagion effects. In Africa, major moves toward financial liberalization generally started in the late 1980s with South Africa as the pioneer. Over the years, researchers have studied the impact of financial liberalization on Africa’s economic development with diverse results; some being positive, others negative and still others being mixed. The objective of this study is to establish whether African stock-markets are integrated into the United States (US) and World market. Furthermore, the study helps to see if there are international linkages between the Africa, US and the world markets. A Bivariate- VAR- GARCH- BEKK model is employed in the study. In the study, the effect of thin trading is removed through series of econometric data purification. This is because thin trading, also known as non-trading or inconsistency of trading, is a main feature of African markets and may trigger inconsistency and biased results. The study confirmed the widely established results that the South Africa and Egypt stock markets are highly integrated with the US and World market. Interestingly, the study adds to knowledge in this research area by establishing the fact that Kenya is very integrated with the US and World markets and that it receives and exports past innovations as well as shocks to and from the US and World market.

A hypothesis for the geochemical anomaly in the North Creek Watershed /

A regional geochemical reconnaissance by bottom stream sediment sampling, has delineated an area of high metal content in the north central sector of the North Creek Watershed. Development of a geochemical model, relating to the relative chemical concentrations derived from the chemical analyses of bottom sediments, suspended sediments, stream waters and well waters collected from the north central sector, was designed to discover the source of the anomaly. Samples of each type of material were analysed by the A.R.L. Direct Reading Multi-element Emission Spectrograph Q.A. 137 for elements: Na, K, Ca, Sr, Si, As, Pb, Zn, Cd, Ni, Ti, Ag, Mo, Be, Fe, AI, Mn, Cu, Cr, P and Y. Anomalous results led to the discovery of a spring, the waters of which carried high concentrations of Zn, Cd, Pb, As, Ni, Ti, Ag, Sr and Si. In addition, the spring waters had high concentrations of Na, Ca, Mg, 504 , alkalinity, N03' and low concentrations of K, Cl and NH3. Increased specific conductivity (up to 2500 ~mho/cm.) was noted in the spring waters as well as increased calculated total dissolved solids (up to 2047 mg/l) and increased ionic strength (up to 0.06). On the other hand, decreases were noted in water temperature (8°C), pH (pH 7.2) and Eh (+.154 volts). Piezometer nests were installed in the anomalous north central sector of the watershed. In accordance with the slope of the piezometric surface from wells cased down to the till/bedrock interface, groundwater flow is directed from the recharge area (northwest of the anomaly) towards the artesian spring via the highly fractured dolostone aquifer of the Upper Eramosa Member. The bedrock aquifer is confined by the overlying Halton till and the underlying Lower Eramosa Member (Vinemount Shale). The oxidation of sphalerite and galena and the dissolution of gypsum, celestite, calcite, and dolomite within the Eramosa Member, contributed its highly, dissolved constituents to the circulating groundwaters, the age of which is greater than 20 years as determined by tritium dating. Groundwater is assumed to flow along the Vinemount Shale and discharge as an artesian spring where the shale unit becomes discontinuous. The anomaly is located on a topographic low where bedrock is close to the surface. Thermodynamic evaluation of the major ion speciation from the anomalous spring and surface waters, showed gypsum to be supersaturated in these spring waters. Downstream from the spring, the loss of carbon dioxide from the spring waters resulted in the supersaturation with respect to calcite, aragonite, magnesite and dolomite. This corresponded with increases in Eh (+.304 volts) and pH (pH 8.5) in the anomalous surface waters. In conclusion, the interaction of groundwaters within the highly, mineralized carbonate source (Eramosa Member) resulted in the characteristic Ca*Mg*HC03*S04 spring water at the anomalous site, which appeared to be the principle effect upon controlling the anomalous surface water chemistry.

The dynamics of a polar low assessed using potential vorticity inversion

The dynamics of a polar low are examined using a piecewise potential vorticity (PV) inversion method. In previous studies of this and other polar lows, structural evolution has been described in terms of regions of anomalous PV. In this study the relative importance of different PV anomalies and the interactions between them have been quantified using PV diagnostics. The intensification of the polar low occurred in three stages (in contrast to previous studies of polar lows that have only identified two stages). The dynamical characteristics of stages one and two are consistent with the proposed type C cyclogenesis mechanism. A diabatically-generated lower-tropospheric PV anomaly dominated intensification after initial triggering by a positive upper-level PV anomaly. A phase tilt between the upper and lower levels was maintained through retardation of the positive upper-level anomaly by the effects of latent heat release. Stage three was a period of growth dominated by wind-induced surface heat exchange (WISHE), which contributed at least 18% to the amplitude of the mature surface polar low.

Futures basis, inventory and commodity price volatility: an empirical analysis

We employ a large dataset of physical inventory data on 21 different commodities for the period 1993–2011 to empirically analyze the behavior of commodity prices and their volatility as predicted by the theory of storage. We examine two main issues. First, we analyze the relationship between inventory and the shape of the forward curve. Low (high) inventory is associated with forward curves in backwardation (contango), as the theory of storage predicts. Second, we show that price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more pronounced in backwardated markets. Our findings are robust with respect to alternative inventory measures and over the recent commodity price boom.

Intensified anticyclonic anomaly over the western North Pacific during El Niño decaying summer under a weakened Atlantic thermohaline circulation

It has been well documented that there is an anticyclonic anomaly over the western North Pacific (WNPAC, hereafter) during El Niño decaying summer. This El Niño-WNPAC relationship is greatly useful for the seasonal prediction of summer climate in the WNP and East Asia. In this study, we investigate the modification of the El Niño-WNPAC relationship induced by a weakened Atlantic thermohaline circulation (THC) in a water-hosing experiment. The results suggest that the WNPAC during the El Niño decaying summer, as well as the associated precipitation anomaly over the WNP, is intensified under the weakened THC. On the one hand, this intensification is in response to the increased amplitude and frequency of El Niño events in the water-hosing experiment. On the other hand, this intensification is also because of greater climatological humidity over the western to central North Pacific under the weakened THC. We suggest that the increase of climatological humidity over the western to central North Pacific during summer under the weakened THC is favorable for enhanced interannual variability of precipitation, and therefore favorable for the intensification of the WNPAC during El Niño decaying summer. This study suggests a possible modulation of the El Niño–Southern Oscillation-WNP summer monsoon relationship by the low-frequency fluctuation of Atlantic sea surface temperature. The results offer an explanation for the observed modification of the multidecadal fluctuation of El Niño-WNPAC relationship by the Atlantic multidecadal oscillation.

Anomaly mediated supersymmetry breaking without R-parity

We analyze the low energy features of a supersymmetric standard model where the anomaly-induced contributions to the soft parameters are dominant in a scenario with bilinear R-parity violation. This class of models leads to mixings between the standard model particles and supersymmetric ones which chance the low energy phenomenology and searches for supersymmetry. In addition, R-parity violation interactions give rise to small neutrino masses which we show to be consistent with the present observations. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Acoustic measurement of the low-energy excitations in Nd2-xCexCuO4+delta

The complex dynamic Young's modulus of ceramic Nd2-xCexCuO4 with x = 0, 0.05 and 0.20 has been measured from 1.5 to 100 K at frequencies of 1 - 10 kHz. In the undoped sample the modulus starts decreasing below similar to 20 K, instead of approaching a constant value as in a normal solid. The modulus minimum has been interpreted in terms of paraelastic contribution from the relaxation of the Nd3+ 4f electrons between the levels of the ground state doublet, which is split by the interaction with the antiferromagnetically ordered Cu sublattice. The value of the splitting is found to be 0.34 meV, in excellent agreement with inelastic neutron scattering, infrared and specific heat experiments. With doping, the anomaly shifts to lower temperature and decreases in amplitude, consistently with a reduction of the local field from the Cu sublattice. (C) 2003 Elsevier B.V. Ltd. All rights reserved.

A model for the Schottky anomaly in metallic Nd2-yCeyCuO4

We present a simple model for the doped compound Nd2-yCevCuO4, in order to explain some recent experimental results on the latter. Within a Hartree-Fock context, we start from an impurity Anderson-like model and consider the magnetic splitting of the Nd-4f ground state Kramers doublet due to exchange interactions with the ordered Cu moments. Our results are in very good agreement with the experimental data, yielding a Schottky anomaly peak for the specific heat that reduces its amplitude, broadens and shifts to lower temperatures, upon Ce doping. For overdoped compounds at low temperatures, the specific heat behaves linearly and the magnetic susceptibility is constant. A smooth transition from this Fermi liquid-like behavior occurs as temperature is increased and, at high temperatures, the susceptibility exhibits a Curie-like behavior. Finally, we discuss some improvements our model is amenable to incorporate, (C) 1998 Elsevier B.V. B.V. All rights reserved.

Seeking growth under financial volatility

Includes bibliography

Diagnostics of equatorial and low latitude ionosphere by TEC mapping over Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)