Conditional Moments in Asset Pricing

A better understanding of stock price changes is important in guiding many economic activities. Since prices often do not change without good reasons, searching for related explanatory variables has involved many enthusiasts. This book seeks answers from prices per se by relating price changes to their conditional moments. This is based on the belief that prices are the products of a complex psychological and economic process and their conditional moments derive ultimately from these psychological and economic shocks. Utilizing information about conditional moments hence makes it an attractive alternative to using other selective financial variables in explaining price changes. The first paper examines the relation between the conditional mean and the conditional variance using information about moments in three types of conditional distributions; it finds that the significance of the estimated mean and variance ratio can be affected by the assumed distributions and the time variations in skewness. The second paper decomposes the conditional industry volatility into a concurrent market component and an industry specific component; it finds that market volatility is on average responsible for a rather small share of total industry volatility — 6 to 9 percent in UK and 2 to 3 percent in Germany. The third paper looks at the heteroskedasticity in stock returns through an ARCH process supplemented with a set of conditioning information variables; it finds that the heteroskedasticity in stock returns allows for several forms of heteroskedasticity that include deterministic changes in variances due to seasonal factors, random adjustments in variances due to market and macro factors, and ARCH processes with past information. The fourth paper examines the role of higher moments — especially skewness and kurtosis — in determining the expected returns; it finds that total skewness and total kurtosis are more relevant non-beta risk measures and that they are costly to be diversified due either to the possible eliminations of their desirable parts or to the unsustainability of diversification strategies based on them.

Moments estimation in Radon space

In this paper, we show a method of obtaining general and orthogonal moments, specifically Legendre and Zernicke moments, from the Radon Transform data of a two-dimensional function. The regular or geometric moments are first evaluated directly from the projection data and the orthogonal moments are derived from these regular moments.

Genetic search: Analysis using fitness moments

Genetic Algorithms are efficient and robust search methods that are being employed in a plethora of applications with extremely large search spaces. The directed search mechanism employed in Genetic Algorithms performs a simultaneous and balanced, exploration of new regions in the search space and exploitation of already discovered regions.This paper introduces the notion of fitness moments for analyzing the working of Genetic Algorithms (GAs). We show that the fitness moments in any generation may be predicted from those of the initial population. Since a knowledge of the fitness moments allows us to estimate the fitness distribution of strings, this approach provides for a method of characterizing the dynamics of GAs. In particular the average fitness and fitness variance of the population in any generation may be predicted. We introduce the technique of fitness-based disruption of solutions for improving the performance of GAs. Using fitness moments, we demonstrate the advantages of using fitness-based disruption. We also present experimental results comparing the performance of a standard GA and GAs (CDGA and AGA) that incorporate the principle of fitness-based disruption. The experimental evidence clearly demonstrates the power of fitness based disruption.

Fast computation of Legendre and Zernike moments

This paper presents recursive algorithms for fast computation of Legendre and Zernike moments of a grey-level image intensity distribution. For a binary image, a contour integration method is developed for the evaluation of Legendre moments using only the boundary information. A method for recursive calculation of Zernike polynomial coefficients is also given. A square-to-circular image transformation scheme is introduced to minimize the computation involved in Zernike moment functions. The recursive formulae can also be used in inverse moment transforms to reconstruct the original image from moments. The mathematical framework of the algorithms is given in detail, and illustrated with binary and grey-level images.

Fermion Electric Dipole Moments in R-parity violating Supersymmetry

In this talk I discuss some aspects of the study of electric dipole moments (EDMs) of the fermions, in the context of R-parity violating (\rpv) Supersymmetry (SUSY). I will start with a brief general discussion of how dipole moments, in general, serve as a probe of physics beyond the Standard Model (SM) and an even briefer summary of \rpv SUSY. I will follow by discussing a general method of analysis for obtaining the leading fermion mass dependence of the dipole moments and present its application to \rpv SUSY case. Then I will summarise the constraints that the analysis of $e,n$ and $Hg$ EDMs provide for the case of trilinear \rpv SUSY couplings and make a few comments on the case of bilinear \rpv, where the general method of analysis proposed by us does not work.

Temporal Moments for Reactive Transport through Fractured Impermeable/Permeable Formations

The transport of reactive solutes through fractured porous formations has been analyzed. The transport through the porous block is represented by a general multiprocess nonequilibrium equation (MPNE), which, for the fracture, is represented by an advection-dispersion equation with linear equilibrium sorption and first-order transformation. An implicit finite-difference technique has been used to solve the two coupled equations. The transport characteristics have been analyzed in terms of zeroth, first, and second temporal moments of the solute in the fracture. The solute behavior for fractured impermeable and fractured permeable formations are first compared and the effects of various fracture and matrix transport parameters are analyzed. Subsequently, the transport through a fractured permeable formation is analyzed to ascertain the effect of equilibrium sorption, rate-limited sorption, and the multiprocess nonequilibrium transport process. It was found that the temporal moments were nearly identical for the fractured impermeable and permeable formations when both the diffusion coefficient and the first-order transformation coefficient were relatively large. The multiprocess nonequilibrium model resulted in a smaller mass recovery in the fracture and higher dispersion than the equilibrium and rate-limited sorption models. DOI: 10.1061/(ASCE)HE.19435584.0000586. (C) 2012 American Society of Civil Engineers.

Inversion of moments to retrieve joint probabilities in quantum sequential measurements

A sequence of moments obtained from statistical trials encodes a classical probability distribution. However, it is well known that an incompatible set of moments arises in the quantum scenario, when correlation outcomes associated with measurements on spatially separated entangled states are considered. This feature, viz., the incompatibility of moments with a joint probability distribution, is reflected in the violation of Bell inequalities. Here, we focus on sequential measurements on a single quantum system and investigate if moments and joint probabilities are compatible with each other. By considering sequential measurement of a dichotomic dynamical observable at three different time intervals, we explicitly demonstrate that the moments and the probabilities are inconsistent with each other. Experimental results using a nuclear magnetic resonance system are reported here to corroborate these theoretical observations, viz., the incompatibility of the three-time joint probabilities with those extracted from the moment sequence when sequential measurements on a single-qubit system are considered.

Expansions of tau hadronic spectral function moments in a nonpower QCD perturbation theory with tamed large order behavior

The moments of the hadronic spectral functions are of interest for the extraction of the strong coupling alpha(s) and other QCD parameters from the hadronic decays of the tau lepton. Motivated by the recent analyses of a large class of moments in the standard fixed-order and contour-improved perturbation theories, we consider the perturbative behavior of these moments in the framework of a QCD nonpower perturbation theory, defined by the technique of series acceleration by conformal mappings, which simultaneously implements renormalization-group summation and has a tame large-order behavior. Two recently proposed models of the Adler function are employed to generate the higher-order coefficients of the perturbation series and to predict the exact values of the moments, required for testing the properties of the perturbative expansions. We show that the contour-improved nonpower perturbation theories and the renormalization-group-summed nonpower perturbation theories have very good convergence properties for a large class of moments of the so-called ``reference model,'' including moments that are poorly described by the standard expansions. The results provide additional support for the plausibility of the description of the Adler function in terms of a small number of dominant renormalons.

Vorticity moments in four numerical simulations of the 3D Navier-Stokes equations

The issue of intermittency in numerical solutions of the 3D Navier-Stokes equations on a periodic box 0, L](3) is addressed through four sets of numerical simulations that calculate a new set of variables defined by D-m(t) = (pi(-1)(0) Omega(m))(alpha m) for 1 <= m <= infinity where alpha(m) = 2m/(4m - 3) and Omega(m)(t)](2m) = L-3 integral(v) vertical bar omega vertical bar(2m) dV with pi(0) = vL(-2). All four simulations unexpectedly show that the D-m are ordered for m = 1,..., 9 such that Dm+1 < D-m. Moreover, the D-m squeeze together such that Dm+1/D-m NE arrow 1 as m increases. The values of D-1 lie far above the values of the rest of the D-m, giving rise to a suggestion that a depletion of nonlinearity is occurring which could be the cause of Navier-Stokes regularity. The first simulation is of very anisotropic decaying turbulence; the second and third are of decaying isotropic turbulence from random initial conditions and forced isotropic turbulence at fixed Grashof number respectively; the fourth is of very-high-Reynolds-number forced, stationary, isotropic turbulence at up to resolutions of 4096(3).

Hardware Accelerator for 3D Method of Moments based Parasitic Extraction

A Field Programmable Gate Array (FPGA) based hardware accelerator for multi-conductor parasitic capacitance extraction, using Method of Moments (MoM), is presented in this paper. Due to the prohibitive cost of solving a dense algebraic system formed by MoM, linear complexity fast solver algorithms have been developed in the past to expedite the matrix-vector product computation in a Krylov sub-space based iterative solver framework. However, as the number of conductors in a system increases leading to a corresponding increase in the number of right-hand-side (RHS) vectors, the computational cost for multiple matrix-vector products present a time bottleneck, especially for ill-conditioned system matrices. In this work, an FPGA based hardware implementation is proposed to parallelize the iterative matrix solution for multiple RHS vectors in a low-rank compression based fast solver scheme. The method is applied to accelerate electrostatic parasitic capacitance extraction of multiple conductors in a Ball Grid Array (BGA) package. Speed-ups up to 13x over equivalent software implementation on an Intel Core i5 processor for dense matrix-vector products and 12x for QR compressed matrix-vector products is achieved using a Virtex-6 XC6VLX240T FPGA on Xilinx's ML605 board.

Accelerating method of moments based package-board 3D parasitic extraction using FPGA

In this article, a Field Programmable Gate Array (FPGA)-based hardware accelerator for 3D electromagnetic extraction, using Method of Moments (MoM) is presented. As the number of nets or ports in a system increases, leading to a corresponding increase in the number of right-hand-side (RHS) vectors, the computational cost for multiple matrix-vector products presents a time bottleneck in a linear-complexity fast solver framework. In this work, an FPGA-based hardware implementation is proposed toward a two-level parallelization scheme: (i) matrix level parallelization for single RHS and (ii) pipelining for multiple-RHS. The method is applied to accelerate electrostatic parasitic capacitance extraction of multiple nets in a Ball Grid Array (BGA) package. The acceleration is shown to be linearly scalable with FPGA resources and speed-ups over 10x against equivalent software implementation on a 2.4GHz Intel Core i5 processor is achieved using a Virtex-6 XC6VLX240T FPGA on Xilinx's ML605 board with the implemented design operating at 200MHz clock frequency. (c) 2016 Wiley Periodicals, Inc. Microwave Opt Technol Lett 58:776-783, 2016

Nucleated polymerization with secondary pathways. I. Time evolution of the principal moments.

Self-assembly processes resulting in linear structures are often observed in molecular biology, and include the formation of functional filaments such as actin and tubulin, as well as generally dysfunctional ones such as amyloid aggregates. Although the basic kinetic equations describing these phenomena are well-established, it has proved to be challenging, due to their non-linear nature, to derive solutions to these equations except for special cases. The availability of general analytical solutions provides a route for determining the rates of molecular level processes from the analysis of macroscopic experimental measurements of the growth kinetics, in addition to the phenomenological parameters, such as lag times and maximal growth rates that are already obtainable from standard fitting procedures. We describe here an analytical approach based on fixed-point analysis, which provides self-consistent solutions for the growth of filamentous structures that can, in addition to elongation, undergo internal fracturing and monomer-dependent nucleation as mechanisms for generating new free ends acting as growth sites. Our results generalise the analytical expression for sigmoidal growth kinetics from the Oosawa theory for nucleated polymerisation to the case of fragmenting filaments. We determine the corresponding growth laws in closed form and derive from first principles a number of relationships which have been empirically established for the kinetics of the self-assembly of amyloid fibrils.