Density forecasts of crude-oil prices using option-implied and ARCH-type models

The predictive accuracy of competing crude-oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward-looking information that is embedded in the prices of derivative contracts. Risk-neutral densities, obtained from panels of crude-oil option prices, are adjusted to reflect real-world risks using either a parametric or a non-parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non-parametric adjustments of risk-neutral density forecasts perform significantly better than their parametric counterparts. Goodness-of-fit tests and out-of-sample likelihood comparisons favor forecast densities obtained by option prices and non-parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011

Stochasticity, periodicity and localized light structures in partially mode-locked fibre lasers

Physical systems with co-existence and interplay of processes featuring distinct spatio-temporal scales are found in various research areas ranging from studies of brain activity to astrophysics. The complexity of such systems makes their theoretical and experimental analysis technically and conceptually challenging. Here, we discovered that while radiation of partially mode-locked fibre lasers is stochastic and intermittent on a short time scale, it exhibits non-trivial periodicity and long-scale correlations over slow evolution from one round-trip to another. A new technique for evolution mapping of intensity autocorrelation function has enabled us to reveal a variety of localized spatio-temporal structures and to experimentally study their symbiotic co-existence with stochastic radiation. Real-time characterization of dynamical spatio-temporal regimes of laser operation is set to bring new insights into rich underlying nonlinear physics of practical active- and passive-cavity photonic systems.

Conical refraction healing after partially blocking the input beam

In conical refraction, when a focused Gaussian beam passes along one of the optic axes of a biaxial crystal, it is transformed into a pair of concentric bright rings at the focal plane. We demonstrate both theoretically and experimentally that this transformation is hardly affected by partially blocking the Gaussian input beam with an obstacle. We analyze the influence of the size of the obstruction both on the transverse intensity pattern of the beam and on its state of polarization, which is shown to be very robust.

Estimation of Fraction of Distinguished Elements in Population Based on Partially Realized Random Sample

2000 Mathematics Subject Classi cation: 62D05.

Split-ARCH

2000 Mathematics Subject Classification: 62M10

Statistical properties of partially coherent CW fiber lasers

A detailed quantitative numerical analysis of partially coherent quasi-CW fiber laser is performed on the example of high-Q cavity Raman fiber laser. The key role of precise spectral performances of fiber Bragg gratings forming the laser cavity is clarified. It is shown that cross phase modulation between the pump and Stokes waves does not affect the generation. Amplitudes of different longitudinal modes strongly fluctuate obeying the Gaussian distribution. As intensity statistics is noticeably non-exponential, longitudinal modes should be correlated. © 2011 SPIE.

An examination of the within -product category versus across -product category effects of partially comparative pricing

Partially comparative pricing involves a featured store providing price comparisons in reference to a competitor for some products (comparatively priced products) while omitting such comparisons and providing only its price for other products (non-comparatively priced products). Barone, Manning and Miniard (2004) found that while partially comparative pricing enhanced consumers' price perceptions of comparatively priced products at the featured retailer, it had the opposite effect for non-comparatively priced products (i.e., an inferiority effect). To the contrary, it is argued that a price comparison for one brand in a product category may enhance consumers' price perceptions of the remaining, non-comparatively priced brands within the same product category (i.e., a superiority effect). This research seeks to (a) examine the robustness of partially comparative pricing's effect in an across-product category context compared to a within-product category context and (b) extend the understanding of partially comparative pricing's within-product category effect on non-comparatively priced brands by examining potential moderators of this effect: brand diversity, brand typicality, and the relative expensiveness of the brand receiving the price comparison. The findings of four studies provide evidence to support the presence of a superiority effect in a within-product category context and suggests that the adverse effect of partially comparative pricing in an across-product category context may not be as robust as previously thought. Although the superiority effect was unaffected by brand diversity (i.e., whether the brands emanated from different manufacturers or from a single manufacturer), it was found to be moderated by the typicality of the brand receiving the price comparison as well as the comparison brand's relative expensiveness. Research participants formed more favorable relative price beliefs about the non-comparatively priced brand when the comparatively priced brand was perceived as a more typical member of the product category. Similarly, participants formed more favorable beliefs about the non-comparatively priced brand when the comparison price was assigned to the most expensive brand in the product category rather than the least expensive brand.

Automatic and adaptable registration of live RGBD video streams sharing partially overlapping views

In this thesis, we introduce DeReEs-4v, an algorithm for unsupervised and automatic registration of two video frames captured depth-sensing cameras. DeReEs-4V receives two RGBD video streams from two depth-sensing cameras arbitrary located in an indoor space that share a minimum amount of 25% overlap between their captured scenes. The motivation of this research is to employ multiple depth-sensing cameras to enlarge the field of view and acquire a more complete and accurate 3D information of the environment. A typical way to combine multiple views from different cameras is through manual calibration. However, this process is time-consuming and may require some technical knowledge. Moreover, calibration has to be repeated when the location or position of the cameras change. In this research, we demonstrate how DeReEs-4V registration can be used to find the transformation of the view of one camera with respect to the other at interactive rates. Our algorithm automatically finds the 3D transformation to match the views from two cameras, requires no human interference, and is robust to camera movements while capturing. To validate this approach, a thorough examination of the system performance under different scenarios is presented. The system presented here supports any application that might benefit from the wider field-of-view provided by the combined scene from both cameras, including applications in 3D telepresence, gaming, people tracking, videoconferencing and computer vision.

Estimation linéaire pour un modèle de régression ARCH

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Estimation linéaire pour un modèle de régression ARCH

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Arch bridges – unlocking their potential

Arch bridges are strong, durable, aesthetically pleasing and require little maintenance but very few have been built since the early 1900s. However, this trend has changed as more than 60 FlexiArch bridges have been installed since the system was launched in 2007. The FlexiArch uses precast concrete voussoirs, requires neither corrodible reinforcement, nor centring, can be installed in hours and is contractor friendly. Details of this innovative method of construction and installation of arch bridges are given and the enormous potential of the system for multi-span
viaducts is also highlighted.

Temperature fields in a channel partially filled with a porous material under local thermal non-equilibrium condition-an exact solution

This work examines analytically the forced convection in a channel partially filled with a porous material and subjected to constant wall heat flux. The Darcy–Brinkman–Forchheimer model is used to represent the fluid transport through the porous material. The local thermal non-equilibrium, two-equation model is further employed as the solid and fluid heat transport equations. Two fundamental models (models A and B) represent the thermal boundary conditions at the interface between the porous medium and the clear region. The governing equations of the problem are manipulated, and for each interface model, exact solutions, for the solid and fluid temperature fields, are developed. These solutions incorporate the porous material thickness, Biot number, fluid to solid thermal conductivity ratio and Darcy number as parameters. The results can be readily used to validate numerical simulations. They are, further, applicable to the analysis of enhanced heat transfer, using porous materials, in heat exchangers.