897 resultados para asymmetry in volatility
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The physiological basis of human cerebral asymmetry for language remains mysterious. We have used simultaneous physiological and anatomical measurements to investigate the issue. Concentrating on neural oscillatory activity in speech-specific frequency bands and exploring interactions between gestural (motor) and auditory-evoked activity, we find, in the absence of language-related processing, that left auditory, somatosensory, articulatory motor, and inferior parietal cortices show specific, lateralized, speech-related physiological properties. With the addition of ecologically valid audiovisual stimulation, activity in auditory cortex synchronizes with left-dominant input from the motor cortex at frequencies corresponding to syllabic, but not phonemic, speech rhythms. Our results support theories of language lateralization that posit a major role for intrinsic, hardwired perceptuomotor processing in syllabic parsing and are compatible both with the evolutionary view that speech arose from a combination of syllable-sized vocalizations and meaningful hand gestures and with developmental observations suggesting phonemic analysis is a developmentally acquired process.
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We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.
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OBJECTIVE: To evaluate the power of various parameters of the vestibulo-ocular reflex (VOR) in detecting unilateral peripheral vestibular dysfunction and in characterizing certain inner ear pathologies. STUDY DESIGN: Prospective study of consecutive ambulatory patients presenting with acute onset of peripheral vertigo and spontaneous nystagmus. SETTING: Tertiary referral center. PATIENTS: Seventy-four patients (40 females, 34 males) and 22 normal subjects (11 females, 11 males) were included in the study. Patients were classified in three main diagnoses: vestibular neuritis: 40; viral labyrinthitis: 22; Meniere's disease: 12. METHODS: The VOR function was evaluated by standard caloric and impulse rotary tests (velocity step). A mathematical model of vestibular function was used to characterize the VOR response to rotational stimulation. The diagnostic value of the different VOR parameters was assessed by uni- and multivariable logistic regression. RESULTS: In univariable analysis, caloric asymmetry emerged as the most powerful VOR parameter in identifying unilateral vestibular deficit, with a boundary limit set at 20%. In multivariable analysis, the combination of caloric asymmetry and rotational time constant asymmetry significantly improved the discriminatory power over caloric alone (p<0.0001) and produced a detection score with a correct classification of 92.4%. In discriminating labyrinthine diseases, different combinations of the VOR parameters were obtained for each diagnosis (p<0.003) supporting that the VOR characteristics differ between the three inner ear disorders. However, the clinical usefulness of these characteristics in separating the pathologies was limited. CONCLUSION: We propose a powerful logistic model combining the indices of caloric and time constant asymmetries to detect a peripheral vestibular loss, with an accuracy of 92.4%. Based on vestibular data only, the discrimination between the different inner ear diseases is statistically possible, which supports different pathophysiologic changes in labyrinthine pathologies.
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This paper analyses the optimal worksharing discount granted to mailers and entrants in a liberalized sector when there is asymmetric information about the Post Office's cost. When the regulator is unable to ascertain which part of total cost of sorting has to be attributed to each sorting facility, the optimal 'accesss discount' given to the entrants is set in a pro-competitive way, thus facilitating the entry of firms that are less afficient than the Post Office. Howerver, with the same asymmetry of information, the optimal 'worksharing discount' given to the mailers is set to favor the Post Office, even when it is less efficient than the mailers in providing the sorting.
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In studies of the natural history of HIV-1 infection, the time scale of primary interest is the time since infection. Unfortunately, this time is very often unknown for HIV infection and using the follow-up time instead of the time since infection is likely to provide biased results because of onset confounding. Laboratory markers such as the CD4 T-cell count carry important information concerning disease progression and can be used to predict the unknown date of infection. Previous work on this topic has made use of only one CD4 measurement or based the imputation on incident patients only. However, because of considerable intrinsic variability in CD4 levels and because incident cases are different from prevalent cases, back calculation based on only one CD4 determination per person or on characteristics of the incident sub-cohort may provide unreliable results. Therefore, we propose a methodology based on the repeated individual CD4 T-cells marker measurements that use both incident and prevalent cases to impute the unknown date of infection. Our approach uses joint modelling of the time since infection, the CD4 time path and the drop-out process. This methodology has been applied to estimate the CD4 slope and impute the unknown date of infection in HIV patients from the Swiss HIV Cohort Study. A procedure based on the comparison of different slope estimates is proposed to assess the goodness of fit of the imputation. Results of simulation studies indicated that the imputation procedure worked well, despite the intrinsic high volatility of the CD4 marker.
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We have studied the growth of interfaces in driven diffusive systems well below the critical temperature by means of Monte Carlo simulations. We consider the region beyond the linear regime and of large values of the external field which has not been explored before. The simulations support the existence of interfacial traveling waves when asymmetry is introduced in the model, a result previously predicted by a linear-stability analysis. Furthermore, the generalization of the Gibbs-Thomson relation is discussed. The results provide evidence that the external field is a stabilizing effect which can be considered as effectively increasing the surface tension.
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Measurements of CP-violating observables in neutrino oscillation experiments have been studied in the literature as a way to determine the CP-violating phase in the mixing matrix for leptons. Here we show that such observables also probe new neutrino interactions in the production or detection processes. Genuine CP violation and fake CP violation due to matter effects are sensitive to the imaginary and real parts of new couplings. The dependence of the CP asymmetry on the source-detector distance is different from the standard one and, in particular, enhanced at short distances. We estimate that future neutrino factories will be able to probe in this way new interactions that are up to four orders of magnitude weaker than the weak interactions. We discuss the possible implications for models of new physics.
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The thermodynamic functions of a Fermi gas with spin population imbalance are studied in the temperature-asymmetry plane in the BCS limit. The low-temperature domain is characterized by an anomalous enhancement of the entropy and the specific heat above their values in the unpaired state, decrease of the gap and eventual unpairing phase transition as the temperature is lowered. The unpairing phase transition induces a second jump in the specific heat, which can be measured in calorimetric experiments. While the superfluid is unstable against a supercurrent carrying state, it may sustain a metastable state if cooled adiabatically down from the stable high-temperature domain. In the latter domain the temperature dependence of the gap and related functions is analogous to the predictions of the BCS theory.
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BACKGROUND: Preventive treatment may avoid future cases of tuberculosis among asylum seekers. The effectiveness of preventive treatment depends in large part on treatment completion. METHODS: In a prospective cohort study, asylum seekers of two of the Swiss Canton Vaud migration centres were screened with the Interferon Gamma Release Assay (IGRA). Those with a positive IGRA were referred for medical examination. Individuals with active or past tuberculosis were excluded. Preventive treatment was offered to all participants with positive IGRA but without active tuberculosis. The adherence was assessed during monthly follow-up. RESULTS: From a population of 393 adult migrants, 98 (24.9%) had a positive IGRA. Eleven did not attend the initial medical assessment. Of the 87 examined, eight presented with pulmonary disease (five of them received a full course of antituberculous therapy), two had a history of prior tuberculosis treatment and two had contraindications to treatment. Preventive treatment was offered to 75 individuals (4 months rifampicin in 74 and 9 months isoniazid in one), of whom 60 (80%) completed the treatment. CONCLUSIONS: The vulnerability and the volatility of this population make screening and observance of treatment difficult. It seems possible to obtain a high rate of completion using a short course of treatment in a closely monitored population living in stable housing conditions.
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Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.
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We explore the phase diagram of a two-component ultracold atomic Fermi gas interacting with zero-range forces in the limit of weak coupling. We focus on the dependence of the pairing gap and the free energy on the variations in the number densities of the two species while the total density of the system is held fixed. As the density asymmetry is increased, the system exhibits a transition from a homogenous Bardeen-Cooper-Schrieffer (BCS) phase to phases with spontaneously broken global space symmetries. One such realization is the deformed Fermi surface superfluidity (DFS) which exploits the possibility of deforming the Fermi surfaces of the species into ellipsoidal form at zero total momentum of Cooper pairs. The critical asymmetries at which the transition from DFS to the unpaired state occurs are larger than those for the BCS phase. In this precritical region the DFS phase lowers the pairing energy of the asymmetric BCS state. We compare quantitatively the DFS phase to another realization of superconducting phases with broken translational symmetry: the single-plane-wave Larkin-Ovchinnikov-Fulde-Ferrell phase, which is characterized by a nonvanishing center-of-mass momentum of the Cooper pairs. The possibility of the detection of the DFS phase in the time-of-flight experiments is discussed and quantified for the case of 6Li atoms trapped in two different hyperfine states.
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We report the results of Monte Carlo simulations with the aim to clarify the microscopic origin of exchange bias in the magnetization hysteresis loops of a model of individual core/shell nanoparticles. Increase of the exchange coupling across the core/shell interface leads to an enhancement of exchange bias and to an increasing asymmetry between the two branches of the loops which is due to different reversal mechanisms. A detailed study of the magnetic order of the interfacial spins shows compelling evidence that the existence of a net magnetization due to uncompensated spins at the shell interface is responsible for both phenomena and allows to quantify the loop shifts directly in terms of microscopic parameters with striking agreement with the macroscopic observed values.
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Asymmetric magnetization reversal is an unusual phenomenon in antiferromagnet/ferromagnet (AF/FM) exchange biased bilayers. We investigated this phenomenon in a simple model system experimentally and by simulation assuming inhomogeneously distributed interfacial AF moments. The results suggest that the observed asymmetry originates from the intrinsic broken symmetry of the system, which results in local incomplete domain walls parallel to the interface in reversal to negative saturation of the FM. The magneto-optical Kerr effect unambiguously confirms such an asymmetric reversal and a depth-dependent FM domain wall in accord with the magnetometry and simulations.
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Extreme times techniques, generally applied to nonequilibrium statistical mechanical processes, are also useful for a better understanding of financial markets. We present a detailed study on the mean first-passage time for the volatility of return time series. The empirical results extracted from daily data of major indices seem to follow the same law regardless of the kind of index thus suggesting an universal pattern. The empirical mean first-passage time to a certain level L is fairly different from that of the Wiener process showing a dissimilar behavior depending on whether L is higher or lower than the average volatility. All of this indicates a more complex dynamics in which a reverting force drives volatility toward its mean value. We thus present the mean first-passage time expressions of the most common stochastic volatility models whose approach is comparable to the random diffusion description. We discuss asymptotic approximations of these models and confront them to empirical results with a good agreement with the exponential Ornstein-Uhlenbeck model.
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OBJECTIVE: The pathophysiologic concept of Ménière's disease assumes that endolymphatic hydrops is the cause of the symptoms via increased pressure in the endolymphatic space and/or ionic disorder due to ruptured membrane. The goal of this study was to assess whether the vestibulo-ocular reflex (VOR) properties in patients with Ménière's disease were consistent with the classical theory. MATERIAL AND METHODS: We studied 34 patients (19 women, 15 men) presenting with unilateral Ménière's disease divided into 2 groups according to the duration of the disease: 18 were in the early stage (< 12 mo), and 16 were in the late stage (> or = 12 mo). Nineteen patients were examined during an attack. Eight of them and the 15 other patients were tested during the interval between attacks. Their characteristics were compared with those of a group of 22 normal subjects. The VOR function was evaluated via standard caloric and impulse rotatory tests (velocity step). A mathematic model of vestibular function was used to characterize the VOR response to rotational stimulation. Dynamic VOR parameters (sensitivity coefficient, time constant, gain, and asymmetries between the 2 directions of rotation) were statistically compared between the 2 groups of patients during and between attacks and between the patients and controls. RESULTS: All dynamic VOR parameters showed no statistically significant difference both with normal controls and among the patients during and between attacks (p > 0.05) except for gain asymmetry (p < or = 0.008). During attacks, patients with early Ménière's disease displayed a higher gain in rotation toward the affected ear, the opposite being observed in patients with late disease. Caloric test revealed a moderate canal paresis on the affected side during the crisis and a slight asymmetry between attacks. CONCLUSION: During attacks in patients with early Ménière's disease, the VOR gain toward the affected side is higher than that toward the intact side, supporting the fact that that the sensitivity of the cupuloendolymphatic system on the affected ear is increased. This observation is in agreement with a mechanical pressure effect of hydrops on the vestibular organs.