Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

A model to forecast financial failure, in non financial galician SMES

We are concerned with providing more empirical evidence on forecast failure, developing forecast models, and examining the impact of events such as audit reports. A joint consideration of classic financial ratios and relevant external indicators leads us to build a basic prediction model focused in non-financial Galician SMEs. Explanatory variables are relevant financial indicators from the viewpoint of the financial logic and financial failure theory. The paper explores three mathematical models: discriminant analysis, Logit, and linear multivariate regression. We conclude that, even though they both offer high explanatory and predictive abilities, Logit and MDA models should be used and interpreted jointly.

Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

The condensation and ordering of models of empty liquids

We consider a simple model consisting of particles with four bonding sites ("patches"), two of type A and two of type B, on the square lattice, and investigate its global phase behavior by simulations and theory. We set the interaction between B patches to zero and calculate the phase diagram as the ratio between the AB and the AA interactions, epsilon(AB)*, varies. In line with previous work, on three-dimensional off-lattice models, we show that the liquid-vapor phase diagram exhibits a re-entrant or "pinched" shape for the same range of epsilon(AB)*, suggesting that the ratio of the energy scales - and the corresponding empty fluid regime - is independent of the dimensionality of the system and of the lattice structure. In addition, the model exhibits an order-disorder transition that is ferromagnetic in the re-entrant regime. The use of low-dimensional lattice models allows the simulation of sufficiently large systems to establish the nature of the liquid-vapor critical points and to describe the structure of the liquid phase in the empty fluid regime, where the size of the "voids" increases as the temperature decreases. We have found that the liquid-vapor critical point is in the 2D Ising universality class, with a scaling region that decreases rapidly as the temperature decreases. The results of simulations and theoretical analysis suggest that the line of order-disorder transitions intersects the condensation line at a multi-critical point at zero temperature and density, for patchy particle models with a re-entrant, empty fluid, regime. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3657406]

Implications of the LHC two-photon signal for two-Higgs-doublet models

We study the implications for two-Higgs-doublet models of the recent announcement at the LHC giving a tantalizing hint for a Higgs boson of mass 125 GeV decaying into two photons. We require that the experimental result be within a factor of 2 of the theoretical standard model prediction, and analyze the type I and type II models as well as the lepton-specific and flipped models, subject to this requirement. It is assumed that there is no new physics other than two Higgs doublets. In all of the models, we display the allowed region of parameter space taking the recent LHC announcement at face value, and we analyze the W+W-, ZZ, (b) over barb, and tau(+)tau(-) expectations in these allowed regions. Throughout the entire range of parameter space allowed by the gamma gamma constraint, the numbers of events for Higgs decays into WW, ZZ, and b (b) over bar are not changed from the standard model by more than a factor of 2. In contrast, in the lepton-specific model, decays to tau(+)tau(-) are very sensitive across the entire gamma gamma-allowed region.

Supporting leadership development by exposure to role models: two case studies

The idiomatic expression “In Rome be a Roman” can be applied to leadership training and development as well. Leaders who can act as role models inspire other future leaders in their behaviour, attitudes and ways of thinking. Based on two examples of current leaders in the fields of Politics and Public Administration, I support the idea that exposure to role models during their training was decisive for their career paths and current activities as prominent characters in their profession. Issues such as how students should be prepared for community or national leadership as well as cross-cultural engagement are raised here. The hypothesis of transculturalism and cross-cultural commitment as a factor of leadership is presented. Based on current literature on Leadership as well as the presented case studies, I expect to raise a debate focusing on strategies for improving leaders’ training in their cross-cultural awareness.

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

Fast optimum-predictive control and capacitor voltage balancing strategy for bipolar back-to-back NPC converters in high-voltage direct current transmission systems

Multilevel power converters have been introduced as the solution for high-power high-voltage switching applications where they have well-known advantages. Recently, full back-to-back connected multilevel neutral point diode clamped converters (NPC converter) have been used inhigh-voltage direct current (HVDC) transmission systems. Bipolar-connected back-to-back NPC converters have advantages in long-distance HVDCtransmission systems over the full back-to-back connection, but greater difficulty to balance the dc capacitor voltage divider on both sending and receiving end NPC converters. This study shows that power flow control and dc capacitor voltage balancing are feasible using fast optimum-predictive-based controllers in HVDC systems using bipolar back-to-back-connected five-level NPC multilevel converters. For both converter sides, the control strategytakes in account active and reactive power, which establishes ac grid currents in both ends, and guarantees the balancing of dc bus capacitor voltages inboth NPC converters. Additionally, the semiconductor switching frequency is minimised to reduce switching losses. The performance and robustness of the new fast predictive control strategy, and its capability to solve the DC capacitor voltage balancing problem of bipolar-connected back-to-back NPCconverters are evaluated.

HVDC transmission systems: Bipolar back-to-back diode clamped multilevel converter with fastoptimum-predictive control and capacitor balancing strategy

Voltage source multilevel power converter structures are being considered for high power high voltage applications where they have well known advantages. Recently, full back-to-back connected multilevel neutral diode clamped converters (NPC) have been used in high voltage direct current (HVDC) transmission systems. Bipolar back-to-back connection of NPCs have advantages in long distance HVDC transmission systems, but highly increased difficulties to balance the dc capacitor voltage dividers on both sending and receiving end NPCs. This paper proposes a fast optimum-predictive controller to balance the dc capacitor voltages and to control the power flow in a long distance HVDCsystem using bipolar back-to-back connected NPCs. For both converter sides, the control strategy considers active and reactive power to establish ac grid currents on sending and receiving ends, while guaranteeing the balancing of both NPC dc bus capacitor voltages. Furthermore, the fast predictivecontroller minimizes the semiconductor switching frequency to reduce global switching losses. The performance and robustness of the new fast predictive control strategy and the associated dc capacitors voltage balancing are evaluated. (C) 2011 Elsevier B.V. All rights reserved.

Role of malnutrition and parasite infections in the spatial variation in children’s anaemia risk in Northern Angola

Anaemia has a significant impact on child development and mortality and is a severe public health problem in most countries in sub-Saharan Africa. Nutritional and infectious causes of anaemia are geographically variable and anaemia maps based on information on the major aetiologies of anaemia are important for identifying communities most in need and the relative contribution of major causes. We investigated the consistency between ecological and individual-level approaches to anaemia mapping, by building spatial anaemia models for children aged ≤15 years using different modeling approaches. We aimed to a) quantify the role of malnutrition, malaria, Schistosoma haematobium and soil-transmitted helminths (STH) for anaemia endemicity in children aged ≤15 years and b) develop a high resolution predictive risk map of anaemia for the municipality of Dande in Northern Angola. We used parasitological survey data on children aged ≤15 years to build Bayesian geostatistical models of malaria (PfPR≤15), S. haematobium, Ascaris lumbricoides and Trichuris trichiura and predict small-scale spatial variation in these infections. The predictions and their associated uncertainty were used as inputs for a model of anemia prevalence to predict small-scale spatial variation of anaemia. Stunting, PfPR≤15, and S. haematobium infections were significantly associated with anaemia risk. An estimated 12.5%, 15.6%, and 9.8%, of anaemia cases could be averted by treating malnutrition, malaria, S. haematobium, respectively. Spatial clusters of high risk of anaemia (>86%) were identified. Using an individual-level approach to anaemia mapping at a small spatial scale, we found that anaemia in children aged ≤15 years is highly heterogeneous and that malnutrition and parasitic infections are important contributors to the spatial variation in anemia risk. The results presented in this study can help inform the integration of the current provincial malaria control program with ancillary micronutrient supplementation and control of neglected tropical diseases, such as urogenital schistosomiasis and STH infection.

Role of malnutrition and parasite infections in the spatial variation in children’s anaemia risk in northern Angola

Anaemia is known to have an impact on child development and mortality and is a severe public health problem in most countries in sub-Saharan Africa. We investigated the consistency between ecological and individual-level approaches to anaemia mapping by building spatial anaemia models for children aged ≤15 years using different modelling approaches. We aimed to (i) quantify the role of malnutrition, malaria, Schistosoma haematobium and soil-transmitted helminths (STHs) in anaemia endemicity; and (ii) develop a high resolution predictive risk map of anaemia for the municipality of Dande in northern Angola. We used parasitological survey data for children aged ≤15 years to build Bayesian geostatistical models of malaria (PfPR≤15), S. haematobium, Ascaris lumbricoides and Trichuris trichiura and predict small-scale spatial variations in these infections. Malnutrition, PfPR≤15, and S. haematobium infections were significantly associated with anaemia risk. An estimated 12.5%, 15.6% and 9.8% of anaemia cases could be averted by treating malnutrition, malaria and S. haematobium, respectively. Spatial clusters of high risk of anaemia (>86%) were identified. Using an individual-level approach to anaemia mapping at a small spatial scale, we found that anaemia in children aged ≤15 years is highly heterogeneous and that malnutrition and parasitic infections are important contributors to the spatial variation in anaemia risk. The results presented in this study can help inform the integration of the current provincial malaria control programme with ancillary micronutrient supplementation and control of neglected tropical diseases such as urogenital schistosomiasis and STH infections.

Dynamical analysis in growth models: Blumberg’s equation

We present a new dynamical approach to the Blumberg's equation, a family of unimodal maps. These maps are proportional to Beta(p, q) probability densities functions. Using the symmetry of the Beta(p, q) distribution and symbolic dynamics techniques, a new concept of mirror symmetry is defined for this family of maps. The kneading theory is used to analyze the effect of such symmetry in the presented models. The main result proves that two mirror symmetric unimodal maps have the same topological entropy. Different population dynamics regimes are identified, when the intrinsic growth rate is modified: extinctions, stabilities, bifurcations, chaos and Allee effect. To illustrate our results, we present a numerical analysis, where are demonstrated: monotonicity of the topological entropy with the variation of the intrinsic growth rate, existence of isentropic sets in the parameters space and mirror symmetry.

Distributed Model Predictive Control for Housing with Hourly Auction of Available Energy

This paper presents a distributed model predictive control (DMPC) for indoor thermal comfort that simultaneously optimizes the consumption of a limited shared energy resource. The control objective of each subsystem is to minimize the heating/cooling energy cost while maintaining the indoor temperature and used power inside bounds. In a distributed coordinated environment, the control uses multiple dynamically decoupled agents (one for each subsystem/house) aiming to achieve satisfaction of coupling constraints. According to the hourly power demand profile, each house assigns a priority level that indicates how much is willing to bid in auction for consume the limited clean resource. This procedure allows the bidding value vary hourly and consequently, the agents order to access to the clean energy also varies. Despite of power constraints, all houses have also thermal comfort constraints that must be fulfilled. The system is simulated with several houses in a distributed environment.

An Extension of Gompertzian Growth Dynamics Weibull and Frechet Models

In this work a new probabilistic and dynamical approach to an extension of the Gompertz law is proposed. A generalized family of probability density functions, designated by Beta* (p, q), which is proportional to the right hand side of the Tsoularis-Wallace model, is studied. In particular, for p = 2, the investigation is extended to the extreme value models of Weibull and Frechet type. These models, described by differential equations, are proportional to the hyper-Gompertz growth model. It is proved that the Beta* (2, q) densities are a power of betas mixture, and that its dynamics are determined by a non-linear coupling of probabilities. The dynamical analysis is performed using techniques of symbolic dynamics and the system complexity is measured using topological entropy. Generally, the natural history of a malignant tumour is reflected through bifurcation diagrams, in which are identified regions of regression, stability, bifurcation, chaos and terminus.

Models with three Higgs doublets in the triplet representations of A(4) or S-4

We consider the quark sector of theories containing three scalar SU(2)(L) doublets in the triplet representation of A(4) (or S-4) and three generations of quarks in arbitrary A(4) (or S-4) representations. We show that for all possible choices of quark field representations and for all possible alignments of the Higgs vacuum expectation values that can constitute global minima of the scalar potential, it is not possible to obtain simultaneously nonvanishing quark masses and a nonvanishing CP-violating phase in the Cabibbo-Kobayashi-Maskawa quark mixing matrix. As a result, in this minimal form, models with three scalar fields in the triplet representation of A(4) or S-4 cannot be extended to the quark sector in a way consistent with experiment. DOI: 10.1103/PhysRevD.87.055010.