The Forecast Performance of Model-Free Implied Volatility: Evidence from DAX Index Options

Volatility has a central role in various theoretical and practical applications in financial markets. These include the applications related to portfolio theory, derivatives pricing and financial risk management. Both theoretical and practical applications require good estimates and forecasts for the asset return volatility. The goal of this study is to examine the forecast performance of one of the more recent volatility measures, model-free implied volatility. Model-free implied volatility is extracted from the prices in the option markets, and it aims to provide an unbiased estimate for the market’s expectation on the future level of volatility. Since it is extracted from the option prices, model-free implied volatility should contain all the relevant information that the market participants have. Moreover, model-free implied volatility requires less restrictive assumptions than the commonly used Black-Scholes implied volatility, which means that it should be less biased estimate for the market’s expectations. Therefore, it should also be a better forecast for the future volatility. The forecast performance of model-free implied volatility is evaluated by comparing it to the forecast performance of Black-Scholes implied volatility and GARCH(1,1) forecast. Weekly forecasts for six years period were calculated for the forecasted variable, German stock market index DAX. The data consisted of price observations for DAX index options. The forecast performance was measured using econometric methods, which aimed to capture the biasedness, accuracy and the information content of the forecasts. The results of the study suggest that the forecast performance of model-free implied volatility is superior to forecast performance of GARCH(1,1) forecast. However, the results also suggest that the forecast performance of model-free implied volatility is not as good as the forecast performance of Black-Scholes implied volatility, which is against the hypotheses based on theory. The results of this study are consistent with the majority of prior research on the subject.

Para superar el estancamiento económico en México: "nudos críticos" de un proyecto nacional de desarrollo

This article is devoted to analyze changes in economic policy to be adopted by Mexico if a national development project were implemented. Starting from an evaluation of the main economic and political outcomes of Vicente’s Fox administration, the author proposes an alternative development strategy which permits Mexico to overcome economic stagnation. That strategy would be based in recovering the internal market as the dynamical focus of the economy with the purpose of satisfying basic needs of people. To be successful this strategy should to confront the "critical knots" of the Neo-liberal model: to reverse the uneven distribution of income; abandoning the fixing of restrictive monetary, fiscal and exchange rate policies; and mobilizing economic surplus by means of a profound revision of debt service schemes. It concludes that to implement a national development project it is required a political and economic strategy to dismantle neoliberalism, which is an antinational structure of power.

Metas de inflação, política monetária e investimento: um estudo para dezessete países

In this paper two hypotheses about the relationship between monetary policy and investment in the context of the inflation target system were tested. One of these hypotheses is based on the idea of neutrality of money, and the other hypothesis is based on the reject of that idea. An investment equation for seventeen economies using a piece-wise dummy variable was estimated by the Methodology of Panel Data. The results highlight that a negative correlation between current expectation of restrictive monetary policy and current investment rose after the inflation target system implementation.

Endividamento público, crescimento, moeda e inflação: comentário a "Matemática agradável", de Gerson Lima

The paper aims at analyzing the article by Gerson Lima on the manner by which fiscal deficit should be covered. It presents a more general dynamic model, where the principle of effective demand is explicitly used. By doing that, it is possible to treat as endogenous variables the national income and the government entries, what brings the result that the public debt must not follow an explosive path unless the very restrictive conditions of Lima's paper prevail. It also evaluates Lima's implicit inflation theory, and argues against his approximation to Friedman's framework.

The effects of the global economic crisis in Latin America

The aim of this article is to analyze the current phase of the global crisis and the way it has manifested itself in Latin America. The global crisis is the most important capitalist crisis since World War II. It is a new type of debt-deflation crisis, highlighting the limits of the finance-dominated regime of accumulation and characterized by securitization. Latin American countries have not been immune to the global crisis. Since it sets limits on globalization, the impossibility of maintaining export-driven accumulation sustained by restrictive monetary and fiscal policies becomes clear. This time, there will be no way out in external markets for any country. That fact will force them to restructure productive systems and search for a way out in domestic markets and in regional spaces for integration.

Pretraining Convolutional Neural Networks for Visual Recognition

Convolutional Neural Networks (CNN) have become the state-of-the-art methods on many large scale visual recognition tasks. For a lot of practical applications, CNN architectures have a restrictive requirement: A huge amount of labeled data are needed for training. The idea of generative pretraining is to obtain initial weights of the network by training the network in a completely unsupervised way and then fine-tune the weights for the task at hand using supervised learning. In this thesis, a general introduction to Deep Neural Networks and algorithms are given and these methods are applied to classification tasks of handwritten digits and natural images for developing unsupervised feature learning. The goal of this thesis is to find out if the effect of pretraining is damped by recent practical advances in optimization and regularization of CNN. The experimental results show that pretraining is still a substantial regularizer, however, not a necessary step in training Convolutional Neural Networks with rectified activations. On handwritten digits, the proposed pretraining model achieved a classification accuracy comparable to the state-of-the-art methods.

Adherence to Treatment in Psychotic Disorders - Development of user-centered mobile health intervention

The aim of this study was to explore adherence to treatment among people with psychotic disorders through the development of user-centered mobile technology (mHealth) intervention. More specifically, this study investigates treatment adherence as well as mHealth intervention and the factors related to its possible usability. The data were collected from 2010 to 2013. First, patients’ and professionals’ perceptions of adherence management and restrictive factors of adherence were described (n = 61). Second, objectives and methods of the intervention were defined based on focus group interviews and previously used methods. Third, views of patients and professionals about barriers and requirements of the intervention were described (n = 61). Fourth, mHealth intervention was evaluated based on a literature review (n = 2) and patients preferences regarding the intervention (n = 562). Adherence management required support in everyday activities, social networks and maintaining a positive outlook. The factors restricting adherence were related to illness, behavior and the environment. The objective of the intervention was to support the intention to follow the treatment guidelines and recommendations with mHealth technology. The barriers and requirements for the use of the mHealth were related to technology, organizational issues and the users themselves. During the course of the intervention, 33 (6%) out of 562 participants wanted to edit the content, timing or amount of the mHealth tool, and 23 (4%) quit the intervention or study before its conclusion. According to the review, mHealth interventions were ineffective in promoting adherence. Prior to the intervention, participants perceived that adherence could be supported, and the use of mHealth as a part of treatment was seen as an acceptable and efficient method for doing so. In conclusion, the use of mHealth may be feasible among people with psychotic disorders. However, clear evidence for its effectiveness in regards to adherence is still currently inconclusive.

Pairs trading profitability in the Finnish stock market: A comparison between three methods

Pairs trading is an algorithmic trading strategy that is based on the historical co-movement of two separate assets and trades are executed on the basis of degree of relative mispricing. The purpose of this study is to explore one new and alternative copula-based method for pairs trading. The objective is to find out whether the copula method generates more trading opportunities and higher profits than the more traditional distance and cointegration methods applied extensively in previous empirical studies. Methods are compared by selecting top five pairs from stocks of the large and medium-sized companies in the Finnish stock market. The research period includes years 2006-2015. All the methods are proven to be profitable and the Finnish stock market suitable for pairs trading. However, copula method doesn’t generate more trading opportunities or higher profits than the other methods. It seems that the limitations of the more traditional methods are not too restrictive for this particular sample data.

Examining current facilitative practices and projections of activity-based physical education degree programs regarding the participation of individuals with disabilties /

Individuals with disabiliiies are increasingly accessing post secondary education opportunities to further develop their educational and career goals. This study examines the current facilitative practices of Canadian university activity-based physical education degree programs on the participation of individuals with disabilities. A critical orientation and descriptive/interpretative approach allows insight into unique stories and experiences of physical education practitioners and special needs professionals as they attempt to provide equitable educational experiences within a least restrictive environment. Leading practitioners are used to triangulate and strengthen the validity of the data while providing direction and advocacy for future development and inclusion of individuals with disabilities. The study concludes with seven recommendations, each providing university activity-based physical education degree programs with viable opportunities for helping create equitable opportunities for individuals with disabilities.

Using fuction-based CBT with parent involvement to treat OCD in two school-age children with high-functioning autism

Obsessive Compulsive Disorder (OCD) involves excessive worry coupled with engaging in rituals that are believed to help alleviate the worry. Pervasive Developmental Disorders (PODs) are characterized by impairments in social interaction, communication, and the presence of repetitive and/or restrictive behaviours (American Psychiatric Association, 2000). Research suggests that as many as 81% of children with a POD also meet criteria for a diagnosis ofOCD. Currently, only a handful of studies have investigated the use of Cognitive Behavioural Therapy (CBT) in treating OCD in children with autism (Reaven & Hepburn, 2003 ; Sze & Wood, 2007; Lehmkuhl, Storch, Bodtish & Geflken, 2008). In these case studies. the use of a multi-modal CBT treatment package was successful in alleviating OCD behaviours. The current study used function-based CBT with parent involvement and behavioural supplements to treat 2 children with POD and OCD. Using a multiple baseline design across behaviours and participants, parents reported that their child 's anxiety was alleviated and these gains were maintained at 6-month follow-up. According to results of the Children 's Yale-Brown Obsessive Compulsive Scale (Goodman, Price, Rasmussen, Riddle, & Rapoport, 1986) from preto post-test, OCD behaviours of the children decreased II"om the severe to the mild range. In addition, the parents rated the family's level of interference related to their child 's OCD as substantially lower. Last, the CBT treatment received high ratings of consumer satisfaction.

Integrating Media Education Into the Curriculum: What Chinese Educators Can Learn from Ontario Education

This study sought to determine if and how the Ontario approach to integrating media education into the curriculum can be applied to Chinese education. The study used thematic analyses to identify the Ontario curriculum‘s attributes and approach to teaching media literacy, and to investigate relevant policies and national curriculum standards in Chinese compulsory education to reveal the status quo of Chinese media education. Finally, the study explored the feasibility of applying the Ontario media education model in China. Findings indicate that the Ontario model can be employed in the Chinese context, but only partly so, because current Chinese media education is limited by protectionism and restrictive policies corresponding to the use of media merely as research tools.

GA approach for finding Rough Set decision rules based on bireducts

Feature selection plays an important role in knowledge discovery and data mining nowadays. In traditional rough set theory, feature selection using reduct - the minimal discerning set of attributes - is an important area. Nevertheless, the original definition of a reduct is restrictive, so in one of the previous research it was proposed to take into account not only the horizontal reduction of information by feature selection, but also a vertical reduction considering suitable subsets of the original set of objects. Following the work mentioned above, a new approach to generate bireducts using a multi--objective genetic algorithm was proposed. Although the genetic algorithms were used to calculate reduct in some previous works, we did not find any work where genetic algorithms were adopted to calculate bireducts. Compared to the works done before in this area, the proposed method has less randomness in generating bireducts. The genetic algorithm system estimated a quality of each bireduct by values of two objective functions as evolution progresses, so consequently a set of bireducts with optimized values of these objectives was obtained. Different fitness evaluation methods and genetic operators, such as crossover and mutation, were applied and the prediction accuracies were compared. Five datasets were used to test the proposed method and two datasets were used to perform a comparison study. Statistical analysis using the one-way ANOVA test was performed to determine the significant difference between the results. The experiment showed that the proposed method was able to reduce the number of bireducts necessary in order to receive a good prediction accuracy. Also, the influence of different genetic operators and fitness evaluation strategies on the prediction accuracy was analyzed. It was shown that the prediction accuracies of the proposed method are comparable with the best results in machine learning literature, and some of them outperformed it.

‘Designer Vaginas': The Representation of Female Genitals on Canadian Cosmetic Surgeons' Websites

This thesis critically examines the online marketing tactics of 10 (English language) Canadian cosmetic surgery clinics’ websites that offer Female Genital Cosmetic Surgery (FGCS), specifically, labiaplasty (labial reduction) and vaginoplasty (vaginal tightening). Drawing on a qualitative Multimodal Critical Discourse Analysis (MCDA) and a feminist-informed social constructionist framework (Lazar, 2007), I examine how FGCS discourses reiterate and reinforce heteronormative sexual scripts for women, and impose restrictive models of femininity through the pathologization of genital diversity and the appropriation of postfeminist and neoliberal discourses of individual choice and empowerment. I explore feminist analyses of the links between FGCS and contemporary Western women’s postfeminist subjectivity, and the reconfiguration of women’s sexual agency, to better understand what these contemporary shifts may mean for women’s sexual anxiety and expression. My analysis highlights several discourses that organize the online marketing material of Canadian FGCS websites, including: the pathologization of genital diversity; restrictive models of femininity; heteronormative sexual scripts; neoliberal and post-feminist rhetorics of individual choice and empowerment; and psychological and sexual transformation. Overall, these discourses undermine acceptance of women’s genital diversity, legitimize the FGCS industry and frame FGCS as the only viable solution to alleviate women’s genital and sexual distress despite the lack of evidence regarding the long-term benefits and risks of these procedures, and the recommendations against FGCS by professional medical organizations.

How do Young People Choose College Majors?

Previous studies on the determinants of the choice of college major have assumed a constant probability of success across majors or a constant earnings stream across majors. Our model disregards these two restrictive assumptions in computing an expected earnings variable to explain the probability that a student will choose a specific major among four choices of concentrations. The construction of an expected earnings variable requires information on the student s perceived probability of success, the predicted earnings of graduates in all majors and the student s expected earnings if he (she) fails to complete a college program. Using data from the National Longitudinal Survey of Youth, we evaluate the chances of success in all majors for all the individuals in the sample. Second, the individuals' predicted earnings of graduates in all majors are obtained using Rumberger and Thomas's (1993) regression estimates from a 1987 Survey of Recent College Graduates. Third, we obtain idiosyncratic estimates of earnings alternative of not attending college or by dropping out with a condition derived from our college major decision-making model applied to our sample of college students. Finally, with a mixed multinominal logit model, we explain the individuals' choice of a major. The results of the paper show that the expected earnings variable is essential in the choice of a college major. There are, however, significant differences in the impact of expected earnings by gender and race.

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

The GARCH and Stochastic Volatility paradigms are often brought into conflict as two competitive views of the appropriate conditional variance concept : conditional variance given past values of the same series or conditional variance given a larger past information (including possibly unobservable state variables). The main thesis of this paper is that, since in general the econometrician has no idea about something like a structural level of disaggregation, a well-written volatility model should be specified in such a way that one is always allowed to reduce the information set without invalidating the model. To this respect, the debate between observable past information (in the GARCH spirit) versus unobservable conditioning information (in the state-space spirit) is irrelevant. In this paper, we stress a square-root autoregressive stochastic volatility (SR-SARV) model which remains true to the GARCH paradigm of ARMA dynamics for squared innovations but weakens the GARCH structure in order to obtain required robustness properties with respect to various kinds of aggregation. It is shown that the lack of robustness of the usual GARCH setting is due to two very restrictive assumptions : perfect linear correlation between squared innovations and conditional variance on the one hand and linear relationship between the conditional variance of the future conditional variance and the squared conditional variance on the other hand. By relaxing these assumptions, thanks to a state-space setting, we obtain aggregation results without renouncing to the conditional variance concept (and related leverage effects), as it is the case for the recently suggested weak GARCH model which gets aggregation results by replacing conditional expectations by linear projections on symmetric past innovations. Moreover, unlike the weak GARCH literature, we are able to define multivariate models, including higher order dynamics and risk premiums (in the spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference. Finally, we are able to characterize the exact relationships between our SR-SARV models (including higher order dynamics, leverage effect and in-mean effect), usual GARCH models and continuous time stochastic volatility models, so that previous results about aggregation of weak GARCH and continuous time GARCH modeling can be recovered in our framework.