938 resultados para Empirical asset pricing


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The torsional potential functions Vt(phi) and Vt(psi) around single bonds N--C alpha and C alpha--C, which can be used in conformational studies of oligopeptides, polypeptides and proteins, have been derived, using crystal structure data of 22 globular proteins, fitting the observed distribution in the (phi, psi)-plane with the value of Vtot(phi, psi), using the Boltzmann distribution. The averaged torsional potential functions, obtained from various amino acid residues in L-configuration, are Vt(phi) = 1.0 cos (phi + 60 degrees); Vt(psi) = 0.5 cos (psi + 60 degrees) - 1.0 cos (2 psi + 30 degrees) - 0.5 cos (3 psi + 30 degrees). The dipeptide energy maps Vtot(phi, psi) obtained using these functions, instead of the normally accepted torsional functions, were found to explain various observations, such as the absence of the left-handed alpha helix and the C7 conformation, and the relatively high density of points near the line psi = 0 degrees. These functions derived from observational data on protein structures, will, it is hoped, explain various previously unexplained facts in polypeptide conformation.

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A technique based on empirical orthogonal functions is used to estimate hydrologic time-series variables at ungaged locations. The technique is applied to estimate daily and monthly rainfall, temperature and runoff values. The accuracy of the method is tested by application to locations where data are available. The second-order characteristics of the estimated data are compared with those of the observed data. The results indicate that the method is quick and accurate.

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The torsional potential functions Vt(φ) and Vt(ψ) around single bonds N–Cα and Cα-C, which can be used in conformational studies of oligopeptides, polypeptides and proteins, have been derived, using crystal structure data of 22 globular proteins, fitting the observed distribution in the (φ, ψ)-plane with the value of Vtot(φ, ψ), using the Boltzmann distribution. The averaged torsional potential functions, obtained from various amino acid residues in l-configuration, are Vt(φ) = – 1.0 cos (φ + 60°); Vt(ψ) = – 0.5 cos (ψ + 60°) – 1.0 cos (2ψ + 30°) – 0.5 cos (3ψ + 30°). The dipeptide energy maps Vtot(φ, ψ) obtained using these functions, instead of the normally accepted torsional functions, were found to explain various observations, such as the absence of the left-handed alpha helix and the C7 conformation, and the relatively high density of points near the line ψ = 0°. These functions, derived from observational data on protein structures, will, it is hoped, explain various previously unexplained facts in polypeptide conformation.

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This thesis studies the effect of income inequality on economic growth. This is done by analyzing panel data from several countries with both short and long time dimensions of the data. Two of the chapters study the direct effect of inequality on growth, and one chapter also looks at the possible indirect effect of inequality on growth by assessing the effect of inequality on savings. In Chapter two, the effect of inequality on growth is studied by using a panel of 70 countries and a new EHII2008 inequality measure. Chapter contributes on two problems that panel econometric studies on the economic effect of inequality have recently encountered: the comparability problem associated with the commonly used Deininger and Squire s Gini index, and the problem relating to the estimation of group-related elasticities in panel data. In this study, a simple way to 'bypass' vagueness related to the use of parametric methods to estimate group-related parameters is presented. The idea is to estimate the group-related elasticities implicitly using a set of group-related instrumental variables. The estimation results with new data and method indicate that the relationship between income inequality and growth is likely to be non-linear. Chapter three incorporates the EHII2.1 inequality measure and a panel with annual time series observations from 38 countries to test the existence of long-run equilibrium relation(s) between inequality and the level of GDP. Panel unit root tests indicate that both the logarithmic EHII2.1 inequality measure and the logarithmic GDP per capita series are I(1) nonstationary processes. They are also found to be cointegrated of order one, which implies that there is a long-run equilibrium relation between them. The long-run growth elasticity of inequality is found to be negative in the middle-income and rich economies, but the results for poor economies are inconclusive. In the fourth Chapter, macroeconomic data on nine developed economies spanning across four decades starting from the year 1960 is used to study the effect of the changes in the top income share to national and private savings. The income share of the top 1 % of population is used as proxy for the distribution of income. The effect of inequality on private savings is found to be positive in the Nordic and Central-European countries, but for the Anglo-Saxon countries the direction of the effect (positive vs. negative) remains somewhat ambiguous. Inequality is found to have an effect national savings only in the Nordic countries, where it is positive.

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We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

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Automated synthesis of mechanical designs is an important step towards the development of an intelligent CAD system. Research into methods for supporting conceptual design using automated synthesis has attracted much attention in the past decades. The research work presented here is based on the processes of synthesizing multiple state mechanical devices carried out individually by ten engineering designers. The designers are asked to think aloud, while carrying out the synthesis. The ten design synthesis processes are video recorded, and the records are transcribed and coded for identifying activities occurring in the synthesis processes, as well as for identifying the inputs to and outputs from the activities. A mathematical representation for specifying multi-state design task is proposed. Further, a descriptive model capturing all the ten synthesis processes is developed and presented in this paper. This will be used to identify the outstanding issues to be resolved before a system for supporting design synthesis of multiple state mechanical devices that is capable of creating a comprehensive variety of solution alternatives could be developed.

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The research shown in this paper is to check whether a framework for designing: GEMS of SAPPhIRE as req-sol, developed earlier, can support in the designing of novel concepts. This is done by asking the questions: (a) Is there a relationship between the constructs of the framework and novelty? (b) If there is a relationship, what is the degree of this relationship? A hypothesis — an increase in the size and variety of ideas used while designing should enhance the variety of concepts produced, leading to an increase in the novelty of the concept space — is developed to explain the relationship between novelty and the constructs. Eight existing observational studies of designing sessions, each involving an individual designer solving a conceptual design problem by following a think aloud protocol are used for the analysis. The hypothesis is verified empirically using the observational studies. Results also show a strong correlation between novelty and the constructs of the framework; correlation value decreases as the abstraction level of the constructs reduces, signifying the importance of using constructs at higher abstraction levels especially for novelty.

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Pricing is an effective tool to control congestion and achieve quality of service (QoS) provisioning for multiple differentiated levels of service. In this paper, we consider the problem of pricing for congestion control in the case of a network of nodes under a single service class and multiple queues, and present a multi-layered pricing scheme. We propose an algorithm for finding the optimal state dependent price levels for individual queues, at each node. The pricing policy used depends on a weighted average queue length at each node. This helps in reducing frequent price variations and is in the spirit of the random early detection (RED) mechanism used in TCP/IP networks. We observe in our numerical results a considerable improvement in performance using our scheme over that of a recently proposed related scheme in terms of both throughput and delay performance. In particular, our approach exhibits a throughput improvement in the range of 34 to 69 percent in all cases studied (over all routes) over the above scheme.

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This paper analyses the efficiency and productivity growth of Electronics industry, which is considered one of the vibrant and rapidly growing manufacturing industry sub-sectors of India in the liberalization era since 1991. The main objective of the paper is to examine the extent and growth of Total Factor Productivity (TFP) and its components namely, Technical Efficiency Change (TEC) and Technological Progress (TP) and its contribution to total output growth. In this study, the electronics industry is broadly classified into communication equipments, computer hardware, consumer electronics and other electronics, with the purpose of performing a comparative analysis of productivity growth for each of these sub-sectors for the time period 1993-2004. The paper found that the sub-sectors have improved in terms of economies of scale and contribution of capital.The change in technical efficiency and technological progress moved in reverse directions. Three of the four industry witnessed growth in the output primarily due to TFPG and the contribution of input growth to output growth had been negative/negligible, except for Computer hardware where contribution from both input growth and TFPG to output growth were prominent. The paper explored the possible reasons that addressed the issue of low technical efficiency and technological progress in the industry.