Evaluating the Predictability of the Volatility Smile Using Return Distributions

In this paper, we examine the predictability of observed volatility smiles in three major European index options markets, utilising the historical return distributions of the respective underlying assets. The analysis involves an application of the Black (1976) pricing model adjusted in accordance with the Jarrow-Rudd methodology as proposed in 1982. Thereby we adjust the expected future returns for the third and fourth central moments as these represent deviations from normality in the distributions of observed returns. Thus, they are considered one possible explanation to the existence of the smile. The obtained results indicate that the inclusion of the higher moments in the pricing model to some extent reduces the volatility smile, compared with the unadjusted Black-76 model. However, as the smile is partly a function of supply, demand, and liquidity, and as such intricate to model, this modification does not appear sufficient to fully capture the characteristics of the smile.

Exploring energy-performance trade-offs for heterogeneous interconnect clustered VLIW processors

Clustered architecture processors are preferred for embedded systems because centralized register file architectures scale poorly in terms of clock rate, chip area, and power consumption. Although clustering helps by improving clock speed, reducing energy consumption of the logic, and making the design simpler, it introduces extra overheads by way of inter-cluster communication. This communication happens over long global wires which leads to delay in execution and significantly high energy consumption.In this paper, we propose a new instruction scheduling algorithm that exploits scheduling slacks of instructions and communication slacks of data values together to achieve better energy-performance trade-offs for clustered architectures with heterogeneous interconnect. Our instruction scheduling algorithm achieves 35% and 40% reduction in communication energy, whereas the overall energy-delay product improves by 4.5% and 6.5% respectively for 2 cluster and 4 cluster machines with marginal increase (1.6% and 1.1%) in execution time. Our test bed uses the Trimaran compiler infrastructure.

Comparative study of filter-bank mean-energy distance for automated segmentation of speech signals

This paper describes a method of automated segmentation of speech assuming the signal is continuously time varying rather than the traditional short time stationary model. It has been shown that this representation gives comparable if not marginally better results than the other techniques for automated segmentation. A formulation of the 'Bach' (music semitonal) frequency scale filter-bank is proposed. A comparative study has been made of the performances using Mel, Bark and Bach scale filter banks considering this model. The preliminary results show up to 80 % matches within 20 ms of the manually segmented data, without any information of the content of the text and without any language dependence. 'Bach' filters are seen to marginally outperform the other filters.

Customer Energy in Relationships

All companies have a portfolio of customer relationships. From a managerial standpoint the value of these customer relationships is a key issue. The aim of the paper is to introduce a conceptual framework for customers’ energy towards a service provider. Customer energy is defined as the cognitive, affective and behavioural effort a customer puts into the purchase of an offering. It is based on two dimensions: life theme involvement and relationship commitment. Data from a survey study of 425 customers of an online gambling site was combined with data about their individual purchases and activity. Analysis showed that involvement and commitment influence both customer behaviour and attitudes. Customer involvement was found to be strongly related to overall spending within a consumption area, whereas relationship commitment is a better predictor of the amount of money spent at a particular company. Dividing the customers into four different involvement / commitment segments revealed differences in churn rates, word-of-mouth, brand attitude, switching propensity and the use of the service for socializing. The framework provides a tool for customer management by revealing differences in fundamental drivers of customer behaviour resulting in completely new customer portfolios. Knowledge of customer energy allows companies to manage their communication and offering development better and provides insight into the risk of losing a customer.

Photophysics of conjugated polymers: interplay between Forster energy migration and defect concentration in shaping a photochemical funnel in PPV

Recent single molecule experiments have suggested the existence of a photochemical funnel in the photophysics of conjugated polymers, like poly[2-methoxy-5-(2'-ethylhexyl)oxy-1,4-phenylenevinylene] (MEH-PPV). The funnel is believed to be a consequence of the presence of conformational or chemical defects along the polymer chain and efficient non-radiative energy transfer among different chromophore segments. Here we address the effect of the excitation energy dynamics on the photophysics of PPV. The PPV chain is modeled as a polymer with the length distribution of chromophores given either by a Gaussian or by a Poisson distribution. We observe that the Poisson distribution of the segment lengths explains the photophysics of PPV better than the Gaussian distribution. A recently proposed version of an extended particle-in-a-box' model is used to calculate the exciton energies and the transition dipole moments of the chromophores, and a master equation to describe the excitation energy transfer among different chromophores. The rate of energy transfer is assumed to be given here, as a first approximation, by the well-known Forster expression. The observed excitation population dynamics confirms the photochemical funneling of excitation energy from shorter to longer chromophores of the polymer chain. The time scale of spectral shift and energy transfer for our model polymer, with realistic values of optical parameters, is in the range of 200-300 ps. We find that the excitation energy may not always migrate towards the longest chromophore segments in the polymer chain as the efficiency of energy transfer between chromophores depends on the separation distance between the two and their relative orientation.

Observation of reduced activation energy and the possible existence of decoupled pancake vortices in superconductor/ferromagnet bilayers

Investigations of different superconducting (S)/ferromagnetic (F) heterostructures grown by pulsed laser deposition reveal that the activation energy (U) for the vortex motion in a high T-c superconductor is reduced remarkably by the presence of F layers. The U exhibits a logarithmic dependence on the applied magnetic field in the S/F bilayers suggesting the existence of decoupled two-dimensional (2D) pancake vortices. This result is discussed in terms of the reduction in the effective S layer thickness and the weakening of the S coherence length due to the presence of F layers. In addition, the U and the superconducting T-c in YBa2Cu3O7-delta/La0.5Sr0.5CoO3 bilayers are observed to be much lower than in the YBa2Cu3O7-delta/La0.7Sr0.3MnO3 ones. This in turn suggests that the degree of spin polarization of the F layer might not play a crucial role for the suppression of superconductivity due to a spin polarized induced pair-breaking effect in S/F bilayers.

Influence of viscoelastic nature on the intermittent peel-front dynamics of adhesive tape

We investigate the influence of viscoelastic nature of the adhesive on the intermittent peel front dynamics by extending a recently introduced model for peeling of an adhesive tape. As time and rate-dependent deformation of the adhesives are measured in stationary conditions, a crucial step in incorporating the viscoelastic effects applicable to unstable intermittent peel dynamics is the introduction of a dynamization scheme that eliminates the explicit time dependence in terms of dynamical variables. We find contrasting influences of viscoelastic contribution in different regions of tape mass, roller inertia, and pull velocity. As the model acoustic energy dissipated depends on the nature of the peel front and its dynamical evolution, the combined effect of the roller inertia and pull velocity makes the acoustic energy noisier for small tape mass and low-pull velocity while it is burstlike for low-tape mass, intermediate values of the roller inertia and high-pull velocity. The changes are quantified by calculating the largest Lyapunov exponent and analyzing the statistical distributions of the amplitudes and durations of the model acoustic energy signals. Both single and two stage power-law distributions are observed. Scaling relations between the exponents are derived which show that the exponents corresponding to large values of event sizes and durations are completely determined by those for small values. Th scaling relations are found to be satisfied in all cases studied. Interestingly, we find only five types of model acoustic emission signals among multitude of possibilities of the peel front configurations.

Study of the electronic structures of high Tc cuprate superconductors by electron energy loss and secondary electron emission spectroscopies

Energy loss spectra of superconducting YBa2Cu3O6.9' Bi1.5Pb0.5Ca2.5Sr1.5Cu3O10+δ and Tl2CaBa2Cu3O8 obtained at primary electron energies in the 170–310 eV range show features reflecting the commonalities in their electronic structures. The relative intensity of the plasmon peak shows a marked drop across the transition temperature. Secondary electron emission spectra of the cuprates also reveal some features of the electronic structure.

Time-dependent analysis of an N2O gasdynamic laser

A simplified two-temperature model is presented for the vibrational energy levels of the N2O and N2 molecules of an N2O-N2-He gasdynamic laser (GDL), and the governing equations for the unsteady flow of the gas mixture in a convergent-divergent contour nozzle are solved using a time-dependent numerical technique. Final steady-state distributions are obtained for vibrational temperatures, population inversion, and the small-signal laser gain along the nozzle. It is demonstrated that, for plenum temperatures lower than 1200 K, an N2O GDL such as the present is more efficient than a CO2 GDL in identical operating conditions

Electronic-Transitions In Hydrogen-Bonded Dimers Of Carboxylic-Acids In The Vapor-Phase - An Electron-Energy Loss Spectroscopic Study

An electron energy loss spectroscopic study of the formic acid dimer has shown bands centred around 7.2, 8.5, 9.8, and 11.1 eV, of which the first and the third bands are assigned to n- rc* transitions and the other two to n-n* transitions; similar transitions are found in the acetic acid dimer.

Hydration of ions under confinement

Molecular dynamics simulations are used to examine the changes in water density and hydration characteristics of NaCl solutions confined in slit-shaped graphitic pores. Using a structural signature, we define the hydration limit as the salt concentration at which a sharp drop in the hydration number is observed. At small pores (H = 8.0-10 angstrom), confined water does not possess bulk-like features and remains in a layered arrangement between two surfaces. Despite this high degree of confinement, ions are able to form a quasi-2D hydration shell between two surfaces. Our results indicate the strong propensity of ions to form the first hydration shell, even under extremely confined aqueous environments. The hydration of ions is seen to weakly perturb the oxygen density distributions between two surfaces. The hydration number of Na+ reduces to about 4.15 at a pore width of H = 0.8 nm, when compared with the bulk hydration number of 6.25. At larger pore widths, above H = 16 angstrom, where bulk-like water densities are observed in the central regions of the pore, the hydration number is above 6.

Energy dispersive backscattering of electrons from surface resonances of a disordered medium and 1/f noise

Anderson localised states in the bulk of a disordered medium appear as sharp resonances near the surface. The resonant backscattering leads to an energy-dependent random time delay for an incident electron. We derive an analytic expression for the delay-time probability distribution at a given energy. This is shown to give a 1/f noise for the surface currents in general.

Surface modifications in single crystal surfaces of YBa2Cu3O7-delta upon high energy ion irradiation

Atomic force microscopy investigations on swift heavy ion (200 MeV An) irradiated surfaces of a high T-c single crystal YBa2Cu3O7-delta are presented. Results obtained revealed an ion-induced erosion/sputtering clearly confirming our earlier observation on grain boundary dominated thin films. Apart from sputtering, notable effects were seen with many defect structures like dikes/hillocks surrounded by craters, dikes, holes, pearl like structures and ripple formation of sub-micron undulations, all in one crystal. Results are discussed in the light of co-operative phenomena of material re-distribution mechanism related to mass transfer and crater formations.