Principal component and second generation wavelet analysis of Treasury yield curve evolution

Prices of U.S. Treasury securities vary over time and across maturities. When the market in Treasurys is sufficiently complete and frictionless, these prices may be modeled by a function time and maturity. A cross-section of this function for time held fixed is called the yield curve; the aggregate of these sections is the evolution of the yield curve. This dissertation studies aspects of this evolution. ^ There are two complementary approaches to the study of yield curve evolution here. The first is principal components analysis; the second is wavelet analysis. In both approaches both the time and maturity variables are discretized. In principal components analysis the vectors of yield curve shifts are viewed as observations of a multivariate normal distribution. The resulting covariance matrix is diagonalized; the resulting eigenvalues and eigenvectors (the principal components) are used to draw inferences about the yield curve evolution. ^ In wavelet analysis, the vectors of shifts are resolved into hierarchies of localized fundamental shifts (wavelets) that leave specified global properties invariant (average change and duration change). The hierarchies relate to the degree of localization with movements restricted to a single maturity at the base and general movements at the apex. Second generation wavelet techniques allow better adaptation of the model to economic observables. Statistically, the wavelet approach is inherently nonparametric while the wavelets themselves are better adapted to describing a complete market. ^ Principal components analysis provides information on the dimension of the yield curve process. While there is no clear demarkation between operative factors and noise, the top six principal components pick up 99% of total interest rate variation 95% of the time. An economically justified basis of this process is hard to find; for example a simple linear model will not suffice for the first principal component and the shape of this component is nonstationary. ^ Wavelet analysis works more directly with yield curve observations than principal components analysis. In fact the complete process from bond data to multiresolution is presented, including the dedicated Perl programs and the details of the portfolio metrics and specially adapted wavelet construction. The result is more robust statistics which provide balance to the more fragile principal components analysis. ^

Análise wavelet e modelo de manchas em curvas de luz estelares dos telescópios espaciais Kepler e CoRoT

Analogous to sunspots and solar photospheric faculae, which visibility is modulated by stellar rotation, stellar active regions consist of cool spots and bright faculae caused by the magnetic field of the star. Such starspots are now well established as major tracers used to estimate the stellar rotation period, but their dynamic behavior may also be used to analyze other relevant phenomena such as the presence of magnetic activity and its cycles. To calculate the stellar rotation period, identify the presence of active regions and investigate if the star exhibits or not differential rotation, we apply two methods: a wavelet analysis and a spot model. The wavelet procedure is also applied here to study pulsation in order to identify specific signatures of this particular stellar variability for different types of pulsating variable stars. The wavelet transform has been used as a powerful tool for treating several problems in astrophysics. In this work, we show that the time-frequency analysis of stellar light curves using the wavelet transform is a practical tool for identifying rotation, magnetic activity, and pulsation signatures. We present the wavelet spectral composition and multiscale variations of the time series for four classes of stars: targets dominated by magnetic activity, stars with transiting planets, those with binary transits, and pulsating stars. We applied the Morlet wavelet (6th order), which offers high time and frequency resolution. By applying the wavelet transform to the signal, we obtain the wavelet local and global power spectra. The first is interpreted as energy distribution of the signal in time-frequency space, and the second is obtained by time integration of the local map. Since the wavelet transform is a useful mathematical tool for nonstationary signals, this technique applied to Kepler and CoRoT light curves allows us to clearly identify particular signatures for different phenomena. In particular, patterns were identified for the temporal evolution of the rotation period and other periodicity due to active regions affecting these light curves. In addition, a beat-pattern vii signature in the local wavelet map of pulsating stars over the entire time span was also detected. The second method is based on starspots detection during transits of an extrasolar planet orbiting its host star. As a planet eclipses its parent star, we can detect physical phenomena on the surface of the star. If a dark spot on the disk of the star is partially or totally eclipsed, the integrated stellar luminosity will increase slightly. By analyzing the transit light curve it is possible to infer the physical properties of starspots, such as size, intensity, position and temperature. By detecting the same spot on consecutive transits, it is possible to obtain additional information such as the stellar rotation period in the planetary transit latitude, differential rotation, and magnetic activity cycles. Transit observations of CoRoT-18 and Kepler-17 were used to implement this model.

Luoghi geometrici e curve celebri

Scopo di questo elaborato è affrontare lo studio di luoghi geometrici piani partendo dagli esempi più semplici che gli studenti incontrano nel loro percorso scolastico, per poi passare a studiare alcune curve celebri che sono definite come luoghi geometrici. Le curve nell'elaborato vengono disegnate con l'ausilio di Geogebra, con il quale sono state preparate delle animazioni da mostrare agli studenti. Di alcuni luoghi si forniscono dapprima le equazioni parametriche e successivamente, attraverso il teorema di eliminazione e il software Singular, viene ricavata l'equazione cartesiana.

Evaluation of the ECOSSE model for simulating soil organic carbon under Miscanthus and short rotation coppice-willow crops in Britain

Acknowledgements This work contributes to the ELUM (Ecosystem Land Use Modelling & Soil Carbon GHG Flux Trial) project, which was commissioned and funded by the Energy Technologies Institute (ETI). We acknowledge the E-OBS data set from the EU-FP6 project ENSEMBLES (http://ensembles-eu.metoffice.com) and the data providers in the ECA&D project (http://www.ecad.eu).

Bilingual Advantage in Executive Functioning: P-Curve Meta-Analysis

Other

Courbe de rotation de la galaxie à partir de la photométrie d'amas situés à la périphérie du disque

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Courbe de rotation de la galaxie à partir de la photométrie d'amas situés à la périphérie du disque

Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

Siblings’ Sex is linked to Mental Rotation Performance in Males but not Females

Research has consistently found sex differences in mental rotation. Twin research has suggested that females with male co-twins perform better than females with female co-twins on mental rotation. Because twins share both pre-natal and post-natal environments, it is not possible to test whether this advantage is due to in-uterine transmission of testosterone from males to females or due to socialisation processes. The present study explored whether the advantage of females with brothers can be observed in non-twin siblings. Participants (N = 1799) were assessed on mental rotation. The observed group differences were overall small: males performed significantly better than females; females with sisters performed similarly to females with brothers; importantly, males with brothers performed significantly better than both female groups. The results suggest that sex differences in mental rotation are driven by the group of males with brothers.

Catalyst screening: Refinement of the origin of the volcano curve and its implication in heterogeneous catalysis

Understanding the overall catalytic activity trend for rational catalyst design is one of the core goals in heterogeneous catalysis. In the past two decades, the development of density functional theory (DFT) and surface kinetics make it feasible to theoretically evaluate and predict the catalytic activity variation of catalysts within a descriptor-based framework. Thereinto, the concept of the volcano curve, which reveals the general activity trend, usually constitutes the basic foundation of catalyst screening. However, although it is a widely accepted concept in heterogeneous catalysis, its origin lacks a clear physical picture and definite interpretation. Herein, starting with a brief review of the development of the catalyst screening framework, we use a two-step kinetic model to refine and clarify the origin of the volcano curve with a full analytical analysis by integrating the surface kinetics and the results of first-principles calculations. It is mathematically demonstrated that the volcano curve is an essential property in catalysis, which results from the self-poisoning effect accompanying the catalytic adsorption process. Specifically, when adsorption is strong, it is the rapid decrease of surface free sites rather than the augmentation of energy barriers that inhibits the overall reaction rate and results in the volcano curve. Some interesting points and implications in assisting catalyst screening are also discussed based on the kinetic derivation. Moreover, recent applications of the volcano curve for catalyst design in two important photoelectrocatalytic processes (the hydrogen evolution reaction and dye-sensitized solar cells) are also briefly discussed.

Molteplicità dell'intersezione di curve algebriche piane

La tesi si prefigge di definire la molteplicità dell’intersezione tra due curve algebriche piane. La trattazione sarà sviluppata in termini algebrici, per mezzo dello studio degli anelli locali. In seguito, saranno discusse alcune proprietà e sarà proposto qualche esempio di calcolo. Nel terzo capitolo, l’interesse volgerà all’intersezione tra una varietà e un’ipersuperficie di uno spazio proiettivo n-dimensionale. Verrà definita un’ulteriore di molteplicità dell’intersezione, che costituirà una generalizzazione di quella menzionata nei primi due capitoli. A partire da questa definizione, sarà possibile enunciare una versione estesa del Teorema di Bezout. L’ultimo capitolo focalizza l’attenzione nuovamente sulle curve piane, con l’intento di studiarne la topologia in un intorno di un punto singolare. Si introduce, in particolare, l’importante nozione di link di un punto singolare.