Scaling and data collapse for the mean exit time of asset prices

We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.

The Foundational Significance of Leggett's Non-local Hidden-Variable Theories

Laudisa (Found. Phys. 38:1110-1132, 2008) claims that experimental research on the class of non-local hidden-variable theories introduced by Leggett is misguided, because these theories are irrelevant for the foundations of quantum mechanics. I show that Laudisa's arguments fail to establish the pessimistic conclusion he draws from them. In particular, it is not the case that Leggett-inspired research is based on a mistaken understanding of Bell's theorem, nor that previous no-hidden-variable theorems already exclude Leggett's models. Finally, I argue that the framework of Bohmian mechanics brings out the importance of Leggett tests, rather than proving their irrelevance, as Laudisa supposes.

Damage spreading transition in glasses: A probe for the ruggedness of the configurational landscape

We consider damage spreading transitions in the framework of mode-coupling theory. This theory describes relaxation processes in glasses in the mean-field approximation which are known to be characterized by the presence of an exponentially large number of metastable states. For systems evolving under identical but arbitrarily correlated noises, we demonstrate that there exists a critical temperature T0 which separates two different dynamical regimes depending on whether damage spreads or not in the asymptotic long-time limit. This transition exists for generic noise correlations such that the zero damage solution is stable at high temperatures, being minimal for maximal noise correlations. Although this dynamical transition depends on the type of noise correlations, we show that the asymptotic damage has the good properties of a dynamical order parameter, such as (i) independence of the initial damage; (ii) independence of the class of initial condition; and (iii) stability of the transition in the presence of asymmetric interactions which violate detailed balance. For maximally correlated noises we suggest that damage spreading occurs due to the presence of a divergent number of saddle points (as well as metastable states) in the thermodynamic limit consequence of the ruggedness of the free-energy landscape which characterizes the glassy state. These results are then compared to extensive numerical simulations of a mean-field glass model (the Bernasconi model) with Monte Carlo heat-bath dynamics. The freedom of choosing arbitrary noise correlations for Langevin dynamics makes damage spreading an interesting tool to probe the ruggedness of the configurational landscape.

I-74 Iowa/Illinois Corridor Study Aesthetic Design Guideline April 6, 2009

The I-74 Aesthetic Design Guideline (ADG) document has two primary goals: To establish and identify an overall design theme To prioritize enhancement opportunities within the framework of corridor elements The recommendations of this report have been developed based on an “unconstrained” framework for future corridor–wide enhancements. Future funding availability, along with the recommendations of this report, will guide the final design process. ADG Future Uses: This document is intended to be used as a reference to future processes in the following ways: Guidance for I-74 final design teams Reference document for future local community redevelopment initiatives Inspiration for identification and development of other I-74 corridor aesthetic enhancement opportunities Process: As illustrated in Figure 1.3, the overall process for corridor aesthetics began traditionally with inventory and identification of potential aesthetic applications. The ADG does not document all the reports and presentations related to these early design stages, but has incorporated these efforts into the design theme, guiding principles and prioritized enhancements shown on the following pages of this report. The I-74 final design phase will incorporate these recommendations into the project. The consultant design team and representatives of the DOTs have worked with the CAAT members to facilitate community input and have helped develop recommendations for improving I-74 corridor aesthetics. CAAT recommendations have been advanced to the I-74 Advisory Committee for review and endorsement. Both DOTs have reviewed the CAAT recommendations and have endorsed the contents of this report. Figure 1.4 illustrates the status of corridor aesthetic design development. As of the date of this report, aesthetic design is approximately 50% complete. Future detailed design, cost evaluation, feasibility and prioritizations all need to occur for this process to be successfully completed.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Mossbauer studies of amorphous FeSi compositionally modulated thin films

Conversion electron Mossbauer spectra of composition modulated FeSi thin films have been analysed within the framework of a quasi shape independent model in which the distribution function for the hyperfine fields is assumed to be given by a binomial distribution. Both the hyperfine field and the hyperfine field distribution depend on the modulation characteristic length.

Simultaneous determination of Pu and Am radioisotopes in environmental samples: a tool for determining origin and release date

A radiochemical procedure was developed for the sequential determination of Pu and Am radioisotopes in environmental samples. The radioisotope activities were then used to assess the origin and release date of the environmental plutonium. The radioanalytical procedure is based on the separation of Pu and Am on selective extraction chromatographic resins (Eichrom TEVA and DGA). Alpha sources were prepared by electrodeposition on stainless steel discs, and the alpha emitting radionuclides (238Pu, 239,240Pu and 241Am) were measured by alpha spectrometry. For the determination of the beta emitting 241Pu, the Pu alpha source was leached in hot concentrated nitric acid and the Pu fraction further purified by extraction chromatography on a small column of TEVA resin (100 μg of resin in a pipette tip). 241Pu is then measured by ultra low level liquid scintillation counting. Due to the lack of reference material for 241Pu, the proposed radiochemical method was nevertheless validated using four IAEA reference sediments with information values of 241Pu. The proposed method was then used to determine the 238Pu, 239,240Pu, 241Pu and 241Am activity concentrations in alpine soils of France and Switzerland. The soil is the primary receptor of the atmospheric radioactive fallout and, because of the strong binding interaction with soils particles, the isotopes are little fractionated. Therefore, the activity ratios 241Pu/239+240Pu and 238Pu/239,240Pu in soil samples were used to determine the origin (source) and date of the Pu contamination in the investigated alpine sites. The 241Pu/239,240Pu and 238Pu/239,240Pu activity ratios confirmed that the main origin of Pu in the alpine soils was the global fallout from the nuclear bomb tests (NBT) in the fifties and sixties. Furthermore, the 241Pu/241Am activity ratios were used to determine the age of the Pu contamination, which is also an important data for distinguishing the Pu sources. The estimation of the date of the contamination, by the 241Pu/241Am age-dating method, further confirmed the NBT as the Pu source. However, the 241Pu/241Am dating method was limited to samples where Pu-Am fractionation was insignificant. If any, the contribution of the Chernobyl accident in the studied sites is negligible.

The maximun and the addition of assigment games

[cat] En el context dels mercats a dues bandes, considerem, en primer lloc, que els jugadors poden escollir on dur a terme les seves transaccions. Mostrem que el joc corresponent a aquesta situació, que es representa pel màxim d’un conjunt finit de jocs d’assignació, pot ser un joc no equilibrat. Aleshores proporcionem condicions per a l’equilibri del joc i, per aquest cas, analitzem algunes propietats del core del joc. En segon lloc, considerem que els jugadors poden fer transaccions en diversos mercats simultàniament i, llavors, sumar els guanys obtinguts. El joc corresponent, representat per la suma d’un conjunt finit de jocs d’assignació, és equilibrat. A més a més, sota certes condicions, la suma dels cores dels dos jocs d’assignació coincideix amb el core del joc suma.

Use of palm-oil by-products in chicken and rabbit feeds: effect on the fatty acid and tocol composition of meat, liver and plasma

This study was undertaken in the framework of a larger European project dealing with the characterization of fat co- and by-products from the food chain, available for feed uses. In this study, we compare the effects, on the fatty acid (FA) and tocol composition of chicken and rabbit tissues, of the addition to feeds of a palm fatty acid distillate, very low in trans fatty acids (TFA), and two levels of the corresponding hydrogenated by-product, containing intermediate and high levels of TFA. Thus, the experimental design included three treatments, formulated for each species, containing the three levels of TFA defined above. Obviously, due to the use of hydrogenated fats, the levels of saturated fatty acids (SFA) show clear differences between the three dietary treatments. The results show that diets high in TFA (76 g/kg fat) compared with those low in TFA (4.4 g/kg fat) led to a lower content of tocopherols and tocotrienols in tissues, although these differences were not always statistically significant, and show a different pattern for rabbit and chicken. The TFA content in meat, liver and plasma increased from low-to-high TFA feeds in both chicken and rabbit. However, the transfer ratios from feed were not proportional to the TFA levels in feeds, reflecting certain differences according to the animal species. Moreover, feeds containing fats higher in TFA induced significant changes in tissue SFA, monounsaturated fatty acids and polyunsaturated fatty acids composition, but different patterns can be described for chicken and rabbit and for each type of tissue.

Periodic forcing of scroll rings and control of Winfree turbulence in excitable media

By simulations of the Barkley model, action of uniform periodic nonresonant forcing on scroll rings and wave turbulence in three-dimensional excitable media is investigated. Sufficiently strong rapid forcing converts expanding scroll rings into the collapsing ones and suppresses the Winfree turbulence caused by the negative tension of wave filaments. Slow strong forcing has an opposite effect, leading to expansion of scroll rings and induction of the turbulence. These effects are explained in the framework of the phenomenological kinematic theory of scroll waves.

Lateglacial evolution of the Brenno glacier (Southern Swiss Alps) : preliminary results

The Lateglacial evolution of the Ticino glacier and tributaries is poorly known because of the lack of research by Quaternary geomorphologists during the last decades. In spite of the interest for the cryosphere reactions during the Lateglacial climate warming, only few scientific studies were carried out about the history of the northern valleys of the Ticino Alps during the deglaciation (e.g. Seiffert 1953, Renner 1982, Hantke 1983). Within the framework of geomorphological investigations on the Lateglacial and Holocene glacier/permafrost evolution in the Ticino Alps, the history of the Brenno glacier (Blenio Valley, Eastern Ticino Alps) during the end of the Pleistocene has been studied. The deglaciation sequence of the Blenio Valley is still not complete (Scapozza et al. 2009). Only the first glacial stadial of the Brenno glacier and the last Lateglacial stadials of the Greina region (northern Blenio valley, see Fontana et al. 2008) and of the upper Malvaglia Valley (eastern Blenio Valley, see Scapozza et al. 2008) have been unequivocally defined. For every stadial, the surface of the palaeoglacier and the depression of the Equilibrium Line Altitude (ELA) have been reconstructed on the base of geomorphological mapping. The first individual glacial stadial of the Brenno glacier corresponds to the Biasca stadial of the Ticino glacier defined by Hantke (1983). The ELA depression of 1100-1200 meters and its morphological and glaciological characteristics allow us to correlate this stadial with the Weissbad stadial defined by Keller (1988). In the Greina region, three stadials corresponding to the end of the Lateglacial have been identified, with an ELA depression of 110, 210 and 310-350 meters (Fontana et al. 2008). In the upper Malvaglia Valley, three stadials corresponding to the end of the Oldest Dryas and the Younger Dryas have been identified for the Orino glacier, with an ELA depression of 290, 400-420 and 470-560 meters (Scapozza et al. 2008). If we consider the other (fragmentary) glacial deposits of the Blenio Valley, it is possible to define a regression sequence of the Brenno glacier with 8 stadials, from the Biasca stadial to the end of the Younger Dryas. An attempt of correlation with the model "Gothard" developed by Renner (1982) and Hantke (1983) and with the model "Eastern Swiss Alps" developed by Maisch (1982) is proposed in Table 1. The following chronological conclusions are, therefore, proposed: (1) the Biasca stadial is probably the first stadial after the transition Pleniglacial - Lateglacial; (2) the stadials BRE 7 to BRE 3 are positioned between the beginning of the Lateglacial and the Bølling-Allerød interstadial; (3) the stadials BRE 2 and BRE 1 are assumed to be related to the Younger Dryas event.

Chemisorption of atomic aluminum on Si(111): Evidence for an adsorbate-induced relaxation based on ab initio cluster-model calculations

Interaction models of atomic Al with Si4H9, Si4H7, and Si6H9 clusters have been studied to simulate Al chemisorption on the Si(111) surface in the atop, fourfold atop, and open sites. Calculations were carried out using nonempirical pseudopotentials in the framework of the ab initio Hartree-Fock procedure. Equilibrium bond distances, binding energies for adsorption, and vibrational frequencies of the adatoms are calculated. Several basis sets were used in order to show the importance of polarization effects, especially in the binding energies. Final results show the importance of considering adatom-induced relaxation effects to specify the order of energy stabilities for the three different sites, the fourfold atop site being the preferred one, in agreement with experimental findings.

Electronic and magnetic structure of LaMnO3 from hybrid periodic density-functional theory

The electronic and magnetic structures of the LaMnO3 compound have been studied by means of periodic calculations within the framework of spin polarized hybrid density-functional theory. In order to quantify the role of approximations to electronic exchange and correlation three different hybrid functionals have been used which mix nonlocal Fock and local Dirac-Slater exchange. Periodic Hartree-Fock results are also reported for comparative purposes. The A-antiferromagnetic ground state is properly predicted by all methods including Hartree-Fock exchange. In general, the different hybrid methods provide a rather accurate description of the band gap and of the two magnetic coupling constants, strongly suggesting that the corresponding description of the electronic structure is also accurate. An important conclusion emerging from this study is that the nature of the occupied states near the Fermi level is intermediate between the Hartree-Fock and local density approximation descriptions with a comparable participation of both Mn and O states.

First principles LDA+U and GGA+U study of cerium oxides: Dependence on the effective U-parameter

The electronic structure and properties of cerium oxides (CeO2 and Ce2O3) have been studied in the framework of the LDA+U and GGA(PW91)+U implementations of density functional theory. The dependence of selected observables of these materials on the effective U parameter has been investigated in detail. The examined properties include lattice constants, bulk moduli, density of states, and formation energies of CeO2 and Ce2O3. For CeO2, the LDA+U results are in better agreement with experiment than the GGA+U results whereas for the computationally more demanding Ce2O3 both approaches give comparable accuracy. Furthermore, as expected, Ce2O3 is much more sensitive to the choice of the U value. Generally, the PW91 functional provides an optimal agreement with experiment at lower U energies than LDA does. In order to achieve a balanced description of both kinds of materials, and also of nonstoichiometric CeO2¿x phases, an appropriate choice of U is suggested for LDA+U and GGA+U schemes. Nevertheless, an optimum value appears to be property dependent, especially for Ce2O3. Optimum U values are found to be, in general, larger than values determined previously in a self-consistent way.

Optimal and continuous anaemia control in a cohort of dialysis patients in Switzerland.

BACKGROUND: Guidelines for the management of anaemia in patients with chronic kidney disease (CKD) recommend a minimal haemoglobin (Hb) target of 11 g/dL. Recent surveys indicate that this requirement is not met in many patients in Europe. In most studies, Hb is only assessed over a short-term period. The aim of this study was to examine the control of anaemia over a continuous long-term period in Switzerland. METHODS: A prospective multi-centre observational study was conducted in dialysed patients treated with recombinant human epoetin (EPO) beta, over a one-year follow-up period, with monthly assessments of anaemia parameters. RESULTS: Three hundred and fifty patients from 27 centres, representing 14% of the dialysis population in Switzerland, were included. Mean Hb was 11.9 +/- 1.0 g/dL, and remained stable over time. Eighty-five % of the patients achieved mean Hb >or= 11 g/dL. Mean EPO dose was 155 +/- 118 IU/kg/week, being delivered mostly by subcutaneous route (64-71%). Mean serum ferritin and transferrin saturation were 435 +/- 253 microg/L and 30 +/- 11%, respectively. At month 12, adequate iron stores were found in 72.5% of patients, whereas absolute and functional iron deficiencies were observed in only 5.1% and 17.8%, respectively. Multivariate analysis showed that diabetes unexpectedly influenced Hb towards higher levels (12.1 +/- 0.9 g/dL; p = 0.02). One year survival was significantly higher in patients with Hb >or= 11 g/dL than in those with Hb <11 g/dL (19.7% vs 7.3%, p = 0.006). CONCLUSION: In comparison to European studies of reference, this survey shows a remarkable and continuous control of anaemia in Swiss dialysis centres. These results were reached through moderately high EPO doses, mostly given subcutaneously, and careful iron therapy management.