Unrealized expectations of jumps in volatility: An explanation to the low and time-varying predictive power of implied volatility

The low predictive power of implied volatility in forecasting the subsequently realized volatility is a well-documented empirical puzzle. As suggested by e.g. Feinstein (1989), Jackwerth and Rubinstein (1996), and Bates (1997), we test whether unrealized expectations of jumps in volatility could explain this phenomenon. Our findings show that expectations of infrequently occurring jumps in volatility are indeed priced in implied volatility. This has two important consequences. First, implied volatility is actually expected to exceed realized volatility over long periods of time only to be greatly less than realized volatility during infrequently occurring periods of very high volatility. Second, the slope coefficient in the classic forecasting regression of realized volatility on implied volatility is very sensitive to the discrepancy between ex ante expected and ex post realized jump frequencies. If the in-sample frequency of positive volatility jumps is lower than ex ante assessed by the market, the classic regression test tends to reject the hypothesis of informational efficiency even if markets are informationally effective.

Studies on design, fabrication and reliability assessment of embedded passives on a high-density interconnect (HDI) organic substrate using a sequential build-up process

One of the foremost design considerations in microelectronics miniaturization is the use of embedded passives which provide practical solution. In a typical circuit, over 80 percent of the electronic components are passives such as resistors, inductors, and capacitors that could take up to almost 50 percent of the entire printed circuit board area. By integrating passive components within the substrate instead of being on the surface, embedded passives reduce the system real estate, eliminate the need for discrete and assembly, enhance electrical performance and reliability, and potentially reduce the overall cost. Moreover, it is lead free. Even with these advantages, embedded passive technology is at a relatively immature stage and more characterization and optimization are needed for practical applications leading to its commercialization.This paper presents an entire process from design and fabrication to electrical characterization and reliability test of embedded passives on multilayered microvia organic substrate. Two test vehicles focusing on resistors and capacitors have been designed and fabricated. Embedded capacitors in this study are made with polymer/ceramic nanocomposite (BaTiO3) material to take advantage of low processing temperature of polymers and relatively high dielectric constant of ceramics and the values of these capacitors range from 50 pF to 1.5 nF with capacitance per area of approximately 1.5 nF/cm(2). Limited high frequency measurement of these capacitors was performed. Furthermore, reliability assessments of thermal shock and temperature humidity tests based on JEDEC standards were carried out. Resistors used in this work have been of three types: 1) carbon ink based polymer thick film (PTF), 2) resistor foils with known sheet resistivities which are laminated to printed wiring board (PWB) during a sequential build-up (SBU) process and 3) thin-film resistor plating by electroless method. Realization of embedded resistors on conventional board-level high-loss epoxy (similar to 0.015 at 1 GHz) and proposed low-loss BCB dielectric (similar to 0.0008 at > 40 GHz) has been explored in this study. Ni-P and Ni-W-P alloys were plated using conventional electroless plating, and NiCr and NiCrAlSi foils were used for the foil transfer process. For the first time, Benzocyclobutene (BCB) has been proposed as a board level dielectric for advanced System-on-Package (SOP) module primarily due to its attractive low-loss (for RF application) and thin film (for high density wiring) properties.Although embedded passives are more reliable by eliminating solder joint interconnects, they also introduce other concerns such as cracks, delamination and component instability. More layers may be needed to accommodate the embedded passives, and various materials within the substrate may cause significant thermo -mechanical stress due to coefficient of thermal expansion (CTE) mismatch. In this work, numerical models of embedded capacitors have been developed to qualitatively examine the effects of process conditions and electrical performance due to thermo-mechanical deformations.Also, a prototype working product with the board level design including features of embedded resistors and capacitors are underway. Preliminary results of these are presented.

On the L2 stability of linear multidimensional time varying systems

This paper analyzes the L2 stability of solutions of systems with time-varying coefficients of the form [A + C(t)]x′ = [B + D(t)]x + u, where A, B, C, D are matrices. Following proof of a lemma, the main result is derived, according to which the system is L2 stable if the eigenvalues of the coefficient matrices are related in a simple way. A corollary of the theorem dealing with small periodic perturbations of constant coefficient systems is then proved. The paper concludes with two illustrative examples, both of which deal with the attitude dynamics of a rigid, axisymmetric, spinning satellite in an eccentric orbit, subject to gravity gradient torques.

Bounded-input/bounded-output stability of linear multidimensional time- varying systems

The present study of the stability of systems governed by a linear multidimensional time-varying equation, which are encountered in spacecraft dynamics, economics, demographics, and biological systems, gives attention the lemma dealing with L(inf) stability of an integral equation that results from the differential equation of the system under consideration. Using the proof of this lemma, the main result on L(inf) stability is derived according; a corollary of the theorem deals with constant coefficient systems perturbed by small periodic terms. (O.C.)

Charge Density Analysis of Crystals of Nicotinamide with Salicylic Acid and Oxalic Acid: An Insight into the Salt to Cocrystal Continuum

Charge density analysis from both experimental and theoretical points of view on two molecular complexes: one is formed between nicotinamide and salicylic acid, and the other formed between nicotinamide and oxalic acid brings out the quantitative topological features to distinguish a cocrystal from a salt.

Undamped oscillations of homogeneous collisionless stellar systems

The Lewis (1968) invariant of the time-dependent harmonic oscillator is used to construct exact time-dependent, uniform density solutions of the collisionless Boltzmann equation. The spatially bound solutions are time-periodic.

Topological analysis off charge density distribution in concomitant polymorphs of 3-acetylcoumarin, a case off packing polymorphism

Detailed investigation of the charge density distribution in concomitant polymorphs of 3-acetylcoumarin in terms of experimental and theoretical densities shows significant differences in the intermolecular features when analyzed based on the topological properties via the quantum theory of atoms in molecules. The two forms, triclinic and monoclinic (Form A and Form B), pack in the crystal lattice via weak C-H---O and C-H---pi interactions. Form A results in a head-to-head molecular stack, while Form B generates a head-to-tail stack. Form A crystallizes in PI (Z' = 2) and Form B crystallizes in P2(1)/n (Z = 1). The electron density maps of the polymorphs demonstrate the differences in the nature of the charge density distribution in general. The charges derived from experimental and theoretical analysis show significant differences with respect to the polymorphic forms. The molecular dipole moments differ significantly for the two forms. The lattice energies evaluated at the HF and DFT (B3LYP) methods with 6-31G** basis set for the two forms clearly suggest that Form A is the thermodynamically stable form as compared to Form B. Mapping of electrostatic potential over the molecular surface shows dominant variations in the electronegative region, which bring out the differences between the two forms.

A density matrix renormalization group study of low-lying excitations of polythiophene within a Pariser-Parr-Pople model

Symmetrized density-matrix-renormalization-group calculations have been carried out, within Pariser-Parr-Pople Hamiltonian, to explore the nature of the ground and low-lying excited states of long polythiophene oligomers. We have exploited C-2 symmetry and spin parity of the system to obtain excited states of experimental interest, and studied the lowest dipole allowed excited state and lowest dipole forbidden two photon state, for different oligomer sizes. In the long system limit, the dipole allowed excited state always lies below the lowest dipole forbidden two-photon state which implies, by Kasha rule, that polythiophene fluoresces strongly. The lowest triplet state lies below two-photon state as usual in conjugated polymers. We have doped the system with a hole and an electron and obtained the charge excitation gap and the binding energy of the 1(1)B(u)(-) exciton. We have calculated the charge density of the ground, one-photon and two-photon states for the longer system size of 10 thiophene rings to characterize these states. We have studied bond order in these states to get an idea about the equilibrium excited state geometry of the system. We have also studied the charge density distribution of the singly and doubly doped polarons for longer system size, and observe that polythiophenes do not support bipolarons.

Al/SiC carriers for microwave integrated circuits by a new technique of pressureless infiltration

Materials with high thermal conductivity and thermal expansion coefficient matching with that of Si or GaAs are being used for packaging high density microcircuits due to their ability of faster heat dissipation. Al/SiC is gaining wide acceptance as electronic packaging material due to the fact that its thermal expansion coefficient can be tailored to match with that of Si or GaAs by varying the Al:SiC ratio while maintaining the thermal conductivity more or less the same. In the present work, Al/SiC microwave integrated circuit (MIC) carriers have been fabricated by pressureless infiltration of Al-alloy into porous SiC preforms in air. This new technique provides a cheaper alternative to pressure infiltration or pressureless infiltration in nitrogen in producing Al/SiC composites for electronic packaging applications. Al-alloy/65vol% SiC composite exhibited a coefficient of thermal expansion of 7 x 10(-6) K-1 (25 degrees C-100 degrees C) and a thermal conductivity of 147 Wm(-1) K-1 at 30 degrees C. The hysteresis observed in thermal expansion coefficient of the composite in the temperature range 100 degrees C-400 degrees C has been attributed to the presence of thermal residual stresses in the composite. Thermal diffusivity of the composite measured over the temperature range from 30 degrees C to 400 degrees C showed a 55% decrease in thermal diffusivity with temperature. Such a large decrease in thermal diffusivity with temperature could be due to the presence of micropores, microcracks, and decohesion of the Al/SiC interfaces in the microstructure (all formed during cooling from the processing temperature). The carrier showed satisfactory performance after integrating it into a MIC.

Kinetic theory for the density plateau in the granular flow down an inclined plane

The striking lack of observable variation of the volume fraction with height in the center of a granular flow down an inclined plane is analysed using constitutive relations obtained from kinetic theory. It is shown that the rate of conduction in the granular energy balance equation is O(delta(2)) smaller than the rate of production of energy due to mean shear and the rate of dissipation due to inelastic collisions, where the small parameter delta = (d/(1 - e(n))H-1/2), d is the particle diameter, en is the normal coefficient of restitution and H is the thickness of the flowing layer. This implies that the volume fraction is a constant in the leading approximation in an asymptotic analysis in small delta. Numerical estimates of both the parameter delta and its pre-factor are obtained to show that the lack of observable variation of the volume fraction with height can be explained by constitutive relations obtained from kinetic theory.

An Accurate Model For Interference From Spatially Distributed Shadowed Users in CDMA Uplinks

A detailed characterization of interference power statistics in CDMA systems is of considerable practical and theoretical interest. Such a characterization for uplink inter-cell interference has been difficult because of transmit power control, randomness in the number of interfering mobile stations, and randomness in their locations. We develop a new method to model the uplink inter-cell interference power as a lognormal distribution, and show that it is an order of magnitude more accurate than the conventional Gaussian approximation even when the average number of mobile stations per cell is relatively large and even outperforms the moment-matched lognormal approximation considered in the literature. The proposed method determines the lognormal parameters by matching its moment generating function with a new approximation of the moment generating function for the inter-cell interference. The method is tractable and exploits the elegant spatial Poisson process theory. Using several numerical examples, the accuracy of the proposed method in modeling the probability distribution of inter-cell interference is verified for both small and large values of interference.

Density-wave theory of dislocations in crystals

The density-wave theory of Ramakrishnan and Yussouff is extended to provide a scheme for describing dislocations and other topological defects in crystals. Quantitative calculations are presented for the order-parameter profiles, the atomic configuration, and the free energy of a screw dislocation with Burgers vector b=(a/2, a/2, a/2) in a bcc solid. These calculations are done using a simple parametrization of the direct correlation function and a gradient expansion. It is conventional to express the free energy of the dislocation in a crystal of size R as (λb2/4π)ln(αR/‖b‖), where λ is the shear elastic constant, and α is a measure of the core energy. Our results yield for Na the value α≃1.94a/(‖c1’’‖)1/2 (≃1.85) at the freezing temperature (371 K) and α≃2.48a/(‖c1’’‖)1/2 at 271 K, where c1’’ is the curvature of the first peak of the direct correlation function c(q). Detailed results for the density distribution in the dislocation, particularly the core region, are also presented. These show that the dislocation core has a columnar character. To our knowledge, this study represents the first calculation of dislocation structure, including the core, within the framework of an order-parameter theory and incorporating thermal effects.

Physical Properties of Deep Drill Cores : Implications for Meteorite Impact Effects and Crustal Structures

Physical properties provide valuable information about the nature and behavior of rocks and minerals. The changes in rock physical properties generate petrophysical contrasts between various lithologies, for example, between shocked and unshocked rocks in meteorite impact structures or between various lithologies in the crust. These contrasts may cause distinct geophysical anomalies, which are often diagnostic to their primary cause (impact, tectonism, etc). This information is vital to understand the fundamental Earth processes, such as impact cratering and associated crustal deformations. However, most of the present day knowledge of changes in rock physical properties is limited due to a lack of petrophysical data of subsurface samples, especially for meteorite impact structures, since they are often buried under post-impact lithologies or eroded. In order to explore the uppermost crust, deep drillings are required. This dissertation is based on the deep drill core data from three impact structures: (i) the Bosumtwi impact structure (diameter 10.5 km, 1.07 Ma age; Ghana), (ii) the Chesapeake Bay impact structure (85 km, 35 Ma; Virginia, U.S.A.), and (iii) the Chicxulub impact structure (180 km, 65 Ma; Mexico). These drill cores have yielded all basic lithologies associated with impact craters such as post-impact lithologies, impact rocks including suevites and breccias, as well as fractured and unfractured target rocks. The fourth study case of this dissertation deals with the data of the Paleoproterozoic Outokumpu area (Finland), as a non-impact crustal case, where a deep drilling through an economically important ophiolite complex was carried out. The focus in all four cases was to combine results of basic petrophysical studies of relevant rocks of these crustal structures in order to identify and characterize various lithologies by their physical properties and, in this way, to provide new input data for geophysical modellings. Furthermore, the rock magnetic and paleomagnetic properties of three impact structures, combined with basic petrophysics, were used to acquire insight into the impact generated changes in rocks and their magnetic minerals, in order to better understand the influence of impact. The obtained petrophysical data outline the various lithologies and divide rocks into four domains. Based on target lithology the physical properties of the unshocked target rocks are controlled by mineral composition or fabric, particularly porosity in sedimentary rocks, while sediments result from diverse sedimentation and diagenesis processes. The impact rocks, such as breccias and suevites, strongly reflect the impact formation mechanism and are distinguishable from the other lithologies by their density, porosity and magnetic properties. The numerous shock features resulting from melting, brecciation and fracturing of the target rocks, can be seen in the changes of physical properties. These features include an increase in porosity and subsequent decrease in density in impact derived units, either an increase or a decrease in magnetic properties (depending on a specific case), as well as large heterogeneity in physical properties. In few cases a slight gradual downward decrease in porosity, as a shock-induced fracturing, was observed. Coupled with rock magnetic studies, the impact generated changes in magnetic fraction the shock-induced magnetic grain size reduction, hydrothermal- or melting-related magnetic mineral alteration, shock demagnetization and shock- or temperature-related remagnetization can be seen. The Outokumpu drill core shows varying velocities throughout the drill core depending on the microcracking and sample conditions. This is similar to observations by Kern et al., (2009), who also reported the velocity dependence on anisotropy. The physical properties are also used to explain the distinct crustal reflectors as observed in seismic reflection studies in the Outokumpu area. According to the seismic velocity data, the interfaces between the diopside-tremolite skarn layer and either serpentinite, mica schist or black schist are causing the strong seismic reflectivities.

Some recent results on the stability of linear time varying systems

Some theorems derived recently by the authors on the stability of multidimensional linear time varying systems are reported in this paper. To begin with, criteria based on Liapunov�s direct method are stated. These are followed by conditions on the asymptotic behaviour and boundedness of solutions. Finally,L 2 andL ? stabilities of these systems are discussed. In conclusion, mention is made of some of the problems in aerospace engineering to which these theorems have been applied.

Studies on high‐density nickel zinc ferrite and its magnetic properties using novel hydrazine precursors

Nickel zinc ferrites have been very widely used in the high‐frequency applications. In our present study we have prepared Ni1−x Znx Fe2O4 (0≤x≤1) using novel hydrazinium metal hydrazinecarboxylate precursors. High densities (∼99%) have been obtained for all the ferrites sintered at relatively low temperatures, 1100 °C, in comparison with the conventional method (≥1200 °C). The variation of magnetic properties like magnetic moment, Curie temperature, and permeability with zinc concentration have been studied.