Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

The Birmingham Urban Climate Laboratory: an open meteorological test bed and challenges of the smart city

Existing urban meteorological networks have an important role to play as test beds for inexpensive and more sustainable measurement techniques that are now becoming possible in our increasingly smart cities. The Birmingham Urban Climate Laboratory (BUCL) is a near-real-time, high-resolution urban meteorological network (UMN) of automatic weather stations and inexpensive, nonstandard air temperature sensors. The network has recently been implemented with an initial focus on monitoring urban heat, infrastructure, and health applications. A number of UMNs exist worldwide; however, BUCL is novel in its density, the low-cost nature of the sensors, and the use of proprietary Wi-Fi networks. This paper provides an overview of the logistical aspects of implementing a UMN test bed at such a density, including selecting appropriate urban sites; testing and calibrating low-cost, nonstandard equipment; implementing strict quality-assurance/quality-control mechanisms (including metadata); and utilizing preexisting Wi-Fi networks to transmit data. Also included are visualizations of data collected by the network, including data from the July 2013 U.K. heatwave as well as highlighting potential applications. The paper is an open invitation to use the facility as a test bed for evaluating models and/or other nonstandard observation techniques such as those generated via crowdsourcing techniques.

Diel surface temperature range scales with lake size

Ecological and biogeochemical processes in lakes are strongly dependent upon water temperature. Long-term surface warming of many lakes is unequivocal, but little is known about the comparative magnitude of temperature variation at diel timescales, due to a lack of appropriately resolved data. Here we quantify the pattern and magnitude of diel temperature variability of surface waters using high-frequency data from 100 lakes. We show that the near-surface diel temperature range can be substantial in summer relative to long-term change and, for lakes smaller than 3 km2, increases sharply and predictably with decreasing lake area. Most small lakes included in this study experience average summer diel ranges in their near-surface temperatures of between 4 and 7°C. Large diel temperature fluctuations in the majority of lakes undoubtedly influence their structure, function and role in biogeochemical cycles, but the full implications remain largely unexplored.

Multi-Conjugate Adaptive Optics VLT imaging of the distant old open cluster FSR 1415

We employ the recently installed near-infrared Multi-Conjugate Adaptive Optics demonstrator (MAD) to determine the basic properties of a newly identified, old and distant, Galactic open cluster (FSR 1415). The MAD facility remarkably approaches the diffraction limit, reaching a resolution of 0.07 arcsec (in K), that is also uniform in a field of similar to 1.8 arcmin in diameter. The MAD facility provides photometry that is 50 per cent complete at K similar to 19. This corresponds to about 2.5 mag below the cluster main-sequence turn-off. This high-quality data set allows us to derive an accurate heliocentric distance of 8.6 kpc, a metallicity close to solar and an age of similar to 2.5 Gyr. On the other hand, the deepness of the data allows us to reconstruct (completeness-corrected) mass functions (MFs) indicating a relatively massive cluster, with a flat core MF. The Very Large Telescope/MAD capabilities will therefore provide fundamental data for identifying/analysing other faint and distant open clusters in the Galaxy III and IV quadrants.

Generic relationships and dating of lineages in Winteraceae based on nuclear (ITS) and plastid (rpS16 and psbA-trnH) sequence data

Phylogenetic analyses of representative species from the five genera of Winteraceae (Drimys, Pseudowintera, Takhtajania, Tasmannia, and Zygogynum s.l.) were performed using ITS nuclear sequences and a combined data-set of ITS + psbA-trnH + rpS16 sequences (sampling of 30 and 15 species, respectively). Indel informativity using simple gap coding or gaps as a fifth character was examined in both data-sets. Parsimony and Bayesian analyses support the monophyly of Drimys, Tasmannia, and Zygogynum s.l., but do not support the monophyly of Belliolum, Zygogynum s.s., and Bubbia. Within Drimys, the combined data-set recovers two subclades. Divergence time estimates suggest that the splitting between Drimys and its sister clade (Pseudowintera + Zygogynum s.l.) occurred around the end of the Cretaceous; in contrast, the divergence between the two subclades within Drimys is more recent (15.5-18.5 MY) and coincides in time with the Andean uplift. Estimates suggest that the earliest divergences within Winteraceae could have predated the first events of Gondwana fragmentation. (C) 2009 Elsevier Inc. All rights reserved.

Evaluation of Quantitative RT-PCR Using Nonamplified and Amplified RNA

Quantitative reverse-transcription polymerase chain reaction (qRT-PCR) is a standard assay in molecular medicine for gene expression analysis. Samples from incisional/needle biopsies, laser-microdissected tumor cells and other biologic sources, normally available in clinical cancer studies, generate very small amounts of RNA that are restrictive for expression analysis. As a consequence, an RNA amplification procedure is required to assess the gene expression levels of such sample types. The reproducibility and accuracy of relative gene expression data produced by sensitive methodology as qRT-PCR when cDNA converted from amplified (A) RNA is used as template has not yet been properly addressed. In this study, to properly evaluate this issue, we performed 1 round of linear RNA amplification in 2 breast cell lines (C5.2 and HB4a) and assessed the relative expression of 34 genes using cDNA converted from both nonamplified (NA) and A RNA. Relative gene expression was obtained from beta actin or glyceraldehyde 3-phosphate dehydrogenase normalized data using different dilutions of cDNA, wherein the variability and fold-change differences in the expression of the 2 methods were compared. Our data showed that 1 round of linear RNA amplification, even with suboptimal-quality RNA, is appropriate to generate reproducible and high-fidelity qRT-PCR relative expression data that have similar confidence levels as those from NA samples. The use of cDNA that is converted from both A and NA RNA in a single qRT-PCR experiment clearly creates bias in relative gene expression data.

HiPP: A Novel Hierarchical Point Placement Strategy and its Application to the Exploration of Document Collections

Point placement strategies aim at mapping data points represented in higher dimensions to bi-dimensional spaces and are frequently used to visualize relationships amongst data instances. They have been valuable tools for analysis and exploration of data sets of various kinds. Many conventional techniques, however, do not behave well when the number of dimensions is high, such as in the case of documents collections. Later approaches handle that shortcoming, but may cause too much clutter to allow flexible exploration to take place. In this work we present a novel hierarchical point placement technique that is capable of dealing with these problems. While good grouping and separation of data with high similarity is maintained without increasing computation cost, its hierarchical structure lends itself both to exploration in various levels of detail and to handling data in subsets, improving analysis capability and also allowing manipulation of larger data sets.

Interactive Vector Field Feature Identification

We introduce a flexible technique for interactive exploration of vector field data through classification derived from user-specified feature templates. Our method is founded on the observation that, while similar features within the vector field may be spatially disparate, they share similar neighborhood characteristics. Users generate feature-based visualizations by interactively highlighting well-accepted and domain specific representative feature points. Feature exploration begins with the computation of attributes that describe the neighborhood of each sample within the input vector field. Compilation of these attributes forms a representation of the vector field samples in the attribute space. We project the attribute points onto the canonical 2D plane to enable interactive exploration of the vector field using a painting interface. The projection encodes the similarities between vector field points within the distances computed between their associated attribute points. The proposed method is performed at interactive rates for enhanced user experience and is completely flexible as showcased by the simultaneous identification of diverse feature types.

Characterization of the optical properties of atmospheric aerosols in Amazonia from long-term AERONET monitoring (1993-1995 and 1999-2006)

We present a new climatology of atmospheric aerosols (primarily pyrogenic and biogenic) for the Brazilian tropics on the basis of a high-quality data set of spectral aerosol optical depth and directional sky radiance measurements from Aerosol Robotic Network (AERONET) Cimel Sun-sky radiometers at more than 15 sites distributed across the Amazon basin and adjacent Cerrado region. This network is the only long-term project (with a record including observations from more than 11 years at some locations) ever to have provided ground-based remotely-sensed column aerosol properties for this critical region. Distinctive features of the Amazonian area aerosol are presented by partitioning the region into three aerosol regimes: southern Amazonian forest, Cerrado, and northern Amazonian forest. The monitoring sites generally include measurements from the interval 1999-2006, but some sites have measurement records that date back to the initial days of the AERONET program in 1993. Seasonal time series of aerosol optical depth (AOD), angstrom ngstrom exponent, and columnar-averaged microphysical properties of the aerosol derived from sky radiance inversion techniques (single-scattering albedo, volume size distribution, fine mode fraction of AOD, etc.) are described and contrasted for the defined regions. During the wet season, occurrences of mineral dust penetrating deep into the interior were observed.

Thermo-optics parameters measurements in photorefractive sillenite Bi(12)SiO(20) crystals by thermal lens technique

The present work reports on the thermo-optical properties of photorefractive sillenite Bi(12)SiO(20) (BSO) crystals obtained by applying the Thermal Lens Spectrometry technique (TLS). This crystals presents one high photorefractive sensitivity in the region blue-green spectra, since the measurements were carried out at two pump beam wavelengths (514.5 nm and 750 nm) to study of the light-induced effects in this material (thermal and/or photorefractive). We determine thermo-optical parameters like thermal diffusivity (D), thermal conductivity (K) and temperature coefficient of the optical path length change (ds/dT) in sillenite crystals. These aspects, for what we know, not was studied in details up to now using the lens spectrometry technique and are very important against of the promising potentiality of applications these crystals in non linear optics, real time holography and optical processing data.

VSImG: A high frame rate bitmap based display system for neuroscience research

This paper describes a visual stimulus generator (VSImG) capable of displaying a gray-scale, 256 x 256 x 8 bitmap image with a frame rate of 500 Hz using a boustrophedonic scanning technique. It is designed for experiments with motion-sensitive neurons of the fly`s visual system, where the flicker fusion frequency of the photoreceptors can reach up to 500 Hz. Devices with such a high frame rate are not commercially available, but are required, if sensory systems with high flicker fusion frequency are to be studied. The implemented hardware approach gives us complete real-time control of the displacement sequence and provides all the signals needed to drive an electrostatic deflection display. With the use of analog signals, very small high-resolution displacements, not limited by the image`s pixel size can be obtained. Very slow image displacements with visually imperceptible steps can also be generated. This can be of interest for other vision research experiments. Two different stimulus files can be used simultaneously, allowing the system to generate X-Y displacements on one display or independent movements on two displays as long as they share the same bitmap image. (C) 2011 Elsevier B.V. All rights reserved.

A Unified Load Generator for Geographically Distributed Generation ofNetwork Traffic

During the last decade, the Internet usage has been growing at an enormous rate which has beenaccompanied by the developments of network applications (e.g., video conference, audio/videostreaming, E-learning, E-Commerce and real-time applications) and allows several types ofinformation including data, voice, picture and media streaming. While end-users are demandingvery high quality of service (QoS) from their service providers, network undergoes a complex trafficwhich leads the transmission bottlenecks. Considerable effort has been made to study thecharacteristics and the behavior of the Internet. Simulation modeling of computer networkcongestion is a profitable and effective technique which fulfills the requirements to evaluate theperformance and QoS of networks. To simulate a single congested link, simulation is run with asingle load generator while for a larger simulation with complex traffic, where the nodes are spreadacross different geographical locations generating distributed artificial loads is indispensable. Onesolution is to elaborate a load generation system based on master/slave architecture.

Novel Statistical Methods in Quantitative Genetics : Modeling Genetic Variance for Quantitative Trait Loci Mapping and Genomic Evaluation

This thesis develops and evaluates statistical methods for different types of genetic analyses, including quantitative trait loci (QTL) analysis, genome-wide association study (GWAS), and genomic evaluation. The main contribution of the thesis is to provide novel insights in modeling genetic variance, especially via random effects models. In variance component QTL analysis, a full likelihood model accounting for uncertainty in the identity-by-descent (IBD) matrix was developed. It was found to be able to correctly adjust the bias in genetic variance component estimation and gain power in QTL mapping in terms of precision.  Double hierarchical generalized linear models, and a non-iterative simplified version, were implemented and applied to fit data of an entire genome. These whole genome models were shown to have good performance in both QTL mapping and genomic prediction. A re-analysis of a publicly available GWAS data set identified significant loci in Arabidopsis that control phenotypic variance instead of mean, which validated the idea of variance-controlling genes.  The works in the thesis are accompanied by R packages available online, including a general statistical tool for fitting random effects models (hglm), an efficient generalized ridge regression for high-dimensional data (bigRR), a double-layer mixed model for genomic data analysis (iQTL), a stochastic IBD matrix calculator (MCIBD), a computational interface for QTL mapping (qtl.outbred), and a GWAS analysis tool for mapping variance-controlling loci (vGWAS).

Assessment of PD Speech Anomalies @ Home

Background: Voice processing in real-time is challenging. A drawback of previous work for Hypokinetic Dysarthria (HKD) recognition is the requirement of controlled settings in a laboratory environment. A personal digital assistant (PDA) has been developed for home assessment of PD patients. The PDA offers sound processing capabilities, which allow for developing a module for recognition and quantification HKD. Objective: To compose an algorithm for assessment of PD speech severity in the home environment based on a review synthesis. Methods: A two-tier review methodology is utilized. The first tier focuses on real-time problems in speech detection. In the second tier, acoustics features that are robust to medication changes in Levodopa-responsive patients are investigated for HKD recognition. Keywords such as Hypokinetic Dysarthria , and Speech recognition in real time were used in the search engines. IEEE explorer produced the most useful search hits as compared to Google Scholar, ELIN, EBRARY, PubMed and LIBRIS. Results: Vowel and consonant formants are the most relevant acoustic parameters to reflect PD medication changes. Since relevant speech segments (consonants and vowels) contains minority of speech energy, intelligibility can be improved by amplifying the voice signal using amplitude compression. Pause detection and peak to average power rate calculations for voice segmentation produce rich voice features in real time. Enhancements in voice segmentation can be done by inducing Zero-Crossing rate (ZCR). Consonants have high ZCR whereas vowels have low ZCR. Wavelet transform is found promising for voice analysis since it quantizes non-stationary voice signals over time-series using scale and translation parameters. In this way voice intelligibility in the waveforms can be analyzed in each time frame. Conclusions: This review evaluated HKD recognition algorithms to develop a tool for PD speech home-assessment using modern mobile technology. An algorithm that tackles realtime constraints in HKD recognition based on the review synthesis is proposed. We suggest that speech features may be further processed using wavelet transforms and used with a neural network for detection and quantification of speech anomalies related to PD. Based on this model, patients' speech can be automatically categorized according to UPDRS speech ratings.

Reliability of GPS based traffic data: an experimental evaluation

GPS tracking of mobile objects provides spatial and temporal data for a broad range of applications including traffic management and control, transportation routing and planning. Previous transport research has focused on GPS tracking data as an appealing alternative to travel diaries. Moreover, the GPS based data are gradually becoming a cornerstone for real-time traffic management. Tracking data of vehicles from GPS devices are however susceptible to measurement errors – a neglected issue in transport research. By conducting a randomized experiment, we assess the reliability of GPS based traffic data on geographical position, velocity, and altitude for three types of vehicles; bike, car, and bus. We find the geographical positioning reliable, but with an error greater than postulated by the manufacturer and a non-negligible risk for aberrant positioning. Velocity is slightly underestimated, whereas altitude measurements are unreliable.