Worst-Case Asymmetric Distributed Source Coding

We consider the asymmetric distributed source coding problem, where the recipient interactively communicates with N correlated informants to gather their data. We are mainly interested in minimizing the worst-case number of informant bits required for successful data-gathering at recipient, but we are also concerned with minimizing the number of rounds as well as the number of recipient bits. We provide two algorithms, one that optimally minimizes the number of informant bits and other that trades-off the number of informant bits to efficiently reduce the number of rounds and number of recipient bits.

Information flow, trading activity and commodity futures volatility

Based on unique news data relating to gold and crude oil, we investigate how news volume and sentiment, shocks in trading activity, market depth and trader positions unrelated to information flow covary with realized volatility. Positive shocks to the rate of news arrival, and negative shocks to news sentiment exhibit the largest effects. After controlling for the level of news flow and cross-correlations, net trader positions play only a minor role. These findings are at odds with those of [Wang (2002a). The Journal of Futures Markets, 22, 427–450; Wang (2002b). The Financial Review, 37, 295–316], but are consistent with the previous literature which doesn't find a strong link between volatility and trader positions.

Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Automatic detection of diabetic foot complications with infrared thermography by asymmetric analysis

Early identification of diabetic foot complications and their precursors is essential in preventing their devastating consequences, such as foot infection and amputation. Frequent, automatic risk assessment by an intelligent telemedicine system might be feasible and cost effective. Infrared thermography is a promising modality for such a system. The temperature differences between corresponding areas on contralateral feet are the clinically significant parameters. This asymmetric analysis is hindered by (1) foot segmentation errors, especially when the foot temperature and the ambient temperature are comparable, and by (2) different shapes and sizes between contralateral feet due to deformities or minor amputations. To circumvent the first problem, we used a color image and a thermal image acquired synchronously. Foot regions, detected in the color image, were rigidly registered to the thermal image. This resulted in 97.8% ± 1.1% sensitivity and 98.4% ± 0.5% specificity over 76 high-risk diabetic patients with manual annotation as a reference. Nonrigid landmark-based registration with Bsplines solved the second problem. Corresponding points in the two feet could be found regardless of the shapes and sizes of the feet. With that, the temperature difference of the left and right feet could be obtained.

A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Analysis of microstructure and texture evolution in pure magnesium during symmetric and asymmetric rolling

Asymmetric rolling of commercially pure magnesium was carried out at three different temperatures: room temperature, 200 degrees C and 350 degrees C. Systematic analysis of microstructures, grain size distributions, texture and misorientation distributions were performed using electron backscattered diffraction in a field emission gun scanning electron microscope. The results were compared with conventional (symmetric) rolling carried out under the same conditions of temperature and strain rate. Simulations of deformation texture evolution were performed using the viscoplastic self-consistent polycrystal plasticity model. The main trends of texture evolution are faithfully reproduced by the simulations for the tests at room temperature. The deviations that appear for the textures obtained at high temperature can be explained by the occurrence of dynamic recrystallization. Finally, the mechanisms of texture evolution in magnesium during asymmetric and symmetric rolling are explained with the help of ideal orientations, grain velocity fields and divergence maps displayed in orientation space.

Unsteady Incompressible Three-Dimensional Asymmetric Stagnation-Point Boundary Layers

The unsteady laminar incompressible boundary-layer flow near the three-dimensional asymmetric stagnation point has been studied under the assumptions that the free-stream velocity, wall temperature, and surface mass transfer vary arbitrarily with time. The partial differential equations governing the flow have been solved numerically using an implicit finite-difference scheme. It is found that in contrast with the symmetric flow, the maximum heat transfer occurs away from the stagnation point due to the decrease in the boundary-layer thickness. The effect of the variation of the wall temperature with time on heat transfer is strong. The skin friction and heat transfer due to asymmetric flow only are comparatively less affected by the mass transfer as compared to those of symmetric flow.

Asymmetric total synthesis of erythromycin. 2. Synthesis of an erythronolide A lactone system

In reporting a total synthesis of erythromycin (la) we described in the preceding paper1 the synthesis of the erythronolide A seco acid derivative 2 in optically active form. In this paper we wish to report a successful transformation of 2 to 12 (synthetically equivalent to erythronolide A) via lactonization and also demonstrate that the proper functionalization of a substrate is critical for the successful lactonization.

Asymmetric total synthesis of erythromycin. 3. Total synthesis of erythromycin

In the preceding paper' we described the preparation of the key lactone intermediate la in optically active form. In this paper we report the synthesis of erythromycin (2) from la. In essence,this transformation involves the glycosidation of a suitable derivative of la with L-cladinose and D-desosamine and the generation of the C-9 ketone functionality.

Asymmetric allylic alkylation by palladium-bisphosphinites

A series of new chiral palladium-bisphosphinite complexes have been prepared from readily available, naturally occurring chiral alcohols. The complexes were used to efficiently carry out catalytic allylic alkylation of 1,3-diphenylpropene-2-yl acetate with dimethyl malonate. The complexes based on derivatives of ascorbic acid carry out enantioselective alkylations, one of which showed an ee as high as 97%. Based on the structural characterization, it can be surmised that strategic placement of phenyl groups is key to higher enantioselectivities.

Interactive Distributed Source Coding in Asymmetric Communication Scenarios

We provide a new unified framework, called "multiple correlated informants - single recipient" communication, to address the variations of the traditional Distributed Source Coding (DSC) problem. Different combinations of the assumptions about the communication scenarios and the objectives of communication result in different variations of the DSC problem. For each of these variations, the complexities of communication and computation of the optimal solution is determined by the combination of the underlying assumptions. In the proposed framework, we address the asymmetric, interactive, and lossless variant of the DSC problem, with various objectives of communication and provide optimal solutions for those. Also, we consider both, the worst-case and average-case scenarios.