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.

Development of thermoelectric gas sensors for volatile organic compounds

This paper describes the design and development of a thermoelectric gas sensor suitable for the detection of Volatile Organic Compounds (VOCs). In order to enhance the seebeck coefficient of the sensor, we have deposited chromium metal films on a limited area of the glass substrate. Tin oxide thin film was deposited on top of these metal films. The resulting metal/semiconductor film exhibits a high seebeck coefficient of 400 mu V/ degrees C. Platinum catalyst film deposited on the oxide film to create the necessary temperature gradient resulted in further enhancement in the sensitivity of the sensor to target gases. The sensor shows high sensitivity to ppm-change in the concentration of target hydrocarbons at a relatively low temperature of 120 degrees C.

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.

Income Inequality and Healt: A Multi-Country Analysis

This paper investigates the effect of income inequality on health status. A model of health status was specified in which the main variables were income level, income inequality, the level of savings and the level of education. The model was estimated using a panel data set for 44 countries covering six time periods. The results indicate that income inequality (measured by the Gini coefficient) has a significant effect on health status when we control for the levels of income, savings and education. The relationship is consistent regardless of the specification of health status and income. Thus, the study results provide some empirical support for the income inequality hypothesis.

Elimination of cross-talk in diffuse optical tomographic reconstructions through a weighted update procedure: results of simulation study - art. no. 61640S

Reconstructions in optical tomography involve obtaining the images of absorption and reduced scattering coefficients. The integrated intensity data has greater sensitivity to absorption coefficient variations than scattering coefficient. However, the sensitivity of intensity data to scattering coefficient is not zero. We considered an object with two inhomogeneities (one in absorption and the other in scattering coefficient). The standard iterative reconstruction techniques produced results, which were plagued by cross talk, i.e., the absorption coefficient reconstruction has a false positive corresponding to the location of scattering inhomogeneity, and vice-versa. We present a method to remove cross talk in the reconstruction, by generating a weight matrix and weighting the update vector during the iteration. The weight matrix is created by the following method: we first perform a simple backprojection of the difference between the experimental and corresponding homogeneous intensity data. The built up image has greater weightage towards absorption inhomogeneity than the scattering inhomogeneity and its appropriate inverse is weighted towards the scattering inhomogeneity. These two weight matrices are used as multiplication factors in the update vectors, normalized backprojected image of difference intensity for absorption inhomogeneity and the inverse of the above for the scattering inhomogeneity, during the image reconstruction procedure. We demonstrate through numerical simulations, that cross-talk is fully eliminated through this modified reconstruction procedure.

Studies on friction and transfer layer: role of surface texture

Friction influences the nature of transfer layer formed at the interface between tool and metal during sliding. In the present investigation, experiments were conducted using “Inclined Scratch Tester” to understand the effect of surface texture of hard surfaces on coefficient of friction and transfer layer formation. EN8 steel flats were ground to attain surfaces of different textures with different roughness. Then super purity aluminium pins were scratched against the prepared steel flats. Scanning electron micrographs of the contact surfaces of pins and flats were used to reveal the morphology of transfer layer. It was observed that the coefficient of friction and the formation of transfer layer depend primarily on the texture of hard surfaces, but independent of surface roughness of hard surfaces. It was observed that on surfaces that promote plane strain conditions near the surface, the transfer of material takes place due to the plowing action of the asperities. But, on a surface that promotes plane stress conditions the transfer layer was more due to the adhesion component of friction. It was observed that the adhesion component increases for surfaces that have random texture but was constant for the other surfaces

Simultaneous measurement of aerodynamic and heat transfer data for large angle blunt cones in hypersonic shock tunnel

Aerodynamic forces and fore-body convective surface heat transfer rates over a 60 degrees apex-angle blunt cone have been simultaneously measured at a nominal Mach number of 5.75 in the hypersonic shock tunnel HST2. An aluminum model incorporating a three-component accelerometer-based balance system for measuring the aerodynamic forces and an array of platinum thin-film gauges deposited on thermally insulating backing material flush mounted on the model surface is used for convective surface heat transfer measurement in the investigations. The measured value of the drag coefficient varies by about +/-6% from the theoretically estimated value based on the modified Newtonian theory, while the axi-symmetric Navier-Stokes computations overpredict the drag coefficient by about 9%. The normalized values of measured heat transfer rates at 0 degrees angle of attack are about 11% higher than the theoretically estimated values. The aerodynamic and the heat transfer data presented here are very valuable for the validation of CFD codes used for the numerical computation of How fields around hypersonic vehicles.

Probing top-gated field effect transistor of reduced graphene oxide monolayer made by dielectrophoresis

We demonstrate a top-gated field effect transistor made of a reduced graphene oxide (RGO) monolayer (graphene) by dielectrophoresis. The Raman spectrum of RGO flakes of typical size of 5 mu m x 5 mu m shows a single 2D band at 2687 cm(-1), characteristic of single-layer graphene.The two-probe current-voltage measurements of RGO flakes, deposited in between the patterned electrodes with a gap of 2.5 mu m using ac dielectrophoresis, show ohmic behavior with a resistance of similar to 37 k Omega. The temperature dependence of the resistance (R) of RGO measured between 305 K and 393 K yields a temperature coefficient of resistance [dR/dT]/R similar to -9.5 x 10(-4)/K, the same as that of mechanically exfoliated single-layer graphene. The field-effect transistor action was obtained by electrochemical top-gating using a solid polymer electrolyte (PEO + LiClO4) and Pt wire. The ambipolar nature of graphene flakes is observed up to a doping level of similar to 6 x 10(12)/cm(2) and carrier mobility of similar to 50 cm(2)/V s. The source-drain current characteristics show a tendency of current saturation at high source-drain voltage which is analyzed quantitatively by a diffusive transport model. (C) 2010 Elsevier Ltd. All rights reserved.

Structure and dynamics of benzene in one-dimensional channels

Molecular dynamics investigation of benzene in one-dimensional channel systems A1PO(4)-5, VPI-5, and carbon nanotube is reported. The results suggest that, in all the three host systems, the plane of benzene is almost perpendicular to the channel axis when the molecule is near the center of the channel and the plane of benzene is parallel to the channel axis when the molecule is near the wall of the channel. The density distribution of benzene as a function of channel length, z and the radial distance, r, from the channel axis is also different in the three host structures. Anisotropy in translational diffusion coefficient, calculated in body-fixed frame of benzene, suggests that benzene prefers to move with its plane parallel to the direction of motion in A1PO(4)-5 and VPI-5 whereas in carbon nanotube the motion occurs predominantly with the plane of the benzene perpendicular to the direction of motion.;Anisotropy associated with the rotational motion is seen to alter significantly in confinement as compared to liquid benzene. In A1PO(4)-5, the rotational anisotropy is reversed as compared to liquid benzene thereby suggesting that anisotropy arising out of molecular geometry can be reduced. Reorientational correlation times for C-6 and C-2 axes Of benzene are reported. Apart from the inertial decay of reorientational correlation function due to free, rotation, two other distinct regimes of decay are observed in narrower channels (AIPO(4)-5 and carbon nanotube): (i) an initial fast decay (0.5-2 ps) and (ii) a slower decay (>2 ps) of reorientational correlation function where C-6 decays slower than C-2 Similar to what is observed in liquid benzene. In the initial fast decay, it is seen that the decay for C-6 is faster than C-2 which is in contrast to what is observed in liquid benzene or for benzene confined in VPI-5.

Evolution of magnetic order in the system LaNi1-xMnxO3 (x < 0.10)

Magnetic susceptibility measurements on dilute solid-solutions LaNi1-xMnxO3 (x < 0.1) have been carried out. With increasing x the magnetic susceptibility behaviour changes from Pauli paramagnetic to Curie-Weiss type. The temperature coefficient of resistance (TCR) changes sign around x = 0.03 but the system seems to be metallic in terms of showing a finite extrapolated conductivity at 0 K even when x = 0.10. The x = 0.10 system shows indications of spin-glass like behaviour.

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.)

Purification and properties of β-glucosidase from a thermophilic fungus Humicola lanuginosa (Griffon and Maublanc) Bunce

An extracellular β-glucosidase (EC 3.2.1.21) has been purified to homogeneity from the culture filtrate of a thermophilic fungus, Humicola lanuginosa (Griffon and Maublanc) Bunce, using duplicating paper as the carbon source. The enzyme was purified 82-fold with a 43% yield by ion-exchange chromatography and gel filtration. The molecular weight of the protein was estimated to be 135,000 by gel filtration and 110,000 by electrophoresis. The sedimentation coefficient was 10.5 S. It was an acidic protein containing high amounts of acidic amino acid residues. It was poor in sulphur-containing amino acids. It also contained 9% carbohydrate. The enzyme activity was optimum at pH 4.5 and at 60°C. The enzyme was stable in the pH range 6–9 for 24 h at 25°C. The enzyme had similar affinities towards cellobiose and p-nitrophenyl-β-d-glucoside with Km values of 0.44 mM and 0.50 mM, respectively. The enzyme was capable of hydrolysing larchwood xylan, xylobiose and p-nitrophenyl-β-d-xyloside, though to a lesser extent. The enzyme was specific for the β-configuration and glucose moiety in the substrate.

Design of temperature-compensated reference electrodes for non-isothermal galvanic sensors

The criterion for the design of a temperature-compensated reference electrode for non-isothermal galvanic sensors is deduced from the basic flux equations of irreversible thermodynamics. It is shown that when the Seebeck coefficient of the non-isothermal cell using a solid oxygen ion-conducting electrolyte under pure oxygen is equal to the relative partial molar entropy of oxygen in the reference electrode divided by 4F, then the EMF of the non-isothermal cell is the same as that of an isothermal cell with the same electrodes operating at the higher temperature. By measuring the temperature of the melt alone and the EMF of the non-isothermal galvanic sensor, one can derive the chemical potential or the concentration of oxygen in a corrosive medium. The theory is experimentally checked using sensors for oxygen in liquid copper constructed with various metal+oxide electrodes and fully stabilised (CaO)ZrO2 as the electrolyte. To satisfy the exact condition for temperature compensation it is often necessary to have the metal or oxide as a solid solution in the reference electrode.