Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

Constrained Linear Spectral Unmixing Technique for Regional Land Cover Mapping Using MODIS Data

Over the last few decades, there has been a significant land cover (LC) change across the globe due to the increasing demand of the burgeoning population and urban sprawl. In order to take account of the change, there is a need for accurate and up-to-date LC maps. Mapping and monitoring of LC in India is being carried out at national level using multi-temporal IRS AWiFS data. Multispectral data such as IKONOS, Landsat-TM/ETM+, IRS-ICID LISS-III/IV, AWiFS and SPOT-5, etc. have adequate spatial resolution (similar to 1m to 56m) for LC mapping to generate 1:50,000 maps. However, for developing countries and those with large geographical extent, seasonal LC mapping is prohibitive with data from commercial sensors of limited spatial coverage. Superspectral data from the MODIS sensor are freely available, have better temporal (8 day composites) and spectral information. MODIS pixels typically contain a mixture of various LC types (due to coarse spatial resolution of 250, 500 and 1000 in), especially in more fragmented landscapes. In this context, linear spectral unmixing would be useful for mapping patchy land covers, such as those that characterise much of the Indian subcontinent. This work evaluates the existing unmixing technique for LC mapping using MODIS data, using end-members that are extracted through Pixel Purity Index (PPI), Scatter plot and N-dimensional visualisation. The abundance maps were generated for agriculture, built up, forest, plantations, waste land/others and water bodies. The assessment of the results using ground truth and a LISS-III classified map shows 86% overall accuracy, suggesting the potential for broad-scale applicability of the technique with superspectral data for natural resource planning and inventory applications. Index Terms-Remote sensing, digital

An analysis of MONTBLEX data on heat and momentum flux at Jodhpur

Parameterization of sensible heat and momentum fluxes as inferred from an analysis of tower observations archived during MONTBLEX-90 at Jodhpur is proposed, both in terms of standard exchange coefficients C-H and C-D respectively and also according to free convection scaling. Both coefficients increase rapidly at low winds (the latter more strongly) and with increasing instability. All the sensible heat flux data at Jodhpur (wind speed at 10m <(U)over bar (10)>, < 8ms(-1)) also obey free convection scaling, with the flux proportional to the '4/3' power of an appropriate temperature difference such as that between 1 and 30 m. Furthermore, for <(U)over bar (10)> < 4 ms(-1) the momentum flux displays a linear dependence on wind speed.

Sidewall inclined slot in a rectangular waveguide: Theory and experiment

A novel analysis to compute the admittance characteristics of the slots cut in the narrow wall of a rectangular waveguide, which includes the corner diffraction effects and the finite waveguide wall thickness, is presented. A coupled magnetic field integral equation is formulated at the slot aperture which is solved by the Galerkin approach of the method of moments using entire domain sinusoidal basis functions. The externally scattered fields are computed using the finite difference method (FDM) coupled with the measured equation of invariance (MEI). The guide wall thickness forms a closed cavity and the fields inside it are evaluated using the standard FDM. The fields scattered inside the waveguide are formulated in the spectral domain for faster convergence compared to the traditional spatial domain expansions. The computed results have been compared with the experimental results and also with the measured data published in previous literature. Good agreement between the theoretical and experimental results is obtained to demonstrate the validity of the present analysis.

The case for “n«all”: Why the Big Data revolution will probably happen differently in the mining sector

Big Data and predictive analytics have received significant attention from the media and academic literature throughout the past few years, and it is likely that these emerging technologies will materially impact the mining sector. This short communication argues, however, that these technological forces will probably unfold differently in the mining industry than they have in many other sectors because of significant differences in the marginal cost of data capture and storage. To this end, we offer a brief overview of what Big Data and predictive analytics are, and explain how they are bringing about changes in a broad range of sectors. We discuss the “N=all” approach to data collection being promoted by many consultants and technology vendors in the marketplace but, by considering the economic and technical realities of data acquisition and storage, we then explain why a “n « all” data collection strategy probably makes more sense for the mining sector. Finally, towards shaping the industry’s policies with regards to technology-related investments in this area, we conclude by putting forward a conceptual model for leveraging Big Data tools and analytical techniques that is a more appropriate fit for the mining sector.

Constructing a traditional Chinese medicine data warehouse application

The explosive growth in the development of Traditional Chinese Medicine (TCM) has resulted in the continued increase in clinical and research data. The lack of standardised terminology, flaws in data quality planning and management of TCM informatics are preventing clinical decision-making, drug discovery and education. This paper argues that the introduction of data warehousing technologies to enhance the effectiveness and durability in TCM is paramount. To showcase the role of data warehousing in the improvement of TCM, this paper presents a practical model for data warehousing with detailed explanation, which is based on the structured electronic records, for TCM clinical researches and medical knowledge discovery.

Spatio-temporal modelling of cancer data in Queensland using Bayesian methods

Cancer is the leading contributor to the disease burden in Australia. This thesis develops and applies Bayesian hierarchical models to facilitate an investigation of the spatial and temporal associations for cancer diagnosis and survival among Queenslanders. The key objectives are to document and quantify the importance of spatial inequalities, explore factors influencing these inequalities, and investigate how spatial inequalities change over time. Existing Bayesian hierarchical models are refined, new models and methods developed, and tangible benefits obtained for cancer patients in Queensland. The versatility of using Bayesian models in cancer control are clearly demonstrated through these detailed and comprehensive analyses.

Reconstruction from incomplete data in cone-beam tomography

A method for reconstruction of an object f(x) x=(x,y,z) from a limited set of cone-beam projection data has been developed. This method uses a modified form of convolution back-projection and projection onto convex sets (POCS) for handling the limited (or incomplete) data problem. In cone-beam tomography, one needs to have a complete geometry to completely reconstruct the original three-dimensional object. While complete geometries do exist, they are of little use in practical implementations. The most common trajectory used in practical scanners is circular, which is incomplete. It is, however, possible to recover some of the information of the original signal f(x) based on a priori knowledge of the nature of f(x). If this knowledge can be posed in a convex set framework, then POCS can be utilized. In this report, we utilize this a priori knowledge as convex set constraints to reconstruct f(x) using POCS. While we demonstrate the effectiveness of our algorithm for circular trajectories, it is essentially geometry independent and will be useful in any limited-view cone-beam reconstruction.

Constraining the low-energy pion electromagnetic form factor with space-like and phase of time-like data

The Taylor coefficients c and d of the EM form factor of the pion are constrained using analyticity, knowledge of the phase of the form factor in the time-like region, 4m(pi)(2) <= t <= t(in) and its value at one space-like point, using as input the (g - 2) of the muon. This is achieved using the technique of Lagrange multipliers, which gives a transparent expression for the corresponding bounds. We present a detailed study of the sensitivity of the bounds to the choice of time-like phase and errors present in the space-like data, taken from recent experiments. We find that our results constrain c stringently. We compare our results with those in the literature and find agreement with the chiral perturbation-theory results for c. We obtain d similar to O(10) GeV-6 when c is set to the chiral perturbation-theory values.

Revision of JANAF (1985) data for C2H2(g)

There is an error in the JANAF (1985) data on the standard enthalpy, Gibbs energy and equilibrium constant for the formation of C2H2 (g) from elements. The error has arisen on account of an incorrect expression used for computing these parameters from the heat capacity, entropy and the relative heat content. Presented in this paper are the corrected values of the enthalpy, the Gibbs energy of formation and the corresponding equilibrium constant.

Efficient use of correlation entropy for analysing time series data

The correlation dimension D 2 and correlation entropy K 2 are both important quantifiers in nonlinear time series analysis. However, use of D 2 has been more common compared to K 2 as a discriminating measure. One reason for this is that D 2 is a static measure and can be easily evaluated from a time series. However, in many cases, especially those involving coloured noise, K 2 is regarded as a more useful measure. Here we present an efficient algorithmic scheme to compute K 2 directly from a time series data and show that K 2 can be used as a more effective measure compared to D 2 for analysing practical time series involving coloured noise.

How serious are they? The use of data linkage to explore different definitions of serious road crash injuries

Over recent years, the focus in road safety has shifted towards a greater understanding of road crash serious injuries in addition to fatalities. Police reported crash data are often the primary source of crash information; however, the definition of serious injury within these data is not consistent across jurisdictions and may not be accurately operationalised. This study examined the linkage of police-reported road crash data with hospital data to explore the potential for linked data to enhance the quantification of serious injury. Data from the Queensland Road Crash Database (QRCD), the Queensland Hospital Admitted Patients Data Collection (QHAPDC), Emergency Department Information System (EDIS), and the Queensland Injury Surveillance Unit (QISU) for the year 2009 were linked. Nine different estimates of serious road crash injury were produced. Results showed that there was a large amount of variation in the estimates of the number and profile of serious road crash injuries depending on the definition or measure used. The results also showed that as the definition of serious injury becomes more precise the vulnerable road users become more prominent. These results have major implications in terms of how serious injuries are identified for reporting purposes. Depending on the definitions used, the calculation of cost and understanding of the impact of serious injuries would vary greatly. This study has shown how data linkage can be used to investigate issues of data quality. It has also demonstrated the potential improvements to the understanding of the road safety problem, particularly serious injury, by conducting data linkage.

A linear programming approach for estimating the structure of a sparse linear genetic network from transcript profiling data

Background: A genetic network can be represented as a directed graph in which a node corresponds to a gene and a directed edge specifies the direction of influence of one gene on another. The reconstruction of such networks from transcript profiling data remains an important yet challenging endeavor. A transcript profile specifies the abundances of many genes in a biological sample of interest. Prevailing strategies for learning the structure of a genetic network from high-dimensional transcript profiling data assume sparsity and linearity. Many methods consider relatively small directed graphs, inferring graphs with up to a few hundred nodes. This work examines large undirected graphs representations of genetic networks, graphs with many thousands of nodes where an undirected edge between two nodes does not indicate the direction of influence, and the problem of estimating the structure of such a sparse linear genetic network (SLGN) from transcript profiling data. Results: The structure learning task is cast as a sparse linear regression problem which is then posed as a LASSO (l1-constrained fitting) problem and solved finally by formulating a Linear Program (LP). A bound on the Generalization Error of this approach is given in terms of the Leave-One-Out Error. The accuracy and utility of LP-SLGNs is assessed quantitatively and qualitatively using simulated and real data. The Dialogue for Reverse Engineering Assessments and Methods (DREAM) initiative provides gold standard data sets and evaluation metrics that enable and facilitate the comparison of algorithms for deducing the structure of networks. The structures of LP-SLGNs estimated from the INSILICO1, INSILICO2 and INSILICO3 simulated DREAM2 data sets are comparable to those proposed by the first and/or second ranked teams in the DREAM2 competition. The structures of LP-SLGNs estimated from two published Saccharomyces cerevisae cell cycle transcript profiling data sets capture known regulatory associations. In each S. cerevisiae LP-SLGN, the number of nodes with a particular degree follows an approximate power law suggesting that its degree distributions is similar to that observed in real-world networks. Inspection of these LP-SLGNs suggests biological hypotheses amenable to experimental verification. Conclusion: A statistically robust and computationally efficient LP-based method for estimating the topology of a large sparse undirected graph from high-dimensional data yields representations of genetic networks that are biologically plausible and useful abstractions of the structures of real genetic networks. Analysis of the statistical and topological properties of learned LP-SLGNs may have practical value; for example, genes with high random walk betweenness, a measure of the centrality of a node in a graph, are good candidates for intervention studies and hence integrated computational – experimental investigations designed to infer more realistic and sophisticated probabilistic directed graphical model representations of genetic networks. The LP-based solutions of the sparse linear regression problem described here may provide a method for learning the structure of transcription factor networks from transcript profiling and transcription factor binding motif data.

Controversy on the Free Energy of Formation of CaO Additional Evidence in Support of Thermochemical Data

The standard free energies of formation of CaO derived from a variety of high-temperature equilibrium measurements made by seven groups of experimentalists are significantly different from those given in the standard compilations of thermodynamic data. Indirect support for the validity of the compiled data comes from new solid-state electrochemical measurements using single-crystal CaF2 and SrF2 as electrolytes. The change in free energy for the following reactions are obtained: CaO + MgF2 --> MgO + CaF2 Delta G degrees = -68,050 -2.47 T(+/-100) J mol(-1) SrO + CaF2 --> SrF2 + CaO Delta G degrees = -35,010 + 6.39 T (+/-80) J mol(-1) The standard free energy changes associated with cell reactions agree with data in standard compilations within +/- 4 kJ mol(-1). The results of this study do not support recent suggestions for a major revision in thermodynamic data for CaO.

Spatial Variability of the Depth of Weathered and Engineering Bedrock using Multichannel Analysis of Surface Wave Method

In this paper an attempt has been made to evaluate the spatial variability of the depth of weathered and engineering bedrock in Bangalore, south India using Multichannel Analysis of Surface Wave (MASW) survey. One-dimensional MASW survey has been carried out at 58 locations and shear-wave velocities are measured. Using velocity profiles, the depth of weathered rock and engineering rock surface levels has been determined. Based on the literature, shear-wave velocity of 330 ± 30 m/s for weathered rock or soft rock and 760 ± 60 m/s for engineering rock or hard rock has been considered. Depths corresponding to these velocity ranges are evaluated with respect to ground contour levels and top surface levels have been mapped with an interpolation technique using natural neighborhood. The depth of weathered rock varies from 1 m to about 21 m. In 58 testing locations, only 42 locations reached the depths which have a shear-wave velocity of more than 760 ± 60 m/s. The depth of engineering rock is evaluated from these data and it varies from 1 m to about 50 m. Further, these rock depths have been compared with a subsurface profile obtained from a two-dimensional (2-D) MASW survey at 20 locations and a few selected available bore logs from the deep geotechnical boreholes.