An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Faster Algorithms for All-pairs Approximate Shortest Paths in Undirected Graphs

Let G - (V, E) be a weighted undirected graph having nonnegative edge weights. An estimate (delta) over cap (u, v) of the actual distance d( u, v) between u, v is an element of V is said to be of stretch t if and only if delta(u, v) <= (delta) over cap (u, v) <= t . delta(u, v). Computing all-pairs small stretch distances efficiently ( both in terms of time and space) is a well-studied problem in graph algorithms. We present a simple, novel, and generic scheme for all-pairs approximate shortest paths. Using this scheme and some new ideas and tools, we design faster algorithms for all-pairs t-stretch distances for a whole range of stretch t, and we also answer an open question posed by Thorup and Zwick in their seminal paper [J. ACM, 52 (2005), pp. 1-24].

Analysts' Accuracy of Estimation and the Relative Trading Volume

This study contributes to the neglect effect literature by looking at the relative trading volume in terms of value. The results for the Swedish market show a significant positive relationship between the accuracy of estimation and the relative trading volume. Market capitalisation and analyst coverage have in prior studies been used as proxies for neglect. These measures however, do not take into account the effort analysts put in when estimating corporate pre-tax profits. I also find evidence that the industry of the firm influence the accuracy of estimation. In addition, supporting earlier findings, loss making firms are associated with larger forecasting errors. Further, I find that the average forecast error increased in the year 2000 – in Sweden.

Absorption-resorption heating cycles with the new working pairs R21-NMP and R21-DMA

The new working pairs, R21-NMP and R21-DMA, find potential application as working pairs for the single stage Resorption Heat Pump (RHP) and the Resorption Heat Transformer (RHT) cycles. A thermodynamic cycle analysis with these pairs shows that single stage RHPs have high COPs in their entire range of operation. RHTs show higher temperature boosts (up to 47 K) than the simple absorption heat transformers. Absorber temperatures of up to 400 K can be achieved in a single stage RHT system using R21 as the refrigerant. However, absorption-resorption systems have inherent limitations on the range of operating temperatures. Besides, they necessitate a higher pump work as compared to simple single stage absorption heating systems.

Non-Marcus energy gap dependence of electron transfer rate in contact ion pairs. Novel interplay between relaxation and reaction in solution

Electron transfer reactions between donor-acceptor pairs in solution and in organized media exhibit diverse behaviour. Recent experiments have indicated an interesting breakdown of the Marcus parabolic energy gap dependence in the normal regime for back electron transfer from contact ion pairs. A novel explanation of this breakdown has recently been proposed (M. Tachiya and S. Murata, J. Am. Chem. Sec., 116(1994) 2434) which attributes the breakdown to the interplay between the relaxation in the reactant well and the reaction. A particularly interesting aspect of the model is that it envisages the electron transfer in the normal regime to take place from a completely non-equilibrium condition. In this article a time dependent solution of the model is presented for the first time, after generalizing it to include a realistic initial population distribution. The decay of the contact ion pair population is completely non-exponential. This can be used to check the validity of the Tachiya-Murata model. The dynamics of electron transfer from the solvent separated ion pair, which seem to obey the Marcus relation, is exponential.

Thermodynamic modelling of absorption-resorption heating cycles with some new working pairs

This paper presents the results of a thermodynamic cycle analysis of single stage resorption heat pump (RHP) and resorption heat transformer (RHT) cycles with the new working pairs R22-NMP and R22-DMA. The coefficients of performance (COP) are correlated with the low grade source temperature, temperature at which useful heat is obtained and ambient temperature. The COPs are in the range 1.20–1.60 for the RHP mode and 0.25–0.45 for the RHT mode. Absorber temperatures (useful temperatures) as high as 50°C in the RHP mode and 87°C in the RHT mode have been obtained. It is observed that absorption-resorption systems are inflexible in their range of operating temperature and necessitate a higher pump work as compared with simple single-stage absorption heating systems. However, single stage RHTs show higher temperature boosts than simple absorption heat transformers.

An ab-initio study of the role of lone pairs in the structure and insulator-metal transition in SnO and PbO

We have performed density functional calculations on tetragonal SnO and PbO (litharge) in the space group P4/nmm with the specific intention of examining the role played by Sn 5s and Pb 6s lone pairs in stabilizing the structure, and in giving rise to semi-metallic behavior (of SnO at ambient pressure and of PbO in the gamma phase). Use of the electron localization function has permitted real-space visualization of the lone pair in these structures. We also discuss the electronic structure of the orthorhombic PbO (massicot, space group Pbma) which again has localized lone pairs, contrary to some earlier expectation. (C) 2002 Editions scientifiques et medicales Elsevier SAS. All rights reserved.

Visualizing lone pairs in compounds containing heavier congeners of the carbon and nitrogen group elements

In this mini-review, I discuss some recent work on the stereochemistry and bonding of lone pairs of electrons in divalent compounds of the heavier carbon group elements (SnII, PbII) and in trivalent compounds of the heavier nitrogen group elements (BiIII). Recently developed methods that permit the real-space visualization of bonding patterns on the basis of density functional calculations of electronic structure, reveal details of the nature of s electron lone pairs in compounds of the heavier main group elements – their stereochemistry and their inertness (or lack thereof). An examination of tetragonal P4/nmm SnO, a-PbO and BiOF, and cubic Fm3m PbS provides a segue into perovskite phases of technological significance, including ferroelectric PbTiO3 and antiferroelectric/piezoelectric PbZrO3, in both of which the lone pairs on Pb atoms play a pivotal rôle.

Faster algorithms for all-pairs small stretch distances in weighted graphs

Abstract. Let G = (V,E) be a weighted undirected graph, with non-negative edge weights. We consider the problem of efficiently computing approximate distances between all pairs of vertices in G. While many efficient algorithms are known for this problem in unweighted graphs, not many results are known for this problem in weighted graphs. Zwick [14] showed that for any fixed ε> 0, stretch 1 1 + ε distances between all pairs of vertices in a weighted directed graph on n vertices can be computed in Õ(n ω) time, where ω < 2.376 is the exponent of matrix multiplication and n is the number of vertices. It is known that finding distances of stretch less than 2 between all pairs of vertices in G is at least as hard as Boolean matrix multiplication of two n×n matrices. It is also known that all-pairs stretch 3 distances can be computed in Õ(n 2) time and all-pairs stretch 7/3 distances can be computed in Õ(n 7/3) time. Here we consider efficient algorithms for the problem of computing all-pairs stretch (2+ε) distances in G, for any 0 < ε < 1. We show that all pairs stretch (2 + ε) distances for any fixed ε> 0 in G can be computed in expected time O(n 9/4 logn). This algorithm uses a fast rectangular matrix multiplication subroutine. We also present a combinatorial algorithm (that is, it does not use fast matrix multiplication) with expected running time O(n 9/4) for computing all-pairs stretch 5/2 distances in G. 1

Ferrocene-based Lewis acids and Lewis pairs: Synthesis and structural characterization

Optically active Lewis acids and Lewis pairs were synthesized and characterized by multinuclear NMR, UV/Vis spectroscopy and elemental analysis. Optical rotation measurements were carried out and the absolute configuration of the new chiral molecules confirmed by single crystal X-ray diffraction.

Improved LSB stegananalysis based on analysis of adjacent pixel pairs

We propose a simple, reliable method based on probability of transitions and distribution of adjacent pixel pairs for steganalysis on digital images in spatial domain subjected to Least Significant Bit replacement steganography. Our method is sensitive to the statistics of underlying cover image and is a variant of Sample Pair Method. We use the new method to estimate length of hidden message reliably. The novelty of our method is that it detects from the statistics of the underlying image, which is invariant with embedding, whether the results it calculate are reliable or not. To our knowledge, no steganalytic method so far predicts from the properties of the stego image, whether its results are accurate or not.

Assignment of the C-13 NMR spectrum by correlation to dipolar coupled proton-pairs and estimation of order parameters of a thiophene based liquid crystal

Materials with widely varying molecular topologies and exhibiting liquid crystalline properties have attracted considerable attention in recent years. C-13 NMR spectroscopy is a convenient method for studying such novel systems. In this approach the assignment of the spectrum is the first step which is a non-trivial problem. Towards this end, we propose here a method that enables the carbon skeleton of the different sub-units of the molecule to be traced unambiguously. The proposed method uses a heteronuclear correlation experiment to detect pairs of nearby carbons with attached protons in the liquid crystalline core through correlation of the carbon chemical shifts to the double-quantum coherences of protons generated through the dipolar coupling between them. Supplemented by experiments that identify non-protonated carbons, the method leads to a complete assignment of the spectrum. We initially apply this method for assigning the C-13 spectrum of the liquid crystal 4-n-pentyl-4'-cyanobiphenyl oriented in the magnetic field. We then utilize the method to assign the aromatic carbon signals of a thiophene based liquid crystal thereby enabling the local order-parameters of the molecule to be estimated and the mutual orientation of the different sub-units to be obtained.