889 resultados para Realized volatility


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This paper proposes novel universal logic gates using the current quantization characteristics of nanodevices. In nanodevices like the electron waveguide (EW) and single-electron (SE) turnstile, the channel current is a staircase quantized function of its control voltage. We use this unique characteristic to compactly realize Boolean functions. First we present the concept of the periodic-threshold threshold logic gate (PTTG), and we build a compact PTTG using EW and SE turnstiles. We show that an arbitrary three-input Boolean function can be realized with a single PTTG, and an arbitrary four-input Boolean function can be realized by using two PTTGs. We then use one PTTG to build a universal programmable two-input logic gate which can be used to realize all two-input Boolean functions. We also build a programmable three-input logic gate by using one PTTG. Compared with linear threshold logic gates, with the PTTG one can build digital circuits more compactly. The proposed PTTGs are promising for future smart nanoscale digital system use.

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Extremely low density self-assembled InAs quantum dots are grown by a combination technique of in situ annealing for 2 min and pause of substrate rotation during molecular beam epitaxy. The surface morphology and structural characteristics of the quantum dots are scrutinized by atomic force microscopy and photoluminescence spectra. It is found that the quantum dot size and density increase as the InAs deposition amount rises. Quantum dots with a density between 2.5 x 10(7) cm(-2) and 2.2 x 10(8) cm(-2) are 2-5 nm in height and 18-39 nm in diameter. It is believed that as-grown InAs nanodots may be of important value for future single quantum dot research.

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A novel unselective regrowth buried heterostructure (BH) long-wavelength superluminescent diode (SLD), which has a grade-strained bulk InGaAs active region, was developed by metalorganic vapor-phase epitaxy (MOVPE). The 3 dB emission spectrum bandwidth of the SLD is about 65 nm with the range from 1596 to 1661 nm at 90 mA and front 1585 to 1650 nm at 150 mA. An output power of 3.5 mW is obtained at 200 mA injection current under CW operation at room temperature. (c) 2006 Elsevier B.V. All rights reserved.

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Self-organized In0.55Al0.45As/Al0.50Ga0.50As quantum dots are grown by the Stranski-Krastanow growth mode using molecular beam epitaxy on the GaAs(311)A substrate. The optical properties of type-II InAlAs/AlGaAs quantum dots have been demonstrated by the excitation power and temperature dependence of photoluminescence spectra. A simple model accounting for the size-dependent band gap of quantum dots is given to qualitatively understand the formation of type-II In0.55Al0.45As/Al0.50Ga0.50As quantum dots driven by the quantum-confinement-induced Gamma --> X transition. The results provide new insights into the band structure of InAlAs/AlGaAs quantum dots. (C) 2000 American Institute of Physics. [S0003-6951(00)00725-7].

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High-density InAs nanowires embedded in an In0.52Al0.48As matrix are fabricated in situ by molecular beam epitaxy on (100) InP. The average cross section of the nanowires is 4.5 x 10 nm(2). The linear density is as high as 70 wires/mu m. The spatial alignment of the multilayer arrays exhibit strong anticorrelation in the growth direction. Large polarization anisotropic effect is observed in polarized photoluminescence measurements. (C) 1999 American Institute of Physics. [S0003-6951(99)04134-0].

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Width varied quantum wells show a more flat and wide gain spectrume (about 115nm) than that of identical miltiple quantum well. A new fabricating method was demonstrated in this paper to realize two different Bragg grating in an selectable DFB laser based on this material grown identical chip using traditional holographic exposure. A wavelength by MOVPE was presented. Two stable distinct single longitudinal mode of 1510nm and 1530nm with SMSR of 45 dB were realized.

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This paper presents a high speed ROM-less direct digital frequency synthesizer (DDFS) which has a phase resolution of 32 bits and a magnitude resolution of 10 bits. A 10-bit nonlinear segmented DAC is used in place of the ROM look-up table for phase-to-sine amplitude conversion and the linear DAC in a conventional DDFS.The design procedure for implementing the nonlinear DAC is presented. To ensure high speed, current mode logic (CML) is used. The chip is implemented in Chartered 0.35μm COMS technology with active area of 2.0 × 2.5 mm~2 and total power consumption of 400 mW at a single 3.3 V supply voltage. The maximum operating frequency is 850 MHz at room temperature and 1.0 GHz at 0 ℃.

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We report a high molar extinction coefficient heteroleptic polypyridyl ruthenium sensitizer, featuring an electron-rich 3,4-ethylenedioxythiophene unit in its ancillary ligand. A nanocrystalline titania film stained with this sensitizer shows an improved optical absorption, which is highly desirable for practical dye-sensitized solar cells with a thin photoactive layer, facilitating the efficient charge collection.

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In order to improve the production and accurately estimate response to selection, divergent selection for growth in shell height was conducted in a cultured population of the Japanese scallop Patinopecten yessoensis. Applying the same selection intensity +/- 1.756 in upward and downward directions, three groups including two selected groups of Fast and Slow and one non-selected Control group were created, which were reared under the same environmental conditions at any stage. Differences always significantly existed among the three groups (P < 0.05), except for larvae at day 1 and at day 5, and in the order of Fast > Control > Slow. The average standardized response to selection (SR), realized heritability (h(R)2) and genetic gain (GG) was 0.473%, 0.269% and 7.85% for the Fast group and 0.381%, 0.217% and 6.60% for the Slow group respectively. Moreover, significant differences (P < 0.05) were detected between the fast and the slow lines in both SR and h(R)2, providing evidence for an asymmetric response in two directions. Performance in shell height is improved by 7.85% in the fast line after one generation selection, suggesting that mass selection for faster growth in a cultured population of the Japanese scallop is effective.

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We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

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This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

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Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

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This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.