Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Effect of different jump distributions on the dynamics of jump processes

The paper investigates stochastic processes forced by independent and identically distributed jumps occurring according to a Poisson process. The impact of different distributions of the jump amplitudes are analyzed for processes with linear drift. Exact expressions of the probability density functions are derived when jump amplitudes are distributed as exponential, gamma, and mixture of exponential distributions for both natural and reflecting boundary conditions. The mean level-crossing properties are studied in relation to the different jump amplitudes. As an example of application of the previous theoretical derivations, the role of different rainfall-depth distributions on an existing stochastic soil water balance model is analyzed. It is shown how the shape of distribution of daily rainfall depths plays a more relevant role on the soil moisture probability distribution as the rainfall frequency decreases, as predicted by future climatic scenarios. © 2010 The American Physical Society.

Exploring the effects of image persistence in low frame rate virtual environments

© 2015 IEEE.In virtual reality applications, there is an aim to provide real time graphics which run at high refresh rates. However, there are many situations in which this is not possible due to simulation or rendering issues. When running at low frame rates, several aspects of the user experience are affected. For example, each frame is displayed for an extended period of time, causing a high persistence image artifact. The effect of this artifact is that movement may lose continuity, and the image jumps from one frame to another. In this paper, we discuss our initial exploration of the effects of high persistence frames caused by low refresh rates and compare it to high frame rates and to a technique we developed to mitigate the effects of low frame rates. In this technique, the low frame rate simulation images are displayed with low persistence by blanking out the display during the extra time such image would be displayed. In order to isolate the visual effects, we constructed a simulator for low and high persistence displays that does not affect input latency. A controlled user study comparing the three conditions for the tasks of 3D selection and navigation was conducted. Results indicate that the low persistence display technique may not negatively impact user experience or performance as compared to the high persistence case. Directions for future work on the use of low persistence displays for low frame rate situations are discussed.

Observation of stable phase jump lines in convection of a twisted nematic liquid crystal

We report observations of stable, localized, linelike structures in the spatially periodic pattern formed by nematic electroconvection, along which the phase of the pattern jumps by pi. With increasing electric voltage, these lines form a gridlike structure that goes over into a structure indistinguishable from the well-known grid pattern. We present theoretical arguments that suggest that the twisted cell geometry we are using is indirectly stabilizing the phase jump lines, and that the phase jump lines lattice is caused by an interaction of phase jump lines and a zig-zag instability of the surrounding pattern.

Use of arc-length method for capturing mode jumping in postbuckling aerostructures

The arc-length method has become a widely established solution technique for studying nonlinear structural behavior. By augmenting the set of nonlinear equilibrium equations with a constraint equation, which is a function of both the displacements and load increment, it is capable of traversing limit points. Numerous investigations have shown that highly nonlinear behavior such as sharp "snap-backs" can still lead to numerical difficulties. Two practical examples are presented to assess the effectiveness of this solution technique in capturing secondary instabilities in postbuckling structures, which present themselves as abrupt mode jumps. Although the first example poses no special difficulties, in the second case the nonlinear procedure fails to converge. An improvement to the method's formulation is suggested, which accounts for the residual forces that are usually neglected, when proceeding to the next increment once convergence is reached on the current increment. The choice of a correct load increment at the first iteration, within a predictor-corrector scheme, is central to the method's effectiveness. Current strategies for a choice of this load increment are discussed and are shown to be no longer consistent with the modified formulation; therefore, a new approach is proposed.

Lay-up optimization of composite plates to delay mode-jump instabilities

Experimental and numerical studies have shown that the occurrence of abrupt secondary instabilities, or mode-jumps, in a postbuckling stiffened composite panel may initiate structural failure. This study presents an optimisation methodology, using a genetic algorithm and finite element analysis for the lay-up optimisation of postbuckling composite plates to delay the onset of mode-jump instabilities. A simple and novel approach for detecting modejumps is proposed, based on the RMS value of out-of-plane pseudo-velocities at a number of locations distributed over the postbuckling structure

Monte Carlo studies of quantum and classical annealing on a double well

We present results for a variety of Monte Carlo annealing approaches, both classical and quantum, benchmarked against one another for the textbook optimization exercise of a simple one-dimensional double well. In classical (thermal) annealing, the dependence upon the move chosen in a Metropolis scheme is studied and correlated with the spectrum of the associated Markov transition matrix. In quantum annealing, the path integral Monte Carlo approach is found to yield nontrivial sampling difficulties associated with the tunneling between the two wells. The choice of fictitious quantum kinetic energy is also addressed. We find that a "relativistic" kinetic energy form, leading to a higher probability of long real-space jumps, can be considerably more effective than the standard nonrelativistic one.

The not-so-Irish spurge: Euphorbia hyberna (Euphorbiaceae) and the Littletonian plant ‘steeplechase’

The disjunct distributions of the Lusitanian flora, which are found only in south-west Ireland and northern Iberia, and are generally absent from intervening regions, have been of great interest to biogeographers. There has been much debate as to whether Irish populations represent relicts that survived the Last Glacial Maximum (LGM; approximately 21 kya), or whether they recolonized from southern refugia subsequent to the retreat of the ice and, if so, whether this occurred directly (i.e. the result of long distance dispersal) or successively (i.e. in the manner of a ‘steeplechase’, with the English Channel and Irish Sea representing successive ‘water-jumps’ that have to be successfully crossed). In the present study, we used a combined palaeodistribution modelling and phylogeographical approach to determine the glacial history of the Irish spurge, Euphorbia hyberna, the sole member of the Lusitanian flora that is also considered to occur naturally in south-western England. Our findings suggest that the species persisted through the LGM in several southern refugia, and that northern populations are the result of successive recolonization of Britain and Ireland during the postglacial Littletonian warm stage, akin to the ‘steeplechase’ hypothesis.

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Synthesis, thermal characterization and rheological properties of a homologous series of polymethacrylate-based side-chain liquid crystal polymers

A new homologous series of side-chain liquid crystal polymers, the poly[omega-(4-cyanoazobenzene-4'-oxy)alkyl methacrylate]s, have been prepared in which the length of the flexible alkyl spacer is varied from 3 to 12 methylene units. All the polymers exhibit liquid crystalline behaviour; specifically, crystal E, smectic A and nematic phases are observed. The glass transition temperatures decrease on increasing spacer length before reaching a limiting value at ca. 30 degrees C. The clearing temperatures exhibit an odd-even effect on varying the length and parity of the spacer. This is attributed to the change in the average shape of the side chain as the parity of the spacer is varied. This rationalization also accounts for the observed alternation in the entropy change associated with the clearing transition. A weak relaxation is observed theologically for several members of this polymer series at temperatures above their respective glass transition temperatures. This is attributed either to specific motions of the smectic layers or to 180 degrees reorientational jumps of the long axis of the mesogenic unit about the polymer backbone. (C) 1997 Elsevier Science Ltd. All rights reserved.

Properties of Hydraulic Jump over Apparent Corrugated Beds

The characteristics of hydraulic jumps were investigated for three shapes of artificial apparent corrugated beds in a horizontal rectangular flume. Rectangular, triangular, and circular-shaped tire waste corrugated beds were used. Froude number ranged from 2.75 to 4.25. The experimental observations included water surface profiles, bed shear stress, and the hydraulic jump length. Results showed that the shape of the corrugation had relatively insignificant effects on hydraulic jump properties for small Froude numbers. The rectangular, triangular, and circular-shaped corrugated beds reduced the hydraulic jump length by up to 7, 10, and 11%, respectively. The corrugated bed also reduced the tailwater depth by up to 11.5% compared with the smooth bed. The apparent conditions of corrugated bed reduced the hydraulic jump relative length and height by about 0.4 and 0.5, respectively. The circular-shaped tire waste was found to be more effective in reducing the length and depth of the hydraulic jump.

Influência do tipo de chuteira em variáveis preditoras do risco de entorse lateral do tornozelo

Introdução: No futebol, a entorse lateral do tornozelo (ELT) destaca-se como sendo a lesão mais prevalente. Potenciada pela variedade de chuteiras disponíveis no mercado e pela crescente utilização de relvados sintéticos, a interação entre o terreno e o calçado tem assumido elevada relevância como fator de risco para a ELT. A maior incidência de lesões na 2ª parte do jogo traduz a necessidade do estudo dessa interação durante tarefas que envolvam fadiga. Objetivo: Estudar a influência das chuteiras em variáveis preditoras do risco de ELT em relvado sintético sob duas condições: sem e com fadiga dos músculos eversores do tornozelo Métodos: Foi utilizada uma amostra de atletas saudáveis. Todos os indivíduos realizaram 3 séries de 5 saltos médio-laterais uni-podálicos, cada uma com 1 de 3 modelos de chuteiras (Turf, Hard e Firm ground) em duas condições: sem e com fadiga induzida pelo dinamómetro isocinético. Durante a tarefa, a atividade eletromiográfica do longo e curto peroniais, o valor das forças de reação do solo e o movimento do retro-pé (plano frontal), foram recolhidos e usados para calcular variáveis cinemáticas (eversão/inversão do tornozelo, o deslocamento e velocidade do centro de pressão), cinéticas (taxa de crescimento das forças de reação do solo) e neuromusculares (tempo de ativação muscular dos peroniais). Resultados: À exceção do tempo de ativação do curto peronial com o modelo Hard ground (sem fadiga vs com fadiga (p=0,050), não foram identificadas diferenças estatisticamente significativas nas variáveis preditoras de lesão, entre chuteiras, nem entre as duas condições avaliadas. Conclusão: Para o teste funcional escolhido e executado por atletas saudáveis em sintético de 3ª geração, nenhuma das chuteiras apresenta maior risco de lesão (com e sem fadiga), tendo em conta as variáveis em estudo.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Automatic measurement of key ski jumping phases and temporal events with a wearable system.

We propose a new method, based on inertial sensors, to automatically measure at high frequency the durations of the main phases of ski jumping (i.e. take-off release, take-off, and early flight). The kinematics of the ski jumping movement were recorded by four inertial sensors, attached to the thigh and shank of junior athletes, for 40 jumps performed during indoor conditions and 36 jumps in field conditions. An algorithm was designed to detect temporal events from the recorded signals and to estimate the duration of each phase. These durations were evaluated against a reference camera-based motion capture system and by trainers conducting video observations. The precision for the take-off release and take-off durations (indoor < 39 ms, outdoor = 27 ms) can be considered technically valid for performance assessment. The errors for early flight duration (indoor = 22 ms, outdoor = 119 ms) were comparable to the trainers' variability and should be interpreted with caution. No significant changes in the error were noted between indoor and outdoor conditions, and individual jumping technique did not influence the error of take-off release and take-off. Therefore, the proposed system can provide valuable information for performance evaluation of ski jumpers during training sessions.

A direct approach to the discounted penalty function

This paper provides a new and accessible approach to establishing certain results concerning the discounted penalty function. The direct approach consists of two steps. In the first step, closed-form expressions are obtained in the special case in which the claim amount distribution is a combination of exponential distributions. A rational function is useful in this context. For the second step, one observes that the family of combinations of exponential distributions is dense. Hence, it suffices to reformulate the results of the first step to obtain general results. The surplus process has downward and upward jumps, modeled by two independent compound Poisson processes. If the distribution of the upward jumps is exponential, a series of new results can be obtained with ease. Subsequently, certain results of Gerber and Shiu [H. U. Gerber and E. S. W. Shiu, North American Actuarial Journal 2(1): 48–78 (1998)] can be reproduced. The two-step approach is also applied when an independent Wiener process is added to the surplus process. Certain results are related to Zhang et al. [Z. Zhang, H. Yang, and S. Li, Journal of Computational and Applied Mathematics 233: 1773–1 784 (2010)], which uses different methods.