ARMA Representation of Integrated and Realized Variances

This paper derives the ARMA representation of integrated and realized variances when the spot variance depends linearly on two autoregressive factors, i.e., SR SARV(2) models. This class of processes includes affine, GARCH diffusion, CEV models, as well as the eigenfunction stochastic volatility and the positive Ornstein-Uhlenbeck models. We also study the leverage effect case, the relationship between weak GARCH representation of returns and the ARMA representation of realized variances. Finally, various empirical implications of these ARMA representations are considered. We find that it is possible that some parameters of the ARMA representation are negative. Hence, the positiveness of the expected values of integrated or realized variances is not guaranteed. We also find that for some frequencies of observations, the continuous time model parameters may be weakly or not identified through the ARMA representation of realized variances.

Mesure et Prévision de la Volatilité pour les Actifs Liquides

Le prix efficient est latent, il est contaminé par les frictions microstructurelles ou bruit. On explore la mesure et la prévision de la volatilité fondamentale en utilisant les données à haute fréquence. Dans le premier papier, en maintenant le cadre standard du modèle additif du bruit et le prix efficient, on montre qu’en utilisant le volume de transaction, les volumes d’achat et de vente, l’indicateur de la direction de transaction et la différence entre prix d’achat et prix de vente pour absorber le bruit, on améliore la précision des estimateurs de volatilité. Si le bruit n’est que partiellement absorbé, le bruit résiduel est plus proche d’un bruit blanc que le bruit original, ce qui diminue la misspécification des caractéristiques du bruit. Dans le deuxième papier, on part d’un fait empirique qu’on modélise par une forme linéaire de la variance du bruit microstructure en la volatilité fondamentale. Grâce à la représentation de la classe générale des modèles de volatilité stochastique, on explore la performance de prévision de différentes mesures de volatilité sous les hypothèses de notre modèle. Dans le troisième papier, on dérive de nouvelles mesures réalizées en utilisant les prix et les volumes d’achat et de vente. Comme alternative au modèle additif standard pour les prix contaminés avec le bruit microstructure, on fait des hypothèses sur la distribution du prix sans frictions qui est supposé borné par les prix de vente et d’achat.

New simulation schemes for the Heston model

Les titres financiers sont souvent modélisés par des équations différentielles stochastiques (ÉDS). Ces équations peuvent décrire le comportement de l'actif, et aussi parfois certains paramètres du modèle. Par exemple, le modèle de Heston (1993), qui s'inscrit dans la catégorie des modèles à volatilité stochastique, décrit le comportement de l'actif et de la variance de ce dernier. Le modèle de Heston est très intéressant puisqu'il admet des formules semi-analytiques pour certains produits dérivés, ainsi qu'un certain réalisme. Cependant, la plupart des algorithmes de simulation pour ce modèle font face à quelques problèmes lorsque la condition de Feller (1951) n'est pas respectée. Dans ce mémoire, nous introduisons trois nouveaux algorithmes de simulation pour le modèle de Heston. Ces nouveaux algorithmes visent à accélérer le célèbre algorithme de Broadie et Kaya (2006); pour ce faire, nous utiliserons, entre autres, des méthodes de Monte Carlo par chaînes de Markov (MCMC) et des approximations. Dans le premier algorithme, nous modifions la seconde étape de la méthode de Broadie et Kaya afin de l'accélérer. Alors, au lieu d'utiliser la méthode de Newton du second ordre et l'approche d'inversion, nous utilisons l'algorithme de Metropolis-Hastings (voir Hastings (1970)). Le second algorithme est une amélioration du premier. Au lieu d'utiliser la vraie densité de la variance intégrée, nous utilisons l'approximation de Smith (2007). Cette amélioration diminue la dimension de l'équation caractéristique et accélère l'algorithme. Notre dernier algorithme n'est pas basé sur une méthode MCMC. Cependant, nous essayons toujours d'accélérer la seconde étape de la méthode de Broadie et Kaya (2006). Afin de réussir ceci, nous utilisons une variable aléatoire gamma dont les moments sont appariés à la vraie variable aléatoire de la variance intégrée par rapport au temps. Selon Stewart et al. (2007), il est possible d'approximer une convolution de variables aléatoires gamma (qui ressemble beaucoup à la représentation donnée par Glasserman et Kim (2008) si le pas de temps est petit) par une simple variable aléatoire gamma.

Norms establishment of the Diagnosis and Recommendation Integrated System (DRIS) for nutritional diagnosis of sugarcane

The objectives of this study were to establish DRIS norms for sugarcane crop, to compare mean yield, foliar nutrient contents and variance of nutrient ratios of low- and high-yielding groups and to compare mean values of nutrient ratios selected as the DRIS norms of low- and high-yielding groups. Leaf samples (analyzed for N, P, K, Ca, Mg, S, Cu, Mn and Zn contents) and respective yields were collected in 126 commercial sugarcane fields in Rio de Janeiro State, Brazil and used to establish DRIS norms for sugarcane. Nearly all nutrient ratios selected as DRIS norms (77.8%) showed statistical differences between mean values of the low- and high-yielding groups. These different nutritional balances between the low- and high-yielding groups indicate that the DRIS norms developed in this paper are reliable. The DRIS norms for micronutrients with high S²l /S²h ratio and low coefficient of variation found can provide more security to evaluate the micronutrient status of sugarcane.

A new concept of integrated cardiopulmonary bypass circuit.

OBJECTIVE: Standard cardiopulmonary bypass (CPB) circuits with their large surface area and volume contribute to postoperative systemic inflammatory reaction and hemodilution. In order to minimize these problems a new approach has been developed resulting in a single disposable, compact arterio-venous loop, which has integral kinetic-assist pumping, oxygenating, air removal, and gross filtration capabilities (CardioVention Inc., Santa Clara, CA, USA). The impact of this system on gas exchange capacity, blood elements and hemolysis is compared to that of a conventional circuit in a model of prolonged perfusion. METHODS: Twelve calves (mean body weight: 72.2+/-3.7 kg) were placed on cardiopulmonary bypass for 6 h with a flow of 5 l/min, and randomly assigned to the CardioVention system (n=6) or a standard CPB circuit (n=6). A standard battery of blood samples was taken before bypass and throughout bypass. Analysis of variance was used for comparison. RESULTS: The hematocrit remained stable throughout the experiment in the CardioVention group, whereas it dropped in the standard group in the early phase of perfusion. When normalized for prebypass values, both profiles differed significantly (P<0.01). Both O2 and CO2 transfers were significantly improved in the CardioVention group (P=0.04 and P<0.001, respectively). There was a slightly higher pressure drop in the CardioVention group but no single value exceeded 112 mmHg. No hemolysis could be detected in either group with all free plasma Hb values below 15 mg/l. Thrombocyte count, when corrected by hematocrit and normalized by prebypass values, exhibited an increased drop in the standard group (P=0.03). CONCLUSION: The CardioVention system with its concept of limited priming volume and exposed foreign surface area, improves gas exchange probably because of the absence of detectable hemodilution, and appears to limit the decrease in the thrombocyte count which may be ascribed to the reduced surface. Despite the volume and surface constraints, no hemolysis could be detected throughout the 6 h full-flow perfusion period.

Integrated multivariate analysis to evaluate effects of pre-slaughter handling on pork quality

The aim of this study was to investigate the effect of pre-slaughter handling on the occurrence of PSE (Pale, Soft, and Exudative) meat in swine slaughtered at a commercial slaughterhouse located in the metropolitan region of Dourados, Mato Grosso do Sul, Brazil. Based on the database (n=1,832 carcasses), it was possible to apply the integrated multivariate analysis for the purpose of identifying, among the selected variables, those of greatest relevance to this study. Results of the Principal Component Analysis showed that the first five components explained 89.28% of total variance. In the Factor Analysis, the first factor represented the thermal stress and fatiguing conditions for swine during pre-slaughter handling. In general, this study indicated the importance of the pre-slaughter handling stages, evidencing those of greatest stress and threat to animal welfare and pork quality, which are transport time, resting period, lairage time before unloading, unloading time, and ambience.

A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

Engineering knowledge-based variance-reduction simulation and G-dominance for structural frame robust optimization

[EN] This paper proposes the incorporation of engineering knowledge through both (a) advanced state-of-the-art preference handling decision-making tools integrated in multiobjective evolutionary algorithms and (b) engineering knowledge-based variance reduction simulation as enhancing tools for the robust optimum design of structural frames taking uncertainties into consideration in the design variables.The simultaneous minimization of the constrained weight (adding structuralweight and average distribution of constraint violations) on the one hand and the standard deviation of the distribution of constraint violation on the other are handled with multiobjective optimization-based evolutionary computation in two different multiobjective algorithms. The optimum design values of the deterministic structural problem in question are proposed as a reference point (the aspiration level) in reference-point-based evolutionary multiobjective algorithms (here g-dominance is used). Results including

Cross-Country Evidence on Output Growth Volatility: Nonstationary Variance and GARCH Models

This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding largely reflects a nonstationary variance. Output growth in the four countries became noticeably less volatile over the past few decades. In this paper, we employ the modified ICSS algorithm to detect structural change in the unconditional variance of output growth. One structural break exists in each of the four countries. We then use generalized autoregressive conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate the break in the variance equation of output for the four countries. That is, the integrated GARCH (IGARCH) effect proves spurious and the GARCH model demonstrates misspecification, if researchers neglect a nonstationary unconditional variance.

Integrated Paleocene calcareous plankton magnetobiochronology of DSDP Hole 43-384 in the Northwest Atlantic Ocean

At Deep Sea Drilling Site 384 (J-Anomaly Ridge, Grand Banks Continental Rise, NW Atlantic Ocean) Paleocene nannofossil chalks and oozes (~70 m thick) are unconformably/disconformably underlain (~168 m; upper Maastrichtian) and overlain (~98.7 m; upper lower Eocene) by sediments of comparable lithologies. The chalks are more indurated in stratigraphically higher levels of the Paleocene reflecting increasing amounts of biosiliceous (radiolarians and diatoms) components. This site serves as an excellent location for an integrated calcareous and siliceous microfossil zonal stratigraphy and stable isotope stratigraphy. We report the results of a magnetostratigraphic study which, when incorporated with published magnetostratigraphic results, reveals an essentially complete magnetostratigraphic record spanning the interval from Magnetochron C31n (late Maastrichtian) to C25n (partim) (late Paleocene, Thanetian). Integrated magnetobiochronology and stable isotope stratigraphy support the interpretation of, and constrain the estimated duration of, a short hiatus (~0.9 my) within the younger part of Chron C29r (including the K/P boundary) and an ~6 my hiatus separating upper Paleocene (Magnetozone C25n) and upper lower Eocene (Magnetozone C22r) sediments. Some 30 planktonic foraminiferal datum levels [including the criteria used to denote the Paleocene planktonic foraminiferal (sub)tropical zonal scheme of Berggren and Miller, Micropaleontology 34 (4) (1988) 362-380 and Berggren et al., SEPM Spec. Publ. 54 (1995) 129-212, Geol. Soc. Am. Bull. 107 (11) (1995) 1272-1287], and nearly two dozen calcareous nannoplankton datum levels have been recognized and calibrated to the magnetochronology. Planktonic foraminiferal Subzones P4a and P4b of (upper Paleocene) Zone P4 are emended/redefined based on the discovery of a longer stratigraphic extension of Acarinina subsphaerica (into at last Magnetozone C25n). Stable isotope stratigraphies from benthic foraminifera and fine fraction (<38 µm) carbonate have been calibrated to the biochronology and magnetostratigraphy. A minimum in benthic foraminifer delta13C was reached near the Danian/Selandian boundary (within Chron C26r, planktonic foraminiferal Zone P3a and calcareous nannoplankton Zone NP4) and is followed by the rise to maximum delta13C values in the late Thanetian (near the base of C25n, in Zone P4c and NP9a, respectively) that can be used for global correlation in the Paleocene.

An Integrated Transport Planning Framework Involving a Combined Utility-Regret Approach

Sustainable transport planning requires an integrated approach involving strategic planning, impact analysis and multi-criteria evaluation. This study aims at relaxing the utility-based decision-making assumption by newly embedding anticipated-regret and combined utility-regret decision mechanisms in an integrated transport planning framework. The framework consists of a two-round Delphi survey, an integrated land-use and transport model for Madrid, and multi-criteria analysis. Results show that (i) regret-based ranking has similar mean but larger variance than utility-based ranking; (ii) the least-regret scenario forms a compromise between the desired and the expected scenarios; (iii) the least-regret scenario can lead to higher user benefits in the short-term and lower user benefits in the long-term; (iv) utility-based, regret-based and combined utility-regret-based multi-criteria analysis result in different rankings of policy packages; and (v) the combined utility-regret ranking is more informative compared with utility-based or regret-based ranking.

Effects of cooperative and individual integrated learning system on attitudes and achievement in mathematics

This study compares the effects of cooperative delivery (CD) and individual delivery (ID) of integrated learning system (ILS) instruction in mathematics on achievement, attitudes and behaviors in adult (16-21 yrs.) high school students (grades 9-13). The study was conducted in an urban adult high school in Miami-Dade County Public Schools using a pre-test/post-test design. Achievement was measured using the Test of Adult Basic Education (TABE) by CTB MC-Graw-Hill and Compass Learning. An attitudinal survey measured attitudes towards mathematics, the computer-related lessons, and attitudes toward group activities. Behavior was assessed using computer lab observations. ^ Two-way analyses of variance (ANOVA) were conducted on achievement (TABE and Compass) by group and time (pre and post). A one-way ANOVA was conducted on the overall attitude by group on the five components (i.e., content mathematics, delivery/computers, cooperative, partners, and self efficacy) and a one-way ANOVA was conducted on the on-task behavior by group. ^ The results of the study revealed that CD and ID students working on mathematics activities delivered by the ILS performed similarly on achievement tests of the TABE. The CD-ILS students had significantly better overall mathematics attitudes than the ID-ILS students and the ID-ILS group was on-task significantly more than the CD-ILS group. This study concludes that regularity and period of time over which the ILS is used may prove to be important variables although there were insufficient data to fully investigate the impact of models of use. Additionally, a minimum amount of time-on-system is necessary before gains can become apparent in innumeracy and increasing exposure to the system may have beneficial effects on learning. ^

The possible selves method in evaluating youth development interventions: The use of Integrated Qualitative /Quantitative Data Analytic Strategies (IQ -DAS)

This study investigated the feasibility of using qualitative methods to provide empirical documentation of the long-term qualitative change in the life course trajectories of “at risk” youth in a school based positive youth development program (the Changing Lives Program—CLP). This work draws from life course theory for a developmental framework and from recent advances in the use of qualitative methods in general and a grounded theory approach in particular. Grounded theory provided a methodological framework for conceptualizing the use of qualitative methods for assessing qualitative life change. The study investigated the feasibility of using the Possible Selves Questionnaire-Qualitative Extension (PSQ-QE) for evaluating the impact of the program on qualitative change in participants' life trajectory relative to a non-intervention control group. Integrated Qualitative/Quantitative Data Analytic Strategies (IQ-DAS) that we have been developing a part of our program of research provided the data analytic framework for the study. ^ Change was evaluated in 85 at risk high school students in CLP high school counseling groups over three assessment periods (pre, post, and follow-up), and a non-intervention control group of 23 students over two assessment periods (pre and post). Intervention gains and maintenance and the extent to which these patterns of change were moderated by gender and ethnicity were evaluated using a mixed design Repeated Measures Multivariate Analysis of Variance (RMANOVA) in which Time (pre, post) was the within (repeated) factor and Condition, Gender, and Ethnicity the between group factors. The trends for the direction of qualitative change were positive from pre to post and maintained at the year-end follow-up. More important, the 3-way interaction for Time x Gender x Ethnicity was significant, Roy's Θ =. 205, F(2, 37) = 3.80, p <.032, indicating that the overall pattern of positive change was significantly moderated by gender and ethnicity. Thus, the findings also provided preliminary evidence for a positive impact of the youth development program on long-term change in life course trajectory, and were suggestive with respect to the issue of amenability to treatment, i.e., the identification of subgroups of individuals in a target population who are likely to be the most amenable or responsive to a treatment. ^

INTEGRATED THRESHOLD-ACTIVATED FEEDBACK MICROSYSTEM FOR REAL-TIME CHARACTERIZATION, SENSING AND TREATMENT OF BACTERIAL BIOFILMS

Biofilms are the primary cause of clinical bacterial infections and are impervious to typical amounts of antibiotics, necessitating very high doses for treatment. Therefore, it is highly desirable to develop new alternate methods of treatment that can complement or replace existing approaches using significantly lower doses of antibiotics. Current standards for studying biofilms are based on end-point studies that are invasive and destroy the biofilm during characterization. This dissertation presents the development of a novel real-time sensing and treatment technology to aid in the non-invasive characterization, monitoring and treatment of bacterial biofilms. The technology is demonstrated through the use of a high-throughput bifurcation based microfluidic reactor that enables simulation of flow conditions similar to indwelling medical devices. The integrated microsystem developed in this work incorporates the advantages of previous in vitro platforms while attempting to overcome some of their limitations. Biofilm formation is extremely sensitive to various growth parameters that cause large variability in biofilms between repeated experiments. In this work we investigate the use of microfluidic bifurcations for the reduction in biofilm growth variance. The microfluidic flow cell designed here spatially sections a single biofilm into multiple channels using microfluidic flow bifurcation. Biofilms grown in the bifurcated device were evaluated and verified for reduced biofilm growth variance using standard techniques like confocal microscopy. This uniformity in biofilm growth allows for reliable comparison and evaluation of new treatments with integrated controls on a single device. Biofilm partitioning was demonstrated using the bifurcation device by exposing three of the four channels to various treatments. We studied a novel bacterial biofilm treatment independent of traditional antibiotics using only small molecule inhibitors of bacterial quorum sensing (analogs) in combination with low electric fields. Studies using the bifurcation-based microfluidic flow cell integrated with real-time transduction methods and macro-scale end-point testing of the combination treatment showed a significant decrease in biomass compared to the untreated controls and well-known treatments such as antibiotics. To understand the possible mechanism of action of electric field-based treatments, fundamental treatment efficacy studies focusing on the effect of the energy of the applied electrical signal were performed. It was shown that the total energy and not the type of the applied electrical signal affects the effectiveness of the treatment. The linear dependence of the treatment efficacy on the applied electrical energy was also demonstrated. The integrated bifurcation-based microfluidic platform is the first microsystem that enables biofilm growth with reduced variance, as well as continuous real-time threshold-activated feedback monitoring and treatment using low electric fields. The sensors detect biofilm growth by monitoring the change in impedance across the interdigitated electrodes. Using the measured impedance change and user inputs provided through a convenient and simple graphical interface, a custom-built MATLAB control module intelligently switches the system into and out of treatment mode. Using this self-governing microsystem, in situ biofilm treatment based on the principles of the bioelectric effect was demonstrated by exposing two of the channels of the integrated bifurcation device to low doses of antibiotics.

Integrated Proteomics Identified Up-regulated Focal Adhesion-mediated Proteins In Human Squamous Cell Carcinoma In An Orthotopic Murine Model.

Understanding the molecular mechanisms of oral carcinogenesis will yield important advances in diagnostics, prognostics, effective treatment, and outcome of oral cancer. Hence, in this study we have investigated the proteomic and peptidomic profiles by combining an orthotopic murine model of oral squamous cell carcinoma (OSCC), mass spectrometry-based proteomics and biological network analysis. Our results indicated the up-regulation of proteins involved in actin cytoskeleton organization and cell-cell junction assembly events and their expression was validated in human OSCC tissues. In addition, the functional relevance of talin-1 in OSCC adhesion, migration and invasion was demonstrated. Taken together, this study identified specific processes deregulated in oral cancer and provided novel refined OSCC-targeting molecules.