Testing for pure-jump processes for high-frequency data

Pure-jump processes have been increasingly popular in modeling high-frequency financial data, partially due to their versatility and flexibility. In the meantime, several statistical tests have been proposed in the literature to check the validity of using pure-jump models. However, these tests suffer from several drawbacks, such as requiring rather stringent conditions and having slow rates of convergence. In this paper, we propose a different test to check whether the underlying process of high-frequency data can be modeled by a pure-jump process. The new test is based on the realized characteristic function, and enjoys a much faster convergence rate of order $O(n^{1/2})$ (where $n$ is the sample size) versus the usual $o(n^{1/4})$ available for existing tests; it is applicable much more generally than previous tests; for example, it is robust to jumps of infinite variation and flexible modeling of the diffusion component. Simulation studies justify our findings and the test is also applied to some real high-frequency financial data.Comment: Published at http://dx.doi.org/10.1214/14-AOS1298 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Tuning the magnetism of the top-layer FeAs on BaFe2_{2}As2_{2}(001): First-principles study

The magnetic properties of BaFe$_{2}$As$_{2}$(001) surface have been studied by using first-principles electronic structure calculations. We find that for As-terminated surface the magnetic ground state of the top-layer FeAs is in the staggered dimer antiferromagnetic (AFM) order, while for Ba-terminated surface the collinear (single stripe) AFM order is the most stable. When a certain coverage of Ba or K atoms are deposited onto the As-terminated surface, the calculated energy differences among different AFM orders for the top-layer FeAs on BaFe$_{2}$As$_{2}$(001) can be much reduced, indicating enhanced spin fluctuations. To identify the novel staggered dimer AFM order for the As termination, we have simulated the scanning tunneling microscopy (STM) image for this state, which shows a different $\sqrt{2}\times\sqrt{2}$ pattern from the case of half Ba coverage. Our results suggest: i) the magnetic properties of the top-layer FeAs on BaFe$_{2}$As$_{2}$(001) can be tuned effectively by surface doping; ii) both the surface termination and the AFM order in the top-layer FeAs can affect the STM image of BaFe$_{2}$As$_{2}$(001).Comment: 6 pages, 5 figures, 1 tabl

Nonconvex Production Technology and Price Discrimination

A modern firm often employs multiple production technologies based on distinct engineering principles, causing non-convexities in the firm's unit cost as a function of product quality. Extending the model of Mussa and Rosen (1978), this paper investigates how a monopolist's product line design may crucially depend on the non-convexities in the unit cost function. We show that the firm does not offer those qualities where the unit cost exceeds its convex envelope. Consequently, there are "gaps" in its optimal quality choice. When the firm is only permitted to offer a limited number of quality levels (due to possible fixed costs associated with offering each quality), the optimal location of quality levels still lies within those regions of the quality domain where the unit cost function coincides with its convex envelope. We further show that the firm's profit is a supermodular function of its quality levels, and characterize a necessary condition for the optimal quality locationPrice Discrimination, Product Line Design, Nonconvex Production

Kondo correlation and spin-flip scattering in spin-dependent transport through a quantum dot coupled to ferromagnetic leads

We investigate the linear and nonlinear dc transport through an interacting quantum dot connected to two ferromagnetic electrodes around Kondo regime with spin-flip scattering in the dot. Using a slave-boson mean field approach for the Anderson Hamiltonian having finite on-site Coulomb repulsion, we find that a spin-flip scattering always depresses the Kondo correlation at arbitrary polarization strength in both parallel and antiparallel alignment of the lead magnetization and that it effectively reinforces the tunneling related conductance in the antiparallel configuration. For systems deep in the Kondo regime, the zero-bias single Kondo peak in the differential conductance is split into two peaks by the intradot spin-flip scattering; while for systems somewhat further from the Kondo center, the spin-flip process in the dot may turn the zero-bias anomaly into a three-peak structure.Comment: 4 pages, 2 figure

Quantum transport through double-dot Aharonov-Bohm interferometry in Coulomb blockade regime

Transport through two quantum dots laterally embedded in Aharonov-Bohm interferometry with infinite intradot and arbitrary interdot Coulomb repulsion is analyzed in the weak coupling and Coulomb blockade regime. By employing the modified quantum rate equations and the slave-boson approach, we establish a general dc current formula at temperatures higher than the Kondo temperature for the case that the spin degenerate levels of two dots are close to each other. We examine two simple examples for identical dots - no doubly occupied states and no empty state. In the former, completely destructive coherent transport and phase locking appear at magnetic flux $\Phi=\Phi_{0}/2$ and $\Phi=0$ respectively; in the latter, partially coherent transport exhibits an oscillation with magnetic flux having a period of $\Phi_0$.Comment: 8 pages, 3 figure

Monotone Profitability Ranking in a Differentiated Oligopoly

In a setting where firms produce goods of distinct qualities at potentially different unit costs, I identify sufficient conditions for producing a higher quality good to be more (less) profitable

Finite Brand Loyalty and Equilibrium Price Promotions

The extant literature on price promotions typically assumes that consumers loyal to a brand never switch to a competing brand, with Shilony (1977) and Raju et al (1990) being exceptions. Extending the Narasimhan (1988) model, we allow loyal consumers to hold finite brand loyalty. Our unique equilibrium splits into three types, depending upon configurations of consumer reservation utility, brand strength and switcher population. The type of equilibrium for high brand loyalty corresponds to the one in Narasimhan (1988). The remaining two types for intermediate and low brand loyalty demonstrate strikingly different properties. First, the strong brand has a higher price range and a higher regular price. Second, the strong brand has a higher (lower) average promotional depth than the weak brand when the switcher population is small (large). Third, both brands promote equally frequently when brand loyalty is relatively low. Therefore, this analysis hopefully provides a more complete picture about firmsâ promotional decisions for all possible levels of brand loyalty and switcher pupulation.Information Systems Working Papers Serie