Modelling the implied probability of stock market movements

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of the implied PDFs and we examine the relations between the moments and observable factors such as macroeconomic variables, the US stock markets and credit risk. We find that the risk-neutral densities exhibit pronounced negative skewness. Our second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15Option prices, risk-neutral density, spillover, Volatility

How frequently do consumer prices change in Austria? Evidence from micro CPI data

Based on individual price records collected for the computation of the Austrian CPI, average frequencies of price changes and durations of price spells are estimated to characterize price setting in Austria. Depending on the estimation method, prices are unchanged for 10 to 14 months on average. We find strong heterogeneity across sectors and products. Price increases occur only slightly more often than price decreases. The typical size of a price increase (decrease) is 11 (15) percent. The aggregate hazard function of prices is decreasing with time. Besides heterogeneity across products and price setters, this is due to oversampling of products with a high frequency of price changes. Accounting for unobserved heterogeneity in estimating the probability of a price change with a fixed-effects logit model, we find a positive effect of the duration of a price spell. During the Euro cash changeover the probability of price changes was higher. JEL Classification: C41, D21, E31, L11consumer prices, duration of price spells, frequency and synchronization of price changes, sticky prices

The forecasting performance of German stock option densities

In this paper the authors estimate risk-neutral densities (RND) for the largest euro-area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. The authors have applied an innovative test procedure to a new, rich, and accurate data set. They have two main results. First, They have recorded strong negative skewness in the densities. Second, they find evidence for a significant difference between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX.Stock market - Germany ; Stock options

Addressing the Multi-Channel Inverse Problem at High Energy Colliders: A Model Independent Approach to the Search for New Physics with Trileptons

We describe a method for interpreting trilepton searches at high energy colliders in a model-independent fashion and apply it to the recent searches at the Tevatron. The key step is to recognize that the trilepton signature is comprised of four experimentally very different channels defined by the number of tau-leptons in the trilepton state. Contributions from these multiple channels to the overall experimental sensitivity (cross section times branching ratio) are model-independent and can be parametrized in terms of relevant new particle masses. Given the trileptonic branching ratios of a specific model, these experimentally obtained multichannel sensitivities can be combined to obtain a cross section measurement that can be used to confront the model with data. Our model-independent results are more widely applicable than the current Tevatron trilepton results which are stated exclusively in terms of mSUGRA parameters of supersymmetry. The technique presented here can be expanded beyond trilepton searches to the more general "inverse problem" of experimentally discriminating between competing models that seek to explain new physics discovered in multiple channels.Comment: 17 pages, 7 figures Changed content cosmetic changes for submission to JHE

Investigations on the Turbulent Wake of a Generic Space Launcher Geometry in the Hypersonic Flow Regime

The turbulent wake flow of generic rocket configurations is investigated experimentally and numerically at a freestream Mach number of 6.0 and a unit Reynolds number of 10 x 10^6. The flow condition is based on the trajectory of Ariane V at an altitude of 50 km, which is used as baseline to address the overarching tasks of wake flows in the hypersonic regime like fluid-structural coupling, reverse hot jets and base heating. Experiments using pressure transducers and high-speed schlieren measurement technique were conducted to gain insight into the local pressure fluctuations on the base and the oscillations of the recompression shock. This experimental configuration features a wedge-profiled strut orthogonally mounted to the main body. Additionally, the influence of cylindrical nozzle extensions attached to the base of the rocket is investigated, which is the link to the numerical investigations. Here, the axisymmetric model possesses a cylindrical sting support of the same diameter as the nozzle extensions. The sting support allows investigations of a undisturbed wake flow. A time-accurate zonal RANS/LES approach was applied to identify shocks, expansion waves, and the highly unsteady recompression region numerically. Subsequently, experimental and numerical results in the strut-averted region are opposed with regard to the wall pressure and recompression shock frequency spectra. For the compared configurations, experimental pressure spectra exhibit dominant Strouhal numbers at about S rD = 0.03 and 0.27 and the recompression shock oscillates at 0.2. In general, the numerical pressure and recompression shock fluctuations agree satisfactorily to the experimental results. The experiments with a blunt base reveal base-pressure spectra with dominant Strouhal numbers at 0.08 at the center position and 0.145, 0.21 − 0.22 and 0.31 − 0.33 at the outskirts of the base

Dauerbeobachtung der Gesellschaft. Der Sonderforschungsbereich 3 und seine langfristigen Auswirkungen

Das SPES-Projekt (Sozialpolitisches Entscheidungs- und Indikatorensystem) und der Sfb-3 (Mikroanalytische Grundlagen der Gesellschaftspolitik) waren in den 70er Jahren bis zum Beginn der 90er Jahre des letzten Jahrhunderts in Deutschland zwei Pionierprojekte der empirischen Sozial- und Wirtschaftsforschung, die langfristig von der DFG (Deutsche Forschungsgemeinschaft) gefördert wurden. Der hier vorgelegte Überblick unter der Überschrift 'Dauerbeobachtung der Gesellschaft' behandelt vorwiegend soziologische Erträge; sie entstanden vor allem unter dem Einfluss von Wolfgang Zapf. Es handelt sich um Ansätze der Sozialberichterstattung, der Sozialindikatorenforschung, der Gesellschaftsanalyse, der Lebensqualitätsforschung und der Sozialpolitikforschung. In all diesen Ansätzen werden bevorzugt repräsentative Datensätze eingesetzt und insgesamt sind sie sowohl durch theoretische Grundlegung als auch empirische Fundierung gekennzeichnet.From the 1970s to the early 1990s, the SPES project investigating the foundations of the socio-political decision-making system in Germany (Sozialpolitisches Entscheidungs- und Indikatorensystem) and Sfb-3, the Collaborative Research Programme on the Microanalytical Foundations of Social Policy (Mikroanalytische Grundlagen der Gesellschaftspolitik) were two pioneering projects for empirical social and economic research. Both of these received long-term funding from the DFG (German Research Foundation). The overview presented here, entitled 'Long-term Social Monitoring,' focuses on the positive impacts SPES and Sfb-3 generated in the field of Sociology, which came about largely through the influence of Wolfgang Zapf. Both projects include approaches to social reporting, social indicator research, quality of life research, and social policy research. All these research approaches favor the use of representative datasets and are generally based on both theoretical and empirical foundations

Patterns and Determinants of Price Changes: Analysing Individual Consumer Prices in Austria

We provide empirical evidence on the degree and characteristics of price rigidity in Austria by estimating the average frequency of price changes and the duration of price spells from a large data set of individual price records collected for the computation of the Austrian CPI

Asymmetric Governance and the Transformation of Employment Relations in the Eurozone: The Contingent Influence of the Ideas of Policy-Makers

The governance of the Eurozone debt crisis has been characterised by the asymmetric distribution of the costs of adjustment, namely the imposition of austerity measures and the liberalisation of institutions of industrial relations in debtor countries that were awarded a bailout package coupled with the protection of banks from creditor countries. By presenting an ideational perspective, this article highlights the role of ideas in explaining these policy outcomes. The importance of ideas is contingent upon the manner in which they are framed. The process of framing enables policy-makers to build support for policies by presenting them in a manner that links an issue with a specific understanding of important economic and political developments. Equally, if not more important in the current context of the Eurozone debt crisis, the importance of ideas is also contingent upon their influence over the maintenance of extant institutional arrangements of Eurozone governance that distribute costs of adjustment in an asymmetrical manner. In particular, we illustrate the role of German Ordoliberalism in heightening the credibility of the threat of withholding financial assistance, in the event of non-compliance with strict conditionality criteria, in the current institutional architecture of Eurozone governance