On forecasting daily stock volatility: the role of intraday information and market conditions

Several recent studies advocate the use of nonparametric estimators of daily price vari- ability that exploit intraday information. This paper compares four such estimators, realised volatility, realised range, realised power variation and realised bipower variation, by examining their in-sample distributional properties and out-of-sample forecast ranking when the object of interest is the conventional conditional variance. The analysis is based on a 7-year sample of transaction prices for 14 NYSE stocks. The forecast race is conducted in a GARCH framework and relies on several loss functions. The realized range fares relatively well in the in-sample .t analysis, for instance, regarding the extent to which it brings normality in returns. However, overall the realised power variation provides the most accurate 1-day-ahead forecasts. Fore- cast combination of all four intraday measures produces the smallest forecast errors in about half of the sampled stocks. A market conditions analysis reveals that the additional use of intraday data on day t .. 1 to forecast volatility on day t is most advantageous when day t is a low volume or an up-market day. The results have implications for value-at-risk analysis.

Explicit computations of low lying eigenfunctions for the quantum trigonometric Calogero-Sutherland model related to the exceptional algebra E7

In the previous paper math-ph/0507015 we have studied the characters and Clebsch-Gordan series for the exceptional Lie algebra E7 by relating them to the quantum trigonometric Calogero-Sutherland Hamiltonian with coupling constant K=1. Now we extend that approach to the case of general K

Intelligent Packaging Systems: Sensors and Nanosensors to Monitor Food Quality and Safety

Indexación: Web of Science y Scopus.The application of nanotechnology in different areas of food packaging is an emerging field that will grow rapidly in the coming years. Advances in food safety have yielded promising results leading to the development of intelligent packaging (IP). By these containers, it is possible to monitor and provide information of the condition of food, packaging, or the environment. This article describes the role of the different concepts of intelligent packaging. It is possible that this new technology could reach enhancing food safety, improving pathogen detection time, and controlling the quality of food and packaging throughout the supply chain.https://www.hindawi.com/journals/js/2016/4046061/cta

Big Data on Decision Making in Energetic Management of Copper Mining

Indexado en: Web of Science; Scopus.It is proposed an analysis of the related variables with the energetic consumption in the process of concentrate of copper; specifically ball mills and SAG. The methodology considers the analysis of great volumes of data, which allows to identify the variables of interest (tonnage, temperature and power) to reach to an improvement plan in the energetic efficiency. The correct processing of the great volumen of data, previous imputation to the null data, not informed and out of range, coming from the milling process of copper, a decision support systems integrated, it allows to obtain clear and on line information for the decision making. As results it is establish that exist correlation between the energetic consumption of the Ball and SAG Mills, regarding the East, West temperature and winding. Nevertheless, it is not observed correlation between the energetic consumption of the Ball Mills and the SAG Mills, regarding to the tonnages of feed of SAG Mill. In consequence, From the experimental design, a similarity of behavior between two groups of different mills was determined in lines process. In addition, it was determined that there is a difference in energy consumption between the mills of the same group. This approach modifies the method presented in [1].(a)http://www.univagora.ro/jour/index.php/ijccc/article/view/2784/106

One-loop mass shift formula for kinks and self-dual vortices

A formula is derived that allows us to compute one-loop mass shifts for kinks and self-dual Abrikosov-Nielsen-Olesen vortices. The procedure is based in canonical quantization and heat kernel/zeta function regularization methods.Comment: LaTex file, 8 pages, 1 figure . Based on a talk given by J. M. G. at the 7th Workshop on Quantum Field Theory under the Influence of External Conditions (QFEXT05), Barcelona, Spain. Minor corrections. Version to appear in Journal of Physics

Emerging Market Sovereign Credit Spreads: In-Sample and Out-of-Sample Predictability

This paper investigates the quarter-ahead predictability of Brazil, Mexico, Philippines and Turkey credit spreads for short and long maturity bonds during two separate periods preceding and following the Lehman Brothers' default. A model based on the current country-specific credit spread curve predicts no better than the random walk and slope regression benchmarks. Extensions with the global yield curve factors and short-term interest rate volatility notably outperform the benchmark models post-Lehman. Our findings suggest that uncertainty indicators, both global and domestic, contain information about future credit spreads and that bond prices did better align with fundamentals post-crisis