Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Accelerating, hyperaccelerating, and decelerating networks

Many growing networks possess accelerating statistics where the number of links added with each new node is an increasing function of network size so the total number of links increases faster than linearly with network size. In particular, biological networks can display a quadratic growth in regulator number with genome size even while remaining sparsely connected. These features are mutually incompatible in standard treatments of network theory which typically require that every new network node possesses at least one connection. To model sparsely connected networks, we generalize existing approaches and add each new node with a probabilistic number of links to generate either accelerating, hyperaccelerating, or even decelerating network statistics in different regimes. Under preferential attachment for example, slowly accelerating networks display stationary scale-free statistics relatively independent of network size while more rapidly accelerating networks display a transition from scale-free to exponential statistics with network growth. Such transitions explain, for instance, the evolutionary record of single-celled organisms which display strict size and complexity limits

Online Monitoring of the Osiris Reactor with the Nucifer Neutrino Detector

Originally designed as a new nuclear reactor monitoring device, the Nucifer detector has successfully detected its first neutrinos. We provide the second shortest baseline measurement of the reactor neutrino flux. The detection of electron antineutrinos emitted in the decay chains of the fission products, combined with reactor core simulations, provides an new tool to assess both the thermal power and the fissile content of the whole nuclear core and could be used by the Inter- national Agency for Atomic Energy (IAEA) to enhance the Safeguards of civil nuclear reactors. Deployed at only 7.2m away from the compact Osiris research reactor core (70MW) operating at the Saclay research centre of the French Alternative Energies and Atomic Energy Commission (CEA), the experiment also exhibits a well-suited configuration to search for a new short baseline oscillation. We report the first results of the Nucifer experiment, describing the performances of the 0.85m3 detector remotely operating at a shallow depth equivalent to 12m of water and under intense background radiation conditions. Based on 145 (106) days of data with reactor ON (OFF), leading to the detection of an estimated 40760 electron antineutrinos, the mean number of detected antineutrinos is 281 +- 7(stat) +- 18(syst) electron antineutrinos/day, in agreement with the prediction 277(23) electron antineutrinos/day. Due the the large background no conclusive results on the existence of light sterile neutrinos could be derived, however. As a first societal application we quantify how antineutrinos could be used for the Plutonium Management and Disposition Agreement.Comment: 22 pages, 16 figures - Version

Development of a quality assurance process for the SoLid experiment

The SoLid experiment has been designed to search for an oscillation pattern induced by a light sterile neutrino state, utilising the BR2 reactor of SCK circle CEN, in Belgium. The detector leverages a new hybrid technology, utilising two distinct scintillators in a cubic array, creating a highly segmented detector volume. A combination of 5 cm cubic polyvinyltoluene cells, with (LiF)-Li-6:ZnS(Ag) sheets on two faces of each cube, facilitate reconstruction of the neutrino signals. Whilst the high granularity provides a powerful toolset to discriminate backgrounds; by itself the segmentation also represents a challenge in terms of homogeneity and calibration, for a consistent detector response. The search for this light sterile neutrino implies a sensitivity to distortions of around O(10)% in the energy spectrum of reactor (v) over bare. Hence, a very good neutron detection efficiency, light yield and homogeneous detector response are critical for data validation. The minimal requirements for the SoLid physics program are a light yield and a neutron detection efficiency larger than 40 PA/MeV/cube and 50% respectively. In order to guarantee these minimal requirements, the collaboration developed a rigorous quality assurance process for all 12800 cubic cells of the detector. To carry out the quality assurance process, an automated calibration system called CALIPSO was designed and constructed. CALIPSO provides precise, automatic placement of radioactive sources in front of each cube of a given detector plane (16 x 16 cubes). A combination of Na-22, Cf-252 and AmBe gamma and neutron sources were used by CALIPSO during the quality assurance process. Initially, the scanning identified defective components allowing for repair during initial construction of the SoLid detector. Secondly, a full analysis of the calibration data revealed initial estimations for the light yield of over 60 PA/MeV and neutron reconstruction efficiency of 68%, validating the SoLid physics requirements

MAYA: An active-target detector for binary reactions with exotic beams

International audienceWith recent improvements in the production of radioactive beams in facilities such as SPIRAL at GANIL, a larger area of the nuclear chart is now accessible for experimentation. For these usually low-intensity and low-energy secondary beams, we have developed the new MAYA detector based on the active-target concept. This device allows to use a relatively thick target without loss of resolution by using the detection gas as target material. Dedicated 3D tracking, particle identification, energy loss and range measurements allow complete kinematic reconstruction of reactions taking place inside MAYA

Experimental evidence for subshell closure in 8^{8}He and indication of a resonant state in 7^{7}He below 1 MeV

NESTERThe spectroscopy of the unstable $^{8}$He and unbound $^{7}$He nuclei is investigated via the p($^{8}$He, d) transfer reaction with a 15.7A MeV $^{8}$He beam from the SPIRAL facility. The emitted deuterons were detected by the telescope array MUST. The results are analyzed within the coupled-channels Born approximation framework, and a spectroscopic factor $C^2$S=4.4±1.3 for neutron pickup to the $^{7}$He_g.s.$is deduced. This value is consistent with a full p3/2 subshell for$^{8}$He. Tentative evidence for the first excited state of$^{7}$He is found at$E^*$=0.9±0.5 MeV (width$\Gamma$=1.0±0.9 MeV). The second one is observed at a position compatible with previous measurements,$E^*$=2.9±0.1 MeV. Both are in agreement with previous separate measurements. The reproduction of the first excited state below 1 MeV would be a challenge for the most sophisticated nuclear theories

Forecasting Daily Variability of the S and P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired research into their potential value as an information source for volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of squared high frequency returns within a day). First we consider unobserved components and long memory models for realised volatility which is regarded as an accurate estimator of volatility. The predictive abilities of realised volatility models are compared with those of stochastic volatility models and generalised autoregressive conditional heteroskedasticity models for daily return series. These historical volatility models are extended to include realised and implied volatility measures as explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard and Poor's 100 stock index series for which trading data (tick by tick) of almost seven years is analysed. The forecast assessment is based on the hypothesis of whether a forecast model is outperformed by alternative models. In particular, we will use superior predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed, realised volatility is taken as a proxy for actual volatility and is used for computing the forecast error. A stationary bootstrap procedure is required for computing the test statistic and its $p$-value. The empirical results show convincingly that realised volatility models produce far more accurate volatility forecasts compared to models based on daily returns. Long memory models seem to provide the most accurate forecasts

Search for a long lived component in the reaction U+U near the Coulomb barrier

Expérience GANILInternational audienceWe performed an experiment to search for a signature of a long living component in the collision of $^{238}$U + $^{238}$U between 6.09 and 7.35A MeV. The experiment was performed at GANIL using the spectrometer VAMOS, tuned for observing reactions with kinematics similar to fusion-fission events. Theoretical calculations indicate that if a long living component would exist for this reaction, the most probable fission channel of such a giant system would be via the emissionof quasi-lead nuclei. We detected events of such a category in the focal plane of VAMOS. These events present an excitation function growing as a function of the bombarding energy

Stylized facts of intraday precious metals

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid- ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its low- est when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples

Low-lying states and structure of the exotic 8^8He via direct reactions on the proton

International audienceThe structure of the light exotic nucleus 8He was investigated using direct reactions of the 8He SPIRAL beam on a proton-rich target. The (p,p') scattering to the Click to view the MathML source state, the (p,d)7He and (p,t)6He transfer reactions, were measured at the energy Elab=15.7 A.MeV. The light charged particles (p,d,t) were detected in the MUST Si-strip telescope array. The excitation spectrum of 8He was extracted from the (p,p') reaction. Above the known Click to view the MathML source excited state at 3.6 MeV, a second resonance was found around 5.4 MeV. The cross sections were analyzed within the coupled-reaction channels framework, using microscopic potentials. It is inferred that the 8He ground state has a more complex neutron-skin structure than suggested by previous α+4n models assuming a pure (1p3/2)4 configuration