Combining long memory and level shifts in modeling and forecasting the volatility of asset returns

We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors. The Kalman filter is used to construct the state-augmented likelihood function and subsequently to generate forecasts, which are mean- and path-corrected. We apply our model to eight daily volatility series constructed from both high-frequency and daily returns. Full sample parameter estimates reveal that random level shifts are present in all series. Genuine long memory is present in high-frequency measures of volatility whereas there is little remaining dynamics in the volatility measures constructed using daily returns. From extensive forecast evaluations, we find that our ARFIMA model with random level shifts consistently belongs to the 10% Model Confidence Set across a variety of forecast horizons, asset classes, and volatility measures. The gains in forecast accuracy can be very pronounced, especially at longer horizons

Combining long memory and level shifts in modeling and forecasting the volatility of asset returns

We propose a parametric state space model of asset return volatility with an accompanying estimation and forecasting framework that allows for ARFIMA dynamics, random level shifts and measurement errors. The Kalman filter is used to construct the state-augmented likelihood function and subsequently to generate forecasts, which are mean and path-corrected. We apply our model to eight daily volatility series constructed from both high-frequency and daily returns. Full sample parameter estimates reveal that random level shifts are present in all series. Genuine long memory is present in most high-frequency measures of volatility, whereas there is little remaining dynamics in the volatility measures constructed using daily returns. From extensive forecast evaluations, we find that our ARFIMA model with random level shifts consistently belongs to the 10% Model Confidence Set across a variety of forecast horizons, asset classes and volatility measures. The gains in forecast accuracy can be very pronounced, especially at longer horizons

Heun Functions and the energy spectrum of a charged particle on a sphere under magnetic field and Coulomb force

We study the competitive action of magnetic field, Coulomb repulsion and space curvature on the motion of a charged particle. The three types of interaction are characterized by three basic lengths: l_{B} the magnetic length, l_{0} the Bohr radius and R the radius of the sphere. The energy spectrum of the particle is found by solving a Schr\"odinger equation of the Heun type, using the technique of continued fractions. It displays a rich set of functioning regimes where ratios \frac{R}{l_{B}} and \frac{R}{l_{0}} take definite values.Comment: 12 pages, 5 figures, accepted to JOPA, november 200

Wavelength selection and symmetry breaking in orbital wave ripples

Sand ripples formed by waves have a uniform wavelength while at equilibrium and develop defects while adjusting to changes in the flow. These patterns arise from the interaction of the flow with the bed topography, but the specific mechanisms have not been fully explained. We use numerical flow models and laboratory wave tank experiments to explore the origins of these patterns. The wavelength of “orbital” wave ripples (λ) is directly proportional to the oscillating flow's orbital diameter (d), with many experimental and field studies finding λ/d ≈ 0.65. We demonstrate a coupling that selects this ratio: the maximum length of the flow separation zone downstream of a ripple crest equals λ when λ/d ≈ 0.65. We show that this condition maximizes the growth rate of ripples. Ripples adjusting to changed flow conditions develop defects that break the bed's symmetry. When d is shortened sufficiently, two new incipient crests appear in every trough, but only one grows into a full-sized crest. Experiments have shown that the same side (right or left) wins in every trough. We find that this occurs because incipient secondary crests slow the flow and encourage the growth of crests on the next flank. Experiments have also shown that when d is lengthened, ripple crests become increasingly sinuous and eventually break up. We find that this occurs because crests migrate preferentially toward the nearest adjacent crest, amplifying any initial sinuosity. Our results reveal the mechanisms that form common wave ripple patterns and highlight interactions among unsteady flows, sediment transport, and bed topography.National Science Foundation (U.S.) (Award EAR-1225865)National Science Foundation (U.S.) (Award EAR-1225879

A Generalization of the Convex Kakeya Problem

Given a set of line segments in the plane, not necessarily finite, what is a convex region of smallest area that contains a translate of each input segment? This question can be seen as a generalization of Kakeya's problem of finding a convex region of smallest area such that a needle can be rotated through 360 degrees within this region. We show that there is always an optimal region that is a triangle, and we give an optimal \Theta(n log n)-time algorithm to compute such a triangle for a given set of n segments. We also show that, if the goal is to minimize the perimeter of the region instead of its area, then placing the segments with their midpoint at the origin and taking their convex hull results in an optimal solution. Finally, we show that for any compact convex figure G, the smallest enclosing disk of G is a smallest-perimeter region containing a translate of every rotated copy of G.Comment: 14 pages, 9 figure

Anti-Microbial Dendrimers against Multidrug-Resistant P. aeruginosa Enhance the Angiogenic Effect of Biological Burn-wound Bandages.

Multi-drug resistant Pseudomonas aeruginosa has increased progressively and impedes further regression in mortality in burn patients. Such wound infections serve as bacterial reservoir for nosocomial infections and are associated with significant morbidity and costs. Anti-microbial polycationic dendrimers G3KL and G3RL, able to kill multi-drug resistant P. aeruginosa, have been previously developed. The combination of these dendrimers with a class of biological bandages made of progenitor skin cells, which secrete growth factors, could positively impact wound-healing processes. However, polycations are known to be used as anti-angiogenic agents for tumor suppression. Since, neovascularization is pivotal in the healing of deep burn-wounds, the use of anti-microbial dendrimers may thus hinder the healing processes. Surprisingly, we have seen in this study that G3KL and G3RL dendrimers can have angiogenic effects. Moreover, we have shown that a dendrimer concentration ranging between 50 and 100 μg/mL in combination with the biological bandages can suppress bacterial growth without altering cell viability up to 5 days. These results show that antimicrobial dendrimers can be used in combination with biological bandages and could potentially improve the healing process with an enhanced angiogenesis

Understanding the Recent Growth in Consumer Loans and Credit Cards in Emerging Markets:Evidence from Turkey

In recent years, the surge in household indebtedness to historical heights has become a significant concern for developed economies. A similar trend has been witnessed in emerging market countries including Turkey. Our objective is to help further understand the dynamics of the recent growth in consumer loans and credit cards (CLCC) in Turkey. For this purpose, we investigate the long-term equilibrating relationships and short-term deviations from the equilibrium, and explore the determinants, directions, and strengths of causality relationships between CLCC and the selected macroeconomic variables, and analyze the dynamic interactions among the variables in the post-sample period by analyzing how CLCC responds to the shocks given to other macroeconomic variables and the contribution of each variable on the forecast variability of CLCC. We use monthly data for the period of January 2004—December 2013 of seven macroeconomic variables of money supply, interest rate, income, consumer confidence, inflation, stock market, and consumer goods imports. On empirical findings, we make suggestions about which policy tools should be used to influence, and if necessary to manage, the growth in CLCC. Copyright © Taylor & Francis Group, LLC

Smooth stable and unstable manifolds for stochastic partial differential equations

Invariant manifolds are fundamental tools for describing and understanding nonlinear dynamics. In this paper, we present a theory of stable and unstable manifolds for infinite dimensional random dynamical systems generated by a class of stochastic partial differential equations. We first show the existence of Lipschitz continuous stable and unstable manifolds by the Lyapunov-Perron's method. Then, we prove the smoothness of these invariant manifolds

Improvement of the Embarrassingly Parallel Search for Data Centers

International audienceWe propose an adaptation of the Embarrassingly Parallel Search (EPS) method for data centers. EPS is a simple but efficient method for parallel solving of CSPs. EPS decomposes the problem in many distinct subproblems which are then solved independently by workers. EPS performed well on multi-cores machines (40), but some issues arise when using more cores in a datacenter. Here, we identify the decomposition as the cause of the degradation and propose a parallel decomposition to address this issue. Thanks to it, EPS gives almost linear speedup and outperforms work stealing by orders of magnitude using the Gecode solver

Assisted evolution enables HIV-1 to overcome a high trim5α-imposed genetic barrier to rhesus macaque tropism

Diversification of antiretroviral factors during host evolution has erected formidable barriers to cross-species retrovirus transmission. This phenomenon likely protects humans from infection by many modern retroviruses, but it has also impaired the development of primate models of HIV-1 infection. Indeed, rhesus macaques are resistant to HIV-1, in part due to restriction imposed by the TRIM5α protein (rhTRIM5α). Initially, we attempted to derive rhTRIM5α-resistant HIV-1 strains using two strategies. First, HIV-1 was passaged in engineered human cells expressing rhTRIM5α. Second, a library of randomly mutagenized capsid protein (CA) sequences was screened for mutations that reduced rhTRIM5α sensitivity. Both approaches identified several individual mutations in CA that reduced rhTRIM5α sensitivity. However, neither approach yielded mutants that were fully resistant, perhaps because the locations of the mutations suggested that TRIM5α recognizes multiple determinants on the capsid surface. Moreover, even though additive effects of various CA mutations on HIV-1 resistance to rhTRIM5α were observed, combinations that gave full resistance were highly detrimental to fitness. Therefore, we employed an 'assisted evolution' approach in which individual CA mutations that reduced rhTRIM5α sensitivity without fitness penalties were randomly assorted in a library of viral clones containing synthetic CA sequences. Subsequent passage of the viral library in rhTRIM5α-expressing cells resulted in the selection of individual viral species that were fully fit and resistant to rhTRIM5α. These viruses encoded combinations of five mutations in CA that conferred complete or near complete resistance to the disruptive effects of rhTRIM5α on incoming viral cores, by abolishing recognition of the viral capsid. Importantly, HIV-1 variants encoding these CA substitutions and SIVmac239 Vif replicated efficiently in primary rhesus macaque lymphocytes. These findings demonstrate that rhTRIM5α is difficult to but not impossible to evade, and doing so should facilitate the development of primate models of HIV-1 infection