The relationship between the volatility of returns and the number of jumps in financial markets

The contribution of this paper is two-fold. First we show how to estimate the volatility of high frequency log-returns where the estimates are not affected by microstructure noise and the presence of Lévy-type jumps in prices. The second contribution focuses on the relationship between the number of jumps and the volatility of log-returns of the SPY, which is the fund that tracks the S&P 500. We employ SPY high frequency data (minute-by-minute) to obtain estimates of the volatility of the SPY log-returns to show that: (i) The number of jumps in the SPY is an important variable in explaining the daily volatility of the SPY log-returns; (ii) The number of jumps in the SPY prices has more explanatory power with respect to daily volatility than other variables based on: volume, number of trades, open and close, and other jump activity measures based on Bipower Variation; (iii) The number of jumps in the SPY prices has a similar explanatory power to that of the VIX, and slightly less explanatory power than measures based on high and low prices, when it comes to explaining volatility; (iv) Forecasts of the average number of jumps are important variables when producing monthly volatility forecasts and, furthermore, they contain information that is not impounded in the VIX

The relationship between the volatility of returns and the number of jumps in financial markets

The contribution of this paper is two-fold. First we show how to estimate the volatility of high frequency log-returns where the estimates are not a affected by microstructure noise and the presence of Lévy-type jumps in prices. The second contribution focuses on the relationship between the number of jumps and the volatility of log-returns of the SPY, which is the fund that tracks the S&P 500. We employ SPY high frequency data (minute-by-minute) to obtain estimates of the volatility of the SPY log-returns to show that: (i) The number of jumps in the SPY is an important variable in explaining the daily volatility of the SPY log-returns; (ii) The number of jumps in the SPY prices has more explanatory power with respect to daily volatility than other variables based on: volume, number of trades, open and close, and other jump activity measures based on Bipower Variation; (iii) The number of jumps in the SPY prices has a similar explanatory power to that of the VIX, and slightly less explanatory power than measures based on high and low prices, when it comes to explaining volatility; (iv) Forecasts of the average number of jumps are important variables when producing monthly volatility forecasts and, furthermore, they contain information that is not impounded in the VIX.Volatility forecasts, High-frequency data, Implied volatility, VIX, Jumps, Microstructure noise

I Spy a Brighter Future

I spy something with my little eye, and it looks a lot like kids learning their multiplication tables. I spy boys and girls eagerly raising their hands to be picked to clean the dinner tables. I spy them helping each other stack chairs at the end of the night. And most of all, I spy an infinite amount of laughter. I spy Adventure Central. This after school program is unlike anything I’ve known before. Kids come here to not only learn about rivers, creeks, plants, and the environment, but are also aided with their homework. Adventure Central allows them to begin to see their worth. Being a kid is tough, and it’s not acknowledged enough how great of an impact the environment has on the adult a child eventually grows into. Adventure Central is an environment that sees the fiery passions that children develop so easily and embraces them for it, helping to spread the love to everyone

Critical Geopolitics and the Created Worlds of Post-9/11 Spy Film

Critical geopolitics seeks to understand how we view the world, and popular film can be a key source in unveiling common fears and hopes of a particular time. in this thesis, I explore the portrayal of the world world and themes in 21st century spy film franchises to understand what worldviews are being reinforced and created through these films. Using the terrorist attacks on September 11, 2001, as my chief historical event of influence, I analyze spy films in the James Bond and Mission: Impossible film franchises to get a sense of how these films reflected and reproduced the popular ideologies of their time. Through the frameworks of critical and popular geopolitics, I provide a reading of these films’ ideologies that they portray through their visual cues to place and their thematic focuses and dialogue. I propose that these post-9/11 spy films handle the actual events of September 11, 2001, through subtext and similar imagery and that themes of the Cold War are still present in these films. Finally, I examine the role that non-national threats embody in these films. This work promotes the study of spy film as a middle ground that can bring together critical geopolitical work on fantastical superhero films and more realistic films, thus illuminating the semi-realistic worlds that popular spy film creates and the ideologies that can exist within them

The relationship between the volatility of returns and the number of jumps in financial markets

The contribution of this paper is two-fold. First we show how to estimate the volatility of high frequency log-returns where the estimates are not a affected by microstructure noise and the presence of Lévy-type jumps in prices. The second contribution focuses on the relationship between the number of jumps and the volatility of log-returns of the SPY, which is the fund that tracks the S&P 500. We employ SPY high frequency data (minute-by-minute) to obtain estimates of the volatility of the SPY log-returns to show that: (i) The number of jumps in the SPY is an important variable in explaining the daily volatility of the SPY log-returns; (ii) The number of jumps in the SPY prices has more explanatory power with respect to daily volatility than other variables based on: volume, number of trades, open and close, and other jump activity measures based on Bipower Variation; (iii) The number of jumps in the SPY prices has a similar explanatory power to that of the VIX, and slightly less explanatory power than measures based on high and low prices, when it comes to explaining volatility; (iv) Forecasts of the average number of jumps are important variables when producing monthly volatility forecasts and, furthermore, they contain information that is not impounded in the VIX

Spy Culture and the Making of the Modern Intelligence Agency: From Richard Hannay to James Bond to Drone Warfare

Despite the sometimes fantastic nature of spy fiction, the relation between espionage practice and its cultural reproductions is not as distinct as intelligence agencies might wish. My dissertation breaks from traditional literary analyses of the genre by interrogating how authors, policy makers, and the general public talk about spycraft has influenced what that spycraft actually entails. Spy fiction and intelligence work are connected in a web of incentivization, influence, and reference, and this connection is not merely uni-directional. This dissertation examines critical moments of this cross-connection, beginning in the early 20th century with the formation of MI6 in relation to William Le Queux’s invasion literature and continuing through today’s issues and imaginings of the intelligence community: specifically, torture, drone warfare, and domestic surveillance. Throughout, I draw attention to how shifts in masculinity facilitated by cultural representations, especially James Bond, have affected intelligence work. I also contextualize the role of the “Other” within spy fiction. As a part of this analysis of the Other, I trace the lingering Orientalism that has adhered within spy fiction and spy agencies since the late 19th Century. The alternating give-and-take of intelligence work and its fictionalized representations, or, as I term it, the cultural discourse of espionage, is ripe for exploration and analysis at the present moment. This combined literary, cultural, and historical approach reveals spy fiction as a site to explore broader conceptions of the critic’s role in public discourse.PHDEnglish Language & LiteratureUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttps://deepblue.lib.umich.edu/bitstream/2027.42/145820/1/matbel_1.pd