Ab initio yield curve dynamics

We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices. More significantly, the form of the resulting equation explains the success of the Nelson Siegel approach to fitting static yield curves and the empirically observed modal structure of yield curves. A practical numerical implementation of this equation of motion is found by using the Karhunen-Loeve expansion and Galerkin's method to formulate a reduced-order model of yield curve dynamics.Comment: 11 LateX pages, 2 figure

IIB supergravity and E10

We analyse the geodesic E10/K(E10) sigma-model in a level decomposition w.r.t. the A8xA1 subalgebra of E10, adapted to the bosonic sector of type IIB supergravity, whose SL(2,R) symmetry is identified with the A1 factor. The bosonic supergravity equations of motion, when restricted to zeroth and first order spatial gradients, are shown to match with the sigma-model equations of motion up to level four. Remarkably, the self-duality of the five-form field strength is implied by E10 and the matching.Comment: 14 page

How Does Systematic Risk Impact Stocks ? A Study On the French Financial Market

From CAC40 French stock index, we induce the implied market factor’s level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor's diffusion following a geometric Brownian motion. All the assumptions prevailing in a Black & Scholes world are assumed to hold. Based on daily data, the results show that the level of the implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic risk, we also study the impact of the implied market factor on a basket of French assets. First, we compute correlations of assets’ returns with the return of the implied market factor, and realize as well a VAR study and a Granger causality test. Second, we estimate regressions of French assets’ returns on the return of the implied market factor. Then, we characterize the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly rolling volatilities of the French asset returns. These two studies lead to mitigated results.Call pricing Granger causality implied volatility option pricing systematic risk

How Does Systematic Risk Impact Stocks? A Study On the French Financial Market

From the CAC40 French stock index, we induce the implied market factor’s level through the inversion of a closed form pricing formula for European calls on the CAC40. For this purpose, we assume that the CAC40 index is a disturbed observation of the actual market factor, the market factor’s diffusion following a geometric Brownian motion. All the assumptions prevailing in a Black & Scholes (1973) world are assumed to hold. Based on daily data, the results show that the level of the implied market factor and its instantaneous return’s volatility are leptokurtic distributed. Having a proxy for the systematic risk, we also study the impact of the implied market factor on a basket of French assets. First, we compute correlations of assets’ returns with the return of the implied market factor, and realize as well a VAR study and a Granger causality test. Second, we estimate regressions of French assets’ returns on the return of the implied market factor. Then, we characterize the prevailing relationship between the weekly rolling volatility of the return of the implied market factor and weekly rolling volatilities of the French assets returns. These two studies lead to mitigated results.Call pricing, Granger causality, implied volatility, leptokurtic, systematic risk.

"What women like": influence of motion and form on esthetic body perception.

Several studies have shown the distinct contribution of motion and form to the esthetic evaluation of female bodies. Here, we investigated how variations of implied motion and body size interact in the esthetic evaluation of female and male bodies in a sample of young healthy women. Participants provided attractiveness, beauty, and liking ratings for the shape and posture of virtual renderings of human bodies with variable body size and implied motion. The esthetic judgments for both shape and posture of human models were influenced by body size and implied motion, with a preference for thinner and more dynamic stimuli. Implied motion, however, attenuated the impact of extreme body size on the esthetic evaluation of body postures, while body size variations did not affect the preference for more dynamic stimuli. Results show that body form and action cues interact in esthetic perception, but the final esthetic appreciation of human bodies is predicted by a mixture of perceptual and affective evaluative components

The Finite Moment Log Stable Process and Option Pricing

We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts sharply with the implications of many pricing models and with the asymptotic behavior implied by the central limit theorem (CLT). We develop a parsimonious model which deliberately violates the CLT assumptions and thus captures the observed behavior of the volatility smirk over the maturity horizon. Calibration exercises demonstrate its superior performance against several widely used alternatives.Volatility smirk; central limit theorem; Levy a­lpha-stable motion; self­similarity; option pricing.

Collective motions of a quantum gas confined in a harmonic trap

Single-component quantum gas confined in a harmonic potential, but otherwise isolated, is considered. From the invariance of the system of the gas under a displacement-type transformation, it is shown that the center of mass oscillates along a classical trajectory of a harmonic oscillator. It is also shown that this harmonic motion of the center has, in fact, been implied by Kohn's theorem. If there is no interaction between the atoms of the gas, the system in a time-independent isotropic potential of frequency $\nu_c$ is invariant under a squeeze-type unitary transformation, which gives collective {\it radial} breathing motion of frequency $2\nu_c$ to the gas. The amplitudes of the oscillating and breathing motions from the {\it exact} invariances could be arbitrarily large. For a Fermi system, appearance of $2\nu_c$ mode of the large breathing motion indicates that there is no interaction between the atoms, except for a possible long-range interaction through the inverse-square-type potential.Comment: Typos in the printed verions are correcte

To dash or to dawdle: verb-associated speed of motion influences eye movements during spoken sentence comprehension

In describing motion events verbs of manner provide information about the speed of agents or objects in those events. We used eye tracking to investigate how inferences about this verb-associated speed of motion would influence the time course of attention to a visual scene that matched an event described in language. Eye movements were recorded as participants heard spoken sentences with verbs that implied a fast (“dash”) or slow (“dawdle”) movement of an agent towards a goal. These sentences were heard whilst participants concurrently looked at scenes depicting the agent and a path which led to the goal object. Our results indicate a mapping of events onto the visual scene consistent with participants mentally simulating the movement of the agent along the path towards the goal: when the verb implies a slow manner of motion, participants look more often and longer along the path to the goal; when the verb implies a fast manner of motion, participants tend to look earlier at the goal and less on the path. These results reveal that event comprehension in the presence of a visual world involves establishing and dynamically updating the locations of entities in response to linguistic descriptions of events