Modelling stock volatilities during financial crises: A time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying modelwhich provides the platformupon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.Open Access funded by European Research Council under a Creative Commons license

A Search for Pulsars in Quiescent Soft X-Ray Transients. I

We have carried out a deep search at 1.4 GHz for radio pulsed emission from six soft X-ray transient sources observed during their X-ray quiescent phase. The commonly accepted model for the formation of the millisecond radio pulsars predicts the presence of a rapidly rotating, weakly magnetized neutron star in the core of these systems. The sudden drop in accretion rate associated with the end of an X-ray outburst causes the Alfv\`en surface to move outside the light cylinder, allowing the pulsar emission process to operate. No pulsed signal was detected from the sources in our sample. We discuss several mechanisms that could hamper the detection and suggest that free-free absorption from material ejected from the system by the pulsar radiation pressure could explain our null result.Comment: accepted by Ap

Characterizing normal crossing hypersurfaces

The objective of this article is to give an effective algebraic characterization of normal crossing hypersurfaces in complex manifolds. It is shown that a hypersurface has normal crossings if and only if it is a free divisor, has a radical Jacobian ideal and a smooth normalization. Using K. Saito's theory of free divisors, also a characterization in terms of logarithmic differential forms and vector fields is found and and finally another one in terms of the logarithmic residue using recent results of M. Granger and M. Schulze.Comment: v2: typos fixed, final version to appear in Math. Ann.; 24 pages, 2 figure

Radio pulsar populations

The goal of this article is to summarize the current state of play in the field of radio pulsar statistics. Simply put, from the observed sample of objects from a variety of surveys with different telescopes, we wish to infer the properties of the underlying sample and to connect these with other astrophysical populations (for example supernova remnants or X-ray binaries). The main problem we need to tackle is the fact that, like many areas of science, the observed populations are often heavily biased by a variety of selection effects. After a review of the main effects relevant to radio pulsars, I discuss techniques to correct for them and summarize some of the most recent results. Perhaps the main point I would like to make in this article is that current models to describe the population are far from complete and often suffer from strong covariances between input parameters. That said, there are a number of very interesting conclusions that can be made concerning the evolution of neutron stars based on current data. While the focus of this review will be on the population of isolated Galactic pulsars, I will also briefly comment on millisecond and binary pulsars as well as the pulsar content of globular clusters and the Magellanic Clouds.Comment: 16 pages, 6 figures, to appear in Proceedings of ICREA Workshop on The High-Energy Emission from Pulsars and their Systems, Sant Cugat, Spain, 2010 April 12-16 (Springer

Parallel quantum simulation of large systems on small NISQ computers

Tensor networks permit computational and entanglement resources to be concentrated in interesting regions of Hilbert space. Implemented on NISQ machines they allow simulation of quantum systems that are much larger than the computational machine itself. This is achieved by parallelising the quantum simulation. Here, we demonstrate this in the simplest case; an infinite, translationally invariant quantum spin chain. We provide Cirq and Qiskit code that translates infinite, translationally invariant matrix product state (iMPS) algorithms to finite-depth quantum circuit machines, allowing the representation, optimisation and evolution of arbitrary one-dimensional systems. The illustrative simulated output of these codes for achievable circuit sizes is given

Learning relational event models from video

Event models obtained automatically from video can be used in applications ranging from abnormal event detection to content based video retrieval. When multiple agents are involved in the events, characterizing events naturally suggests encoding interactions as relations. Learning event models from this kind of relational spatio-temporal data using relational learning techniques such as Inductive Logic Programming (ILP) hold promise, but have not been successfully applied to very large datasets which result from video data. In this paper, we present a novel framework REMIND (Relational Event Model INDuction) for supervised relational learning of event models from large video datasets using ILP. Efficiency is achieved through the learning from interpretations setting and using a typing system that exploits the type hierarchy of objects in a domain. The use of types also helps prevent over generalization. Furthermore, we also present a type-refining operator and prove that it is optimal. The learned models can be used for recognizing events from previously unseen videos. We also present an extension to the framework by integrating an abduction step that improves the learning performance when there is noise in the input data. The experimental results on several hours of video data from two challenging real world domains (an airport domain and a physical action verbs domain) suggest that the techniques are suitable to real world scenarios

Context aware detection and tracking

This paper presents a novel approach to incorporate multiple contextual factors into a tracking process, for the purpose of reducing false positive detections. While much previous work has focused on improving object detection on static images using context, these have not been integrated into the tracking process. Our hypothesis is that a significant improvement can result from the use of context in dynamically influencing the linking of object detections, during the tracking process. To verify this hypothesis, we augment a state of the art dynamic programming based tracker with contextual information by reformulating the maximum a posteriori (MAP) estimation formulation. This formulation introduces contextual factors that first of all augment detection strengths and secondly provides temporal context. We allow both these types of factors to contribute organically to the linking process by learning the relative contribution of each of these factors jointly during a gradient decent based optimisation process. Our experiments demonstrate that the proposed approach contributes to a significantly superior performance on a recent challenging video dataset, which captures complex scenes with a wide range of object types and diverse backgrounds

Flavour physics constraints in the BMSSM

We study the implications of the presence of the two leading-order, non-renormalizable operators in the Higgs sector of the MSSM to flavour physics observables. We identify the constraints of flavour physics on the parameters of the BMSSM when we: a) focus on a region of parameters for which electroweak baryogenesis is feasible, b) use a CMSSM-like parametrization, and c) consider the case of a generic NUHM-type model. We find significant differences as compared to the standard MSSM case.Comment: 22 pages, 7 figure

Trends in the lifetime risk of developing cancer in Great Britain: comparison of risk for those born from 1930 to 1960

BACKGROUND: Typically, lifetime risk is calculated by the period method using current risks at different ages. Here, we estimate the probability of being diagnosed with cancer for individuals born in a given year, by estimating future risks as the cohort ages. METHODS: We estimated the lifetime risk of cancer in Britain separately for men and women born in each year from 1930 to 1960. We projected rates of all cancers (excluding non-melanoma skin cancer) and of all cancer deaths forwards using a flexible age-period-cohort model and backwards using age-specific extrapolation. The sensitivity of the estimated lifetime risk to the method of projection was explored. RESULTS: The lifetime risk of cancer increased from 38.5% for men born in 1930 to 53.5% for men born in 1960. For women it increased from 36.7 to 47.5%. Results are robust to different models for projections of cancer rates. CONCLUSIONS: The lifetime risk of cancer for people born since 1960 is >50%. Over half of people who are currently adults under the age of 65 years will be diagnosed with cancer at some point in their lifetime

Is the biology of breast cancer changing? A study of hormone receptor status 1984-1986 and 1996-1997

Using archived tumours, those from 1984-1986 and 1996-1997 underwent immunohistochemistry for hormone receptors and grade analysis. A significant shift towards more ER-positive and low-grade disease was found; this appears to reflect screening practices, but could still influence survival