Bayesian inference with an adaptive proposal density for GARCH models

We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student's t-distribution and the distribution parameters are evaluated by using the data sampled during the simulation. We apply the method for the QGARCH model which is one of asymmetric GARCH models and make empirical studies for for Nikkei 225, DAX and Hang indexes. We find that autocorrelation times from our method are very small, thus the method is very efficient for generating uncorrelated Monte Carlo data. The results from the QGARCH model show that all the three indexes show the leverage effect, i.e. the volatility is high after negative observations

On the criticality of inferred models

Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inference procedures are likely to yield models which are close to a phase transition. On one side, we show that the reparameterization invariant metrics in the space of probability distributions of these models (the Fisher Information) is directly related to the model's susceptibility. As a result, distinguishable models tend to accumulate close to critical points, where the susceptibility diverges in infinite systems. On the other, this region is the one where the estimate of inferred parameters is most stable. In order to illustrate these points, we discuss inference of interacting point processes with application to financial data and show that sensible choices of observation time-scales naturally yield models which are close to criticality.Comment: 6 pages, 2 figures, version to appear in JSTA

Genetic and demographic vulnerability of adder populations: Results of a genetic study in mainland Britain

Genetic factors are often overlooked in conservation planning, despite their importance in small isolated populations. We used mitochondrial and microsatellite markers to investigate population genetics of the adder (Vipera berus) in southern Britain, where numbers are declining. We found no evidence for loss of heterozygosity in any of the populations studied. Genetic diversity was comparable across sites, in line with published levels for mainland Europe. However, further analysis revealed a striking level of relatedness. Genetic networks constructed from inferred first degree relationships suggested a high proportion of individuals to be related at a level equivalent to that of half-siblings, with rare inferred full-sib dyads. These patterns of relatedness can be attributed to the high philopatry and low vagility of adders, which creates high local relatedness, in combination with the polyandrous breeding system in the adder, which may offset the risk of inbreeding in closed populations. We suggest that reliance on standard genetic indicators of inbreeding and diversity may underestimate demographic and genetic factors that make adder populations vulnerable to extirpation. We stress the importance of an integrated genetic and demographic approach in the conservation of adders, and other taxa of similar ecology

Isoprene emissions over Asia 1979–2012: impact of climate and land-use changes

Due to the scarcity of observational constraints and the rapidly changing environment in East and Southeast Asia, isoprene emissions predicted by models are expected to bear substantial uncertainties. The aim of this study is to improve upon the existing bottom-up estimates, and to investigate the temporal evolution of the fluxes in Asia over 1979-2012. To this purpose, we calculate the hourly emissions at 0.5& deg; & times;0.5 & deg; resolution using the MEGAN-MOHYCAN model driven by ECMWF ERA-Interim climatology. In order to remedy for known biases identified in previous studies, and to improve the simulation of interannual variability and trends in emissions, this study incorporates (i) changes in land use, including the rapid expansion of oil palms, (ii) meteorological variability according to ERA-Interim, (iii) long-term changes in solar radiation (dimming/brightening) constrained by surface network radiation measurements, and (iv) recent experimental evidence that South Asian tropical forests are much weaker isoprene emitters than previously assumed, and on the other hand, that oil palms have a strong isoprene emission capacity. These effects lead to a significant lowering (factor of 2) in the total isoprene fluxes over the studied domain, and to emission reductions reaching a factor of 3.5 in Southeast Asia. The bottom-up annual isoprene emissions for 2005 are estimated at 7.0, 4.8, 8.3, and 2.9 Tg in China, India, Indonesia and Malaysia, respectively. The isoprene flux anomaly over the whole domain and studied period is found to be strongly correlated with the Oceanic Niño Index ( Combining double low line 0.73), with positive (negative) anomalies related to El Niño (La Niña) years. Changes in temperature and solar radiation are the major drivers of the interannual variability and trends in the emissions, except over semi-arid areas such as northwestern China, Pakistan and Kazakhstan, where soil moisture is by far the main cause of interannual emission changes. In our base simulation, annual positive flux trends of 0.2% and 0.52% throughout the entire period are found in Asia and China, respectively, related to a positive trend in temperature and solar radiation. The impact of oil palm expansion in Indonesia and Malaysia is to enhance the trends over that region, e.g., from 1.17% to 1.5% in 1979-2005 in Malaysia. A negative emission trend is derived in India (ĝ'0.4%), owing to the negative trend in solar radiation data associated with the strong dimming effect likely due to increasing aerosol loadings. The bottom-up emissions are compared to field campaign measurements in Borneo and South China and further evaluated against top-down isoprene emission estimates constrained by GOME-2/MetOp-A formaldehyde columns through 2007-2012. The satellite-based estimates appear to support our assumptions, and confirm the lower emission rate in tropical forests of Indonesia and Malaysia. Additional flux measurements are clearly needed to characterize the spatial variability of emission factors better. Finally, a decreasing trend in the inferred top-down Chinese emissions since 2007 is in line with recorded cooling in China after that year, thus suggesting that the satellite HCHO columns are able to capture climate-induced changes in emissions. © 2014 Author(s)

An Adaptive Markov Chain Monte Carlo Method for GARCH Model

We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC) simulations of the GARCH model. The proposal density is constructed adaptively by using the data sampled by the MCMC metho d itself. It turns out that autocorrelations between the data generated with our adaptive proposal density are greatly reduced. Thus it is concluded that the adaptive construction method is very efficient and works well for the MCMC simulations of the GARCH model.Comment: 11 pages, 6 figure

Zombies, time machines and brains: Science fiction made real in immersive theatres

Critical thought on immersive theatres is gathering in pace with many arguments centred on explorations of audience/performer interaction and the unique relationship these theatres create. Within this paper I look beyond these debates in order to consider the implications of immersive theatres within contemporary culture, with the aim of furthering the ways in which immersive theatres are presently being framed and discussed. Theatre and science fiction have shared a somewhat limited relationship compared to their burgeoning usage within other forms of entertainment. This paper focuses on how the conceits of science fiction are being staged within this theatrical setting. Primary focus is given to Punchdrunk's… and darkness descended (2011) and The Crash of the Elysium (2011–2012). This is considered alongside The Republic of the Imagination's (TROTI) Cerebellium (2012–14), an original narrative created for the performance which has been subsequently developed over a three-year period to date. This discussion is presented and framed through my personal experience as both a performer in Cerebellium and (later) as audience member. The particular use of dystopian narratives and alternate worlds is given consideration, with reflection on the way these works destabilize and call into question the audience's sense of self either through their ability to survive or understand their sense of self. By making evident the spectrum of practice, I endeavour to delve further into identifying and de-mystifying immersive theatres and their differences to conventional theatre

A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function

In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No assumption on the correlation structure between different time points is needed and no assumption on the distribution is imposed. All expressions are presented in terms of the conditional mean vectors and the conditional covariance matrices. If the multivariate process of the asset returns is independent it is shown that in the case without a riskless asset the solution is presented as a sequence of optimal portfolio weights obtained by solving the single-period Markowitz optimization problem. The process dynamics are included only in the shape parameter of the utility function. If a riskless asset is present then the multi-period optimal portfolio weights are proportional to the single-period solutions multiplied by time-varying constants which are depending on the process dynamics. Remarkably, in the case of a portfolio selection with the tangency portfolio the multi-period solution coincides with the sequence of the simple-period solutions. Finally, we compare the suggested strategies with existing multi-period portfolio allocation methods for real data.Comment: 38 pages, 9 figures, 3 tables, changes: VAR(1)-CCC-GARCH(1,1) process dynamics and the analysis of increasing horizon are included in the simulation study, under revision in Annals of Operations Researc