On the volatility of volatility

The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no significant correlation between changes in the VIX and changes in the 30-day realized volatility of the SPX are observed. We investigate whether this indicates a mispricing of options following large VIX moves, and examine the relation to excess returns from variance swaps.Comment: 15 pages, 12 figures, LaTe

Predicting effects of environmental change on a migratory herbivore

Changes in climate, food abundance and disturbance from humans threaten the ability of species to successfully use stopover sites and migrate between non-breeding and breeding areas. To devise successful conservation strategies for migratory species we need to be able to predict how such changes will affect both individuals and populations. Such predictions should ideally be process-based, focusing on the mechanisms through which changes alter individual physiological state and behavior. In this study we use a process-based model to evaluate how Black Brant (Branta bernicla nigricans) foraging on common eelgrass (Zostera marina) at a stopover site (Humboldt Bay, USA), may be affected by changes in sea level, food abundance and disturbance. The model is individual-based, with empirically based parameters, and incorporates the immigration of birds into the site, tidal changes in availability of eelgrass, seasonal and depth-related changes in eelgrass biomass, foraging behavior and energetics of the birds, and their mass- dependent decisions to emigrate. The model is validated by comparing predictions to observations across a range of system properties including the time birds spent foraging, probability of birds emigrating, mean stopover duration, peak bird numbers, rates of mass gain and distribution of birds within the site: all 11 predictions were within 35% of the observed value, and 8 within 20%. The model predicted that the eelgrass within the site could potentially support up to five times as many birds as currently use the site. Future predictions indicated that the rate of mass gain and mean stopover duration were relatively insensitive to sea level rise over the next 100 years, primarily because eelgrass habitat could redistribute shoreward into intertidal mudflats within the site to compensate for higher sea levels. In contrast, the rate of mass gain and mean stopover duration were sensitive to changes in total eelgrass biomass and the percentage of time for which birds were disturbed. We discuss the consequences of these predictions for Black Brant conservation. A wide range of migratory species responses are expected in response to environmental change. Process-based models are potential tools to predict such responses and understand the mechanisms which underpin them

The fermion dynamical symmetry model for the even--even and even--odd nuclei in the Xe--Ba region

The even--even and even--odd nuclei $^{126}$Xe-$^{132}$Xe and $^{131}$Ba-$^{137}$Ba are shown to have a well-realized $SO_8 \supset SO_6 \supset SO_3$ fermion dynamical symmetry. Their low-lying energy levels can be described by a unified analytical expression with two (three) adjustable parameters for even--odd (even--even) nuclei that is derived from the fermion dynamical symmetry model. Analytical expressions are given for wavefunctions and for $E2$ transition rates that agree well with data. The distinction between the FDSM and IBM $SO_6$ limits is discussed. The experimentally observed suppression of the the energy levels with increasing $SO_5$ quantum number $\tau$ can be explained as a perturbation of the pairing interaction on the $SO_6$ symmetry, which leads to an $SO_5$ Pairing effect for $SO_6$ nuclei.Comment: submitted to Phys. Rev. C, LaTeX, 31 pages, 8 figures with postscript files available on request at [email protected]

Low Energy Theory for 2 flavors at High Density QCD

We construct the effective Lagrangian describing the low energy excitations for Quantum Chromodynamics with two flavors at high density. The non-linear realization framework is employed to properly construct the low energy effective theory. The light degrees of freedom, as required by 't Hooft anomaly conditions, contain massless fermions which we properly include in the effective Lagrangian. We also provide a discussion of the linearly realized Lagrangian.Comment: 17 pages, RevTeX format, references added. To appear in Phys. Rev.

A quantum Monte Carlo study of the one-dimensional ionic Hubbard model

Quantum Monte Carlo methods are used to study a quantum phase transition in a 1D Hubbard model with a staggered ionic potential (D). Using recently formulated methods, the electronic polarization and localization are determined directly from the correlated ground state wavefunction and compared to results of previous work using exact diagonalization and Hartree-Fock. We find that the model undergoes a thermodynamic transition from a band insulator (BI) to a broken-symmetry bond ordered (BO) phase as the ratio of U/D is increased. Since it is known that at D = 0 the usual Hubbard model is a Mott insulator (MI) with no long-range order, we have searched for a second transition to this state by (i) increasing U at fixed ionic potential (D) and (ii) decreasing D at fixed U. We find no transition from the BO to MI state, and we propose that the MI state in 1D is unstable to bond ordering under the addition of any finite ionic potential. In real 1D systems the symmetric MI phase is never stable and the transition is from a symmetric BI phase to a dimerized BO phase, with a metallic point at the transition

Hot Spots and Transition from d-Wave to Another Pairing Symmetry in the Electron-Doped Cuprate Superconductors

We present a simple theoretical explanation for a transition from d-wave to another superconducting pairing observed in the electron-doped cuprates. The d_{x^2-y^2} pairing potential Delta, which has the maximal magnitude and opposite signs at the hot spots on the Fermi surface, becomes suppressed with the increase of electron doping, because the hot spots approach the Brillouin zone diagonals, where Delta vanishes. Then, the d_{x^2-y^2} pairing is replaced by either singlet s-wave or triplet p-wave pairing. We argue in favor of the latter and discuss experiments to uncover it.Comment: 6 pages, 4 figures, RevTeX 4. V.2: Extra figure and many references added. V.3: Minor update of references for the proof

Prevalence, survival analysis and multimorbidity of chronic diseases in the general veterinarian-attended horse population of the UK

he average age of the global human population is increasing, leading to increased interest in the effects of chronic disease and multimorbidity on health resources and patient welfare. It has been posited that the average age of the general veterinarian-attended horse population of the UK is also increasing, and therefore it could be assumed that chronic diseases and multimorbidity would pose an increasing risk here also. However, evidence for this trend in ageing is very limited, and the current prevalence of many chronic diseases, and of multimorbidity, is unknown. Using text mining of first-opinion electronic medical records from seven veterinary practices around the UK, Kaplan-Meier and Cox proportional hazard modelling, we were able to estimate the apparent prevalence among veterinarian-attended horses of nine chronic diseases, and to assess their relative effects on median life expectancy following diagnosis. With these methods we found evidence of increasing population age. Multimorbidity affected 1.2% of the study population, and had a significant effect upon survival times, with co-occurrence of two diseases, and three or more diseases, leading to 6.6 and 21.3 times the hazard ratio compared to no chronic disease, respectively. Laminitis was involved in 74% of cases of multimorbidity. The population of horses attended by UK veterinarians appears to be aging, and chronic diseases and their co-occurrence are common features, and as such warrant further investigation

Couplings of light I=0 scalar mesons to simple operators in the complex plane

The flavour and glue structure of the light scalar mesons in QCD are probed by studying the couplings of the I=0 mesons $\sigma(600)$ and $f_0(980)$ to the operators $\bar{q}q$, $\alpha_s G^2$ and to two photons. The Roy dispersive representation for the $\pi\pi$ amplitude $t_0^0(s)$ is used to determine the pole positions as well as the residues in the complex plane. On the real axis, $t_0^0$ is constrained to solve the Roy equation together with elastic unitarity up to the K\Kbar threshold leading to an improved description of the $f_0(980)$. The problem of using a two-particle threshold as a matching point is discussed. A simple relation is established between the coupling of a scalar meson to an operator $j_S$ and the value of the related pion form-factor computed at the resonance pole. Pion scalar form-factors as well as two-photon partial-wave amplitudes are expressed as coupled-channel Omn\`es dispersive representations. Subtraction constants are constrained by chiral symmetry and experimental data. Comparison of our results for the $\bar{q}q$ couplings with earlier determinations of the analogous couplings of the lightest I=1 and $I=1/2$ scalar mesons are compatible with an assignment of the $\sigma$, $\kappa$, $a_0(980)$, $f_0(980)$ into a nonet. Concerning the gluonic operator $\alpha_s G^2$ we find a significant coupling to both the $\sigma$ and the $f_0(980)$.Comment: 31 pages, 5 figure

A study of charged kappa in J/ψ→K±Ksπ∓π0J/\psi \to K^{\pm} K_s \pi^{\mp} \pi^0

Based on $58 \times 10^6$ $J/\psi$ events collected by BESII, the decay $J/\psi \to K^{\pm} K_s \pi^{\mp} \pi^0$ is studied. In the invariant mass spectrum recoiling against the charged $K^*(892)^{\pm}$, the charged $\kappa$ particle is found as a low mass enhancement. If a Breit-Wigner function of constant width is used to parameterize the kappa, its pole locates at $(849 \pm 77 ^{+18}_{-14}) -i (256 \pm 40 ^{+46}_{-22})$ MeV/$c^2$. Also in this channel, the decay $J/\psi \to K^*(892)^+ K^*(892)^-$ is observed for the first time. Its branching ratio is $(1.00 \pm 0.19 ^{+0.11}_{-0.32}) \times 10^{-3}$.Comment: 14 pages, 4 figure