Option-Implied Measures of Equity Risk

Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We .nd that option-implied volatility and skewness are also good predictors of future realized beta. Motivated by this .nding, we establish a set of assumptions needed to construct a beta estimate from option-implied return moments using equity and index options. This beta can be computed using only option data on a single day. It is therefore potentially able to re.ect sudden changes in the structure of the underlying company. Le risque du marché des actions mesuré selon le coefficient bêta suscite un vif intérêt de la part des universitaires et des praticiens. Les estimations existantes du coefficient bêta utilisent les rendements historiques. De nombreuses études ont démontré que la volatilité implicite du prix des options constitue un indice solide de la volatilité future réalisée. Nous constatons que la volatilité implicite des options et leur caractère asymétrique sont aussi de bons facteurs prévisionnels du bêta futur réalisé. Motivés par ce constat, nous établissons un ensemble d’hypothèses nécessaires pour effectuer une estimation du bêta, à partir des moments de rendement implicite des options, en recourant aux actions et aux options sur indices boursiers. Ce bêta peut être calculé en utilisant seulement les données obtenues sur les options au cours d’une même journée. Il peut donc refléter les changements soudains de la structure de la société sous-jacente.market beta; CAPM; historical; capital budgeting; model-free moments, bêta du marché, MEDAF (modèle d’équilibre des actifs financiers), historique, budgétisation des investissements, moments non paramétriques.

Linear-Gompertz Model-Based Regression of Photovoltaic Power Generation by Satellite Imagery-Based Solar Irradiance

A simple yet accurate photovoltaic (PV) performance curve as a function of satellite-based solar irradiation is necessary to develop a PV power forecasting model that can cover all of South Korea, where more than 35,000 PV power plants are currently in operation. In order to express the nonlinear power output of the PV module with respect to the hourly global horizontal irradiance derived from satellite images, this study employed the Gompertz model, which is composed of three parameters and the sigmoid equation. The nonphysical behavior of the Gompertz model within the low solar irradiation range was corrected by combining a linear equation with the same gradient at the conjoint point. The overall fitness of Linear-Gompertz regression to the 242 PV power plants representing the country was R2 = 0.85 and nRMSE = 0.09. The Gompertz model coefficients showed normal distributions and equivariance of standard deviations of less than 15% by year and by season. Therefore, it can be conjectured that the Linear-Gompertz model represents the whole country’s PV system performance curve. In addition, the Gompertz coefficient C, which controls the growth rate of the curve, showed a strong correlation with the capacity factor, such that the regression equation for the capacity factor could be derived as a function of the three Gompertz model coefficients with a fitness of R2 = 0.88.This work was conducted under the framework of the Research and Development Program of the Korea Institute of Energy Research (C0-2407)

Feasibility of Using Phase Change Materials to Control the Heat of Hydration in Massive Concrete Structures

This paper presents experimental results that can be applied to select a possible phase change material (PCM), such as a latent heat material (LHM), to control the hydration heat in mass concrete structures. Five experimental tests (microconduction, simplified adiabatic temperature rise, heat, and compressive strength tests) were conducted to select the most desirable LHM out of seven types of inorganic PCM used in cement mortar and to determine the most suitable mix design. The results of these experimental tests were used to assess the feasibility of using PCM to reduce hydration heat in mass concrete that was examined. The experimental results show that cement mortar containing barium- [Ba(OH)2·8H2O] based PCM has the lowest amount of total hydration heat of the cement pastes. The barium-based PCM provides good latent heat properties that help to prevent volume change and microcracks caused by thermal stress in mass concrete

Carbon nanotubes-semiconductor networks for organic electronics: The pickup stick transistor

We demonstrate an alternative path for achieving high transconductance organic transistors in spite of relatively large source to drain distances. The improvement of the electronic characteristic of such a scheme is equivalent to a 60-fold increase in mobility of the underlying organic semiconductor. The method is based on percolating networks, which we create from a dispersion of individual single-wall carbon nanotubes and narrow ropes within an organic semiconducting host. The majority of current paths between source and drain follow the metallic nanotubes but require a short, switchable semiconducting link to complete the circuit. With these nanotube-semiconducting composites we achieve effectively a 60X reduction in source to drain distance, which is equivalent to a 60-fold increase of the '' effective '' mobility of the starting semiconducting material with a minor decrease of the on/off current ratio. These field-induced percolating networks allow for the fabrication of high-transconductance transistors having relatively large source to drain distances that can be manufactured inexpensively by commercially available printing techniques. (c) 2005 American Institute of Physicsclose516

Amyloid Precursor Protein Binding Protein-1 Modulates Cell Cycle Progression in Fetal Neural Stem Cells

Amyloid precursor protein binding protein-1 (APP-BP1) binds to the carboxyl terminus of the amyloid precursor protein (APP) and serves as the bipartite activation enzyme for the ubiquitin-like protein, NEDD8. In the present study, we explored the physiological role of APP-BP1 in the cell cycle progression of fetal neural stem cells. Our results show that cell cycle progression of the cells is arrested at the G1 phase by depletion of APP-BP1, which results in a marked decrease in the proliferation of the cells. This action of APP-BP1 is antagonistically regulated by the interaction with APP. Consistent with the evidence that APP-BP1 function is critical for cell cycle progression, the amount of APP-BP1 varies depending upon cell cycle phase, with culminating expression at S-phase. Furthermore, our FRET experiment revealed that phosphorylation of APP at threonine 668, known to occur during the G2/M phase, is required for the interaction between APP and APP-BP1. We also found a moderate ubiquitous level of APP-BP1 mRNA in developing embryonic and early postnatal brains; however, APP-BP1 expression is reduced by P12, and only low levels of APP-BP1 were found in the adult brain. In the cerebral cortex of E16 rats, substantial expression of both APP-BP1 and APP mRNAs was observed in the ventricular zone. Collectively, these results indicate that APP-BP1 plays an important role in the cell cycle progression of fetal neural stem cells, through the interaction with APP, which is fostered by phopshorylation of threonine 668

Primary Malignant Rhabdoid Melanoma

Melanoma with rhabdoid features is an uncommon variant of malignant melanoma. Here, we describe a rare case of primary rhabdoid malignant melanoma. A 54-year-old man presented with a black tumor measuring 3×4 cm on the right forearm. Histologic sections showed a tumor mass with rhabdoid features composed entirely of polygonal neoplastic cells with eccentric nuclei, prominent nucleoli, and large hyaline cytoplasmic inclusions. The tumor cells were immunoreactive with HMB-45, S100, Fontana-Masson silver and vimentin, and negative for smooth muscle actin, CD68, CD34, CD99, synaptophysin, desmin, and PAS. The differential diagnosis for this tumor included malignant peripheral nerve sheath tumor, malignant peripheral neuroectodermal tumor and rhabdomyosarcoma. The patient was treated with a wide excision and a local skin graft. The excised tumor was entirely composed of rhabdoid tumor cells. No recurrence or metastasis was evident 4 months after removal. This article is relevant to rare cases of primary malignant melanomas showing rhabdoid tumor cells over the entire excised lesion