The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models

Search for Lorentz and CPT violation using sidereal time dependence of neutrino flavor transitions over a short baseline

A class of extensions of the Standard Model allows Lorentz and CPT violations, which can be identified by the observation of sidereal modulations in the neutrino interaction rate. A search for such modulations was performed using the T2K on-axis near detector. Two complementary methods were used in this study, both of which resulted in no evidence of a signal. Limits on associated Lorentz and CPT-violating terms from the Standard Model extension have been derived by taking into account their correlations in this model for the first time. These results imply such symmetry violations are suppressed by a factor of more than 10 20 at the GeV scale

Highly-parallelized simulation of a pixelated LArTPC on a GPU

The rapid development of general-purpose computing on graphics processing units (GPGPU) is allowing the implementation of highly-parallelized Monte Carlo simulation chains for particle physics experiments. This technique is particularly suitable for the simulation of a pixelated charge readout for time projection chambers, given the large number of channels that this technology employs. Here we present the first implementation of a full microphysical simulator of a liquid argon time projection chamber (LArTPC) equipped with light readout and pixelated charge readout, developed for the DUNE Near Detector. The software is implemented with an end-to-end set of GPU-optimized algorithms. The algorithms have been written in Python and translated into CUDA kernels using Numba, a just-in-time compiler for a subset of Python and NumPy instructions. The GPU implementation achieves a speed up of four orders of magnitude compared with the equivalent CPU version. The simulation of the current induced on 10^3 pixels takes around 1 ms on the GPU, compared with approximately 10 s on the CPU. The results of the simulation are compared against data from a pixel-readout LArTPC prototype

Causal relationship testing with applications to exchange rates

This paper undertakes two causality studies with exchange rate applications in a framework of Zero-Non-Zero (ZNZ) patterned Vector Error-Correction Modelling (VECM). The first study shows that money supply is a source of financial and economic influence on the Euro. The second gives evidence of support for Purchasing Power Parity (PPP) using monthly data between Japan and the USA. The results indicate that high-frequency finance data can reveal the existence of long-term PPP. This evidence sheds light on the adjustment mechanisms through which PPP is achieved. Also, the proposed ZNZ patterned VECM modelling allows better insights from this kind of financial time-series analysis.error correction modelling; e-finance; Granger causality; purchasing power parity; PPP; electronic finance; causal relationships; causality; exchange rates; Euro; money supply; Japan; USA; United States.

Overcoming the barriers: a qualitative study of simulation adoption in Primary Care Trusts in the NHS

This paper addresses a key issue in the health OR literature, namely the apparent failure of OR modelling to become embedded and widely implemented within healthcare organizations. The research presented here is a case study to evaluate the adoption of one particular simulation modelling tool, Scenario Generator, which was developed by the SIMUL8 Corporation in a PPI partnership with the UK’s National Health Service Institute for Innovation and Improvement. The study involved semi-structured interviews with employees of 28 Primary Care Trusts who had all been engaged in some way with the initiative, with participants classified as “Not Started”, “Given Up” and “Actively Using”. This paper presents a brief summary of barriers and facilitators to the successful use of the Scenario Generator software, but its main purpose is to focus more broadly on factors influencing the successful adoption of simulation tools in general within healthcare organisations. The insights gained in this study are relevant to improving the uptake of OR modelling in general within the NHS