Implicit Bayesian Inference Using Option Prices.

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly, via observed option prices. A range of models which allow for conditional leptokurtosis, skewness and time-varying volatility in returns, are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Fit, predictive and hedging densities associated with the different models are produced. Models are ranked according to several criteria, including their ability to fit observed option prices, predict future option prices and minimize hedging errors. In addition to model-specific results, averaged predictive and hedging densities are produced, the weights used in the averaging process being the posterior model probabilities. The method is applied to option price data on the S&P500 stock index. Whilst the results provide some support for the Black-Scholes model, no one model dominates according to all criteria considered.Bayesian Implicit Inference; Option Pricing Errors; Option Price Prediction; Hedging Errors; Nonnormal Returns Models; GARCH; Bayesian Model averaging.

Bright solitary-matter-wave collisions in a harmonic trap: Regimes of solitonlike behavior

Systems of solitary waves in the one-dimensional Gross-Pitaevskii equation, which models a trapped atomic Bose-Einstein condensate, are investigated theoretically. To analyze the soliton nature of these solitary waves, a particle analogy for the solitary waves is formulated. Exact soliton solutions exist in the absence of an external trapping potential, which behave in a particlelike manner, and we find the particle analogy we employ to be a good model also when a harmonic trapping potential is present up to a gradual shift in the trajectories when the harmonic trap period is short compared with the collision time of the solitons. We find that the collision time of the solitons is dependent on the relative phase of the solitons as they collide. In the case of two solitons, the particle model is integrable, and the dynamics are completely regular. In the case of a system of two solitary waves of equal norm, the solitons are shown to retain their phase difference for repeated collisions. This phase preservation can be used to find regimes where there is agreement between the wave and particle models. This also implies that soliton regimes may be found in three-dimensional geometries where solitary waves can be made to repeatedly collide out of phase, stabilizing the condensate against collapse. The extension to three particles supports both regular and chaotic regimes. The trajectory shift observed for two solitons carries over to the case of three solitons. This shift aside, the agreement between the particle model and the wave dynamics remains good, even in chaotic regimes

Bright matter-wave soliton collisions in a harmonic trap : regular and chaotic dynamics

Collisions between bright solitary waves in the 1D Gross-Pitaevskii equation with a harmonic potential, which models a trapped atomic Bose-Einstein condensate, are investigated theoretically. A particle analogy for the solitary waves is formulated and shown to be integrable for a two-particle system. The extension to three particles is shown to support chaotic regimes. Good agreement is found between the particle model and simulations of the full wave dynamics, suggesting that the dynamics can be described in terms of solitons both in regular and chaotic regimes, presenting a paradigm for chaos in wave mechanics

Differential conductance of a saddle-point constriction with a time-modulated gate-voltage

The effect of a time-modulated gate-voltage on the differential conductance $G$ of a saddle-point constriction is studied. The constriction is modeled by a symmetric saddle-point potential and the time-modulated gate-voltage is represented by a potential of the form $V_{0} \theta(a/2-|x-x_{c}|) \cos (\omega t)$. For $\hbar\omega$ less than half of the transverse subband energy level spacing, gate-voltage-assisted (suppressed) feature occurs when the chemical potential $\mu$ is less (greater) than but close to the threshold energy of a subband. As $\mu$ increases, $G$ is found to exhibit, alternatively, the assisted and the suppressed feature. For larger $\hbar\omega$, these two features may overlap with one another. Dip structures are found in the suppressed regime. Mini-steps are found in the assisted regime only when the gate-voltage covers region far enough away from the center of the constriction.Comment: 8 pages, 6 figure

Socioeconomic determinants of multimorbidity: a population-based household survey of Hong Kong Chinese

<b>Introduction</b> Multimorbidity has been well researched in terms of consequences and healthcare implications. Nevertheless, its risk factors and determinants, especially in the Asian context, remain understudied. We tested the hypothesis of a negative relationship between socioeconomic status and multimorbidity, with contextually different patterns from those observed in the West.<p></p> <b>Methods</b> We conducted our study in the general Hong Kong (HK) population. Data on current health conditions, health behaviours, socio-demographic and socioeconomic characteristics was obtained from HK Government’s Thematic Household Survey. 25,780 individuals aged 15 or above were sampled. Binary logistic and negative binomial regression analyses were conducted to identify risk factors for presence of multimorbidity and number of chronic conditions, respectively. Sub-analysis of possible mediation effect through financial burden borne by private housing residents on multimorbidity was also conducted.<p></p> <b>Results</b> Unadjusted and adjusted models showed that being female, being 25 years or above, having an education level of primary schooling or below, having less than HK$15,000 monthly household income, being jobless or retired, and being past daily smoker were significant risk factors for the presence of multimorbidity and increased number of chronic diseases. Living in private housing was significantly associated with higher chance of multimorbidity and increased number of chronic diseases only after adjustments.<p></p> <b>Conclusions</b>Less advantaged people tend to have higher risks of multimorbidity and utilize healthcare from the public sector with poorer primary healthcare experience. Moreover, middle-class people who are not eligible for government subsidized public housing may be of higher risk of multimorbidity due to psychosocial stress from paying for the severely unaffordable private housing

A Coverage Criterion for Spaced Seeds and its Applications to Support Vector Machine String Kernels and k-Mer Distances

Spaced seeds have been recently shown to not only detect more alignments, but also to give a more accurate measure of phylogenetic distances (Boden et al., 2013, Horwege et al., 2014, Leimeister et al., 2014), and to provide a lower misclassification rate when used with Support Vector Machines (SVMs) (On-odera and Shibuya, 2013), We confirm by independent experiments these two results, and propose in this article to use a coverage criterion (Benson and Mak, 2008, Martin, 2013, Martin and No{\'e}, 2014), to measure the seed efficiency in both cases in order to design better seed patterns. We show first how this coverage criterion can be directly measured by a full automaton-based approach. We then illustrate how this criterion performs when compared with two other criteria frequently used, namely the single-hit and multiple-hit criteria, through correlation coefficients with the correct classification/the true distance. At the end, for alignment-free distances, we propose an extension by adopting the coverage criterion, show how it performs, and indicate how it can be efficiently computed.Comment: http://online.liebertpub.com/doi/abs/10.1089/cmb.2014.017

Quality of life, subjective well-being and democratic consolidation in Ecuador

The analysis of individual satisfaction and citizens’ quality of life is paramount by the interdependence with democracy consolidation that exists nowadays in Ecuador. A proposal to calculate a synthetic indicator of satisfaction of citizens on the subjective wellbeing (SWB) in Ecuador based on fuzzy logic method and the degree of similarity to ideal solutions is developed in the study. The information is obtained through the application of a structured survey based on the European Social Survey to the Ecuadorian society to a sample of 416 Ecuadorians. The analysis is based on eight different dimensions of individual satisfaction, namely: (1) Life; (2) Economy; (3) City Government; (4) Transparency; (5) Education; (6) Health System; (7) Roads; and (8) National Government. The results are discussed according to three segmentation variables: gender, age and marital status. The results show that men experience more individual satisfaction than women; generation Y is more satisfied than other age groups; and those who live with couples without being married are more satisfied than single and married citizens.info:eu-repo/semantics/acceptedVersio

Large pTp_T Hadroproduction of ZZ as a Probe of Gluon Distribution inside Proton

The transverse momentum distribution of single vector boson production at hadron colliders provides useful ways of testing the Standard Model and searching new physics beyond the Standard Model. We study large $p_{_T}$ hadroproduction of $Z$-boson as a probe of gluon distributions inside proton. We investigate how to get initial gluon-involving contributions, or how to subtract quark-quark (or -antiquark) contributions from total cross section. We also investigated the simultaneous measurement of the rapidity and the transverse momentum of the produced $Z$ boson, to obtain momentum fractions of initial partons. And we extracted relevant uncertainties involving in experimental and theoretical analyses. This large $p_{_T}$ hadroproduction of $Z$ can be used as constraints on analyses of global parton (gluon and quarks) distribution functions inside proton.Comment: (a) 13 pages(LaTeX) + 1 figure ps file(3 pages):compressed, uuencoded (b) accepted by Phys.Lett.B. (c) some figures are combined and one is omitted. (d) conclusion part is included into abstrac

A note on inflation and transplanckian physics

In this paper we consider the influence of transplanckian physics on the CMBR anisotropies produced by inflation. We consider a simple toy model that allows for analytic calculations and argue on general grounds, based on ambiguities in the choice of vacuum, that effects are expected with a magnitude of the order of $H/\Lambda$, where $H$ is the Hubble constant during inflation and $\Lambda$ the scale for new physics, e.g. the Planck scale.Comment: 12 pages. v2: typos corrected and references added. v3: final version accepted for publication by PRD. Improved discussion of adiabatic vacuu

Radioactive releases at the Savannah River Site, 1954--1988

Radioactive Releases at the Savannah River Site, 1954--1988 (WSRC-RP-89-737) is the continuation of a series of reports, previously titled Releases of Radioactivity at the Savannah River Plant (DPSU-1-YR-25). The series reflects the use of air and liquid effluent sample analyses in determining the amount of radioactivity released from Savannah River Site (SRS) operations. The identification and characterization of these source terms since plant startup in 1954 have aided Site personnel in confining and limiting the amount of radioactivity released to the environment from SRS facilities. Data contained in this report are used for a variety of purposes, including the calculation of offsite dose estimates and aiding special environmental studies. This document is an effluent/source term report. The report is divided into four summary sections. Summary A details volumes of air and water released from emission sources since plant startup. Summary B lists annual radioactive release data from these emission sources, grouped by nuclide and area. Summary C provides yearly totals of radioactive releases by radionuclide, under the headings Atmospheric,'' Liquid to streams,'' or Liquid to Seepage Basins'' accordingly. Monthly radioactive releases from each emission source from 1986 to 1988 are found in Summary D. Where appropriate, headings in the summary tables have been changed to clarify and simplify emission data (see Appendix B). Additionally, any new discharge points, such as the liquid discharge from the Effluent Treatment Facility (ETF), are included in this report. A listing of 1988 source term and onsite discharge designations is provided in Appendix C. 36 refs