Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range

We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100. Evidence obtained from out-of-sample volatility forecasts indicates that neither implied volatility nor intraday high-low range volatility subsumes entirely the incremental information contained in the other. Our findings suggest that intraday high-low range volatility can usefully augment conditional volatility forecasts for these market indexes.

On the Redshift Distribution of Gamma Ray Bursts in the Swift Era

A simple physical model for long-duration gamma ray bursts (GRBs) is used to fit the redshift (z) and the jet opening-angle distributions measured with earlier GRB missions and with Swift. The effect of different sensitivities for GRB triggering is sufficient to explain the difference in the z distributions of the pre-Swift and Swift samples, with mean redshifts of ~1.5 and ~2.7, respectively. Assuming that the emission properties of GRBs do not change with time, we find that the data can only be fitted if the comoving rate-density of GRB sources exhibits positive evolution to z >~ 3-5. The mean intrinsic beaming factor of GRBs is found to range from ~34-42, with the Swift average opening half-angle ~10 degree, compared to the pre-Swift average of ~7 degree. Within the uniform jet model, the GRB luminosity function is proportional to L^{-3.25}_*, as inferred from our best fit to the opening angle distribution. Because of the unlikely detection of several GRBs with z <~ 0.25, our analysis indicates that low redshift GRBs represent a different population of GRBs than those detected at higher redshifts. Neglecting possible metallicity effects on GRB host galaxies, we find that ~1 GRB occurs every 600,000 yrs in a local L_* spiral galaxy like the Milky Way. The fraction of high-redshift GRBs is estimated at 8-12% and 2.5-6% at z >= 5 and z >= 7, respectively, assuming continued positive evolution of the GRB rate density to high redshifts.Comment: Accepted for publication in ApJ. The paper contains 29 pages and 24 figure

Selective review of offline change point detection methods

This article presents a selective survey of algorithms for the offline detection of multiple change points in multivariate time series. A general yet structuring methodological strategy is adopted to organize this vast body of work. More precisely, detection algorithms considered in this review are characterized by three elements: a cost function, a search method and a constraint on the number of changes. Each of those elements is described, reviewed and discussed separately. Implementations of the main algorithms described in this article are provided within a Python package called ruptures

Time-Dependent Stochastic Particle Acceleration in Astrophysical Plasmas: Exact Solutions Including Momentum-Dependent Escape

Stochastic acceleration of charged particles due to interactions with magnetohydrodynamic (MHD) plasma waves is the dominant process leading to the formation of the high-energy electron and ion distributions in a variety of astrophysical systems. Collisions with the waves influence both the energization and the spatial transport of the particles, and therefore it is important to treat these two aspects of the problem in a self-consistent manner. We solve the representative Fokker-Planck equation to obtain a new, closed-form solution for the time-dependent Green's function describing the acceleration and escape of relativistic ions interacting with Alfven or fast-mode waves characterized by momentum diffusion coefficient $D(p)\propto p^q$ and mean particle escape timescale $t_esc(p) \propto p^{q-2}$, where $p$ is the particle momentum and $q$ is the power-law index of the MHD wave spectrum. In particular, we obtain solutions for the momentum distribution of the ions in the plasma and also for the momentum distribution of the escaping particles, which may form an energetic outflow. The general features of the solutions are illustrated via examples based on either a Kolmogorov or Kraichnan wave spectrum. The new expressions complement the results obtained by Park and Petrosian, who presented exact solutions for the hard-sphere scattering case ($q=2$) in addition to other scenarios in which the escape timescale has a power-law dependence on the momentum. Our results have direct relevance for models of high-energy radiation and cosmic-ray production in astrophysical environments such as $\gamma$-ray bursts, active galaxies, and magnetized coronae around black holes.Comment: Accepted for publication in Ap

A role for jasmonates in the release of dormancy by cold stratification in wheat

Hydration at low temperatures, commonly referred to as cold stratification, is widely used for releasing dormancy and triggering germination in a wide range of species including wheat. However, the molecular mechanism that underlies its effect on germination has largely remained unknown. Our previous studies showed that methyl-jasmonate, a derivative of jasmonic acid (JA), promotes dormancy release in wheat. In this study, we found that cold-stimulated germination of dormant grains correlated with a transient increase in JA content and expression of JA biosynthesis genes in the dormant embryos after transfer to 20 (o)C. The induction of JA production was dependent on the extent of cold imbibition and precedes germination. Blocking JA biosynthesis with acetylsalicylic acid (ASA) inhibited the cold-stimulated germination in a dose-dependent manner. In addition, we have explored the relationship between JA and abscisic acid (ABA), a well-known dormancy promoter, in cold regulation of dormancy. We found an inverse relationship between JA and ABA content in dormant wheat embryos following stratification. ABA content decreased rapidly in response to stratification, and the decrease was reversed by addition of ASA. Our results indicate that the action of JA on cold-stratified grains is mediated by suppression of two key ABA biosynthesis genes, TaNCED1 and TaNCED2.This project was funded by a CSIRO Office of the Chief Executive PDF scheme

Protecting Research Participants: How Can We Reduce “Therapeutic Misconception in Clinical Research Trials? [English and Spanish versions]

A Spanish translation of this publication is available to download under Additional Files below. Therapeutic Misconception and Scientific Reframing is a National Institute of Mental Health funded study led by Charles Lidz, Ph.D. The study’s goals are to: (1) Develop an innovative procedure that educates participants about clinical research trials to reduce Therapeutic Misconception (TM); and (2) Test this innovative procedure in a hypothetical clinical research trial to reduce TM without reducing study enrollment rates

Correlation of Photon and Neutrino Fluxes in Blazars and Gamma Ray Bursts

Relativistic black-hole jet sources are leading candidates for high energy (>> TeV) neutrino production. The relations defining (a) efficient photopion losses of cosmic-ray protons on target photons and (b) gamma-gamma opacity of gamma rays through that same target photon field imply clear multiwavelength predictions for when and at what energies blazars and GRBs should be most neutrino bright and gamma-ray dim. The use of multiwavelength observations to test the standard relativistic jet model for these source is illustrated.Comment: 11 pages, 1 figure, ApJ Letters, in pres

Post-Project Appraisal in Social Relationships between the Ecological Restoration Project on Stoney Creek and the Surrounding Community, Burnaby, British Columbia

Scientific studies upon ecological restoration projects and their relation to nearby environments such as soil quality, invasive species, beetles living habitat have been studied extensively by varies research groups. However, researchers seem to have neglected the social relation between residence and the ecological restoration project. Knowledge on public attitudes and perceptions toward ecological restoration projects is essential in exploring the public’s degree of supportiveness and in creating a sustainable restoration project. Using Stoney Creek in Burnaby, British Columbia as a case study, this study searches for the relationship between community members attitudes and knowledge towards ecological restoration by examining the correlation of the resident’s place attachment, length of residency, and their willingness to engage. The study has found a direct relation between public’s interest in ecological restoration and their willingness to engage. The public’s willingness to engage also has a relation to their attachment to the creek. The public’s awareness and knowledge is related to the residents’ attachment to Stoney Creek and the duration of residency in the area. Proximity to the creek, however, does not seem to have a correlation to the public’s perception of Stoney Creek’s ecological restoration project