The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects

In this paper, we investigate the value of incorporating implied volatility from related option markets in dynamic hedging. We comprehensively model the volatility of all four S&P 500 cash, futures, index option and futures option markets simultaneously. Synchronous half-hourly observations are sampled from transaction data. Special classes of extended simultaneous volatility systems (ESVL) are estimated and used to generate out-of-sample hedge ratios. In a hypothetical dynamic hedging scheme, ESVLbased hedge ratios, which incorporate incremental information in the implied volatilities of the two S&P 500 option markets, generate profits from interim rebalancing of the futures hedging position that are incremental over competing hedge ratios. In addition, ESVL-based hedge ratios are the only hedge ratios that manage to generate sufficient profit during the hedging period to cover losses incurred by the physical portfolio .volatility transmission, dynamic hedging, optimal hedge ratio, S&P 500

Rating downgrade and the price impact of CDS spread on stock return

We investigate the time-varying informativeness of credit default swap (CDS) trading on stock returns for 302 US firms from July 2004 to August 2010. Using the Acharya and Johnson (2007) measure, we find that CDS trading becomes informative for an increasing number of firms as we approach the global financial crisis (GFC). Firm numbers gradually decline post-GFC, but remain high compared to the pre-GFC period. furthermore, CDS trading imposes the largest conditional price impact on firms that are recently downgraded, regardless of rating levels. Interestingly, this holds during and after the GFC, but not before. We offer two implications. First, despite post-GFC outcry against the CDS market, our results suggest it exhibits enhanced price discovery during the GFC. Second, our findings support criticism that, in the lead-up to the GFC, rating agencies are slow in downgrading firms. However, if downgrade decisions made during and after the GFC induce informed trading in the CDS market, this necessarily implies that during the midst of the GFC, rating agencies have got their act together

A Novel Measure of Chromosome Instability Can Account for Prognostic Difference in Multiple Myeloma

10.1371/journal.pone.0066361PLoS ONE86-POLN

Design of an Improved Heater Array to Measure Microscale Wall Heat Transfer

An improved array of microscale heaters is being developed to measure the heat transfer coefficient at many points underneath individual bubbles during boiling as a function of space and time. This heater array enables the local heat transfer from a surface during the bubble growth and departure process to be measured with very high temporal and spatial resolution, and should allow better understanding of the boiling heat transfer mechanisms by pin-pointing when and where in the bubble departure cycle large amounts of wall heat transfer occur. Such information can provide much needed data regarding the important heat transfer mechanisms during the bubble departure cycle, and can serve as benchmarks to validate many of the analytical and numerical models used to simulate boiling. The improvements to the heater array include using a silicon-on-quartz substrate to reduce thermal cross-talk between the heaters, decreased space between the heaters, increased pad sizes on the heaters, and progressive heater sizes. Some results using the present heater array are discussed

Globally optimal shape and spin pole determination with lightcurve inversion

Light-curve inversion is an established technique in determining the shape and spin states of an asteroid. However, the front part of the processing pipeline, which recovers the spin pole and area of each facet, is a non-convex optimization problem. Hence, an y local iterative optimization scheme can only promise a locally optimal solution. Apart from the obvious downsides of getting a non-optimal solution and the need for an initialization scheme, another major implication is that it creates an ambiguous scenario –which is to be blamed for the remaining residual? The inaccuracy of the modelling, the integrity of the data, or the non-global algorithm? We address the last uncertainty in this paper by embedding the spin pole and area vector determination module in a deterministic global optimization framework. To the best of our knowledge, this is the first attempt to solve these parameters globally . Specifically , given calibrated light-curve data, a scattering model for the object, and spin period, our method outputs the globally optimal spin pole and area vector solutions. One theoretical contribution of this paper is the introduction of a lower bound error function that is derived based on (1) the geometric relationship between the incident and scattered light on a surface and (2) the uncertainty of the gap between the observed and estimated brightness at a particular epoch in a light curve. We validated our method’s ability in achieving global minimum with both simulated and real light-curve data. We also tested our method on the real light curves of four asteroids.Chee-Kheng Chng, Michele Sasdelli, and Tat-Jun Chi

Text-Independent F0 Transformation with Non-Parallel Data for Voice Conversion

In voice conversion, frame-level mean and variance normalization is typically used for fundamental frequency (F0) transformation, which is text-independent and requires no parallel training data. Some advanced methods transform pitch contours instead, but require either parallel training data or syllabic annotations. We propose a method which retains the simplicity and text-independence of the frame-level conversion while yielding high-quality conversion. We achieve these goals by (1) introducing a text-independent tri-frame alignment method, (2) including delta features of F0 into Gaussian mixture model (GMM) conversion and (3) reducing the well-known GMM oversmoothing effect by F0 histogram equalization. Our objective and subjective experiments on the CMU Arctic corpus indicate improvements over both the mean/variance normalization and the baseline GMM conversion

Стимулирование инновационной активности персонала компании НГК

Объектом исследования выступает публичное акционерное общество "Газпром" и его дочернее общество с ограниченной ответственность "Газпром трансгаз Томск". Актуальность объясняется тем, что в настоящее время остаются открытыми вопросы привлечения ненаучного персонала предприятий нефтегазового комплекса к участию в инновационной деятельности. Целью работы является разработка способов стимулирования персонала предприятия нефтегазового комплекса к проявлению инновационной и рационализаторской активности. В исследовании проводился анализ применяемых способов мотивации и поощрения инновационных сотрудников предприятия нефтегазового комплекса. При проведении анализа выявляются ключевые проблемы стимулирования и предлагаются возможные решения.The object of the study is PJSC "Gazprom" and OOO "Gazprom transgaz Tomsk". The relevance is explained by the fact that at present the issues of attracting non-scientific personnel of oil and gas enterprises to participate in innovation remain open. The aim of the work is to develop ways to stimulate the personnel of the oil and gas complex to participate in innovation and rationalization activities. The study analyzed the methods used to motivate and encourage innovative employees of the oil and gas industry. The analysis identifies key incentive problems and suggests possible solutions

Generalized Weyl solutions in d=5 Einstein-Gauss-Bonnet theory: the static black ring

We argue that the Weyl coordinates and the rod-structure employed to construct static axisymmetric solutions in higher dimensional Einstein gravity can be generalized to the Einstein-Gauss-Bonnet theory. As a concrete application of the general formalism, we present numerical evidence for the existence of static black ring solutions in Einstein-Gauss-Bonnet theory in five spacetime dimensions. They approach asymptotically the Minkowski background and are supported against collapse by a conical singularity in the form of a disk. An interesting feature of these solutions is that the Gauss-Bonnet term reduces the conical excess of the static black rings. Analogous to the Einstein-Gauss-Bonnet black strings, for a given mass the static black rings exist up to a maximal value of the Gauss-Bonnet coupling constant $\alpha'$. Moreover, in the limit of large ring radius, the suitably rescaled black ring maximal value of $\alpha'$ and the black string maximal value of $\alpha'$ agree.Comment: 43 pages, 14 figure