Forecasting Equicorrelation

We study the out-of-sample forecasting performance of several time-series models of equicorrelation, which is the average pairwise correlation between a number of assets. Building on the existing Dynamic Conditional Correlation and Linear Dynamic Equicorrelation models, we propose a model that uses proxies for equicorrelation based on high-frequency intraday data, and the level of equicorrelation implied by options prices. Using state-of-the-art statistical evaluation technology, we find that the use of both realized and implied equicorrelations outperform models that use daily data alone. However, the out-of-sample forecasting benefits of implied equicorrelation disappear when used in conjunction with the realized measures.Equicorrelation, Implied Correlation, Multivariate GARCH, DCC

Early Aspects at ICSE 2007: Workshop on Aspect-Oriented Requirements Engineering and Architecture Design

The “Early Aspects @ ICSE’07” is the 11th workshop in the series of Early Aspects workshops [1] which focuses on aspect identification during the requirements engineering and architecture derivation activities. The specific aim of the present workshop is twofold: (a) to initiate creation of an Early Aspects application demonstration and comparisons benchmark; and (b) to solicit submission of new research

Quantum sticking, scattering and transmission of 4He atoms from superfluid 4He surfaces

We develop a microscopic theory of the scattering, transmission, and sticking of 4He atoms impinging on a superfluid 4He slab at near normal incidence, and inelastic neutron scattering from the slab. The theory includes coupling between different modes and allows for inelastic processes. We find a number of essential aspects that must be observed in a physically meaningful and reliable theory of atom transmission and scattering; all are connected with multiparticle scattering, particularly the possibility of energy loss. These processes are (a) the coupling to low-lying (surface) excitations (ripplons/third sound) which is manifested in a finite imaginary part of the self energy, and (b) the reduction of the strength of the excitation in the maxon/roton region

The Double Quasar Q2138-431: Lensing by a Dark Galaxy?

We report the discovery of a new gravitational lens candidate Q2138-431AB, comprising two quasar images at a redshift of 1.641 separated by 4.5 arcsecs. The spectra of the two images are very similar, and the redshifts agree to better than 115 km.sec$^{-1}$. The two images have magnitudes $B_J = 19.8$ and $B_J = 21.0$, and in spite of a deep search and image subtraction procedure, no lensing galaxy has been found with $R < 23.8$. Modelling of the system configuration implies that the mass-to-light ratio of any lensing galaxy is likely to be around $1000 M_{\odot}/L_{\odot}$, with an absolute lower limit of $200 M_{\odot}/L_{\odot}$ for an Einstein-de Sitter universe. We conclude that the most likely explanation of the observations is gravitational lensing by a dark galaxy, although it is possible we are seeing a binary quasar.Comment: 17 pages (Latex), 8 postscript figures included, accepted by MNRA