Semi-parametric forecasts of the implied volatility surface using regression trees

We present a new semi-parametric model for the prediction of implied volatility surfaces that can be estimated using machine learning algorithms. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and estimated implied volatilities. To overcome the poor predictive power of existing models, we include a grid in the region of interest, and implement a cross-validation strategy to find an optimal stopping value for the boosting procedure. Back testing the out-of-sample performance on a large data set of implied volatilities from S&P 500 options, we provide empirical evidence of the strong predictive power of our mode

Look ma(rket), No Hands! Optimism Bias and Illusion of Control in Finance Professionals

The optimism bias is the tendency to judge one’s own risk as less than the risk of others. In the present study we found that also finance professionals (N = 60) displayed an optimism bias when forecasting the return of an investment made by themselves or by a colleague of the same expertise. Using a multidimensional approach to the assessment of risk perception, we found that participants’ forecasts were biased not because they judged negative consequences as less likely for themselves, but because they were overconfident in their ability to avoid and control them

Inclusive semileptonic Λb\Lambda_b decays in the Standard Model and beyond

Inclusive semileptonic decays of beauty baryons are studied using the heavy quark expansion to ${\cal O}(1/m_b^3)$, at leading order in $\alpha_s$. The case of a polarized decaying baryon is examined, with reference to $\Lambda_b$. An extension of the Standard Model effective Hamiltonian inducing $b \to U \ell {\bar \nu}_ \ell$ transitions ($U=u,\,c$ and $\ell=e,\,\mu,\,\tau$) is considered, which comprises the full set of D=6 semileptonic operators with left-handed neutrinos. The effects of the new operators in several observables are described.Comment: 50 pages, 12 figures. Corrected a typo in eq. (B.46

Recycling of Pre-Washed Municipal Solid Waste Incinerator Fly Ash in the Manufacturing of Low Temperature Setting Geopolymer Materials

In this work, three samples of municipal solid waste incinerators fly ash (MSWI-FA) have been stabilized in systems containing coal fly ash to create geopolymers through a polycondensation reaction. Monolithic products have been obtained with both MSWI fly ash as received and after the partial removal of chloride and sulfate by water washing. The polycondensation products have been characterized qualitatively by means of Fourier transform infrared spectroscopy, X-ray diffraction and scanning electron microscopy and quantitatively, through the determination of the volume of reacted water and silicate. Furthermore, the heavy metals and chloride releases together with the physico-mechanical properties have been evaluated on the hardened products. In conclusion, considering the technological and environmental performances of the obtained geopolymers, they could be suitable for many non-structural applications, such as backfilling of abandoned quarries, decorative materials or brick fireplaces, hearths, patios, etc

Thermal noise and optomechanical features in the emission of a membrane-coupled compound cavity laser diode

We demonstrate the use of a compound optical cavity as linear displacement detector, by measuring the thermal motion of a silicon nitride suspended membrane acting as the external mirror of a near-infrared Littrow laser diode. Fluctuations in the laser optical power induced by the membrane vibrations are collected by a photodiode integrated within the laser, and then measured with a spectrum analyzer. The dynamics of the membrane driven by a piezoelectric actuator is investigated as a function of air pressure and actuator displacement in a homodyne configuration. The high Q-factor ($\sim 3.4\cdot 10^4$ at $8.3 \cdot 10^{-3}$ mbar) of the fundamental mechanical mode at $\sim 73$ kHz guarantees a detection sensitivity high enough for direct measurement of thermal motion at room temperature ($\sim 87$ pm RMS). The compound cavity system here introduced can be employed as a table-top, cost-effective linear displacement detector for cavity optomechanics. Furthermore, thanks to the strong optical nonlinearities of the laser compound cavity, these systems open new perspectives in the study of non-Markovian quantum properties at the mesoscale

Stretching graphene using polymeric micro-muscles

The control of strain in two-dimensional materials opens exciting perspectives for the engineering of their electronic properties. While this expectation has been validated by artificial-lattice studies, it remains elusive in the case of atomic lattices. Remarkable results were obtained on nanobubbles and nano-wrinkles, or using scanning probes; microscale strain devices were implemented exploiting deformable substrates or external loads. These devices lack, however, the flexibility required to fully control and investigate arbitrary strain profiles. Here, we demonstrate a novel approach making it possible to induce strain in graphene using polymeric micrometric artificial muscles (MAMs) that contract in a controllable and reversible way under an electronic stimulus. Our method exploits the mechanical response of poly-methyl-methacrylate (PMMA) to electron-beam irradiation. Inhomogeneous anisotropic strain and out-of-plane deformation are demonstrated and studied by Raman, scanning-electron and atomic-force microscopy. These can all be easily combined with the present device architecture. The flexibility of the present method opens new opportunities for the investigation of strain and nanomechanics in two-dimensional materials

Dalitz decays DsJ(∗)→Ds(∗)ℓ+ℓ−D_{sJ}^{(*)} \to D_s^{(*)} \ell^+ \ell^-

The Dalitz decays of the positive parity $D_{sJ}^{(*)}$ charmed mesons, $D_{sJ}^{(*)} \to D_s^{(*)} \ell^+ \ell^-$ with $J=0,1,2$ and $\ell=e, \mu$, are important processes to investigate the nature of the $D_{sJ}^{(*)}$ states. We analyze the full set of decays, considering the four lightest $D_{sJ}^{(*)}$ mesons as belonging to the heavy quark spin doublets $\displaystyle s_\ell^P=\frac{1}{2}^+$ and $\displaystyle \frac{3}{2}^+$, with $s_\ell^P$ the spin-parity of the light degrees of freedom in mesons. The description implies relations among the observables in various modes. We study the decay distributions in the dilepton invariant mass squared and the distributions in the angle between the charged lepton momentum and the momentum of the produced meson, which are expressed in terms of universal form factors and of effective strong couplings. Such measurements are feasible at the present facilities.Comment: LaTeX, 23 pages, 6 figures. Version to appear on PR

Experimental Evaluation of a Full-Scale HVAC System Working with Nanofluid

Nowadays, energy saving is considered a key issue worldwide, as it brings a variety of benefits: reducing greenhouse gas emissions and the demand for energy imports and lowering costs on a household and economy-wide level. Researchers and building designers are looking to optimize building efficiency by means of new energy technologies. Changes can also be made in existing buildings to reduce the energy consumption of air conditioning systems, even during operational conditions without dramatically modifying the system layout and have as low an impact as possible on the cost of the modification. These may include the usage of new heat transfer fluids based on nanofluids. In this work, an extended experimental campaign (from February 2020 to March 2021) has been carried out on the HVAC system of an educational building in the Campus of University of Salento, Lecce, Italy. The scope of the investigation was comparing the COP for the two HVAC systems (one with nanofluid and the other one without) operating concurrently during winter and summer: simultaneous measurements on the two HVAC systems show that the coefficient of performance (COP) with nanofluid increased on average by 9.8% in winter and 8.9% in summer, with average daily peaks of about 15%. Furthermore, the comparison between the performance of the same HVAC system, working in different comparable periods with and without nanofluids, shows a mean increase in COP equal to about 13%

Object-based audio reproduction and the audio scene description format

Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG geförderten) Allianz- bzw. Nationallizenz frei zugänglich.This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.The introduction of new techniques for audio reproduction such as HRTF-based technology, wave field synthesis and higher-order Ambisonics is accompanied by a paradigm shift from channel-based to object-based transmission and storage of spatial audio. Not only is the separate coding of source signal and source location more efficient considering the number of channels used for reproduction by large loudspeaker arrays, it also opens up new options for a user-controlled interactive sound field design. This article describes the need for a common exchange format for object-based audio scenes, reviews some existing formats with potential to meet some of the requirements and finally introduces a new format called Audio Scene Description Format (ASDF) and presents the SoundScape Renderer, an audio reproduction software which implements a draft version of the ASDF

Variation in the access to deep soil water pools explains tree-to-tree differences in drought-triggered dieback of Mediterranean oaks

Individual differences in the access to deep soil water pools may explain the differential damage among coexisting, conspecific trees as a consequence of drought-induced dieback. We addressed this issue by comparing the responses to a severe drought of three Mediterranean oak species with different drought tolerance, Quercus pubescens L. and Quercus frainetto Ten., mainly thriving at xeric and mesic sites, respectively, and Quercus cerris L., which dominates at intermediate sites. For each species, we compared coexisting declining (D) and non-declining (ND) trees. The stable isotope composition (δ2H, δ18O) of xylem and soil water was used to infer a differential use of soil water sources. We also measured tree size and radial growth to quantify the long-term divergence of wood production between D and ND trees and non-structural carbohydrates (NSCs) in sapwood to evaluate if D trees presented lower NSC values. The ND trees had access to deeper soil water than D trees except in Q. frainetto, as indicated by significantly more depleted xylem water values. However, a strong δ2H offset between soil and xylem water isotopes observed in peak summer could suggest that both tree types were not physiologically active under extreme drought conditions. Alternative processes causing deuterium fractionation, however, could not be ruled out. Tree height and recent (last 15-25 years) growth rates in all species studied were lower in D than in ND trees by 22 and 44%, respectively. Lastly, there was not a consistent pattern of NSC sapwood concentration; in Q. pubescens, it was higher in ND trees while in Q. frainetto, the D trees were the ones exhibiting the higher NSC concentration. We conclude that the vulnerability to drought among conspecific Mediterranean oaks depends on the differential access to deep soil water pools, which may be related to differences in rooting depth, tree size and growth rate.This research was financially supported by the project OT4CLIMA (Italian Ministry of Education, University and Research (MIUR), Project N. ARS01_00405) ‘Advanced EO Technologies for studying climate change impacts on the environment’ and by the project ‘Alarm of forest mortality in Southern Italy’ (Gorgoglione Administration, Basilicata Region, Italy). M.C. was supported by the PhD program from the University of Basilicata (Italy). J.J.C. acknowledges funding by the project CGL2015-69186-C2-1-R project (Spanish Ministry of Economy). We acknowledge the E-OBS dataset from the EU-FP6 project UERRA (http://www.uerra.eu) and the data providers in the ECA&D project (https://www.ecad.eu)