An analysis between implied and realised volatility in the Greek Derivatives Market

In this article, we examine the relationship between implied and realised volatility in the Greek derivative market. We examine the differences between realised volatility and implied volatility of call and put options for at-the-money index options with a two-month expiration period. The findings provide evidence that implied volatility is not an efficient estimate of realised volatility. Implied volatility creates overpricing, for both call and put options, in the Greek market. This is an indication of inefficiency for the market. In addition, we find evidence that realised volatility ‘Granger causes’ implied volatility for call options, and implied volatility of call options ‘Granger causes’, the implied volatility of put option

The Old-Time Tradition: Rediscovery of Folk Music in the United States

poster abstractTraditional music in America is at a crossroads in the present day as post-industrial capitalism and globalization have become solidified as permanent, dominant ideologies in American society. In times of social, political, and economic crises, citizens of their native countries tend to look backward for answers and the music of the past is also a part of this reflection. The 1960’s in America demonstrate this phenomenon perfectly. The time period in American history where social, economic, racial, and political conflict were in full force, young students from northern universities began to travel southward in search of a simpler existence with a more humanistic spirit. Many young adventurers found refuge in this old-time music and their involvement helped bring them closer to humanity and diverted them away from urban monotony, industrial capitalism, and prejudice. I aim to bring awareness to this music to propose that a similar migration should occur in the present day. Young Americans must be aware of their folk traditions and should learn to embrace and preserve them. If the progression of America remains the same, it will not be long before most folk traditions have dissolved into modernity. The modern music industry has developed right alongside industrial capitalism in America, so the performance of old time music can be regarded as a radical response to commercial music in general. By educating and urging people to be involved in the rediscovery of this tradition, I aim to create a base for other popular movements to form in response to globalization and corporate capitalism. Old-time music represents a spirit in American history that should not be forgotten and should be applied to the twenty-first-century social context

Mapping isoprene emissions over North America using formaldehyde column observations from space

We present a methodology for deriving emissions of volatile organic compounds (VOC) using space-based column observations of formaldehyde (HCHO) and apply it to data from the Global Ozone Monitoring Experiment (GOME) satellite instrument over North America during July 1996. The HCHO column is related to local VOC emissions, with a spatial smearing that increases with the VOC lifetime. Isoprene is the dominant HCHO precursor over North America in summer, and its lifetime (≃1 hour) is sufficiently short that the smearing can be neglected. We use the Goddard Earth Observing System global 3-D model of tropospheric chemistry (GEOS-CHEM) to derive the relationship between isoprene emissions and HCHO columns over North America and use these relationships to convert the GOME HCHO columns to isoprene emissions. We also use the GEOS-CHEM model as an intermediary to validate the GOME HCHO column measurements by comparison with in situ observations. The GEOS-CHEM model including the Global Emissions Inventory Activity (GEIA) isoprene emission inventory provides a good simulation of both the GOME data (r2 = 0.69, n = 756, bias = +11%) and the in situ summertime HCHO measurements over North America (r2 = 0.47, n = 10, bias = −3%). The GOME observations show high values over regions of known high isoprene emissions and a day-to-day variability that is consistent with the temperature dependence of isoprene emission. Isoprene emissions inferred from the GOME data are 20% less than GEIA on average over North America and twice those from the U.S. EPA Biogenic Emissions Inventory System (BEIS2) inventory. The GOME isoprene inventory when implemented in the GEOS-CHEM model provides a better simulation of the HCHO in situ measurements than either GEIA or BEIS2 (r2 = 0.71, n = 10, bias = −10%)

Air mass factor formulation for spectroscopic measurements from satellites: Application to formaldehyde retrievals from the Global Ozone Monitoring Experiment

Abstract. We present a new formulation for the air mass factor (AMF) to convert slant column measurements of optically thin atmospheric species from space into total vertical columns. Because of atmospheric scattering, the AMF depends on the vertical distribution of the species. We formulate the AMF as the integral of the relative vertical distribution (shape factor) of the species over the depth of the atmosphere, weighted by altitudedependent coefficients (scattering weights) computed independently from a radiative transfer model. The scattering weights are readily tabulated, and one can then obtain the AMF for any observation scene by using shape factors from a three dimensional (3-D) atmospheric chemistry model for the period of observation. This approach subsequently allows objective evaluation of the 3-D model with the observed vertical columns, since the shape factor and the vertical column in the model represent two independent pieces of information. We demonstrate the AMF method by using slant column measurements of formaldehyde at 346 nm from the Global Ozone Monitoring Experiment satellite instrument over North America during July 1996. Shape factors are computed with the Global Earth Observing System CHEMistry (GEOS-CHEM) global 3-D model and are checked for consistency with the few available aircraft measurements. Scattering weights increase by an order of magnitude from the surface to the upper troposphere. The AMFs are typically 20-40 % less over continents than over the oceans and are approximately half the values calculated in the absence of scattering. Model-induced errors in the AMF are estimated to be • 10%. The GEOS-CHEM model captures 50 % and 60 % of the variances in the observed slant and vertical columns, respectively. Comparison of the simulated and observed vertical columns allows assessment of model bias. 1

Molecular transport junctions: Current from electronic excitations in the leads

Using a model comprising a 2-level bridge connecting free electron reservoirs we show that coupling of a molecular bridge to electron-hole excitations in the leads can markedly effect the source-drain current through a molecular junction.In some cases, e.g. molecules that exhibit strong charge transfer transitions, the contribution from electron-hole excitations can exceed the Landauer elastic current and dominate the observed conduction.Comment: 4 pages, 2 figures, submitted to PR

Dissipative Tunneling in 2 DEG: Effect of Magnetic Field, Impurity and Temperature

We have studied the transport process in the two dimensional electron gas (2DEG) in presence of a magnetic field and a dissipative environment at temperature T. By means of imaginary time series functional integral method we calculate the decay rates at finite temperature and in the presence of dissipation. We have studied decay rates for wide range of temperatures -- from the thermally activated region to very low temperature region where the system decays by quantum tunneling. We have shown that dissipation and impurity helps the tunneling. We have also shown that tunneling is strongly affected by the magnetic field. We have demonstrated analytical results for all the cases mentioned above.Comment: 8 pages, 2 figure

Tunable far infrared studies of molecular parameters in support of stratospheric measurements

Lab studies were made in support of far infrared spectroscopy of the stratosphere using the Tunable Far InfraRed (TuFIR) method of ultrahigh resolution spectroscopy and, more recently, spectroscopic and retrieval calculations performed in support of satellite-based atmospheric measurement programs: the Global Ozone Monitoring Experiment (GOME), and the SCanning Imaging Absorption spectroMeter for Atmospheric CHartographY (SCIAMACHY)

Universality in movie rating distributions

In this paper histograms of user ratings for movies (1,...,10) are analysed. The evolving stabilised shapes of histograms follow the rule that all are either double- or triple-peaked. Moreover, at most one peak can be on the central bins 2,...,9 and the distribution in these bins looks smooth `Gaussian-like' while changes at the extremes (1 and 10) often look abrupt. It is shown that this is well approximated under the assumption that histograms are confined and discretised probability density functions of L\'evy skew alpha-stable distributions. These distributions are the only stable distributions which could emerge due to a generalized central limit theorem from averaging of various independent random avriables as which one can see the initial opinions of users. Averaging is also an appropriate assumption about the social process which underlies the process of continuous opinion formation. Surprisingly, not the normal distribution achieves the best fit over histograms obseved on the web, but distributions with fat tails which decay as power-laws with exponent -(1+alpha) (alpha=4/3). The scale and skewness parameters of the Levy skew alpha-stable distributions seem to depend on the deviation from an average movie (with mean about 7.6). The histogram of such an average movie has no skewness and is the most narrow one. If a movie deviates from average the distribution gets broader and skew. The skewness pronounces the deviation. This is used to construct a one parameter fit which gives some evidence of universality in processes of continuous opinion dynamics about taste.Comment: 8 pages, 5 figures, accepted for publicatio

Effects of the physical state of tropospheric ammonium-sulfate-nitrate particles on global aerosol direct radiative forcing

International audienceThe effect of aqueous versus crystalline sulfate-nitrate-ammonium tropospheric particles on global aerosol direct radiative forcing is assessed. A global three-dimensional chemical transport model predicts sulfate, nitrate, and ammonium aerosol mass. An aerosol thermodynamics model is called twice, once for the upper side (US) and once for lower side (LS) of the hysteresis loop of particle phase. On the LS, the sulfate mass budget is 40% solid ammonium sulfate, 12% letovicite, 11% ammonium bisulfate, and 37% aqueous. The LS nitrate mass budget is 26% solid ammonium nitrate, 7% aqueous, and 67% gas-phase nitric acid release due to increased volatility upon crystallization. The LS ammonium budget is 45% solid ammonium sulfate, 10% letovicite, 6% ammonium bisulfate, 4% ammonium nitrate, 7% ammonia release due to increased volatility, and 28% aqueous. LS aerosol water mass partitions as 22% effloresced to the gas-phase and 78% remaining as aerosol mass. The predicted US/LS global fields of aerosol mass are employed in a Mie scattering model to generate global US/LS aerosol optical properties, including scattering efficiency, single scattering albedo, and asymmetry parameter. Global annual average LS optical depth and mass scattering efficiency are, respectively, 0.023 and 10.7 m2 (g SO42?)?1, which compare to US values of 0.030 and 13.9 m2 (g SO42?)?1. Radiative transport is computed, first for a base case having no aerosol and then for the two global fields corresponding to the US and LS of the hysteresis loop. Regional, global, seasonal, and annual averages of top-of-the-atmosphere aerosol radiative forcing on the LS and US (FL and FU, respectively, in W m2?) are calculated. Including both anthropogenic and natural emissions, we obtain global annual averages of FL = ?0.750, FU = ?0.930, and ?FU,L = 24% for full sky calculations without clouds and FL = ?0.485, FU = ?0.605, and ?FU,L = 25% when clouds are included. Regionally, ?FU,L = 48% over the USA, 55% over Europe, and 34% over East Asia. Seasonally, ?FU,L varies from 18% in DJF to 75% in SON over the USA. The global annual average contribution from anthropogenic aerosol is FL = ?0.314 and FU = ?0.404, which yield normalized direct radiative forcings (G) of GL = ?205 W (g SO42?)?1 and GU = ?264 W (g SO42?)?1