Estimating factor models for multivariate volatilities : an innovation expansion method

We introduce an innovation expansion method for estimation of factor models for conditional variance (volatility) of a multivariate time series. We estimate the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the "white noise space". Simulation and a real data example are given for illustration

Activity autocorrelation in financial markets. A comparative study between several models

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Poissonian behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.Comment: 15 pages, 4 figure

Asymptotics of 4d spin foam models

We study the asymptotic properties of four-simplex amplitudes for various four-dimensional spin foam models. We investigate the semi-classical limit of the Ooguri, Euclidean and Lorentzian EPRL models using coherent states for the boundary data. For some classes of geometrical boundary data, the asymptotic formulae are given, in all three cases, by simple functions of the Regge action for the four-simplex geometry.Comment: 10 pages, Proceedings for the 2nd Corfu summer school and workshop on quantum gravity and quantum geometry, talk given by Winston J. Fairbair

Revisiting the Simplicity Constraints and Coherent Intertwiners

In the context of loop quantum gravity and spinfoam models, the simplicity constraints are essential in that they allow to write general relativity as a constrained topological BF theory. In this work, we apply the recently developed U(N) framework for SU(2) intertwiners to the issue of imposing the simplicity constraints to spin network states. More particularly, we focus on solving them on individual intertwiners in the 4d Euclidean theory. We review the standard way of solving the simplicity constraints using coherent intertwiners and we explain how these fit within the U(N) framework. Then we show how these constraints can be written as a closed u(N) algebra and we propose a set of U(N) coherent states that solves all the simplicity constraints weakly for an arbitrary Immirzi parameter.Comment: 28 page

Holography in the EPRL Model

In this research announcement, we propose a new interpretation of the EPR quantization of the BC model using a functor we call the time functor, which is the first example of a CLa-ren functor. Under the hypothesis that the universe is in the Kodama state, we construct a holographic version of the model. Generalisations to other CLa-ren functors and connections to model category theory are considered.Comment: research announcement. Latex fil

Colored Group Field Theory

Group field theories are higher dimensional generalizations of matrix models. Their Feynman graphs are fat and in addition to vertices, edges and faces, they also contain higher dimensional cells, called bubbles. In this paper, we propose a new, fermionic Group Field Theory, posessing a color symmetry, and take the first steps in a systematic study of the topological properties of its graphs. Unlike its bosonic counterpart, the bubbles of the Feynman graphs of this theory are well defined and readily identified. We prove that this graphs are combinatorial cellular complexes. We define and study the cellular homology of this graphs. Furthermore we define a homotopy transformation appropriate to this graphs. Finally, the amplitude of the Feynman graphs is shown to be related to the fundamental group of the cellular complex

Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

The kernel and the injectivity of the EPRL map

In this paper we prove injectivity of the EPRL map for |\gamma|<1, filling the gap of our previous paper.Comment: 17 pages, 3 figure

A New Spin Foam Model for 4d Gravity

Starting from Plebanski formulation of gravity as a constrained BF theory we propose a new spin foam model for 4d Riemannian quantum gravity that generalises the well-known Barrett-Crane model and resolves the inherent to it ultra-locality problem. The BF formulation of 4d gravity possesses two sectors: gravitational and topological ones. The model presented here is shown to give a quantization of the gravitational sector, and is dual to the recently proposed spin foam model of Engle et al. which, we show, corresponds to the topological sector. Our methods allow us to introduce the Immirzi parameter into the framework of spin foam quantisation. We generalize some of our considerations to the Lorentzian setting and obtain a new spin foam model in that context as well.Comment: 40 pages; (v2) published versio

A Multivariate Analysis of United States and Global Real Estate Investment Trusts

Using daily data for the period February 2006 to July 2013 we examine the return and volatility linkages between the two main United States REIT sub-sectors and global linkages between the Americas, Europe and the Asia Pacific regions using the BEKK-GARCH and the DCC-GARCH models. We find that there is no evidence of any volatility spillovers between the US sub-sectors. By contrast, we find evidence of volatility spillovers between the Asia Pacific and the Americas, the Asia Pacific and Europe but no spillovers between the United States and Europe. Our results suggest that the REIT market is becoming increasingly globalized and that investors need to consider time varying volatility and correlations across different regions of the world when forming their optimal portfolio-allocations