Implicit Bayesian Inference Using Option Prices.

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly, via observed option prices. A range of models which allow for conditional leptokurtosis, skewness and time-varying volatility in returns, are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Fit, predictive and hedging densities associated with the different models are produced. Models are ranked according to several criteria, including their ability to fit observed option prices, predict future option prices and minimize hedging errors. In addition to model-specific results, averaged predictive and hedging densities are produced, the weights used in the averaging process being the posterior model probabilities. The method is applied to option price data on the S&P500 stock index. Whilst the results provide some support for the Black-Scholes model, no one model dominates according to all criteria considered.Bayesian Implicit Inference; Option Pricing Errors; Option Price Prediction; Hedging Errors; Nonnormal Returns Models; GARCH; Bayesian Model averaging.

Do we need a novel framework for classifying psychopathology?: A discussion paper

Stress and Psychopatholog

Hemodynamic-informed parcellation of fMRI data in a Joint Detection Estimation framework

International audienceIdentifying brain hemodynamics in event-related functional MRI (fMRI) data is a crucial issue to disentangle the vascular response from the neuronal activity in the BOLD signal. This question is usually addressed by estimating the so-called Hemodynamic Response Function (HRF). Voxelwise or region-/parcelwise inference schemes have been proposed to achieve this goal but so far all known contributions commit to pre-specified spatial supports for the hemodynamic territories by defining these supports either as individual voxels or a priori fixed brain parcels. In this paper, we introduce a Joint Parcellation-Detection-Estimation (JPDE) procedure that incorporates an adaptive parcel identification step based upon local hemodynamic properties. Efficient inference of both evoked activity, HRF shapes and supports is then achieved using variational approximations. Validation on synthetic and real fMRI data demonstrate the JPDE performance over standard detection estimation schemes and suggest it as a new brain exploration tool

Reconstructing the 3-D Trajectories of CMEs in the Inner Heliosphere

A method for the full three-dimensional (3-D) reconstruction of the trajectories of coronal mass ejections (CMEs) using Solar TErrestrial RElations Observatory (STEREO) data is presented. Four CMEs that were simultaneously observed by the inner and outer coronagraphs (COR1 and 2) of the Ahead and Behind STEREO satellites were analysed. These observations were used to derive CME trajectories in 3-D out to ~15Rsun. The reconstructions using COR1/2 data support a radial propagation model. Assuming pseudo-radial propagation at large distances from the Sun (15-240Rsun), the CME positions were extrapolated into the Heliospheric Imager (HI) field-of-view. We estimated the CME velocities in the different fields-of-view. It was found that CMEs slower than the solar wind were accelerated, while CMEs faster than the solar wind were decelerated, with both tending to the solar wind velocity.Comment: 17 pages, 10 figures, 1 appendi

Prediction Space Weather Using an Asymmetric Cone Model for Halo CMEs

Halo coronal mass ejections (HCMEs) are responsible of the most severe geomagnetic storms. A prediction of their geoeffectiveness and travel time to Earth's vicinity is crucial to forecast space weather. Unfortunately coronagraphic observations are subjected to projection effects and do not provide true characteristics of CMEs. Recently, Michalek (2006, {\it Solar Phys.}, {\bf237}, 101) developed an asymmetric cone model to obtain the space speed, width and source location of HCMEs. We applied this technique to obtain the parameters of all front-sided HCMEs observed by the SOHO/LASCO experiment during a period from the beginning of 2001 until the end of 2002 (solar cycle 23). These parameters were applied for the space weather forecast. Our study determined that the space speeds are strongly correlated with the travel times of HCMEs within Earth's vicinity and with the magnitudes related to geomagnetic disturbances

4pi Models of CMEs and ICMEs

Coronal mass ejections (CMEs), which dynamically connect the solar surface to the far reaches of interplanetary space, represent a major anifestation of solar activity. They are not only of principal interest but also play a pivotal role in the context of space weather predictions. The steady improvement of both numerical methods and computational resources during recent years has allowed for the creation of increasingly realistic models of interplanetary CMEs (ICMEs), which can now be compared to high-quality observational data from various space-bound missions. This review discusses existing models of CMEs, characterizing them by scientific aim and scope, CME initiation method, and physical effects included, thereby stressing the importance of fully 3-D ('4pi') spatial coverage.Comment: 14 pages plus references. Comments welcome. Accepted for publication in Solar Physics (SUN-360 topical issue

Radio Observations of the January 20, 2005 X-Class Event

We present a multi-frequency and multi-instrument study of the 20 January 2005 event. We focus mainly on the complex radio signatures and their association with the active phenomena taking place: flares, CMEs, particle acceleration and magnetic restructuring. As a variety of energetic particle accelerators and sources of radio bursts are present, in the flare-ejecta combination, we investigate their relative importance in the progress of this event. The dynamic spectra of {Artemis-IV-Wind/Waves-Hiras with 2000 MHz-20 kHz frequency coverage, were used to track the evolution of the event from the low corona to the interplanetary space; these were supplemented with SXR, HXR and gamma-ray recordings. The observations were compared with the expected radio signatures and energetic-particle populations envisaged by the {Standard Flare--CME model and the reconnection outflow termination shock model. A proper combination of these mechanisms seems to provide an adequate model for the interpretation of the observational data.Comment: Accepted for publication in Solar Physic

Mapping the Two-Component Atomic Fermi Gas to the Nuclear Shell-Model

The physics of a two-component cold fermi gas is now frequently addressed in laboratories. Usually this is done for large samples of tens to hundreds of thousands of particles. However, it is now possible to produce few-body systems (1-100 particles) in very tight traps where the shell structure of the external potential becomes important. A system of two-species fermionic cold atoms with an attractive zero-range interaction is analogous to a simple model of nucleus in which neutrons and protons interact only through a residual pairing interaction. In this article, we discuss how the problem of a two-component atomic fermi gas in a tight external trap can be mapped to the nuclear shell model so that readily available many-body techniques in nuclear physics, such as the Shell Model Monte Carlo (SMMC) method, can be directly applied to the study of these systems. We demonstrate an application of the SMMC method by estimating the pairing correlations in a small two-component Fermi system with moderate-to-strong short-range two-body interactions in a three-dimensional harmonic external trapping potential.Comment: 13 pages, 3 figures. Final versio

The Origin, Early Evolution and Predictability of Solar Eruptions

Coronal mass ejections (CMEs) were discovered in the early 1970s when space-borne coronagraphs revealed that eruptions of plasma are ejected from the Sun. Today, it is known that the Sun produces eruptive flares, filament eruptions, coronal mass ejections and failed eruptions; all thought to be due to a release of energy stored in the coronal magnetic field during its drastic reconfiguration. This review discusses the observations and physical mechanisms behind this eruptive activity, with a view to making an assessment of the current capability of forecasting these events for space weather risk and impact mitigation. Whilst a wealth of observations exist, and detailed models have been developed, there still exists a need to draw these approaches together. In particular more realistic models are encouraged in order to asses the full range of complexity of the solar atmosphere and the criteria for which an eruption is formed. From the observational side, a more detailed understanding of the role of photospheric flows and reconnection is needed in order to identify the evolutionary path that ultimately means a magnetic structure will erupt