Non-Parametric Extraction of Implied Asset Price Distributions

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options' expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.Comment: Paper based on Application of Physics in Financial Analysis,APFA5, Conference Presentation, Torino, Italy. 11.5 Page

From Starburst to Quiescence: Testing AGN feedback in Rapidly Quenching Post-Starburst Galaxies

Post-starbursts are galaxies in transition from the blue cloud to the red sequence. Although they are rare today, integrated over time they may be an important pathway to the red sequence. This work uses SDSS, GALEX, and WISE observations to identify the evolutionary sequence from starbursts to fully quenched post-starbursts in the narrow mass range $\log M(M_\odot) = 10.3-10.7$, and identifies "transiting" post-starbursts which are intermediate between these two populations. In this mass range, $\sim 0.3\%$ of galaxies are starbursts, $\sim 0.1\%$ are quenched post-starbursts, and $\sim 0.5\%$ are the transiting types in between. The transiting post-starbursts have stellar properties that are predicted for fast-quenching starbursts and morphological characteristics that are already typical of early-type galaxies. The AGN fraction, as estimated from optical line ratios, of these post-starbursts is about 3 times higher ($\gtrsim 36 \pm 8 \%$) than that of normal star-forming galaxies of the same mass, but there is a significant delay between the starburst phase and the peak of nuclear optical AGN activity (median age difference of $\gtrsim 200 \pm 100$ Myr), in agreement with previous studies. The time delay is inferred by comparing the broad-band near NUV-to-optical photometry with stellar population synthesis models. We also find that starbursts and post-starbursts are significantly more dust-obscured than normal star-forming galaxies in the same mass range. About $20\%$ of the starbursts and $15\%$ of the transiting post-starbursts can be classified as the "Dust-Obscured Galaxies" (DOGs), while only $0.8\%$ of normal galaxies are DOGs.The time delay between the starburst phase and AGN activity suggests that AGN do not play a primary role in the original quenching of starbursts but may be responsible for quenching later low-level star formation during the post-starburst phase.Comment: 30 pages, 18 figures,accepted to Ap

Clumpy Galaxies in CANDELS. I. The Definition of UV Clumps and the Fraction of Clumpy Galaxies at 0.5<z<3

Although giant clumps of stars are crucial to galaxy formation and evolution, the most basic demographics of clumps are still uncertain, mainly because the definition of clumps has not been thoroughly discussed. In this paper, we study the basic demographics of clumps in star-forming galaxies (SFGs) at 0.5<z<3, using our proposed physical definition that UV-bright clumps are discrete star-forming regions that individually contribute more than 8% of the rest-frame UV light of their galaxies. Clumps defined this way are significantly brighter than the HII regions of nearby large spiral galaxies, either individually or blended, when physical spatial resolution and cosmological dimming are considered. Under this definition, we measure the fraction of SFGs that contain at least one off-center clump (Fclumpy) and the contributions of clumps to the rest-frame UV light and star formation rate of SFGs in the CANDELS/GOODS-S and UDS fields, where our mass-complete sample consists of 3239 galaxies with axial ratio q>0.5. The redshift evolution of Fclumpy changes with the stellar mass (M*) of the galaxies. Low-mass (log(M*/Msun)<9.8) galaxies keep an almost constant Fclumpy of about 60% from z~3.0 to z~0.5. Intermediate-mass and massive galaxies drop their Fclumpy from 55% at z~3.0 to 40% and 15%, respectively, at z~0.5. We find that (1) the trend of disk stabilization predicted by violent disk instability matches the Fclumpy trend of massive galaxies; (2) minor mergers are a viable explanation of the Fclumpy trend of intermediate-mass galaxies at z<1.5, given a realistic observability timescale; and (3) major mergers are unlikely responsible for the Fclumpy trend in all masses at z<1.5. The clump contribution to the rest-frame UV light of SFGs shows a broad peak around galaxies with log(M*/Msun)~10.5 at all redshifts, possibly linked to the molecular gas fraction of the galaxies. (Abridged)Comment: 22 pages, 15 figures. Appeared in ApJ (2015, 800, 39). A few typos correcte

Galaxy-scale Star Formation on the Red Sequence: the Continued Growth of S0s and the Quiescence of Ellipticals

This paper examines star formation (SF) in relatively massive, primarily early-type galaxies (ETGs) at z~0.1. A sample is drawn from bulge-dominated GALEX/SDSS galaxies on the optical red sequence with strong UV excess and yet quiescent SDSS spectra. High-resolution far-UV imaging of 27 such ETGs using HST ACS/SBC reveals structured UV morphology in 93% of the sample, consistent with low-level ongoing SF (~0.5 Ms/yr). In 3/4 of the sample the SF is extended on galaxy scales (25-75 kpc), while the rest contains smaller (5-15 kpc) SF patches in the vicinity of an ETG - presumably gas-rich satellites being disrupted. Optical imaging reveals that all ETGs with galaxy-scale SF in our sample have old stellar disks (mostly S0 type). None is classified as a true elliptical. In our sample, galaxy-scale SF takes the form of UV rings of varying sizes and morphologies. For the majority of such objects we conclude that the gas needed to fuel current SF has been accreted from the IGM, probably in a prolonged, quasi-static manner, leading in some cases to additional disk buildup. The remaining ETGs with galaxy-scale SF have UV and optical morphologies consistent with minor merger-driven SF or with the final stages of SF in fading spirals. Our analysis excludes that all recent SF on the red sequence resulted from gas-rich mergers. We find further evidence that galaxy-scale SF is almost exclusively an S0 phenomenon (~20% S0s have SF) by examining the overall optically red SDSS ETGs. Conclusion is that significant number of field S0s maintain or resume low-level SF because the preventive feedback is not in place or is intermittent. True ellipticals, on the other hand, stay entirely quiescent even in the field.Comment: Accepted for publication in ApJ. Contains color figures, but compatible with non-color printer

Galaxy Zoo: Are Bars Responsible for the Feeding of Active Galactic Nuclei at 0.2 < z < 1.0?

We present a new study investigating whether active galactic nuclei (AGN) beyond the local universe are preferentially fed via large-scale bars. Our investigation combines data from Chandra and Galaxy Zoo: Hubble (GZH) in the AEGIS, COSMOS, and GOODS-S surveys to create samples of face-on, disc galaxies at 0.2 < z < 1.0. We use a novel method to robustly compare a sample of 120 AGN host galaxies, defined to have 10^42 erg/s < L_X < 10^44 erg/s, with inactive control galaxies matched in stellar mass, rest-frame colour, size, Sersic index, and redshift. Using the GZH bar classifications of each sample, we demonstrate that AGN hosts show no statistically significant enhancement in bar fraction or average bar likelihood compared to closely-matched inactive galaxies. In detail, we find that the AGN bar fraction cannot be enhanced above the control bar fraction by more than a factor of two, at 99.7% confidence. We similarly find no significant difference in the AGN fraction among barred and non-barred galaxies. Thus we find no compelling evidence that large-scale bars directly fuel AGN at 0.2<z<1.0. This result, coupled with previous results at z=0, implies that moderate-luminosity AGN have not been preferentially fed by large-scale bars since z=1. Furthermore, given the low bar fractions at z>1, our findings suggest that large-scale bars have likely never directly been a dominant fueling mechanism for supermassive black hole growth.Comment: 13 pages, 5 figures, 2 tables, accepted by MNRA

The evolution of galaxy shapes in CANDELS: from prolate to oblate

We model the projected b/a-log a distributions of CANDELS main sequence star-forming galaxies, where a (b) is the semi-major (semi-minor) axis of the galaxy images. We find that smaller-a galaxies are rounder at all stellar masses M and redshifts, so we include a when analyzing b/a distributions. Approximating intrinsic shapes of the galaxies as triaxial ellipsoids and assuming a multivariate normal distribution of galaxy size and two shape parameters, we construct their intrinsic shape and size distributions to obtain the fractions of prolate, oblate and spheroidal galaxies in each redshift and mass bin. We find that galaxies tend to be prolate at low m and high redshifts, and oblate at high M and low redshifts, qualitatively consistent with van der Wel et al. (2014), implying that galaxies tend to evolve from prolate to oblate. These results are consistent with the predictions from simulations (Ceverino et al. 2015, Tomassetti et al. 2016) that the transition from prolate to oblate is caused by a compaction event at a characteristic mass range, making the galaxy center baryon dominated. We give probabilities of a galaxy's being prolate, oblate or spheroidal as a function of its M, redshift, projected b/a and a, which can facilitate target selections of galaxies with specific shapes at hight redshifts. We also give predicted optical depths of galaxies, which are qualitatively consistent with the expected correlation that AV should be higher for edge-on disk galaxies in each log a slice at low redshift and high mass bins.Comment: 24 pages, 25 figures, submitted to MNRA