The Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects

In this paper, we investigate the value of incorporating implied volatility from related option markets in dynamic hedging. We comprehensively model the volatility of all four S&P 500 cash, futures, index option and futures option markets simultaneously. Synchronous half-hourly observations are sampled from transaction data. Special classes of extended simultaneous volatility systems (ESVL) are estimated and used to generate out-of-sample hedge ratios. In a hypothetical dynamic hedging scheme, ESVLbased hedge ratios, which incorporate incremental information in the implied volatilities of the two S&P 500 option markets, generate profits from interim rebalancing of the futures hedging position that are incremental over competing hedge ratios. In addition, ESVL-based hedge ratios are the only hedge ratios that manage to generate sufficient profit during the hedging period to cover losses incurred by the physical portfolio .volatility transmission, dynamic hedging, optimal hedge ratio, S&P 500

Bone cross-sectional geometry in male runners, gymnasts, swimmers and non-athletic controls: a hip-structural analysis study.

Loading of the skeleton is important for the development of a functionally and mechanically appropriate bone structure, and can be achieved through impact exercise. Proximal femur cross-sectional geometry was assessed in the male athletes (n = 55) representing gymnastics, endurance running and swimming, and non-athletic controls (n = 22). Dual energy X-ray absorptiometry (iDXA, GE Healthcare, UK) measurements of the total body (for body composition) and the left proximal femur were obtained. Advanced hip structural analysis (AHA) was utilised to determine the areal bone mineral density (aBMD), hip axis length (HAL), cross-sectional area (CSA), cross-sectional moment of inertia (CSMI) and the femoral strength index (FSI). Gymnasts and runners had greater age, height and weight adjusted aBMD than in swimmers and controls (p < 0.05). Gymnasts and runners had greater resistance to axial loads (CSA) and the runners had increased resistance against bending forces (CSMI) compared to swimmers and controls (p < 0.01). Controls had a lower FSI compared to gymnasts and runners (1.4 vs. 1.8 and 2.1, respectively, p < 0.005). Lean mass correlated with aBMD, CSA and FSI (r = 0.365-0.457, p < 0.01), particularly in controls (r = 0.657-0.759, p < 0.005). Skeletal loading through the gymnastics and running appears to confer a superior bone geometrical advantage in the young adult men. The importance of lean body mass appears to be of particular significance for non-athletes. Further characterisation of the bone structural advantages associated with different sports would be of value to inform the strategies directed at maximising bone strength and thus, preventing fracture

Exploring College Choice Experiences of Rural Students Through Creative Nonfiction

Rural students pursue post-secondary education at a lower rate than their urban and suburban counterparts. While the college choice process is complex for all students, it is important to further examine this process for rural students because they are an underserved population. This study utilized Perna’s (2006) college choice model to examine the unique experiences of rural students in Kansas through narrative inquiry. This research sought to answer how rural students described their college choice process as well as the lived experiences that they believed affected their choice in college majors. This research found that the college choice process for rural students is incredibly complex and interrelated. This report utilizes creative nonfiction to showcase that while there are many important factors in the rural student college choice process, previous experiences as well as high school supports/people were two of the most influential factors for the participants

Charges of Exceptionally Twisted Branes

The charges of the exceptionally twisted (D4 with triality and E6 with charge conjugation) D-branes of WZW models are determined from the microscopic/CFT point of view. The branes are labeled by twisted representations of the affine algebra, and their charge is determined to be the ground state multiplicity of the twisted representation. It is explicitly shown using Lie theory that the charge groups of these twisted branes are the same as those of the untwisted ones, confirming the macroscopic K-theoretic calculation. A key ingredient in our proof is that, surprisingly, the G2 and F4 Weyl dimensions see the simple currents of A2 and D4, respectively.Comment: 19 pages, 2 figures, LaTex2e, complete proofs of all statements, updated bibliograph

On parity functions in conformal field theories

We examine general aspects of parity functions arising in rational conformal field theories, as a result of Galois theoretic properties of modular transformations. We focus more specifically on parity functions associated with affine Lie algebras, for which we give two efficient formulas. We investigate the consequences of these for the modular invariance problem.Comment: 18 pages, no figure, LaTeX2

On the Classification of Diagonal Coset Modular Invariants

We relate in a novel way the modular matrices of GKO diagonal cosets without fixed points to those of WZNW tensor products. Using this we classify all modular invariant partition functions of $su(3)_k\oplus su(3)_1/su(3)_{k+1}$ for all positive integer level $k$, and $su(2)_k\oplus su(2)_\ell/su(2)_{k+\ell}$ for all $k$ and infinitely many $\ell$ (in fact, for each $k$ a positive density of $\ell$). Of all these classifications, only that for $su(2)_k\oplus su(2)_1/su(2)_{k+1}$ had been known. Our lists include many new invariants.Comment: 24 pp (plain tex