Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets

Frontier markets are increasingly sought by investors in search of higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio allocation decisions. This paper employs a bivariate BEKK-GARCH(1,1) model to simultaneously estimate the mean and conditional variance between equity stock markets (twenty-one national frontier stock indices and two broad indices – the MSCI Frontier Markets and the MSCI World) and oil prices. We examine weekly returns from February 8, 2008 to February 1, 2013 and find significant transmission of shocks and volatility between oil prices and some of the examined markets. Moreover, this spillover effect is sometimes bidirectional

Machine Learning architectures for price formation models with common noise

We propose a machine learning method to solve a mean-field game price formation model with common noise. This involves determining the price of a commodity traded among rational agents subject to a market clearing condition imposed by random supply, which presents additional challenges compared to the deterministic counterpart. Our approach uses a dual recurrent neural network architecture encoding noise dependence and a particle approximation of the mean-field model with a single loss function optimized by adversarial training. We provide a posteriori estimates for convergence and illustrate our method through numerical experiments.Comment: 6 pages, 3 figures, conference pape

Machine Learning architectures for price formation models

Here, we study machine learning (ML) architectures to solve a mean-field games (MFGs) system arising in price formation models. We formulate a training process that relies on a min-max characterization of the optimal control and price variables. Our main theoretical contribution is the development of a posteriori estimates as a tool to evaluate the convergence of the training process. We illustrate our results with numerical experiments for a linear-quadratic model

Observation of Replica Symmetry Breaking in the 1D Anderson Localization Regime in an Erbium-Doped Random Fiber Laser

The analogue of the paramagnetic to spin-glass phase transition in disordered magnetic systems, leading to the phenomenon of replica symmetry breaking, has been recently demonstrated in a two-dimensional random laser consisting of an organic-based amorphous solid-state thin film. We report here the first demonstration of replica symmetry breaking in a one-dimensional photonic system consisting of an erbium-doped random fiber laser operating in the continuous-wave regime based on a unique random fiber grating system, which plays the role of the random scatterers and operates in the Anderson localization regime. The clear transition from a photonic paramagnetic to a photonic spin glass phase, characterized by the probability distribution function of the Parisi overlap, was verified and characterized. In this unique system, the radiation field interacts only with the gain medium, and the fiber grating, which provides the disordered feedback mechanism, does not interfere with the pump

On Two-Current Realization of KP Hierarchy

A simple description of the KP hierarchy and its multi-hamiltonian structure is given in terms of two Bose currents. A deformation scheme connecting various W-infinity algebras and relation between two fundamental nonlinear structures are discussed. Properties of Fa\'a di Bruno polynomials are extensively explored in this construction. Applications of our method are given for the Conformal Affine Toda model, WZNW models and discrete KP approach to Toda lattice chain.Comment: 28 pages, IFT-P/020/92-SAO-PAULO, Late

Vers une démarche d'ingénierie "hautement productive" des domaines projet-produit-process en contexte PME-PMI

L'amélioration de la qualité, la réduction des coûts et des délais en conception est une problématique plus que jamais d'actualité. Les travaux présentés ont pour objectif de rationnaliser la conception par la mise place et l'étude des outils de lean engineering dans un contexte industriel. Ces outils sont basés sur une méthodologie de conception robuste du couple produit-process, ainsi que sur l'ordonnancement de celle-ci. Une telle approche permet de réduire les tâches sans valeur ajoutée et de justifier toute spécification par les savoirs et savoir-faire acquis par le passé

The actin-myosin regulatory MRCK kinases: regulation, biological functions and associations with human cancer

The contractile actin-myosin cytoskeleton provides much of the force required for numerous cellular activities such as motility, adhesion, cytokinesis and changes in morphology. Key elements that respond to various signal pathways are the myosin II regulatory light chains (MLC), which participate in actin-myosin contraction by modulating the ATPase activity and consequent contractile force generation mediated by myosin heavy chain heads. Considerable effort has focussed on the role of MLC kinases, and yet the contributions of the myotonic dystrophy-related Cdc42-binding kinases (MRCK) proteins in MLC phosphorylation and cytoskeleton regulation have not been well characterized. In contrast to the closely related ROCK1 and ROCK2 kinases that are regulated by the RhoA and RhoC GTPases, there is relatively little information about the CDC42-regulated MRCKα, MRCKβ and MRCKγ members of the AGC (PKA, PKG and PKC) kinase family. As well as differences in upstream activation pathways, MRCK and ROCK kinases apparently differ in the way that they spatially regulate MLC phosphorylation, which ultimately affects their influence on the organization and dynamics of the actin-myosin cytoskeleton. In this review, we will summarize the MRCK protein structures, expression patterns, small molecule inhibitors, biological functions and associations with human diseases such as cancer

Recent developments in team resilience research in elite sport

In this paper we review recent developments in team resilience research in elite sport. Although resilience has become a popular and well-researched topic from an individual (psychological) perspective, less attention has been paid to whether this construct is conceptually and operationally robust at a group level. In this review, we provide an overview of definitional aspects of team resilience followed by an outline of research in the general psychology literature, and a discussion of the findings of the first two studies of team resilience in elite sport. Recent developments in this area of sport psychology research suggest that an understanding of how teams mobilize their collective psychosocial resources to withstand stressors is essential for optimal performance