Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic models

The recently introduced class of simultaneous graphical dynamic linear models (SGDLMs) defines an ability to scale on-line Bayesian analysis and forecasting to higher-dimensional time series. This paper advances the methodology of SGDLMs, developing and embedding a novel, adaptive method of simultaneous predictor selection in forward filtering for on-line learning and forecasting. The advances include developments in Bayesian computation for scalability, and a case study in exploring the resulting potential for improved short-term forecasting of large-scale volatility matrices. A case study concerns financial forecasting and portfolio optimization with a 400-dimensional series of daily stock prices. Analysis shows that the SGDLM forecasts volatilities and co-volatilities well, making it ideally suited to contributing to quantitative investment strategies to improve portfolio returns. We also identify performance metrics linked to the sequential Bayesian filtering analysis that turn out to define a leading indicator of increased financial market stresses, comparable to but leading the standard St. Louis Fed Financial Stress Index (STLFSI) measure. Parallel computation using GPU implementations substantially advance the ability to fit and use these models.Comment: 28 pages, 9 figures, 7 table

Does Housing Wealth Make Us Less Equal? The Role of Durable Goods in the Distribution of Wealth

We study the role an illiquid durable consumption good plays in determining the level of precautionary savings and the distribution of wealth in a standard Aiyagari model (i.e. a model with heterogeneous agents, idiosyncratic uncertainty, and borrowing constraints). Transactions costs induce an inaction region over which the durable stock and the associated user cost are not adjusted in response to changes in income, increasing, on average, the volatility of non-durable consumption. The volatility of total consumption is then a function of the share of the durable good in the utility function and the width of the inaction region. We are particularly interested in parameterizations which increase the precautionary motive for saving through an increase in "committed expenditure risk". We find, for an empirically relevant share of durable consumption and for all transaction costs below an upper threshold, that the level of precautionary savings is increasing in the transaction costs. Transaction costs have only a modest impact on the degree of wealth dispersion, as measured by the Gini index, as the associated increase in savings is close to linear in wealth. While we are unable to match the dispersion of wealth in the data, we increase the dispersion over a single asset model (Gini index of .71 for financial assets and .37 for total wealth) and we are able to match the relative dispersion of financial to durable assets, i.e. we find financial assets much more unequal than durable assets. We also match the ratio of housing wealth to total wealth for the median agent. We calibrate the model to data from the PSID, the CES, and the SCFPrecautionary Savings, Wealth Distribution, Durable Goods

SU(m|n) supersymmetric Calogero-Sutherland model confined in harmonic potential

In this work, we study a continuous quantum system of a mixture of bosons and fermions with the supersymmetry SU(m|n). The particles are confined in a harmonic well and interact with each other through the 1/r2 interaction. The ground state wavefunction is constructed explicitly for the most general SU(m|n) case, with the ground state energy given explicitly. The full energy spectrum of excitations in the SU(m|n) model is also equal spaced. In the limiting case where there are no bosons in the system, our results reduce to those obtained previously.Comment: 9 pages, preprint of ETH-Lausanne (August 1996