Statistical mechanics of the international trade network

Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose directed connections (bilateral trade volumes) are only characterized by the product of the trading countries' GDPs. It means that time evolution of this network may be considered as a continuous sequence of equilibrium states, i.e. quasi-static process. This, in turn, allows one to apply the linear response theory to make (and also verify) simple predictions about the network. In particular, we show that bilateral trade fulfills fluctuation-response theorem, which states that the average relative change in import (export) between two countries is a sum of relative changes in their GDPs. Yearly changes in trade volumes prove that the theorem is valid.Comment: 6 pages, 2 figure

What makes for prize-winning television?

We investigate the determinants of success in four international television awards festivals between 1994 and 2012. We find that countries with larger markets and greater expenditure on public broadcasting tend to win more awards, but that the degree of concentration in the market for television and rates of penetration of pay-per-view television are unrelated to success. These findings are consistent with general industrial organisation literature on quality and market size, and with media policy literature on public service broadcasting acting as a force for quality. However, we also find that ‘home countries’ enjoy a strong advantage in these festivals, which is not consistent with festival success acting as a pure proxy for television quality

Measurement of the anisotropy power spectrum of the radio synchrotron background

We present the first targeted measurement of the power spectrum of anisotropies of the radio synchrotron background, at 140 MHz where it is the overwhelmingly dominant photon background. This measurement is important for understanding the background level of radio sky brightness, which is dominated by steep-spectrum synchrotron radiation at frequencies below 0.5 GHz and has been measured to be significantly higher than that which can be produced by known classes of extragalactic sources and most models of Galactic halo emission. We determine the anisotropy power spectrum on scales ranging from 2 degrees to 0.2 arcminutes with LOFAR observations of two 18 square degree fields -- one centered on the Northern hemisphere coldest patch of radio sky where the Galactic contribution is smallest and one offset from that location by 15 degrees. We find that the anisotropy power is higher than that attributable to the distribution of point sources above 100 micro-Jy in flux. This level of radio anisotropy power indicates that if it results from point sources, those sources are likely at low fluxes and incredibly numerous, and likely clustered in a specific manner.Comment: 8 pages, 5 figures, published in MNRAS, updated to published versio

Stability of central finite difference schemes for the Heston PDE

This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results are illustrated by ample numerical experiments

Diffuse Sources, Clustering and the Excess Anisotropy of the Radio Synchrotron Background

We present the largest low frequency (120~MHz) arcminute resolution image of the radio synchrotron background (RSB) to date, and its corresponding angular power spectrum of anisotropies (APS) with angular scales ranging from $3^\circ$ to $0.3^\prime$. We show that the RSB around the North Celestial Pole has a significant excess anisotropy power at all scales over a model of unclustered point sources based on source counts of known source classes. This anisotropy excess, which does not seem attributable to the diffuse Galactic emission, could be linked to the surface brightness excess of the RSB. To better understand the information contained within the measured APS, we model the RSB varying the brightness distribution, size, and angular clustering of potential sources. We show that the observed APS could be produced by a population of faint clustered point sources only if the clustering is extreme and the size of the Gaussian clusters is $\lesssim 1'$. We also show that the observed APS could be produced by a population of faint diffuse sources with sizes $\lesssim 1'$, and this is supported by features present in our image. Both of these cases would also cause an associated surface brightness excess. These classes of sources are in a parameter space not well probed by even the deepest radio surveys to date.Comment: 13 pages, 14 figures. Accepted for publication in MNRA

Stochastic volatility and leverage effect

We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.Comment: 4 pages, 2 figure

Blood Flow Improvement Trial: Design and Enrollment Developing Topics

Background Midlife insulin resistance (IR) has previously been shown to be associated with lower cerebral blood flow (CBF), and is a potentially modifiable risk factor for dementia. The Blood Flow Improvement Trial (BFiT), NCT03117829 , tested a 12 week carbohydrate restricted diet (CRD) and exercise behavioral intervention to reverse IR, and aimed to 1) determine the extent to which improving or normalizing glucose homeostasis improves CBF and cognitive function in individuals with IR, 2) determine whether participants continue to maintain improved or normalized glycemic control for 6 months, and 3) determine changes in the human metabolome as individuals improve or normalize IR and glucose homeostasis through diet and exercise. Method Participants were recruited from the Wisconsin Alzheimer’s Disease Research Center and screened for metabolic risk factor eligibility based on the criteria shown in Table 1. The design involved a 12 week diet and exercise intervention focused on self‐monitoring to promote adherence. Exercise was conducted in a supervised group setting 3 days/week for 50 minutes and participants were instructed to exercise on their own an additional 2 days/week. Participants followed a CRD and monitored their own blood glucose with the goal of achieving and maintaining fasting blood glucose/dL. Participants underwent baseline, 12 week, and 6 month procedures including urine and blood labs/metabolomics, cognitive testing, fitness testing, and blood flow imaging via MRI (Table 2). Result The enrollment goal was 40 participants. 118 individuals were screened for eligibility, and 72.5% of the target enrollment was met; of those participants, nearly 80% completed the 12 week intervention. Of the 23 participants that completed the intervention, mean attendance was 70% for supervised exercise sessions and 81% for weekly behavioral coaching sessions. Figure 1 summarizes screening, enrollment, and procedure completion. Conclusion IR may be a modifiable risk factor for dementia. The BFiT pilot trial was designed to test the feasibility of exercise and CRD to reduce IR and improve brain blood flow in middle‐aged adults. Reasonable enrollment and completion N were achieved. Future analysis will center on barriers to enrollment and adherence, as well as analysis of the primary and secondary outcome measures

Testing stock market convergence: a non-linear factor approach

This paper applies the Phillips and Sul (Econometrica 75(6):1771–1855, 2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US between 1973 and 2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (J Am Stat Assoc 93(441):349–358, 1998) procedure to filter the data in order to extract the long-run component of the series; then, following Phillips and Sul (Econometrica 75(6):1771–1855, 2007), we estimate the relative transition parameters. In the case of sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the sample, and subsequent divergence, but a much larger number of clusters is now found. Splitting the cross-section into two subgroups including euro area countries, the UK and the US respectively, provides evidence of a global convergence/divergence process not obviously influenced by EU policies

Option prices under Bayesian learning: implied volatility dynamics and predictive densities

This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the context of an equilibrium model where dividend news evolve on a binomial lattice with unknown but recursively updated probabilities we derive closed-form pricing formulas for European options. Learning is found to generate asymmetric skews in the implied volatility surface and systematic patterns in the term structure of option prices. Data on S&P 500 index option prices is used to back out the parameters of the underlying learning process and to predict the evolution in the cross-section of option prices. The proposed model leads to lower out-of-sample forecast errors and smaller hedging errors than a variety of alternative option pricing models, including Black-Scholes and a GARCH model