Predicting Stock Volatility Using After-Hours Information

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend GARCH and long-memory forecasting models to include additional information: the whole night, the preopen, the postclose realized variance, and the overnight squared return. For four NASDAQ stocks (MSFT, AMGN, CSCO, and YHOO) we find that the inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility. Additionally, we find that the postclose variance and the overnight squared return do not provide any predictive power for the next day conditional volatility. Our findings support the results of prior studies that traders trade for non-information reasons in the postclose period and trade for information reasons in the preopen period.

Estimating Implied Default Probabilities and Risk Measures for Credit Bonds

This paper implements the reduced form approach to model the credit risk term structure of the 16 SIAS fixed income portfolio\u27s debt issuers. The major advantage of reduced form model risk measures is that they explicitly take the default risk and recovery rate into consideration. The default-risk-adjusted duration and convexity will be smaller than the traditional measures because of the possibility of receiving the recovery value. By analyzing the credit risk term structure, we can observe the time-varying pattern in market\u27s expectation on the issuer\u27s ability to fulfill its debt obligation. Discrepancy between bonds\u27 rating and their implied default probability is also observed

Phase Transition of Degeneracy in Minor-Closed Families

Given an infinite family ${\mathcal G}$ of graphs and a monotone property ${\mathcal P}$, an (upper) threshold for ${\mathcal G}$ and ${\mathcal P}$ is a "fastest growing" function $p: \mathbb{N} \to [0,1]$ such that $\lim_{n \to \infty} \Pr(G_n(p(n)) \in {\mathcal P})= 1$ for any sequence $(G_n)_{n \in \mathbb{N}}$ over ${\mathcal G}$ with $\lim_{n \to \infty}\lvert V(G_n) \rvert = \infty$, where $G_n(p(n))$ is the random subgraph of $G_n$ such that each edge remains independently with probability $p(n)$. In this paper we study the upper threshold for the family of $H$-minor free graphs and for the graph property of being $(r-1)$-degenerate, which is one fundamental graph property with many applications. Even a constant factor approximation for the upper threshold for all pairs $(r,H)$ is expected to be very difficult by its close connection to a major open question in extremal graph theory. We determine asymptotically the thresholds (up to a constant factor) for being $(r-1)$-degenerate for a large class of pairs $(r,H)$, including all graphs $H$ of minimum degree at least $r$ and all graphs $H$ with no vertex-cover of size at most $r$, and provide lower bounds for the rest of the pairs of $(r,H)$. The results generalize to arbitrary proper minor-closed families and the properties of being $r$-colorable, being $r$-choosable, or containing an $r$-regular subgraph, respectively

On the Tails of the Limiting QuickSort Density

We give upper and lower asymptotic bounds for the left tail and for the right tail of the continuous limiting QuickSort density f that are nearly matching in each tail. The bounds strengthen results from a paper of Svante Janson (2015) concerning the corresponding distribution function F. Furthermore, we obtain similar upper bounds on absolute values of derivatives of f of each order

The Role Of The CEO, Executive Team, And Workforce Metrics Of A Small University In The U.S.

The Role of the CEO, Executive Team, and Workforce Metrics of a small University in the U.S. is not just a question of academic standards. The 21st century requirements of education involve a wider set of attributes, equipping the young with social and organizational skills to cope with adult life inside and outside the workplace (Barber, 2001). It is necessary to describe the importance of aligning clear strategic priorities with workforce metric of a small university in the U.S. In addition, effective strategy execution requires a new partnership between the CEO, the workforce, and a small university’s HR function. Therefore, providing insights into the execution challenge, with examples of how a small university has developed workforce and HR strategies to drive strategy execution efforts, and offering suggestions about workforce metrics might enhance the success in strategy execution

Improving the Performance of Modular Production in the Apparel Assembly: A Mathematical Programming Approach

We construct the mathematical models to find the optimal allocation of the module’s capacity (module members) to different assembly operations in a module for given garment assembly tasks in a modular production system. The objectives of the models are minimizing the holding cost for work in process (WIP) inventories in the module and the total deviation of the WIP inventories from their corresponding target values in the module during a specific time interval. The solutions of the models can be used as reference to achieve better allocation of the module members to different operations in a module to fulfill the given garment assembly tasks

On the densities of the limiting distributions for QuickSort and QuickQuant

In this dissertation, we study in depth the limiting distribution of the costs of running the randomized sorting algorithm QuickSort and the randomized selection algorithm QuickQuant when the cost of sorting/selecting is measured by the number of key comparisons. It is well established in the literature that the limiting distribution F of the centered and scaled number of key comparisons required by QuickSort is infinitely differentiable and that the corresponding density function f enjoys superpolynomial decay in both tails. The first contribution of this dissertation is to establish upper and lower asymptotic bounds for the left and right tails of f that are nearly matching in each tail. The literature study of the scale-normalized number of key comparisons used by the algorithm QuickQuant(t) for 0 ≤ t ≤ 1, on the other hand, is somewhat limited and focuses on (non-limiting and limiting) moments and the limiting distribution function Ft. In particular, except knowing that t = 0 and t = 1 corresponds to the well-known Dickman distribution, from the literature we do not know much about smoothness or decay properties of Ft for 0 min{t, 1 − t} and infinite right differentiability at x = t. In particular, we prove that the survival function 1 − Ft(x) and the density function ft(x) both have the right-tail asymptotics exp[−x ln x − x ln ln x + O(x)]. The third contribution of this dissertation is to study large deviations of the number of key comparisons needed for both algorithms by using knowledge of the limiting distribution. In particular, we sharpen the large-deviation results of QuickSort established by McDiarmid and Hayward (1996) and produce similar new (as far as we know) results for QuickQuant

A Comparative Study on Spin-Orbit Torque Efficiencies from W/ferromagnetic and W/ferrimagnetic Heterostructures

It has been shown that W in its resistive form possesses the largest spin-Hall ratio among all heavy transition metals, which makes it a good candidate for generating efficient dampinglike spin-orbit torque (DL-SOT) acting upon adjacent ferromagnetic or ferrimagnetic (FM) layer. Here we provide a systematic study on the spin transport properties of W/FM magnetic heterostructures with the FM layer being ferromagnetic Co$_{20}$Fe$_{60}$B$_{20}$ or ferrimagnetic Co$_{63}$Tb$_{37}$ with perpendicular magnetic anisotropy. The DL-SOT efficiency $|\xi_{DL}|$, which is characterized by a current-induced hysteresis loop shift method, is found to be correlated to the microstructure of W buffer layer in both W/Co$_{20}$Fe$_{60}$B$_{20}$ and W/Co$_{63}$Tb$_{37}$ systems. Maximum values of $|\xi_{DL}|\approx 0.144$ and $|\xi_{DL}|\approx 0.116$ are achieved when the W layer is partially amorphous in the W/Co$_{20}$Fe$_{60}$B$_{20}$ and W/Co$_{63}$Tb$_{37}$ heterostructures, respectively. Our results suggest that the spin Hall effect from resistive phase of W can be utilized to effectively control both ferromagnetic and ferrimagnetic layers through a DL-SOT mechanism