1,001 research outputs found
Long-range memory model of trading activity and volatility
Earlier we proposed the stochastic point process model, which reproduces a
variety of self-affine time series exhibiting power spectral density S(f)
scaling as power of the frequency f and derived a stochastic differential
equation with the same long range memory properties. Here we present a
stochastic differential equation as a dynamical model of the observed memory in
the financial time series. The continuous stochastic process reproduces the
statistical properties of the trading activity and serves as a background model
for the modeling waiting time, return and volatility. Empirically observed
statistical properties: exponents of the power-law probability distributions
and power spectral density of the long-range memory financial variables are
reproduced with the same values of few model parameters.Comment: 12 pages, 5 figure
Improving the mass determination of Galactic Cepheids
We have selected a sample of Galactic Cepheids for which accurate estimates
of radii, distances, and photometric parameters are available. The comparison
between their pulsation masses, based on new Period-Mass-Radius (PMR)
relations, and their evolutionary masses, based on both optical and NIR
Color-Magnitude (CM) diagrams, suggests that pulsation masses are on average of
the order of 10% smaller than the evolutionary masses. Current pulsation masses
show, at fixed radius, a strongly reduced dispersion when compared with values
published in literature.The increased precision in the pulsation masses is due
to the fact that our predicted PMR relations based on nonlinear, convective
Cepheid models present smaller standard deviations than PMR relations based on
linear models. At the same time, the empirical radii of our Cepheid sample are
typically accurate at the 5% level. Our evolutionary mass determinations are
based on stellar models constructed by neglecting the effect of mass-loss
during the He burning phase. Therefore, the difference between pulsation and
evolutionary masses could be intrinsic and does not necessarily imply a problem
with either evolutionary and/or nonlinear pulsation models. The marginal
evidence of a trend in the difference between evolutionary and pulsation masses
when moving from short to long-period Cepheids is also briefly discussed. The
main finding of our investigation is that the long-standing Cepheid mass
discrepancy seems now resolved at the 10% level either if account for canonical
or mild convective core overshooting evolutionary models.Comment: 14 pages, 4 postscript figures, accepted for publication on ApJ
Letter
Cepheid variables in the LMC cluster NGC 1866. I. New BVRI CCD photometry
We report BV(RI)c CCD photometric data for a group of seven Cepheid variables
in the young, rich cluster NGC 1866 in the Large Magellanic Cloud. The
photometry was obtained as part of a program to determine accurate distances to
these Cepheids by means of the infrared surface brightness technique, and to
improve the LMC Cepheid database for constructing Cepheid PL and PLC relations.
Using the new data together with data from the literature, we have determined
improved periods for all variables. For five fundamental mode pulsators, the
light curves are now of excellent quality and will lead to accurate distance
and radius determinations once complete infrared light curves and radial
velocity curves for these variables become available.Comment: To appear in ApJ Supp., AASTeX, 24 pages, 8 tables, 8 figure
A Digital Archive of HI 21 cm Line Spectra of Optically-targeted Galaxies
We present a homogeneous compilation of HI spectral parameters extracted from
global 21 cm line spectra for some 9000 galaxies in the local universe
(heliocentric velocity -200 < V_Sun < 28,000 km/s) obtained with a variety of
large single dish radio telescopes but reanalyzed using a single set of
parameter extraction algorithms. Corrections to the observed HI line flux for
source extent and pointing offsets and to the HI line widths for instrumental
broadening and smoothing are applied according to model estimates to produce a
homogenous catalog of derived properties with quantitative error estimates.
Where the redshift is available from optical studies, we also provide flux
measurements for an additional 156 galaxies classified as marginal HI
detections and rms noise limits for 494 galaxies classified as nondetections.
Given the diverse nature of the observing programs contributing to it, the
characteristics of the combined dataset are heterogeneous, and as such, the
compilation is neither integrated HI line flux nor peak flux limited. However,
because of the large statistical base and homogenous reprocessing, the spectra
and spectral parameters of galaxies in this optically targeted sample can be
used to complement data obtained at other wavelengths to characterize the
properties of galaxies in the local universe and to explore the large scale
structures in which they reside.Comment: 13 pages, 9 figures, 3 external online tables, accepted for
publication in ApJ
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
We study the pricing problem for a European call option when the volatility
of the underlying asset is random and follows the exponential
Ornstein-Uhlenbeck model. The random diffusion model proposed is a
two-dimensional market process that takes a log-Brownian motion to describe
price dynamics and an Ornstein-Uhlenbeck subordinated process describing the
randomness of the log-volatility. We derive an approximate option price that is
valid when (i) the fluctuations of the volatility are larger than its normal
level, (ii) the volatility presents a slow driving force toward its normal
level and, finally, (iii) the market price of risk is a linear function of the
log-volatility. We study the resulting European call price and its implied
volatility for a range of parameters consistent with daily Dow Jones Index
data.Comment: 26 pages, 6 colored figure
Detection and imaging in strongly backscattering randomly layered media
Abstract. Echoes from small reflectors buried in heavy clutter are weak and difficult to distinguish from the medium backscatter. Detection and imaging with sensor arrays in such media requires filtering out the unwanted backscatter and enhancing the echoes from the reflectors that we wish to locate. We consider a filtering and detection approach based on the singular value decomposition of the local cosine transform of the array response matrix. The algorithm is general and can be used for detection and imaging in heavy clutter, but its analysis depends on the model of the cluttered medium. This paper is concerned with the analysis of the algorithm in finely layered random media. We obtain a detailed characterization of the singular values of the transformed array response matrix and justify the systematic approach of the filtering algorithm for detecting and refining the time windows that contain the echoes that are useful in imaging
Extreme times for volatility processes
We present a detailed study on the mean first-passage time of volatility
processes. We analyze the theoretical expressions based on the most common
stochastic volatility models along with empirical results extracted from daily
data of major financial indices. We find in all these data sets a very similar
behavior that is far from being that of a simple Wiener process. It seems
necessary to include a framework like the one provided by stochastic volatility
models with a reverting force driving volatility toward its normal level to
take into account memory and clustering effects in volatility dynamics. We also
detect in data a very different behavior in the mean first-passage time
depending whether the level is higher or lower than the normal level of
volatility. For this reason, we discuss asymptotic approximations and confront
them to empirical results with a good agreement, specially with the ExpOU
model.Comment: 10, 6 colored figure
Pricing Exotic Options in a Path Integral Approach
In the framework of Black-Scholes-Merton model of financial derivatives, a
path integral approach to option pricing is presented. A general formula to
price European path dependent options on multidimensional assets is obtained
and implemented by means of various flexible and efficient algorithms. As an
example, we detail the cases of Asian, barrier knock out, reverse cliquet and
basket call options, evaluating prices and Greeks. The numerical results are
compared with those obtained with other procedures used in quantitative finance
and found to be in good agreement. In particular, when pricing at-the-money and
out-of-the-money options, the path integral approach exhibits competitive
performances.Comment: 21 pages, LaTeX, 3 figures, 6 table
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