EDF and short selling as indicator of default

This dissertation presents two papers that examine the efficacy of expected default frequency (EDF) when predicting bankruptcy events and whether short-selling utilization could be used as an indicator of default risk change. The first paper examines the efficacy of Merton\u27s (1974) distance to default model as simplified by Bharath and Shumway (2008) to forecast a firm’s Expected Default Frequency (EDF) or probability of defaulting on debt obligations. Merton’s model, further developed by the KMV corporation, is based on the Black-Scholes asset pricing model. We apply the simplified Bharath and Shumway model by relating it with Cox’s proportional-hazards model (Cox, 1972) to forecast firm-specific expected default frequency (EDF) or probability of default. The accuracy of the Merton/Bharath-Shumway Model is further examined by including its input as one of the variables in a principal components-factor analysis to determine its ability to predict firm bankruptcy and its orthogonality in predicting firm default and potential bankruptcy. We also measure how much of the total variation is explained in a adjusted R squared decomposition analysis. The second paper investigate the relation between short interests of a firm’s common stock and commensurate changes in the firm\u27s expected default probability/risk, using Compustat and NYSE data from 2007 to 2018. Default risk is measured by a simplified Merton distance-to-default (EDF) model, where we find that a firm’s short-interests predicts changes in default risk. Further, short-interest levels predict a firm’s likelihood of default as measured by it movement into the top default-risk decile. Thus, we recommend that investors, managers, and regulators employ short-interests as an early warning signal for a firm\u27s potential default

Conformally flat affine hypersurfaces with semi-parallel cubic form

In this paper, we study locally strongly convex affine hypersurfaces with vanishing Weyl curvature tensor and semi-parallel cubic form relative to the Levi-Civita connection of affine metric. As the main result, we classify such hypersurfaces being not of flat affine metric. In particular, $2, 3$-dimensional locally strongly convex affine hypersurfaces with semi-parallel cubic form are completely determined.Comment: 17 page

Human Performance Consequences of Stages and Levels of Automation: An Integrated Meta-Analysis

Dieser Beitrag ist mit Zustimmung des Rechteinhabers aufgrund einer (DFG geförderten) Allianz- bzw. Nationallizenz frei zugänglich.This publication is with permission of the rights owner freely accessible due to an Alliance licence and a national licence (funded by the DFG, German Research Foundation) respectively.Objective: We investigated how automation-induced human performance consequences depended on the degree of automation (DOA). Background: Function allocation between human and automation can be represented in terms of the stages and levels taxonomy proposed by Parasuraman, Sheridan, and Wickens. Higher DOAs are achieved both by later stages and higher levels within stages. Method: A meta-analysis based on data of 18 experiments examines the mediating effects of DOA on routine system performance, performance when the automation fails, workload, and situation awareness (SA). The effects of DOA on these measures are summarized by level of statistical significance. Results: We found (a) a clear automation benefit for routine system performance with increasing DOA, (b) a similar but weaker pattern for workload when automation functioned properly, and (c) a negative impact of higher DOA on failure system performance and SA. Most interesting was the finding that negative consequences of automation seem to be most likely when DOA moved across a critical boundary, which was identified between automation supporting information analysis and automation supporting action selection. Conclusion: Results support the proposed cost–benefit trade-off with regard to DOA. It seems that routine performance and workload on one hand, and the potential loss of SA and manual skills on the other hand, directly trade off and that appropriate function allocation can serve only one of the two aspects. Application: Findings contribute to the body of research on adequate function allocation by providing an overall picture through quantitatively combining data from a variety of studies across varying domains

Enhancing Virtual Distillation with Circuit Cutting for Quantum Error Mitigation

Virtual distillation is a technique that aims to mitigate errors in noisy quantum computers. It works by preparing multiple copies of a noisy quantum state, bridging them through a circuit, and conducting measurements. As the number of copies increases, this process allows for the estimation of the expectation value with respect to a state that approaches the ideal pure state rapidly. However, virtual distillation faces a challenge in realistic scenarios: preparing multiple copies of a quantum state and bridging them through a circuit in a noisy quantum computer will significantly increase the circuit size and introduce excessive noise, which will degrade the performance of virtual distillation. To overcome this challenge, we propose an error mitigation strategy that uses circuit-cutting technology to cut the entire circuit into fragments. With this approach, the fragments responsible for generating the noisy quantum state can be executed on a noisy quantum device, while the remaining fragments are efficiently simulated on a noiseless classical simulator. By running each fragment circuit separately on quantum and classical devices and recombining their results, we can reduce the noise accumulation and enhance the effectiveness of the virtual distillation technique. Our strategy has good scalability in terms of both runtime and computational resources. We demonstrate our strategy's effectiveness through noisy simulation and experiments on a real quantum device.Comment: 8 pages, 5 figure

Energetic stability, structural transition, and thermodynamic properties of ZnSnO[sub 3]

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/98679/1/ApplPhysLett_98_091914.pd

The Detailed Evolution of Carbon Spheres by Hydrothermal Method

Carbon spheres (CSs) can be synthesized easily by hydrothermal method using various solutions and a lot of mechanisms have been employed to explain their formation. In our work, some special phenomena such as the uniform size and surface corruption have been found as the reaction time increased. However, less attention has been focused on the detailed evolution phenomena of CSs. In order to understand these special phenomena well, classical nucleation theory was employed to study the reaction dynamics of CSs during the evolution processes. This work not only deeply reveals the evolution mechanism of CSs, but also opens a possible way for the control of size and morphologies of CSs through hydrothermal methods

A multifunctional ribonuclease A-conjugated carbon dot cluster nanosystem for synchronous cancer imaging and therapy

Carbon dots exhibit great potential in applications such as molecular imaging and in vivo molecular tracking. However, how to enhance fluorescence intensity of carbon dots has become a great challenge. Herein, we report for the first time a new strategy to synthesize fluorescent carbon dots (C-dots) with high quantum yields by using ribonuclease A (RNase A) as a biomolecular templating agent under microwave irradiation. The synthesized RNase A-conjugated carbon dots (RNase A@C-dots) exhibited quantum yields of 24.20%. The fluorescent color of the RNase A@C-dots can easily be adjusted by varying the microwave reaction time and microwave power. Moreover, the emission wavelength and intensity of RNase A@C-dots displayed a marked excitation wavelength-dependent character. As the excitation wavelength alters from 300 to 500 nm, the photoluminescence (PL) peak exhibits gradually redshifts from 450 to 550 nm, and the intensity reaches its maximum at an excitation wavelength of 380 nm. Its Stokes shift is about 80 nm. Notably, the PL intensity is gradually decreasing as the pH increases, almost linearly dependent, and it reaches the maximum at a pH = 2 condition; the emission peaks also show clearly a redshift, which may be caused by the high activity and perfective dispersion of RNase A in a lower pH solution. In high pH solution, RNase A tends to form RNase A warped carbon dot nanoclusters. Cell imaging confirmed that the RNase A@C-dots could enter into the cytoplasm through cell endocytosis. 3D confocal imaging and transmission electron microscopy observation confirmed partial RNase A@C-dots located inside the nucleus. MTT and real-time cell electronic sensing (RT-CES) analysis showed that the RNase A@C-dots could effectively inhibit the growth of MGC-803 cells. Intra-tumor injection test of RNase A@C-dots showed that RNase A@C-dots could be used for imaging in vivo gastric cancer cells. In conclusion, the as-prepared RNase A@C-dots are suitable for simultaneous therapy and in vivo fluorescence imaging of nude mice loaded with gastric cancer or other tumors

The retinoid X receptor from mud crab: new insights into its roles in ovarian development and related signaling pathway

In arthropods, retinoid X receptor (RXR) is a highly conserved nuclear hormone receptor. By forming a heterodimeric complex with the ecdysone receptor (EcR), RXR is known to be vital importance for various physiological processes. However, in comparison to EcR, the RXR signaling pathway and its roles in crustacean reproduction are poorly understood. In the present study, the RXR mRNA was detected in the ovarian follicular cells of mud crab Scylla paramamosain (SpRXR) and during ovarian maturation, its expression level was found to increase significantly. In vitro experiment showed hat both SpRXR and vitellogenin (SpVg) mRNA in the ovarian explants were significantly induced by 20-hydroxyecdysone (20E) but not methyl farnesoate (MF). However, differing from the in vitro experiment, injection of MF in in vivo experiment significantly stimulated the expressions of SpRXR and SpVg in female crabs at early vitellogenic stage, but the ecdysone and insect juvenile hormone (JH) signaling pathway genes were not induced. The results together suggest that both MF and SpRXR play significant roles in regulating the expression of SpVg and ovarian development of S. paramamosain through their own specific signaling pathway rather than sharing with the ecdysone or the insect JH