The forecasting performance of German stock option densities

In this paper the authors estimate risk-neutral densities (RND) for the largest euro-area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. The authors have applied an innovative test procedure to a new, rich, and accurate data set. They have two main results. First, They have recorded strong negative skewness in the densities. Second, they find evidence for a significant difference between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX.Stock market - Germany ; Stock options

The Forecasting Performance of German Stock Option Densities

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and accurate data set. We have two main results. First, we have recorded strong negative skewness in the densities. Second, we find evidence for significant differences between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX. -- In dieser Arbeit werden "risikoneutrale" Dichtefunktionen über künftige DAXIndexstände aus täglich beobachteten Preisen europäischer Kauf- und Verkaufsoptionen mit verschiedenen Restlaufzeiten abgeleitet. Das hierbei verwendete Berechnungsverfahren beruht auf der Mischung von zwei Log-Normalverteilung, bei dem fünf Parameter (der Mischungsparameter, zwei Mittelwerte und zwei Standardabweichungen) so bestimmt werden, dass der quadratische Abstand zwischen beobachteten und impliziten Optionspreisen minimal ist. Die Preisnotierungen für die Derivative werden der Eurex entnommen und der Untersuchungszeitraum erstreckt sich von Dezember 1995 bis Mai 2002, also sowohl über die Boom- als auch über die Niedergangsphase des DAX. Die Vorhersagehorizonte der Dichten sind auf Grund der Datenlage auf sechs bis acht Wochen begrenzt. Die Vorhersagegüte dieser Dichten wird über verschiedene neuartige statistische Evaluierungsverfahren abgeschätzt. Im Ergebnis stellt sich folgendes heraus: Erstens: Die Dichten weisen im Durchschnitt eine negative Schiefe (negatives drittes Moment) auf, so dass das linke Ende der Dichte "dicker" ist als das rechte und die Marktteilnehmer somit einen bestimmten prozentualen Kursverlust als wahrscheinlicher einschätzten als einen Kursgewinn. Zweitens: Die Evaluierungstests für die Dichten machen deutlich, dass die tatsächlichen Dichten im Mittel deutlich von den risikoneutralen Dichten abweichen. Dabei kann ausgeschlossen werden, dass es sich lediglich um einen "Mittelwert"fehler handelt. Vielmehr scheinen die Markteilnehmer sowohl in der Aufschwung- als auch in der Abschwungphase von den Kursbewegungen des DAX überrascht worden zu.option prices,risk-neutral density,density evaluation,overlapping data

Bud development, flowering and fruit set of Moringa oleifera Lam. (Horseradish Tree) as affected by various irrigation levels

Moringa oleifera is becoming increasingly popular as an industrial crop due to its multitude of useful attributes as water purifier, nutritional supplement and biofuel feedstock. Given its tolerance to sub-optimal growing conditions, most of the current and anticipated cultivation areas are in medium to low rainfall areas. This study aimed to assess the effect of various irrigation levels on floral initiation, flowering and fruit set. Three treatments namely, a 900 mm (900IT), 600 mm (600IT) and 300 mm (300IT) per annum irrigation treatment were administered through drip irrigation, simulating three total annual rainfall amounts. Individual inflorescences from each treatment were tagged during floral initiation and monitored throughout until fruit set. Flower bud initiation was highest at the 300IT and lowest at the 900IT for two consecutive growing seasons. Fruit set on the other hand, decreased with the decrease in irrigation treatment. Floral abortion, reduced pollen viability as well as moisture stress in the style were contributing factors to the reduction in fruiting/yield observed at the 300IT. Moderate water stress prior to floral initiation could stimulate flower initiation, however, this should be followed by sufficient irrigation to ensure good pollination, fruit set and yield

Human amniotic fluid derived cells can competently substitute dermal fibroblasts in a tissue-engineered dermo-epidermal skin analog

Purpose: Human amniotic fluid comprises cells with high differentiation capacity, thus representing a potential cell source for skin tissue engineering. In this experimental study, we investigated the ability of human amniotic fluid derived cells to substitute dermal fibroblasts and support epidermis formation and stratification in a humanized animal model. Methods: Dermo-epidermal skin grafts with either amniocytes or with fibroblasts in the dermis were compared in a rat model. Full-thickness skin wounds on the back of immuno-incompetent rats were covered with skin grafts with (1) amniocytes in the dermis, (2) fibroblasts in the dermis, or, (3) acellular dermis. Grafts were excised 7 and 21days post transplantation. Histology and immunofluorescence were performed to investigate epidermis formation, stratification, and expression of established skin markers. Results: The epidermis of skin grafts engineered with amniocytes showed near-normal anatomy, a continuous basal lamina, and a stratum corneum. Expression patterns for keratin 15, keratin 16, and Ki67 were similar to grafts with fibroblasts; keratin 1 expression was not yet fully established in all suprabasal cell layers, expression of keratin 19 was increased and not only restricted to the basal cell layer as seen in grafts with fibroblasts. In grafts with acellular dermis, keratinocytes did not survive. Conclusion: Dermo-epidermal skin grafts with amniocytes show near-normal physiological behavior suggesting that amniocytes substitute fibroblast function to support the essential cross-talk between mesenchyme and epithelia needed for epidermal stratification. This novel finding has considerable implications regarding tissue engineerin

Radiation in the universe

When Wilhelm Conrad Roentgen discovered radiation one hundred years ago, it seemed that what was discovered was one of the rarest and most volatile members of the family of the basic modules of our natural world. Today cosmologists report that a substantial part of the universe's radiation energy consists of X-rays, which travel through cosmic space with the speed of light

Morphological and Transcriptomic Analysis of a Beetle Chemosensory System Reveals a Gnathal Olfactory Center

OR gene tissue expression and their chromosomal localization. a Venn diagram showing the number of ORs expressed (RPKM ≥ 0.5) in the different body parts: antennae, legs, mouthparts (as piece of the head capsule anterior of the antennae), heads (the whole head capsule including mouthparts but excluding the antennae), and bodies (excluding head and legs). b Venn diagram comparing our results (yellow, green) with data from Engsontia et al. [115] (blue, red). Number of expressed ORs, defined by RPKM ≥ 0.5 (yellow), by RT-PCR (blue), not expressed RPKM < 0.5 (green), or with no RT-PCR amplicon (red). ORs of the brown group were not previously tested by Engsontia et al. c Chromosomal localization of T. castaneum ORs. Based on the Georgia GA-2 strain genome assembly 3.0 [81], only chromosomal linkage groups containing an IR or SNMP are depicted. Gene clusters are indicated by a number referring to the chromosome and a letter conveys the relative position on the chromosome. The number of genes within this cluster is indicated in the square brackets. (PDF 277 kb

Coarsening of Surface Structures in Unstable Epitaxial Growth

We study unstable epitaxy on singular surfaces using continuum equations with a prescribed slope-dependent surface current. We derive scaling relations for the late stage of growth, where power law coarsening of the mound morphology is observed. For the lateral size of mounds we obtain $\xi \sim t^{1/z}$ with $z \geq 4$. An analytic treatment within a self-consistent mean-field approximation predicts multiscaling of the height-height correlation function, while the direct numerical solution of the continuum equation shows conventional scaling with z=4, independent of the shape of the surface current.Comment: 15 pages, Latex. Submitted to PR

Development and evaluation of an image-free computer-assisted impingement detection technique for total hip arthroplasty

Periprosthetic or bony impingement in total hip arthroplasty (THA) has been correlated to dislocation, increased wear, reduced postoperative functionality with pain and/or decreased range of motion (ROM). We sought to study the accuracy and assess the reliability of measuring bony and periprosthetic impingement on a virtual bone model prior to the implantation of the acetabular cup with the help of image-free navigation technology in an experimental cadaver study. Impingement-free ROM measurements were recorded during minimally invasive, computer-assisted THA on 14 hips of 7 cadaveric donors. Preoperatively and postoperatively the donors were scanned using computed tomography (CT). Impingement-free ROM on three-dimensional CT-based models was then compared with corresponding, intraoperative navigation models. Bony/periprosthetic impingement can be detected with a mean accuracy limit of below 5° for motion angles, which should be reached after THA for activities of daily living with the help of image-free navigation technology