Incorporating statistical model error into the calculation of acceptability prices of contingent claims

The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However, the model for the underlying asset price process is typically based on data and found by a statistical estimation procedure. We define a confidence set of possible estimated models by a nonparametric neighborhood of a baseline model. This neighborhood serves as ambiguity set for a multi-stage stochastic optimization problem under model uncertainty. We obtain distributionally robust solutions of the acceptability pricing problem and derive the dual problem formulation. Moreover, we prove a general large deviations result for the nested distance, which allows to relate the bid and ask prices under model ambiguity to the quality of the observed data.Comment: 27 pages, 2 figure

Current-driven magnetization decrease in single crystalline ferromagnetic manganese oxide

The electrical and magnetic response to a bias current has been investigated in a singlecrystalline ferromagnetic manganese oxide $\Pr_{0.8}$Ca$_{0.2}$MnO$_3$ . A significant decrease of the magnetization is observed at the same threshold current where a non-linearity of V-I characteristics appears. Such a behavior cannot be understood in the framework of the filamentary picture usually invoked for the non linearity of the other manganese oxides. Instead, an analogy with spintronic features might be useful and experimental signatures seem to be in agreement with excitations of spin waves by an electric current. This provides an example of a bulk system in which the spin polarized current induces a macroscopic change in the magnetization.Comment: 3 pages, 4 figure

Ferroelectricity and structure of BaTiO3 grown on YBa2Cu3O7-d thin films

We have investigated the crystal structure and the ferroelectric properties of BaTiO3 thin films with YBa2Cu3O7-d as the bottom and Au as the top electrode. Epitaxial heterostructures of YBa2Cu3O7-d and BaTiO3 were prepared by dc and rf sputtering, respectively. The crystal structure of the films was characterised by x-ray diffraction. The ferroelectric behaviour of the BaTiO3 films was confirmed by hysteresis loop measurements using a Sawyer Tower circuit. We obtain a coercive field of 30 kV/cm and a remanent polarisation of 1.25 \muC/cm. At sub-switching fields the capacitance of the films obeys a relation analogous to the Rayleigh law. This behaviour indicates an interaction of domain walls with randomly distributed pinning centres. At a field of 5 MV/m we calculate 3% contribution of irreversible domain wall motion to the total dielectric constant.Comment: 12 pages and 9 figure

The Paradox behind the Pattern of Rapid Adaptive Radiation: How Can the Speciation Process Sustain Itself Through an Early Burst?

Rapid adaptive radiation poses two distinct questions apart from speciation and adaptation: What happens after one speciation event and how do some lineages continue speciating through a rapid burst? We review major features of rapid radiations and their mismatch with theoretical models and speciation mechanisms. The paradox is that the hallmark rapid burst pattern of adaptive radiation is contradicted by most speciation models, which predict continuously decelerating diversification and niche subdivision. Furthermore, it is unclear if and how speciation-promoting mechanisms such as magic traits, phenotype matching, and physical linkage of coadapted alleles promote rapid bursts of speciation. We review additional mechanisms beyond ecological opportunity to explain rapid radiations: (a) ancient adaptive alleles and the transporter hypothesis, (b) sexual signal complexity, (c) fitness landscape connectivity, (d) diversity begets diversity, and (e) plasticity first. We propose new questions and predictions connecting microevolutionary processes to macroevolutionary patterns through the study of rapid radiations

Phonon-Metamorphosis in Ferromagnetic Manganite Films: Probing the Evolution of an Inhomogeneous State

The analysis of phonon anomalies provides valuable information about the cooperative dynamics of lattice, spin and charge degrees of freedom. Significant is the anomalous temperature dependence of the external modes observed in La$_{2/3}$Sr$_{1/3}$MnO$_{3}$ (LSMO) films. The two external modes merge close to the ferromagnetic to paramagnetic transition at $T_C$ and, moreover, two new modes evolve in this temperature range with strong resonances at slightly higher frequencies. We propose that this observed phonon metamorphosis probes the inhomogeneous Jahn-Teller distortion, manifest on the temperature scale $T_C$. The analysis is based on the first observation of all eight phonon modes in the metallic phase of LSMO and on susceptibility measurements which identify a Griffiths-like phase.Comment: 4 pages, 4 figure

On the Semantics of Snapshot Isolation

Snapshot isolation (SI) is a standard transactional consistency model used in databases, distributed systems and software transactional memory (STM). Its semantics is formally defined both declaratively as an acyclicity axiom, and operationally as a concurrent algorithm with memory bearing timestamps. We develop two simpler equivalent operational definitions of SI as lock-based reference implementations that do not use timestamps. Our first locking implementation is prescient in that requires a priori knowledge of the data accessed by a transaction and carries out transactional writes eagerly (in-place). Our second implementation is non-prescient and performs transactional writes lazily by recording them in a local log and propagating them to memory at commit time. Whilst our first implementation is simpler and may be better suited for developing a program logic for SI transactions, our second implementation is more practical due to its non-prescience. We show that both implementations are sound and complete against the declarative SI specification and thus yield equivalent operational definitions for SI. We further consider, for the first time formally, the use of SI in a context with racy non-transactional accesses, as can arise in STM implementations of SI. We introduce robust snapshot isolation (RSI), an adaptation of SI with similar semantics and guarantees in this mixed setting. We present a declarative specification of RSI as an acyclicity axiom and analogously develop two operational models as lock-based reference implementations (one eager, one lazy). We show that these operational models are both sound and complete against the declarative RSI model

Implementing evidence based policy in a network-setting. Dutch Road Safety Policy in a shift from a Home to an Away Match

Abstract In order to improve road safety in the Netherlands, in 1992 the Institute for Road Safety Research (SWOV) developed the evidence-based ‘Sustainable Safety’ concept. Dutch road safety policy, based on this concept, was quite successful and seen as a best practice in Europe. Recently the p