An improved two-step regularization scheme for spot volatility estimation

We are concerned with the problem of parameter estimation in Finance, namely the estimation of the spot volatility in the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization was presented. It was shown that this scheme can work in a real-time manner. However, the main drawback of this scheme is that it needs a lot of observation data. The aim of the present paper is to introduce an improvement of the scheme such that the modified estimator can work more efficiently and with a data set of smaller size. The technical aspects of implementation of the scheme and its performance on simulated data are analyzed. The proposed scheme is tested against other estimators, namely a realized volatility type estimator, the Fourier estimator and two kernel estimators.Spot volatility, Nonparametric estimation, Multi-step regularization, Microstructure

Bank Lending in Japan: its Determinants and Macroeconomic Implications.

We examine the role of bank loans in the Japanese economy by analyzing the lending behavior of banking firms and the investment behavior of non-financial firms.BANKS ; LENDING ; ESTIMATOR

Quantum dynamics of non-relativistic particles and isometric embeddings

It is considered, in the framework of constrained systems, the quantum dynamics of non-relativistic particles moving on a d-dimensional Riemannian manifold M isometrically embedded in $R^{d+n}$. This generalizes recent investigations where M has been assumed to be a hypersurface of $R^{d+1}$. We show, contrary to recent claims, that constrained systems theory does not contribute to the elimination of the ambiguities present in the canonical and path integral formulations of the problem. These discrepancies with recent works are discussed.Comment: Revtex, 14 page

Effect of low-lying fermion modes in the ϵ\epsilon-regime of QCD

We investigate the effects of low-lying fermion eigenmodes on the QCD partition function in the $\epsilon$-regime. The fermion determinant is approximated by a truncated product of low-lying eigenvalues of the overlap-Dirac operator. With two flavors of dynamical quarks, we observe that the lattice results for the lowest eigenvalue distribution, eigenvalue sum rules and partition function reproduce the analytic predictions made by Leutwyler and Smilga, which strongly depend on the topological charge of the background gauge configuration. The value of chiral condensate extracted from these measurements are consistent with each other. For one dynamical quark flavor, on the other hand, we find an apparent disagreement among different determinations of the chiral condensate, which may suggest the failure of the $\epsilon$-expansion in the absence of massless Nambu-Goldstone boson.Comment: 23 pages, 9 figure

Description of two new actinosporean types from a brook of Fuji Mountain, Honshu, and from Chitose River, Hokkaido, Japan

Actinospore infection of oligochaetes living in the mud of 3 freshwater biotopes in Japan was studied. Using the cell-well plate method, a new aurantiactinomyxon type was found in 0.77 % of the examined Tubifex tubifex oligochaete specimens from a brook near Yamanashi Prefectural Fisheries Experimental Station on Fuji Mountain. In 0.14 % of Lumbriculus variagetus collected from Chitose River, near Chitose Salmon Hatchery, a new siedleckiella type was found, while at the same time 8.1 % of the Lumbriculus spp. oligochaetes released triactinomyxons of Myxobolus arcticus. Of the examined Rhyacodrilus komarovi oligochaetes collected from the Mena River system, Hokkaido, 0.2, 0.6, 0.5 and 0.8% were infected with echinactinomyxon, neoactinomyxum and 2 types of triactinomyxon spores, respectively, and described in our previous paper. The oligochaetes released actinospores for several weeks. Actinospore infection showed high intensity in positive oligochaetes in the case of all the actinosporean types. Two of the actinospore types (aurantiactinomyxon and siedleckiella) presented here have not been previously described

Chiral Sigma Model with Pion Mean Field in Finite Nuclei

The properties of infinite matter and finite nuclei are studied by using the chiral sigma model in the framework of the relativistic mean field theory. We reconstruct an extended chiral sigma model in which the omega meson mass is generated dynamically by the sigma condensation in the vacuum in the same way as the nucleon mass. All the parameters of chiral sigma model are essentially fixed from the hadron properties in the free space. In nuclear matter, the saturation property comes out right, but the incompressibility is too large and the scalar and vector potentials are about a half of the phenomenological ones, respectively. This fact is reflected to the properties of finite nuclei. We calculate N = Z even-even mass nuclei between N = 16 and N = 34. The extended chiral sigma model without the pion mean field leads to the result that the magic number appears at N = 18 instead of N = 20 and the magic number does not appear at N = 28 due to the above mentioned nuclear matter properties. The latter problem, however, could be removed by the introduction of the finite pion mean field with the appearance of the magic number at N = 28. We find that the energy differences between the spin-orbit partners are reproduced by the finite pion mean field which is completely a different mechanism from the standard spin-orbit interaction.Comment: 19 pages, 9 figures. Prog. Theor. Phys. to be publishe

Leaf area index and topographical effects on turburlent diffusion in a deciduous forest

In order to investigate turbulent diffusion in a deciduous forest canopy, wind velocity measurements were conducted from late autumn of 2009 to early spring of 2010, using an observation tower 20 m in height located in the campus of Kanazawa University. Four sonic anemometers mounted on the tower recorded the average wind velocities and temperatures, as well as their fluctuations, at four different heights simultaneously. Two different types of data sets were selected, in which the wind velocities, wind bearings and atmospheric stabilities were all similar, but the Leaf Area Indexes (LAI's) were different. Vertical profiles of average wind velocities were found to have an approximately exponential profile in each case. The characteristic length scales of turbulence were evaluated by both von Karman's method and the integral time scale deduced from the autocorrelation from time-series analyses. Both methods produced comparable values of eddy diffusivity for the cases with some foliage during late autumn, but some discrepancy in the upper canopy layer was observed when the trees did not have their leaves in early spring. It was also found that the eddy diffusivities generally take greater values at higher positions, where the wind speeds are large. Anisotropy of eddy diffusivities between the vertical and horizontal components was also observed, particularly in the cases when the canopy does not have leaves, when the horizontal eddy diffusivities are generally larger than the vertical ones. On the other hand, the anisotropy is less visible when the trees have some foliage during autumn. The effects of topography on the turbulent diffusion were also investigated, including evaluation of the non-zero time-averaged vertical wind velocities. The results show that the effects are marginal for both cases, and can be neglected as far as diffusion in the canopy is concerned