Elements for a Theory of Financial Risks

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on Gaussian statistics), and their practical implementation. Here we describe three interrelated aspects of this program: we first give a brief survey of the peculiar statistical properties of the empirical price fluctuations. We then review how an option pricing theory consistent with these statistical features can be constructed, and compared with real market prices for options. We finally argue that a true `microscopic' theory of price fluctuations (rather than a statistical model) would be most valuable for risk assessment. A simple Langevin-like equation is proposed, as a possible step in this direction.Comment: 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP Science

Consistently Solving the Simplicity Constraints for Spinfoam Quantum Gravity

We give an independent derivation of the Engle-Pereira-Rovelli spinfoam model for quantum gravity which recently appeared in [arXiv:0705.2388]. Using the coherent state techniques introduced earlier in [arXiv:0705.0674], we show that the EPR model realizes a consistent imposition of the simplicity constraints implementing general relativity from a topological BF theory.Comment: 6 pages, 2 figures, v2: typos correcte

Prototypes for Content-Based Image Retrieval in Clinical Practice

Content-based image retrieval (CBIR) has been proposed as key technology for computer-aided diagnostics (CAD). This paper reviews the state of the art and future challenges in CBIR for CAD applied to clinical practice

Limited genetic variation and structure in softshell clams (Mya arenaria) across their native and introduced range

Author Posting. © Springer, 2009. This is the author's version of the work. It is posted here by permission of Springer for personal use, not for redistribution. The definitive version was published in Conservation Genetics 10 (2009): 803-814, doi:10.1007/s10592-008-9641-y.To offset declines in commercial landings of the softshell clam, Mya arenaria, resource managers are engaged in extensive stocking of seed clams throughout its range in the northwest Atlantic. Because a mixture of native and introduced stocks can disrupt locally adapted genotypes, we investigated genetic structure in M. arenaria populations across its current distribution to test for patterns of regional differentiation. We sequenced mitochondrial cytochrome oxidase I (COI) for a total of 212 individuals from 12 sites in the northwest Atlantic (NW Atlantic), as well as two introduced sites, the northeast Pacific (NE Pacific) and the North Sea and Europe (NS Europe). Populations exhibited extremely low genetic variation, with one haplotype dominating (65-100%) at all sites sampled. Despite being introduced in the last 150-400 years, both NE Pacific and NS Europe populations had higher diversity measures than those in the NW Atlantic and both contained private haplotypes at frequencies of 10% to 27% consistent with their geographic isolation. While significant genetic structure (FST = 0.159, p<0.001) was observed between NW Atlantic and NS Europe, there was no evidence for genetic structure across the pronounced environmental clines of the NW Atlantic. Reduced genetic diversity in mtDNA combined with previous studies reporting reduced genetic diversity in nuclear markers strongly suggests a recent population expansion in the NW Atlantic, a pattern that may result from the retreat of ice sheets during Pleistocene glacial periods. Lack of genetic diversity and regional genetic differentiation suggests that present management strategies for the commercially important softshell clam are unlikely to have a significant impact on the regional distribution of genetic variation, although the possibility of disrupting locally adapted stocks cannot be excluded.This work was supported by NSF grants OCE-0326734 and OCE-0215905 to L. Mullineaux and OCE- 0349177 (Biological Oceanography) to PHB

Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model

In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student’s-t innovation, copula functions and extreme value theory. A Bayesian Markov-switching GJR-GARCH(1,1) model that identifies non-constant volatility over time and allows the GARCH parameters to vary over time following a Markov process, is combined with copula functions and EVT to formulate the Bayesian Markov-switching GJR-GARCH(1,1) copula-EVT VaR model, which is then used to forecast the level of risk on financial asset returns. We further propose a new method for threshold selection in EVT analysis, which we term the hybrid method. Empirical and back-testing results show that the proposed VaR models capture VaR reasonably well in periods of calm and in periods of crisis

Entrepreneurial-intention constraint model: A comparative analysis among post-graduate management students in India, Singapore and Malaysia

YesAlthough literature on entrepreneurship has increasingly focused on intention-based models, not much emphasis has been laid on understanding the combined effect of contextual and situational factors along with support of university environment on the formation of entrepreneurial intention among students. In an effort to make up for this shortfall, by taking Theory of Planned Behavior as basic framework, the present study seeks to understand the influence of three of the most important factors, viz. (a) endogenous barriers, (b) exogenous environment, and (c) university environment and support on the entrepreneurial intention among management students. The study sample consisted of 1,097 students, wherein 526 students were from India, 252 from Singapore, and 319 were from Malaysia. The results indicates that along with positive attitude and perceived behavioral control that directly influences entrepreneurial intention, university environment and support and exogenous environment also have an indirect but significant impact on shaping of entrepreneurial intention among students. With this, it was found that exogenous environment was found to have a negative relationship with both attitude towards behavior and perceived behavioral control for all three countries.The full-text of this article will be released for public view at the end of the publisher embargo on 2 Jun 2018