Linear and nonlinear filtering in mathematical finance: a review

Copyright @ The Authors 2010This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic volatility modelling. The paper also outlines different approaches to filtering of nonlinear time series

Testing core creation in hydrodynamical simulations using the HI kinematics of field dwarfs

The majority of recent hydrodynamical simulations indicate the creation of central cores in the mass profiles of low-mass halos, a process that is attributed to star formation-related baryonic feedback. Core creation is regarded as one of the most promising solutions to potential issues faced by the lambda cold dark matter (LambdaCDM) cosmology on small scales. For example, the reduced dynamical mass enclosed by cores can explain the low rotational velocities measured for nearby dwarf galaxies, thus possibly lifting the seeming contradiction with the LambdaCDM expectations (the so-called "too big to fail" problem). Here we test core creation as a solution of cosmological issues by using a sample of dwarfs with measurements of their atomic hydrogen (HI) kinematics extending to large radii. Using the NIHAO hydrodynamical simulation as an example, we show that core creation can successfully reproduce the kinematics of dwarfs with small kinematic radii, R <~ 1.5 kpc. However, the agreement with observations becomes poor once galaxies with kinematic measurements extending beyond the core region, R ~ 1.5 - 4 kpc, are considered. This result illustrates the importance of testing the predictions of hydrodynamical simulations that are relevant for cosmology against a broad range of observational samples. We would like to stress that our result is valid only under the following set of assumptions: i) that our sample of dwarfs with HI kinematics is representative of the overall population of field dwarfs, ii) that there are no severe measurement biases in the observational parameters of our HI dwarfs (e.g., related to inclination estimates), and iii) that the HI velocity fields of dwarfs are regular enough to allow the recovery of the true enclosed dynamical mass.Comment: v2 matches version accepted by A&A. About 5 pages, 1 figur

Federal Tax Arrears in Russia: Liquidity Problems, Federal Redistribution, or Regional Resistance?

Three hypotheses about the nature of federal tax arrears in Russia in the second half of the 1990s are tested empirically. Tax arrears can be a result of: 1) liquidity problems in firms, 2) redistribute subsidies of the federal government, or 3) regional political resistance to federal tax collectors. Liquidity problems in firms explain a large part of variation in tax arrears. Regional political resistance to federal tax collectors was also an important factor: For a given level of liquidity, federal arrears accumulated faster in regions where governors had larger popular base, regions with better bargaining position vis-a-vis the center, and regions with governors in political opposition to the center. We find that patterns of federal arrears are inconsistent with redistributive politics premise that redistribution favors jurisdictions with “closer races” for the incumbent on the national elections. Variation in authorized tax deferrals, in part, can be explained by federal redistributive politics.Tax arrears, Regional protection, Russia, Transition, Redistributive politics

An algorithm for moment-matching scenario generation with application to financial portfolio optimization

We present an algorithm for moment-matching scenario generation. This method produces scenarios and corresponding probability weights that match exactly the given mean, the covariance matrix, the average of the marginal skewness and the average of the marginal kurtosis of each individual component of a random vector. Optimisation is not employed in the scenario generation process and thus the method is computationally more advantageous than previous approaches. The algorithm is used for generating scenarios in a mean-CVaR portfolio optimisation model. For the chosen optimisation example, it is shown that desirable properties for a scenario generator are satisfied, including in-sample and out-of-sample stability. It is also shown that optimal solutions vary only marginally with increasing number of scenarios in this example; thus, good solutions can apparently be obtained with a relatively small number of scenarios. The proposed method can be used either on its own as a computationally inexpensive scenario generator or as a starting point for non-convex optimisation based scenario generators which aim to match all the third and the fourth order marginal moments (rather than average marginal moments)

Noncoder : a web interface for exon array-based detection of long non-coding RNAs

Due to recent technical developments, a high number of long non-coding RNAs (lncRNAs) have been discovered in mammals. Although it has been shown that lncRNAs are regulated differently among tissues and disease statuses, functions of these transcripts are still unknown in most cases. GeneChip Exon 1.0 ST Arrays (exon arrays) from Affymetrix, Inc. have been used widely to profile genome-wide expression changes and alternative splicing of protein-coding genes. Here, we demonstrate that re-annotation of exon array probes can be used to profile expressions of tens of thousands of lncRNAs. With this annotation, a detailed inspection of lncRNAs and their isoforms is possible. To allow for a general usage to the research community, we developed a user-friendly web interface called 'noncoder'. By uploading CEL files from exon arrays and with a few mouse clicks and parameter settings, exon array data will be normalized and analysed to identify differentially expressed lncRNAs. Noncoder provides the detailed annotation information of lncRNAs and is equipped with unique features to allow for an efficient search for interesting lncRNAs to be studied further. The web interface is available at http://noncoder.mpi-bn.mpg.de

Genetska studija lipljana (thymallus thymallus) na severu evropskog dela Rusije

U ovom radu je izložen komercijalni i akvakulturni značaj porodice lipljana (Thymallidae) na teritoriji Rusije. Posebna pažnja je poklonjena genetičkim studijama ove familije, uzimajući u obzir da populacije evropskog lipljana u Rusiji još uvek nisu u dovoljnoj meri istražene. Rad zapravo predstavlja polaznu genetičku studiju evropskog lipljana u svrhu konzervacije ove vrste. Studija uključuje prikupljene uzorke od 5 jedinki evropskog lipljana (T. thymallus) iz slivova reka Severna Dvina i Kuloj, 2 sibirska lipljana (T. arcticus) iz sliva reke Ob i jednog uzorka lipljana iz gornjeg toka reke Jenisej. Analiza MtDNA je urađena koristeći 3 fragmenta gena ATP6, CR i COI. Po prvi put su dobijeni genetički podaci riba iz reke Kuloj. Od uzoraka svih riba, jedino su identifikovani haplotipovi evropskog lipljana