Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Colored Group Field Theory

Group field theories are higher dimensional generalizations of matrix models. Their Feynman graphs are fat and in addition to vertices, edges and faces, they also contain higher dimensional cells, called bubbles. In this paper, we propose a new, fermionic Group Field Theory, posessing a color symmetry, and take the first steps in a systematic study of the topological properties of its graphs. Unlike its bosonic counterpart, the bubbles of the Feynman graphs of this theory are well defined and readily identified. We prove that this graphs are combinatorial cellular complexes. We define and study the cellular homology of this graphs. Furthermore we define a homotopy transformation appropriate to this graphs. Finally, the amplitude of the Feynman graphs is shown to be related to the fundamental group of the cellular complex

Topological Graph Polynomials in Colored Group Field Theory

In this paper we analyze the open Feynman graphs of the Colored Group Field Theory introduced in [arXiv:0907.2582]. We define the boundary graph \cG_{\partial} of an open graph \cG and prove it is a cellular complex. Using this structure we generalize the topological (Bollobas-Riordan) Tutte polynomials associated to (ribbon) graphs to topological polynomials adapted to Colored Group Field Theory graphs in arbitrary dimension

Bubbles and jackets: new scaling bounds in topological group field theories

We use a reformulation of topological group field theories in 3 and 4 dimensions in terms of variables associated to vertices, in 3d, and edges, in 4d, to obtain new scaling bounds for their Feynman amplitudes. In both 3 and 4 dimensions, we obtain a bubble bound proving the suppression of singular topologies with respect to the first terms in the perturbative expansion (in the cut-off). We also prove a new, stronger jacket bound than the one currently available in the literature. We expect these results to be relevant for other tensorial field theories of this type, as well as for group field theory models for 4d quantum gravity.Comment: v2: Minor modifications to match published versio

The 1/N expansion of colored tensor models

In this paper we perform the 1/N expansion of the colored three dimensional Boulatov tensor model. As in matrix models, we obtain a systematic topological expansion, with more and more complicated topologies suppressed by higher and higher powers of N. We compute the first orders of the expansion and prove that only graphs corresponding to three spheres S^3 contribute to the leading order in the large N limit.Comment: typos corrected, references update

Holomorphic Factorization for a Quantum Tetrahedron

We provide a holomorphic description of the Hilbert space H(j_1,..,j_n) of SU(2)-invariant tensors (intertwiners) and establish a holomorphically factorized formula for the decomposition of identity in H(j_1,..,j_n). Interestingly, the integration kernel that appears in the decomposition formula turns out to be the n-point function of bulk/boundary dualities of string theory. Our results provide a new interpretation for this quantity as being, in the limit of large conformal dimensions, the exponential of the Kahler potential of the symplectic manifold whose quantization gives H(j_1,..,j_n). For the case n=4, the symplectic manifold in question has the interpretation of the space of "shapes" of a geometric tetrahedron with fixed face areas, and our results provide a description for the quantum tetrahedron in terms of holomorphic coherent states. We describe how the holomorphic intertwiners are related to the usual real ones by computing their overlap. The semi-classical analysis of these overlap coefficients in the case of large spins allows us to obtain an explicit relation between the real and holomorphic description of the space of shapes of the tetrahedron. Our results are of direct relevance for the subjects of loop quantum gravity and spin foams, but also add an interesting new twist to the story of the bulk/boundary correspondence.Comment: 45 pages; published versio

Stochastic volatility and leverage effect

We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''. This quantitative measure allows us to fully estimate all parameters involved and it will entail a deeper study on correlated stochastic volatility models with practical applications on option pricing and risk management.Comment: 4 pages, 2 figure

Quantum simplicial geometry in the group field theory formalism: reconsidering the Barrett-Crane model

A dual formulation of group field theories, obtained by a Fourier transform mapping functions on a group to functions on its Lie algebra, has been proposed recently. In the case of the Ooguri model for SO(4) BF theory, the variables of the dual field variables are thus so(4) bivectors, which have a direct interpretation as the discrete B variables. Here we study a modification of the model by means of a constraint operator implementing the simplicity of the bivectors, in such a way that projected fields describe metric tetrahedra. This involves a extension of the usual GFT framework, where boundary operators are labelled by projected spin network states. By construction, the Feynman amplitudes are simplicial path integrals for constrained BF theory. We show that the spin foam formulation of these amplitudes corresponds to a variant of the Barrett-Crane model for quantum gravity. We then re-examin the arguments against the Barrett-Crane model(s), in light of our construction.Comment: revtex, 24 page