Estimating factor models for multivariate volatilities : an innovation expansion method

We introduce an innovation expansion method for estimation of factor models for conditional variance (volatility) of a multivariate time series. We estimate the factor loading space and the number of factors by a stepwise optimization algorithm on expanding the "white noise space". Simulation and a real data example are given for illustration

Modeling Quantum Optical Components, Pulses and Fiber Channels Using OMNeT++

Quantum Key Distribution (QKD) is an innovative technology which exploits the laws of quantum mechanics to generate and distribute unconditionally secure cryptographic keys. While QKD offers the promise of unconditionally secure key distribution, real world systems are built from non-ideal components which necessitates the need to model and understand the impact these non-idealities have on system performance and security. OMNeT++ has been used as a basis to develop a simulation framework to support this endeavor. This framework, referred to as "qkdX" extends OMNeT++'s module and message abstractions to efficiently model optical components, optical pulses, operating protocols and processes. This paper presents the design of this framework including how OMNeT++'s abstractions have been utilized to model quantum optical components, optical pulses, fiber and free space channels. Furthermore, from our toolbox of created components, we present various notional and real QKD systems, which have been studied and analyzed.Comment: Published in: A. F\"orster, C. Minkenberg, G. R. Herrera, M. Kirsche (Eds.), Proc. of the 2nd OMNeT++ Community Summit, IBM Research - Zurich, Switzerland, September 3-4, 201

Revisiting the Simplicity Constraints and Coherent Intertwiners

In the context of loop quantum gravity and spinfoam models, the simplicity constraints are essential in that they allow to write general relativity as a constrained topological BF theory. In this work, we apply the recently developed U(N) framework for SU(2) intertwiners to the issue of imposing the simplicity constraints to spin network states. More particularly, we focus on solving them on individual intertwiners in the 4d Euclidean theory. We review the standard way of solving the simplicity constraints using coherent intertwiners and we explain how these fit within the U(N) framework. Then we show how these constraints can be written as a closed u(N) algebra and we propose a set of U(N) coherent states that solves all the simplicity constraints weakly for an arbitrary Immirzi parameter.Comment: 28 page

Asymptotics of 4d spin foam models

We study the asymptotic properties of four-simplex amplitudes for various four-dimensional spin foam models. We investigate the semi-classical limit of the Ooguri, Euclidean and Lorentzian EPRL models using coherent states for the boundary data. For some classes of geometrical boundary data, the asymptotic formulae are given, in all three cases, by simple functions of the Regge action for the four-simplex geometry.Comment: 10 pages, Proceedings for the 2nd Corfu summer school and workshop on quantum gravity and quantum geometry, talk given by Winston J. Fairbair

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

Optimum harvest time in Aquaculture: an application of economic principles to a Nile tilapia, Oreochromis niloticus (L.), growth model

A simple method is presented for determining the optimum time to harvest fish and the effect of fertilization type on optimum harvest time for Aquaculture. Optimum harvest time was similar for either maximizing fish yield or maximizing profit of fish harvested (price of fish times fish yield minus fish production cost), because the daily change in fish production cost was low for the low-input Nile tilapia, Oreochromis niloticus (L.), production system in Thailand. At a harvest time of 150 days for an organic fertilization treatment compared to an inorganic fertilization treatment fish yield increased from l-505 t/ha to 2-295 t/ha, and profit of fish harvested increased from 15657·1 baht/ha (US$590-8/ha) to 25127·5 baht/ha (US$ 948-2/ha). For the organic treatment, optimum harvest time occurred at 191 days, with a fish yield of 2·328 t/ha and a profit of 25520·5baht/ha (US$963·0/ha), compared to the inorganic treatment where optimum harvest time occurred at 105 days with a fish yield of 1·536 t/ha and a profit of 16035·4baht/ha (US$ 605·1/ha).Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/73931/1/j.1365-2109.1992.tb00807.x.pd

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

Holography in the EPRL Model

In this research announcement, we propose a new interpretation of the EPR quantization of the BC model using a functor we call the time functor, which is the first example of a CLa-ren functor. Under the hypothesis that the universe is in the Kodama state, we construct a holographic version of the model. Generalisations to other CLa-ren functors and connections to model category theory are considered.Comment: research announcement. Latex fil

Physical boundary state for the quantum tetrahedron

We consider stability under evolution as a criterion to select a physical boundary state for the spinfoam formalism. As an example, we apply it to the simplest spinfoam defined by a single quantum tetrahedron and solve the associated eigenvalue problem at leading order in the large spin limit. We show that this fixes uniquely the free parameters entering the boundary state. Remarkably, the state obtained this way gives a correlation between edges which runs at leading order with the inverse distance between the edges, in agreement with the linearized continuum theory. Finally, we give an argument why this correlator represents the propagation of a pure gauge, consistently with the absence of physical degrees of freedom in 3d general relativity.Comment: 20 pages, 6 figure

A New Spin Foam Model for 4d Gravity

Starting from Plebanski formulation of gravity as a constrained BF theory we propose a new spin foam model for 4d Riemannian quantum gravity that generalises the well-known Barrett-Crane model and resolves the inherent to it ultra-locality problem. The BF formulation of 4d gravity possesses two sectors: gravitational and topological ones. The model presented here is shown to give a quantization of the gravitational sector, and is dual to the recently proposed spin foam model of Engle et al. which, we show, corresponds to the topological sector. Our methods allow us to introduce the Immirzi parameter into the framework of spin foam quantisation. We generalize some of our considerations to the Lorentzian setting and obtain a new spin foam model in that context as well.Comment: 40 pages; (v2) published versio