Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSM), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research. --Method of simulated moments,moment coverage ratio,herding,discrete choice approach,transition probability approach

Why a simple herding model may generate the stylized facts of daily returns: Explanation and estimation

The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model's goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified. --structural stochastic volatility,method of simulated moments,autocorrelation pattern,fat tails,bootstrapped p-values

Risk and return of open-end real estate funds : the German case

Open-end real estate funds (so called “Offene Immobilienfonds”) play a major role in the German market for securitised real estate investments. Such funds are pools of money from many investors, which are invested in real estate by special investment management companies. This study seeks to identify the risk and return profile of this investment vehicle (before and after income taxes), to compare them with those of other major asset classes, and to provide implications for their appropriate role in a mixed-asset portfolio. Addition-ally, an overview of the institutional architecture and role of German open-end real estate funds is given. Empirical evidence suggests that the financial characteristics of open-end real estate funds are in many respects similar to those reported for direct real estate invest-ments. Accordingly, German open-end real estate funds qualify for medium and long-term investment horizons, rather than for shorter holding periods

Finding the ground state of the Hubbard model by variational methods on a quantum computer with gate errors

A key goal of digital quantum computing is the simulation of fermionic systems such as molecules or the Hubbard model. Unfortunately, for present and near-future quantum computers the use of quantum error correction schemes is still out of reach. Hence, the finite error rate limits the use of quantum computers to algorithms with a low number of gates. The variational Hamiltonian ansatz (VHA) has been shown to produce the ground state in good approximation in a manageable number of steps. Here we study explicitly the effect of gate errors on its performance. The VHA is inspired by the adiabatic quantum evolution under the influence of a time-dependent Hamiltonian, where the - ideally short - fixed Trotter time steps are replaced by variational parameters. The method profits substantially from quantum variational error suppression, e.g., unitary quasi-static errors are mitigated within the algorithm. We test the performance of the VHA when applied to the Hubbard model in the presence of unitary control errors on quantum computers with realistic gate fidelities.Comment: 5+1 pages, 2 figures, 3 table

Die Persistenz von Institutionen - Hindernisse auf dem Weg zu einer nachhaltigen Flächennutzungspolitik in Deutschland

Sollen in Zukunft ambitionierte Ziele der nachhaltigen Flächennutzung erreicht werden, wie zum Beispiel das 30-Hektar-Ziel aus der Nachhaltigkeitsstrategie der rot-grünen Bundesregierung aus dem Jahre 2002, dann müssen politische Strategien gefunden werden, die es erlauben, weitgehende institutionelle Reformen zu verwirklichen. Die Voraussetzung dazu ist, vorhandene institutionelle Persistenzen und damit Reformblockaden zu identifizieren. Aufbauend auf theoretische Überlegungen widmet sich der Aufsatz einer Erörterung der Persistenz von Institutionen der Flächennutzung, um daraus politische Handlungsbeschränkungen und -spielräume ableiten zu können

An adolescent with significant emotional and medically unexplained complaints: case report and proposal of an intervention

Background: Ethiopia is a country in which child and adolescent mental health needs are often not met. In order to promote capacity building, a Collaborative International Exchange Programme has been established between Jimma University at Jimma, Ethiopia, and Ludwig-Maximilian University in Munich, Germany. The programme focuses on training non-physician health professionals in mental health speciality. One of the courses in the training programme, child psychiatry, involves a child psychiatrist and a children's nurse supporting the management of a patient described in this case report. Its conceptual framework is based on the section "significant emotional and medically unexplained complaints" of the "WHO mental health GAP intervention guide for mental, neurological and substance use disorders in non-specialized health settings". Objective: The purpose of this case report is to promote confidence in mental health professionals when managing patients with similar conditions, and to stimulate further evaluation of the conceptual approach in developing countries. Patient: The subject of this case report is a 14-year-old adolescent girl admitted to the psychiatric clinic at Jimma University Teaching Hospital. She was admitted for intractable retching, inability to eat, weight loss, and inability to walk. Challenges included the combination of medical and psychiatric symptoms, and the significant impairment of functioning in this adolescent. The first aim in the management of this patient was to guarantee vital functions. In a problem-oriented approach, different domains were addressed to restore nutritional, social, emotional, and motor functions. Treatment consisted of various elements of psychosocial interventions. The patient improved in 2 weeks and the final diagnosis was conversion disorder. Conclusion: Psychosocial interventions can be developed in cooperation, and applied in a setting where little child mental health expertise is available. Case-based learning relying on local expertise is suitable in meeting local needs and in developing mental health services for children and adolescents

An adolescent with significant emotional and medically unexplained complaints: case report and proposal of an intervention

Background: Ethiopia is a country in which child and adolescent mental health needs are often not met. In order to promote capacity building, a Collaborative International Exchange Programme has been established between Jimma University at Jimma, Ethiopia, and Ludwig-Maximilian University in Munich, Germany. The programme focuses on training non-physician health professionals in mental health speciality. One of the courses in the training programme, child psychiatry, involves a child psychiatrist and a children's nurse supporting the management of a patient described in this case report. Its conceptual framework is based on the section "significant emotional and medically unexplained complaints" of the "WHO mental health GAP intervention guide for mental, neurological and substance use disorders in non-specialized health settings". Objective: The purpose of this case report is to promote confidence in mental health professionals when managing patients with similar conditions, and to stimulate further evaluation of the conceptual approach in developing countries. Patient: The subject of this case report is a 14-year-old adolescent girl admitted to the psychiatric clinic at Jimma University Teaching Hospital. She was admitted for intractable retching, inability to eat, weight loss, and inability to walk. Challenges included the combination of medical and psychiatric symptoms, and the significant impairment of functioning in this adolescent. The first aim in the management of this patient was to guarantee vital functions. In a problem-oriented approach, different domains were addressed to restore nutritional, social, emotional, and motor functions. Treatment consisted of various elements of psychosocial interventions. The patient improved in 2 weeks and the final diagnosis was conversion disorder. Conclusion: Psychosocial interventions can be developed in cooperation, and applied in a setting where little child mental health expertise is available. Case-based learning relying on local expertise is suitable in meeting local needs and in developing mental health services for children and adolescents