Risk Aversion, Prudence, and the Three-Moment Decision Model for Hedging

The linear two-moment mean-variance (MV) model has been widely used in finance and economic decision analysis as an approximation of Von Neumann-Morgenstern expected utility (EU) model. The introduction of third or higher moments not only can improve the accuracy of the approximation, but is also suitable to represent investors¡¯ skewness preference (prudence) with the latter supported by empirical evidence. The goal of this paper is to develop a general MVS model and compare it and the traditional MV model against the EU model in the setting of an individual producer hedging in the futures market. Results show: 1) the derived linear MVS model maintains the analytical convenience of MV model, 2) it can generate different results as MV, 3) it approximate EU better than MV, and 4) it is more flexible than MV.Risk and Uncertainty,

Efficient multi-point local decoding of Reed-Muller codes via interleaved codex

Reed-Muller codes are among the most important classes of locally correctable codes. Currently local decoding of Reed-Muller codes is based on decoding on lines or quadratic curves to recover one single coordinate. To recover multiple coordinates simultaneously, the naive way is to repeat the local decoding for recovery of a single coordinate. This decoding algorithm might be more expensive, i.e., require higher query complexity. In this paper, we focus on Reed-Muller codes with usual parameter regime, namely, the total degree of evaluation polynomials is d=Θ {q), where q is the code alphabet size (in fact, d can be as big as q/4 in our setting). By introducing a novel variation of codex, i.e., interleaved codex (the concept of codex has been used for arithmetic secret sharing), we are able to locally recover arbitrarily large number k of coordinates of a Reed-Muller code simultaneously with error probability exp (-Ω (k)) at the cost of querying merely O(q2k) coordinates. It turns out that our local decoding of Reed-Muller codes shows (perhaps surprisingly) that accessing k locations is in fact cheaper than repeating the procedure for accessing a single location for k times. Precisely speaking, to get the same success probability by repeating the local decoding algorithm of a single coordinate, one has to query Ω (qk2) coordinates. Thus, the query complexity of our local decoding is smaller for k=Ω (q). If we impose the same query complexity constraint on both algorithm, our local decoding algorithm yields smaller error probability when k=Ω (qq). In addition, our local decoding is efficient, i.e., the decoding complexity is Poly(k,q). Construction of an interleaved codex is based on concatenation of a codex with a multiplication friendly pair, while the main tool to realize codex is based on algebraic function fields (or more precisely, algebraic geometry codes)

A method for measuring the Neel relaxation time in a frozen ferrofluid

We report a novel method of determining the average Neel relaxation time and its temperature dependence by calculating derivatives of the measured time dependence of temperature for a frozen ferrofluid exposed to an alternating magnetic field. The ferrofluid, composed of dextran-coated Fe3O4 nanoparticles (diameter 13.7 nm +/- 4.7 nm), was synthesized via wet chemical precipitation and characterized by x-ray diffraction and transmission electron microscopy. An alternating magnetic field of constant amplitude (H0 = 20 kA/m) driven at frequencies of 171 kHz, 232 kHz and 343 kHz was used to determine the temperature dependent magnetic energy absorption rate in the temperature range from 160 K to 210 K. We found that the specific absorption rate of the ferrofluid decreased monotonically with temperature over this range at the given frequencies. From these measured data, we determined the temperature dependence of the Neel relaxation time and estimate a room-temperature magnetocrystalline anisotropy constant of 40 kJ/m3, in agreement with previously published results

Trends in Elasticity and Electronic Structure of Transition-Metal Nitrides and Carbides from First Principles

The elastic properties of the $B_1$-structured transition-metal nitrides and their carbide counterparts are studied using the {\it ab initio\} density functional perturbation theory. The linear response results of elastic constants are in excellent agreement with those obtained from numerical derivative methods, and are also consistent with measured data. We find the following trends: (1) Bulk moduli $B$ and tetragonal shear moduli $G^{\prime}=(C_{11}-C_{12})/2$, increase and lattice constants $a_{0}$ decrease rightward or downward on the Periodic Table for the metal component or if C is replaced by N; (2) The inequality $B > G^{\prime} > G > 0$ holds for $G=C_{44}$; (3) $G$ depends strongly on the number of valence electrons per unit cell ($Z_{V}$). From the fitted curve of $G$ as a function of $Z_{V}$, we can predict that MoN is unstable in $B_{1}$ structure, and transition-metal carbonitrides ($e.g.$ ZrC$_{x}$N$_{1-x}$) and di-transition-metal carbides ($e.g.$ Hf$_{x}$Ta$_{1-x}$C) have maximum $G$ at $Z_{V} \approx 8.3$.Comment: 4 pages, 2 figures, submitted to PRL. 2 typos in ref. 15 were correcte

The Informational Content And Valuation Ramifications Of Earnings Restatements

This paper analyzes the market responses to different categories of accounting restatements.  Accounting restatements have been occurring with increasing frequency in recent years, generating significant discussion as to their causes and consequences.  We examine both of these dimensions of restatements.  We identify 9 categories into which restatements can be classified.  When examining their valuation consequences, we find statistically significant negative revaluations for the overall sample. However, there is substantial variation in valuation changes across the various categories of restatements.  Investors react the most negatively to restatements resulting from accounting issues (i.e. errors/irregularities/method-changes).  This is greatly magnified when there is a contemporaneous change in the firm’s CEO.  At the other end of the spectrum, we find positive reactions to restatements that reflect and provide the accounting calibration of previously announced settlements of legal issues.  A notable feature of the findings is that for some categories there are valuation changes in response to accounting restatements which are seemingly just recording the implications of previously announced corporate happenings.  In the context of efficient market perspectives, some of these changes at the time of the restatement announcement itself are somewhat surprising

A Probe of New Physics in Top Quark Pair Production at e−e+e^-e^+ Colliders

We describe how to probe new physics through examination of the form factors describing the Ztt couplings via the scattering process e^-e^+->t+tbar. We focus on experimental methods on how the top quark momentum can be determined and show how this can be applied to select polarized samples of $t\bar{t}$ pairs through the angular correlations in the final state leptons. We also study the dependence on the energy and luminosity of an \ee\ collider to probe a CP violating asymmetry at the $10^{-2}$ level.}Comment: 24 pages in TeXsis (figures available upon request) (revised July 1993

Probability-Based Liquefaction Evaluation Using Shear Wave Velocity Measurements

Three preliminary probability-based models and one artificial neural network model for evaluating soil liquefaction potential using shear wave velocity measurements are presented and compared with the deterministic curves developed by Andrus et al. The probability models are developed using logistic regression and Bayesian techniques applied to the same case history data used to develop the deterministic curves. The case history data consists of in situ shear wave velocity measurements at over 70 sites and field performance data from 26 earthquakes. The artificial neural network model is a high-order function capable of tracking the irregular boundary separating individual liquefaction and no liquefaction case histories. From the logistic regression and Bayesian models, the deterministic curve is characterized with a probability of about 30 %. This finding indicates that the shear wave-based deterministic curve and the SPT-based deterministic curve exhibit similar conservatism. The results provide a method for liquefaction risk analysis