Volatility Comovement: A Multifrequency Approach

We implement a multifrequency volatility decomposition of three exchange rates and show that components with similar durations are strongly correlated across series. This motivates a bivariate extension of the Markov-Switching Multifractal (MSM) introduced in Calvet and Fisher (2001, 2004). Bivariate MSM is a stochastic volatility model with a closed-form likelihood. Estimation can proceed by ML for state spaces of moderate size, and by simulated likelihood via a particle filter in high-dimensional cases. We estimate the model and confirm its main assumptions in likelihood ratio tests. Bivariate MSM compares favorably to a standard multivariate GARCH both in- and out-of-sample. We extend the model to multivariate settings with a potentially large number of assets by proposing a parsimonious multifrequency factor structure.

Texting While Driving: Evaluation of Glance Distributions for Frequent/Infrequent Texters and Keypad/Touchpad Texters

The threat that cell-phones pose to driving has been a well researched topic. There are fewer studies of the threat that texting creates for drivers, but the risks are obvious and the few existing studies confirm this. What is not obvious is whether frequent texters will expose themselves to the same risks as infrequent texters. This is important to know because many texters, especially teens who text frequently, may consider themselves immune to the dangers of texting while driving. As such, a comparison of frequent and infrequent texters was undertaken on a driving simulator. It is also not immediately clear what effects the different types of interfaces have on driving performance while text messaging. The interfaces under evaluation included keypad or “qwerty” phones (e.g., Blackberries) and touchpad phones (iPhone). It was found that the frequent and infrequent texters were equally likely to glance at least once for more than 2s inside the vehicle while sending a text message. It was also found that touchpad texters had a larger number of glances above the 2s threshold than keypad users, though this difference was not significant. The implications of this for future public policy are discussed

Large Reductions Are Possible in Older Driver Crashes at Intersections

Among all crash types, the largest percentage of older driver fatalities occur at intersections. Many explanations have been offered for older drivers\u27 increased risks of crashing at intersections; however, only recently was it determined that older drivers were much less likely to glance for latent threats after entering an intersection than middle-aged drivers. In response, training programmes were designed to increase the frequency of such glances. The programmes have proven effective, doubling the frequency of these glances for up to a period of two years post-training. The programmes take only an hour to administer and are not directly targeted at remediating any of the underlying declines in cognitive, visual or motor function that can explain the decrease in the frequency of glances for threat vehicles among older drivers. The first question we addressed was, what are the basic declines that can explain the decrease in glances for threat vehicles? The second question we addressed was, how did the training programme achieve the results it did without directly addressing these declines? We hypothesise that drivers are learning to decouple hand, foot and head movements in the training programmes and that this serialisation of behaviour essentially sidesteps the major declines in cognitive, visual and motor functions. We provide evidence that the assumptions of the decoupling hypothesis about the capabilities of older drivers when the movements are decoupled, are consistent with the evidence from existing experiments. More research is needed to evaluate this hypothesis

Improving the reliability of wind power through spatially distributed wind generation

Wind power is a fast-growing, sustainable energy source. However, the problem of wind variability as it relates to wind power reliability is an obstacle to its large-scale deployment. It is possible to improve the reliability of wind power by interconnecting wind generation. In this study, wind power plants within the Midwest ISO were aggregated to examine the effect on reliability. Wind speed data from the North American Regional Reanalysis were used to calculate wind power data. It was found that the reliability of interconnected wind power was improved relative to individual wind power plants in both the short-term and the long-term, and that the most significant improvements were at the highest scales of interconnection. It was also found that the reliability of interconnected wind power is more directly related to the area of the network rather than the number of wind power plants in the network

Ethical Decision Making Behind the Wheel – A Driving Simulator Study

Over the past several years, there has been considerable debate surrounding ethical decision making in situations resulting in inevitable casualties. Given enough time and all other things being equal, studies show that drivers will typically decide to strike the fewest number of pedestrians in scenarios where there is a choice between striking several versus one or no pedestrians. However, it is unclear whether drivers behave similarly under situations of time pressure. In our experiment in a driving simulator, 32 drivers were given up to 2 s to decide which group of pedestrians to avoid among groups of larger (5) or smaller (≤1) number of pedestrians. Our findings suggest that while people frequently choose utilitarian decisions in the typical, abstract manifestations of the Trolley Problems, drivers can fail to make utilitarian decisions in simulated driving environments under a restricted period of time representative of the time they would have to make the same decision in the real world (2 s). Analysis of eye movement data shows that drivers are less likely to glance at left and right sides of crosswalks under situations of time duress. Our results raise critical engineering and ethical questions. From a cognitive engineering standpoint, we need to know how long at minimum a driver needs to make simple, moral decisions in different scenarios. From an ethical standpoint, we may need to evaluate whether automated vehicle algorithms can aid decision making on our behalf when there is not enough time for a driver to make a moral decision

Modeling DNA beacons at the mesoscopic scale

We report model calculations on DNA single strands which describe the equilibrium dynamics and kinetics of hairpin formation and melting. Modeling is at the level of single bases. Strand rigidity is described in terms of simple polymer models; alternative calculations performed using the freely rotating chain and the discrete Kratky-Porod models are reported. Stem formation is modeled according to the Peyrard-Bishop-Dauxois Hamiltonian. The kinetics of opening and closing is described in terms of a diffusion-controlled motion in an effective free energy landscape. Melting profiles, dependence of melting temperature on loop length, and kinetic time scales are in semiquantitative agreement with experimental data obtained from fluorescent DNA beacons forming poly(T) loops. Variation in strand rigidity is not sufficient to account for the large activation enthalpy of closing and the strong loop length dependence observed in hairpins forming poly(A) loops. Implications for modeling single strands of DNA or RNA are discussed.Comment: 15 pages, 17 figures, submitted to Eur. J. Phys.

Can Young Drivers Learn to Anticipate Hidden Hazards: A Driving Simulator Study

Modern technology makes possible improvements in training programs designed to develop young drivers’ abilities to anticipate hazardous situations. These improvements which come from increases in the range of scenarios to which young drivers are exposed and the number of times young drivers can practice the skills they are learning. In this study, a new Flash-based, PC training program that runs on the web, Road Aware® (RA), is evaluated using a driving simulator. The program was developed by State Farm. Twenty-four young trained drivers and twenty four young untrained drivers were asked to drive various simulated hazardous scenarios while their gaze was monitored by an eye tracking system. The results show that trained drivers were more likely to anticipate hazards than their untrained peers, a difference which was present for both near transfer (scenarios that appeared in training) and far transfer scenarios. The effectiveness of RA is compared with other hazard anticipation training programs that were evaluated on a driving simulator and in the field. It appears every bit as effective in general and more effective for some scenarios. Additionally, there is evidence suggesting that, for the first time, young drivers can be trained to anticipate hazards as well as drivers who are older and more experienced

The effects of age on associations between markers of HIV progression and markers of metabolic function including albumin, haemoglobin and lipid concentrations.

OBJECTIVES: We investigated whether age modified associations between markers of HIV progression, CD4 T lymphocyte count and HIV RNA viral load (VL), and the following markers of metabolic function: albumin, haemoglobin, high-density lipoprotein cholesterol (HDL-C), low-density lipoprotein cholesterol (LDL-C) and total cholesterol (TC). METHODS: A retrospective analysis of data from the United Kingdom Collaborative HIV Cohort was carried out. Analyses were limited to antiretroviral-naïve subjects to focus on the impact of HIV disease itself. A total of 16670 subjects were included in the analysis. Multilevel linear regression models assessed associations between CD4 count/VL and each of the outcomes. Statistical tests for interactions assessed whether associations differed among age groups. RESULTS: After adjustment for gender and ethnicity, there was evidence that lower CD4 count and higher VL were associated with lower TC, LDL-C, haemoglobin and albumin concentrations but higher triglyceride concentrations. Age modified associations between CD4 count and albumin (P 50 years, a 50 cells/μL lower CD4 count correlated with a 2.4 [95% confidence interval (CI) 1.7-3.0], 3.6 (95% CI 3.2-4.0) and 5.1 (95% CI 4.0-6.1) g/L lower haemoglobin concentration and a 0.09 (95% CI 0.07-0.11), 0.12 (95% CI 0.11-0.13) and 0.16 (95% CI 0.13-0.19) g/L lower albumin concentration, respectively. CONCLUSIONS: We present evidence that age modifies associations between CD4 count and plasma albumin and haemoglobin levels. A given reduction in CD4 count was associated with a greater reduction in haemoglobin and albumin concentrations among older people living with HIV. These findings increase our understanding of how the metabolic impact of HIV is influenced by age

Classical dimers on the triangular lattice

We study the classical hard-core dimer model on the triangular lattice. Following Kasteleyn's fundamental theorem on planar graphs, this problem is soluble by Pfaffians. This model is particularly interesting for, unlike the dimer problems on the bipartite square and hexagonal lattices, its correlations are short ranged with a correlation length of less than one lattice constant. We compute the dimer-dimer and monomer-monomer correlators, and find that the model is deconfining: the monomer-monomer correlator falls off exponentially to a constant value sin(pi/12)/sqrt(3) = .1494..., only slightly below the nearest-neighbor value of 1/6. We also consider the anisotropic triangular lattice model in which the square lattice is perturbed by diagonal bonds of one orientation and small fugacity. We show that the model becomes non-critical immediately and that this perturbation is equivalent to adding a mass term to each of two Majorana fermions that are present in the long wavelength limit of the square-lattice problem.Comment: 15 pages, 5 figures. v2: includes analytic value of monomer-monomer correlator, changes titl