Forward looking information in S&P 500 options

Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not already captured by historical information. Historical information is represented by current levels of volatility and model based forecasts using a variety of volatility models. The VIX index, constructed from S&P 500 options data is the measure of implied volatility used in this study. Once accounting for historical information, VIX appears to contain no forward looking information regarding future S&P 500 volatilityImplied volatility, information, volatility forecasts, volatility models, realized volatility

Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility

Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques are often based on a set assumptions which restrict models to be specified in a linear state-space form. Numerical filtering techniques have been propsed that avoid invoking such restrictive assumptions, thus permitting a wider class of latent variable models to be considered. This paper proposes an accurate yet computationally efficient numerical filtering algorithm (based on a discretisation of the state space) for estimating the general class of dynamic latent variable models. The empirical performance of this algorithm is considered within the context of the stochastic volatility model. It is found that the proposed algorithm outperforms a number of accepted procedures in terms of volatility forecastiNon-linear filtering, latent variable models, stochastic volatility, volatilitry forecasting

Neuropsychological and functional outcomes in recent-onset major depression, bipolar disorder and schizophrenia-spectrum disorders: a longitudinal cohort study

Functional disability is the lead contributor to burden of mental illness. Cognitive deficits frequently limit functional recovery, although whether changes in cognition and disability are longitudinally associated in recent-onset individuals remains unclear. Using a prospective, cohort design, 311 patients were recruited and assessed at baseline. One hundred and sixty-seven patients met eligibility criteria (M = 21.5 years old, s.d. = 4.8) and returned for follow-up (M = 20.6 months later, s.d. = 7.8). Two-hundred and thirty participants were included in the final analysis, comprising clinically stable patients with major depression (n = 71), bipolar disorder (BD; n = 61), schizophrenia-spectrum disorders (n = 35) and 63 healthy controls. Neuropsychological functioning and self-rated functional disability were examined using mixed-design, repeated-measures analysis, across diagnoses and cognitive clusters, covarying for relevant confounds. Clinical, neuropsychological and functional changes did not differ between diagnoses (all P40.05). Three reliable neuropsychological subgroups emerged through cluster analysis, characterized by psychomotor slowing, improved sustained attention, and improved verbal memory. Controlling for diagnosis and changes in residual symptoms, clusters with improved neuropsychological functioning observed greater reductions in functional disability than the psychomotor slowing cluster, which instead demonstrated a worsening in disability (Po0.01). Improved sustained attention was independently associated with greater likelihood of follow-up employment (Po0.01). Diagnosis of BD uniquely predicted both follow-up employment and independent living. Neuropsychological course appears to be independently predictive of subjective and objective functional outcomes. Importantly, cognitive phenotypes may reflect distinct pathophysiologies shared across major psychiatric conditions, and be ideal targets for personalized early intervention

Modelling and Simulation at The University of Liverpool in Support of UK Naval Aviation

Along with the restricted landing area and the rolling, pitching and heaving of the ship's deck, the pilot also needs to contend with the turbulent wake produced by the air flow over the ship's superstructure. There has been significant research in the past decade or more to better understand the flying environment around the ship and how it impacts the helicopter’s handling qualities and pilot workload. Central to this research has been the use of modelling and simulation, with a particular emphasis on understanding the unsteady airflow over the ship and how this is affected by the superstructure geometry. In the UK, this flight simulation research has been led by the Flight Science and Technology Research Group at the University of Liverpool. This paper reviews the research that has been carried out at Liverpool, and how this has led to simulated flight trials to establish a simulated Ship-Helicopter Operating Limits envelope and how modelling and simulation is being used to assess the aerodynamic characteristics of the ship while it is still in the design phase, and to inform at-sea first of class flight trials

3-PG Productivity Modeling of Regenerating Amazon Forests: Climate Sensitivity and Comparison with MODIS-Derived NPP

Potential forest growth predicted by the Physiological Principles in Predicting Growth (3-PG) model was compared for forest and deforested areas in the Legal Amazon to assess potential differing regeneration associated with climate. Historical deforestation and regeneration have occurred in environmentally marginal areas that influence regional carbon sequestration estimates. Effects of El Niño–induced drought further reduce simulated production by decreasing soil water availability in areas with shallow soils and high transpiration potential. The model was calibrated through comparison of literature biomass and with satellite-based estimates. Net primary productivity (NPP) for mature Amazonian forests from the 3-PG model was positively correlated (r 2 = 0.77) with a Moderate Resolution Imaging Spectroradiometer (MODIS)-derived algorithm, though with some bias. Annual total NPP for the study area using a 1961–90 average climatology was 4.6 Pg C yr−1, which decreased to 4.2 Pg C yr−1 when simulated with climate from the severe 1997/98 El Niño event. From a regional analysis, results showed that biomass accumulation is almost entirely controlled by the availability of soil water. Also, areas currently forested in the eastern Amazon are more sensitive to extreme El Niño–induced drought than southern areas with the greatest deforestation extent

Recent increases in water column denitrification in the seasonally suboxic bottom waters of the Santa Barbara Basin

Author Posting. © American Geophysical Union, 2019. This article is posted here by permission of American Geophysical Union for personal use, not for redistribution. The definitive version was published in Geophysical Research Letters 46(12), (2019): 6786-6795, doi:10.1029/2019GL082075.Denitrification in the anoxic sediments of the Santa Barbara Basin has been well documented in the historic and modern record, but the regulation of and frequency with which denitrification occurs in the overlying water column are less understood. Since 2004, the magnitude and speciation of redox active nitrogen species in bottom waters have changed markedly. Most notable are periods of decreased nitrate and increased nitrite concentrations. Here we examine these changes in nitrogen cycling as recorded by the stable isotopes of dissolved nitrate from 2010–2016. When compared to previous studies, our data identify an increase in water column denitrification in the bottom waters of the basin. Observations from inside the basin as well as data from the wider California Current Ecosystem implicate a long‐term trend of decreasing oxygen concentrations as the driver for these observed changes, with ramifications for local benthic communities and regional nitrogen loss.We thank CalCOFI and Shonna Dovel for sample collection and two anonymous reviewers for improving the manuscript. Thanks also to Daniel Sigman for useful discussions, and Zoe Sandwith and Jen Karolewski for help with sample analysis. Data sets presented here were supported in part by CCE‐LTER augmented funding (NSF grant OCE‐1026607). Additional funding came from the Edna Bailey Sussman Foundation and the San Diego Foundation Blasker Environment grant. All data can be accessed at http://calcofi.org and https://oceaninformatics.ucsd.edu/datazoo/catalogs/ccelter/datasets. SDW acknowledges the support of a fellowship through the Hanse‐Wissenschaftskolleg (Institute for Advanced Studies).2019-12-1

Positive practices : solution-focused and narrative therapeutic techniques with children with sexually harmful behaviours

This article explores the use of solution-focused and Narrative Therapeutic approaches with a boy who had sexually harmful behaviours. The paper will highlight the practical challenges of working with someone who is 'problem-saturated' through institutionalisation and who is also subjected to powerful discourses claiming the 'truth' about him. The use of solution-focused and Narrative Therapeutic principles and approaches will be demonstrated in the work described, in a way that allows the reader to reflect on how these may differ from modernist understandings and responses to this behaviour

Superstructure Aerodynamics of the Type 26 Global Combat Ship

The Type 26 City class Global Combat Ship is the latest design of UK frigate. Construction of the first ship, HMS Glasgow, began in July 2017 and the expectation is that it will enter service in the mid-2020s as a replacement for the Royal Navy’s Type 23 Duke class frigates. The main contractor for the design and construction of the ship is BAE Systems Maritime – Naval Ships. The Type 26 superstructure is characterised by its smooth sloping surfaces that are continuous along the ship from the fore deck to the flight deck. The tumblehome design reduces the ship’s radar cross-section, as does the minimisation of curved surfaces and internal corners. The Type 26 also has a bulky mast, also with flat sloping sides, while the funnel casing around the gas turbine exhaust uptake is located aft of the main mast and relatively low on the superstructure. In comparison, the earlier Type 23 has a much more fragmented superstructure with few geometric features for reduced radar reflection; it also has a more slender mast from which the anemometers are mounted, and the exhaust uptakes are higher. Overall the aerodynamics of the stealthy Type 26 frigate will be very different to the previous Type 23, and this will affect the operational envelope of the ship’s helicopters. Recognising the importance of superstructure aerodynamics to the ship design, the University of Liverpool has been working closely with colleagues from BAE to ensure that the air flow over the ship was considered as the superstructure design evolved. The paper will describe how, within the design cycle, Computational Fluid Dynamics (CFD) has been used to analyse the unsteady flow over the full-scale ship. It will show how CFD, together with helicopter flight dynamics modelling, was used to inform design options for the superstructure geometry ahead of the landing deck. CFD was also used to inform options for locating the ship’s anemometers and has been used to predict the dispersion of the ship’s engine exhaust gases and the air temperature distribution in the vicinity of the flight deck. </jats:p

A Resolved Ring of Debris Dust around the Solar Analog HD 107146

We present resolved images of the dust continuum emission from the debris disk around the young (80-200 Myr) solar-type star HD 107146 with CARMA at λ = 1.3 mm and the CSO at λ = 350 μ. Both images show that the dust emission extends over an approximately 10" diameter region. The high-resolution (3") CARMA image further reveals that the dust is distributed in a partial ring with significant decrease in a flux inward of 97 AU. Two prominent emission peaks appear within the ring separated by ~140° in the position angle. The morphology of the dust emission is suggestive of dust captured into a mean motion resonance, which would imply the presence of a planet at an orbital radius of ~45-75 AU