ESSAYS ON EMPIRICAL ASSET PRICING

This dissertation contains two essays empirically exploring the equity option markets. Chapter 1 studies the role played by institutional investors in determining equity option returns. In this chapter, I study whether institutional stock holdings predict equity option returns. I find that institutional concentration in the underlying stock negatively predicts the cross-section of corresponding option returns. Evidence is consistent with a hedging and demand pressure channel: For stocks with more concentrated ownership, some institutional holders are more likely to overweight them and demand more of their options to hedge. To absorb the order imbalances, dealers sell options and charge higher prices, leading to lower option returns. Using option holdings of U.S. equity mutual funds, I document a positive correlation between funds' stock concentration and their option share in the same firms. In Chapter 2 (joint with Steven Heston), we improve continuous-time variance swap approximation formulas to derive exact returns on benchmark VIX option portfolios. The new methodology preserves the variance swap interpretation that decomposes returns into realized variance and option implied-variance. We apply this new methodology to explore return momentum on option portfolios across different S&P 500 stocks. We find that stock options with high historical returns continue to outperform options with low returns. This predictability has a quarterly pattern, resembling the pattern of stock momentum found by Heston and Sadka (2008). In contrast to stock momentum, option momentum lasts for up to five years, and does not reverse

Boosting Adversarial Attacks by Leveraging Decision Boundary Information

Due to the gap between a substitute model and a victim model, the gradient-based noise generated from a substitute model may have low transferability for a victim model since their gradients are different. Inspired by the fact that the decision boundaries of different models do not differ much, we conduct experiments and discover that the gradients of different models are more similar on the decision boundary than in the original position. Moreover, since the decision boundary in the vicinity of an input image is flat along most directions, we conjecture that the boundary gradients can help find an effective direction to cross the decision boundary of the victim models. Based on it, we propose a Boundary Fitting Attack to improve transferability. Specifically, we introduce a method to obtain a set of boundary points and leverage the gradient information of these points to update the adversarial examples. Notably, our method can be combined with existing gradient-based methods. Extensive experiments prove the effectiveness of our method, i.e., improving the success rate by 5.6% against normally trained CNNs and 14.9% against defense CNNs on average compared to state-of-the-art transfer-based attacks. Further we compare transformers with CNNs, the results indicate that transformers are more robust than CNNs. However, our method still outperforms existing methods when attacking transformers. Specifically, when using CNNs as substitute models, our method obtains an average attack success rate of 58.2%, which is 10.8% higher than other state-of-the-art transfer-based attacks

Genetic algorithm based optimization for terahertz time-domain adaptive sampling

We propose a genetic algorithm (GA) based method to improve the sampling efficiency in THz time domain spectroscopy (THz-TDS). For a typical time domain THz signal, most information are contained in a short region of the pulse which needs to be densely sampled, while the other regions fluctuating around zero can be represented by fewer points. Based on this clustering feature of the THz signal, we can use much fewer sampling points and optimize the distribution by using a GA to achieve an accurate scanning in less time. Both reflection and transmission measurements were conducted to experimentally verify the performance. The measurement results show that the sampling time can be greatly reduced while maintaining very high accuracy both in the time-domain and frequency-domain compared with a high-resolution step scan. This method significantly improves the measurement efficiency. It can be easily adapted to most THz-TDS systems equipped with a mechanical delay stage for fast detection and THz imaging

Numerical study of the fluid fracturing mechanism of granite at the mineral grain scale

Hydraulic fracturing is an essential technique for reservoir stimulation in the process of deep energy exploitation. Granite is composed of different rock-forming minerals and exhibits obvious heterogeneity at the mesoscale, which affects the strength and deformation characteristics of rocks and controls the damage and failure processes. Therefore, in this paper, based on the discrete element fluid-solid coupling algorithm and multiple parallel bond-grain based model (Multi Pb-GBM), a numerical model of a granite hydraulic fracturing test is established to study the evolution of hydraulic fractures in crystalline granite under different ground stress conditions. The main conclusions are as follows. The crack propagation of hydraulic fractures in granite is determined by the in situ stress state, crystal size, and mineral distribution, and the ground stress is the main controlling factor. The final fracture mode affects the maximum principal stress and shear stress, and the generation of cracks changes the distribution of the stress field. The hydraulic fracturing initiation pressure decreases with decreasing crystal size. The influence of the crystal size on the crack inclination angle is mainly reflected in local areas, and the general trend of the fissure dip angle distribution is along the direction of the maximum in situ stress. This study not only has important theoretical significance for clarifying the propagation mechanism of hydraulic fractures but also provides a theoretical basis for deep reservoir reconstruction and energy extraction

BiTCAN: An emotion recognition network based on saliency in brain cognition

In recent years, with the continuous development of artificial intelligence and brain-computer interfaces, emotion recognition based on electroencephalogram (EEG) signals has become a prosperous research direction. Due to saliency in brain cognition, we construct a new spatio-temporal convolutional attention network for emotion recognition named BiTCAN. First, in the proposed method, the original EEG signals are de-baselined, and the two-dimensional mapping matrix sequence of EEG signals is constructed by combining the electrode position. Second, on the basis of the two-dimensional mapping matrix sequence, the features of saliency in brain cognition are extracted by using the Bi-hemisphere discrepancy module, and the spatio-temporal features of EEG signals are captured by using the 3-D convolution module. Finally, the saliency features and spatio-temporal features are fused into the attention module to further obtain the internal spatial relationships between brain regions, and which are input into the classifier for emotion recognition. Many experiments on DEAP and SEED (two public datasets) show that the accuracies of the proposed algorithm on both are higher than 97%, which is superior to most existing emotion recognition algorithms

Data-Driven Distributed Optical Vibration Sensors: A Review

Distributed optical vibration sensors (DOVS) have attracted much attention recently since it can be used to monitor mechanical vibrations or acoustic waves with long reach and high sensitivity. Phase-sensitive optical time domain reflectometry (Φ-OTDR) is one of the most commonly used DOVS schemes. For Φ-OTDR, the whole length of fiber under test (FUT) works as the sensing instrument and continuously generates sensing data during measurement. Researchers have made great efforts to try to extract external intrusions from the redundant data. High signal-to-noise ratio (SNR) is necessary in order to accurately locate and identify external intrusions in Φ-OTDR systems. Improvement in SNR is normally limited by the properties of light source, photodetector and FUT. But this limitation can also be overcome by post-processing of the received optical signals. In this context, detailed methodologies of SNR enhancement post-processing algorithms in Φ-OTDR systems have been described in this paper. Furthermore, after successfully locating the external vibrations, it is also important to identify the types of source of the vibrations. Pattern classification is a powerful tool in recognizing the intrusion types from the vibration signals in practical applications. Recent reports of Φ-OTDR systems employed with pattern classification algorithms are subsequently reviewed and discussed. This thorough review will provide a design pathway for improving the performance of Φ-OTDR while maintaining the cost of the system as no additional hardware is required

Transcranial Direct Current Stimulation of the Right Lateral Prefrontal Cortex Changes a priori Normative Beliefs in Voluntary Cooperation

A priori normative beliefs, the precondition of social norm compliance that reflects culture and values, are considered unique to human social behavior. Previous studies related to the ultimatum game revealed that right lateral prefrontal cortex (rLPFC) has no stimulation effects on normative beliefs. However, no research has focused on the effects of a priori belief on the rLPFC in voluntary cooperation attached to the public good (PG) game. In this study, we used a linear asymmetric PG to confirm the influence of the rLPFC on a priori normative beliefs without threats of external punishment through transcranial direct current stimulation (tDCS). Participants engaged via computer terminals in groups of four (i.e., two high-endowment players with 35G$and two low-endowment players with 23G$). They were anonymous and had no communication during the entire process. They were randomly assigned to receive 15 min of either anodal, cathodal, or sham stimulation and then asked to answer questions concerning a priori normative beliefs (norm.belief and pg.belief). Results suggested that anodal/cathodal tDCS significantly (P < 0.001) shifted the participants’ a priori normative beliefs in opposite directions compared to the shift in the sham group. In addition, different identities exhibited varying degrees of change (28.80–54.43%). These outcomes provide neural evidence of the rLPFC mechanism’s effect on the normative beliefs in voluntary cooperation based on the PG framework

Neural Dynamics of Processing Probability Weight and Monetary Magnitude in the Evaluation of a Risky Reward

Risky decision-making involves risky reward valuation, choice, and feedback processes. However, the temporal dynamics of risky reward processing are not well understood. Using event-related brain potential, we investigated the neural correlates of probability weight and money magnitude in the evaluation of a risky reward. In this study, each risky choice consisted of two risky options, which were presented serially to separate decision-making and option evaluation processes. The early P200 component reflected the process of probability weight, not money magnitude. The medial frontal negativity (MFN) reflected both probability weight and money magnitude processes. The late positive potential (LPP) only reflected the process of probability weight. These results demonstrate distinct temporal dynamics for probability weight and money magnitude processes when evaluating a risky outcome, providing a better understanding of the possible mechanism underlying risky reward processing

Comprehensive analysis of the association between inflammation indexes and complications in patients undergoing pancreaticoduodenectomy

BackgroundDuring clinical practice, routine blood tests are commonly performed following pancreaticoduodenectomy (PD). However, the relationship between blood cell counts, inflammation-related indices, and postoperative complications remains unclear.MethodWe conducted a retrospective study, including patients who underwent PD from October 2018 to July 2023 at the First Hospital of Chongqing Medical University, and compared baseline characteristics and clinical outcomes among different groups. Neutrophil count (NC), platelet count (PLT), lymphocyte count (LC), systemic immune-inflammation index (SII), platelet-to-lymphocyte ratio (PLR), neutrophil-to-lymphocyte ratio (NLR), and the product of platelet count and neutrophil count (PPN) were derived from postoperative blood test results. We investigated the association between these indicators and outcomes using multivariable logistic regression and restricted cubic spline analysis. The predictive performance of these indicators was assessed by the area under the curve (AUC) of the receiver operating characteristic (ROC) curve and decision curve analysis (DCA).ResultA total of 232 patients were included in this study. Multivariate logistic regression and restricted cubic spline analysis showed that all indicators, except for PLT, were associated with clinical postoperative pancreatic fistula (POPF). SII, NLR, and NC were linked to surgical site infection (SSI), while SII, NLR, and PLR were correlated with CD3 complication. PLT levels were related to postoperative hemorrhage. SII (AUC: 0.729), NLR (AUC: 0.713), and NC (AUC: 0.706) effectively predicted clinical POPF.ConclusionIn patients undergoing PD, postoperative inflammation-related indices and blood cell counts are associated with various complications. NLR and PLT can serve as primary indicators post-surgery for monitoring complications