Bayesian inference with an adaptive proposal density for GARCH models

We perform the Bayesian inference of a GARCH model by the Metropolis-Hastings algorithm with an adaptive proposal density. The adaptive proposal density is assumed to be the Student's t-distribution and the distribution parameters are evaluated by using the data sampled during the simulation. We apply the method for the QGARCH model which is one of asymmetric GARCH models and make empirical studies for for Nikkei 225, DAX and Hang indexes. We find that autocorrelation times from our method are very small, thus the method is very efficient for generating uncorrelated Monte Carlo data. The results from the QGARCH model show that all the three indexes show the leverage effect, i.e. the volatility is high after negative observations

Simulation of SU(2) Dynamical Fermion at Finite Chemical Potential and at Finite Temperature

SU(2) lattice gauge theory with dynamical fermion at non-zero chemical potential and at finite temperature is studied. We focus on the influence of chemical potential for quark condensate and mass of pseudoscalar meson at finite temperature. Hybrid Monte Carlo simulations with $N_f=8$ staggered fermions are carried out on $12 \times 12\times 24 \times 4$ lattice. At $\beta=1.1$ and $m_{q}=$0.05,0.07,0.1, we calculate the quark condensate and masses of pseudoscalar meson consisting of light and heavier quarks for chemical potential $\mu=$ 0.0,0.02,0.05,0.1,0.2.Comment: Proceedings of the International Workshop on Nonperturbative Methods and Lattice QCD, Guangzhou, Chin

The 3-state Potts model as a heavy quark finite density laboratory

The 3-D Z(3) Potts model is a model for finite temperature QCD with heavy quarks. The chemical potential in QCD becomes an external magnetic field in the Potts model. Following Alford et al.\cite{Alford_et_al}, we revisit this mapping, and determine the phase diagram for an arbitrary chemical potential, real or imaginary. Analytic continuation of the phase transition line between real and imaginary chemical potential can be tested with precision. Our results show that the chemical potential weakens the heavy-quark deconfinement transition in QCD.Comment: 6 pages and 7 figures. talk presented at Lattice 2005 (non-zero temperature and density

Financial Time Series Analysis of SV Model by Hybrid Monte Carlo

We apply the hybrid Monte Carlo (HMC) algorithm to the financial time sires analysis of the stochastic volatility (SV) model for the first time. The HMC algorithm is used for the Markov chain Monte Carlo (MCMC) update of volatility variables of the SV model in the Bayesian inference. We compute parameters of the SV model from the artificial financial data and compare the results from the HMC algorithm with those from the Metropolis algorithm. We find that the HMC decorrelates the volatility variables faster than the Metropolis algorithm. We also make an empirical analysis based on the Yen/Dollar exchange rates.Comment: 8 pages, 3 figures, to be published in LNC

Renormalization group flow of SU(3) lattice gauge theory - Numerical studies in a two coupling space

We investigate the renormalization group (RG) flow of SU(3) lattice gauge theory in a two coupling space with couplings $\beta_{11}$ and $\beta_{12}$ corresponding to $1\times 1$ and $1\times 2$ loops respectively. Extensive numerical calculations of the RG flow are made in the fourth quadrant of this coupling space, i.e., $\beta_{11}>0$ and $\beta_{12}<0$. Swendsen's factor two blocking and the Schwinger-Dyson method are used to find an effective action for the blocked gauge field. The resulting renormalization group flow runs quickly towards an attractive stream which has an approximate line shape. This is numerical evidence of a renormalized trajectory which locates close to the two coupling space. A model flow equation which incorporates a marginal coupling (asymptotic scaling term), an irrelevant coupling and a non-perturbative attraction towards the strong coupling limit reproduces qualitatively the observed features. We further examine the scaling properties of an action which is closer to the attractive stream than the currently used improved actions. It is found that this action shows excellent restoration of rotational symmetry even for coarse lattices with $a \sim 0.3$ fm.Comment: 18 pages with 9 eps figures psfig.sty, typos correcte

Three topics in the Schwinger model

1. We compare Monte Carlo results with analytic predictions for the fermion condensate, in the massive one-flavour Schwinger model. 2. We illustrate on the Schwinger model how to facilitate transitions between topological sectors by a simple reweighting method. 3. We discuss exact, non-perturbative improvement of the gauge sector.Comment: Three-page contribution to Lat '97 by A.J. van der Sijs. Colourful typo (IR -> UV) correcte