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

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

Lattice calculation of the lowest order hadronic contribution to the muon anomalous magnetic moment

We present a quenched lattice calculation of the lowest order (alpha^2) hadronic contribution to the anomalous magnetic moment of the muon which arises from the hadronic vacuum polarization. A general method is presented for computing entirely in Euclidean space, obviating the need for the usual dispersive treatment which relies on experimental data for e^+e^- annihilation to hadrons. While the result is not yet of comparable accuracy to those state-of-the-art calculations, systematic improvement of the quenched lattice computation to this level of accuracy is straightforward and well within the reach of present computers. Including the effects of dynamical quarks is conceptually trivial, the computer resources required are not.Comment: 12 pages, including two figures. Added reference and footnote Replaced with published version; minor changes asked for by referees and minor deletions to stay within page limi

Systematic study of autocorrelation time in pure SU(3) lattice gauge theory

Results of our autocorrelation measurement performed on Fujitsu AP1000 are reported. We analyze (i) typical autocorrelation time, (ii) optimal mixing ratio between overrelaxation and pseudo-heatbath and (iii) critical behavior of autocorrelation time around cross-over region with high statistic in wide range of $\beta$ for pure SU(3) lattice gauge theory on $8^4$, $16^4$ and $32^4$ lattices. For the mixing ratio K, small value (3-7) looks optimal in the confined region, and reduces the integrated autocorrelation time by a factor 2-4 compared to the pseudo-heatbath. On the other hand in the deconfined phase, correlation times are short, and overrelaxation does not seem to matter For a fixed value of K(=9 in this paper), the dynamical exponent of overrelaxation is consistent with 2 Autocorrelation measurement of the topological charge on $32^3 \times 64$ lattice at $\beta$ = 6.0 is also briefly mentioned.Comment: 3 pages of A4 format including 7-figure

Autocorrelation in Updating Pure SU(3) Lattice Gauge Theory by the use of Overrelaxed Algorithms

We measure the sweep-to-sweep autocorrelations of blocked loops below and above the deconfinement transition for SU(3) on a $16^4$ lattice using 20000-140000 Monte-Carlo updating sweeps. A divergence of the autocorrelation time toward the critical $\beta$ is seen at high blocking levels. The peak is near $\beta$ = 6.33 where we observe 440 $\pm$ 210 for the autocorrelation time of $1\times 1$ Wilson loop on $2^4$ blocked lattice. The mixing of 7 Brown-Woch overrelaxation steps followed by one pseudo-heat-bath step appears optimal to reduce the autocorrelation time below the critical $\beta$. Above the critical $\beta$, however, no clear difference between these two algorithms can be seen and the system decorrelates rather fast.Comment: 4 pages of A4 format including 6-figure

Pulse Shape Discrimination of CsI(Tl) with a Photomultiplier Tube and MPPCs

In this study, we evaluate and compare the pulse shape discrimination (PSD) performance of multipixel photon counters (MPPCs, also known as silicon photomultiphers - SiPMs) with that of a typical photomultiplier tube (PMT) when testing using CsI(Tl) scintillators. We use the charge comparison method, whereby we discriminate different types of particles by the ratio of charges integrated within two time-gates (the delayed part and the entire digitized waveform). For a satisfactory PSD performance, a setup should generate many photoelectrons (p.e.) and collect their charges efficiently. The PMT setup generates more p.e. than the MPPC setup does. With the same digitizer and the same long time-gate (the entire digitized waveform), the PMT setup is also better in charge collection. Therefore, the PMT setup demonstrates better PSD performance. We subsequently test the MPPC setup using a new data acquisition (DAQ) system. Using this new DAQ, the long time-gate is extended by nearly four times the length when using the previous digitizer. With this longer time-gate, we collect more p.e. at the tail part of the pulse and almost all the charges of the total collected p.e. Thus, the PSD performance of the MPPC setup is improved significantly. This study also provides an estimation of the short time-gate (the delayed part of the digitized waveform) that can give a satisfactory PSD performance without an extensive analysis to optimize this gate

Adaptive Step Size for Hybrid Monte Carlo Algorithm

We implement an adaptive step size method for the Hybrid Monte Carlo a lgorithm. The adaptive step size is given by solving a symmetric error equation. An integr ator with such an adaptive step size is reversible. Although we observe appreciable variations of the step size, the overhead of the method exceeds its benefits. We propose an explanation for this phenomenon.Comment: 13 pages, 5 Postscript figures, late

Equation of state in the PNJL model with the entanglement interaction

The equation of state and the phase diagram in two-flavor QCD are investigated by the Polyakov-loop extended Nambu--Jona-Lasinio (PNJL) model with an entanglement vertex between the chiral condensate and the Polyakov-loop. The entanglement-PNJL (EPNJL) model reproduces LQCD data at zero and finite chemical potential better than the PNJL model. Hadronic degrees of freedom are taken into account by the free-hadron-gas (FHG) model with the volume-exclusion effect due to the hadron generation. The EPNJL+FHG model improves agreement of the EPNJL model with LQCD data particularly at small temperature. The quarkyonic phase survives, even if the correlation between the chiral condensate and the Polyakov loop is strong and hadron degrees of freedom are taken into account. However, the location of the quarkyonic phase is sensitive to the strength of the volume exclusion.Comment: 9 pages, 7 figure

Hybrid Monte Carlo with Fat Link Fermion Actions

The use of APE smearing or other blocking techniques in lattice fermion actions can provide many advantages. There are many variants of these fat link actions in lattice QCD currently, such as FLIC fermions. The FLIC fermion formalism makes use of the APE blocking technique in combination with a projection of the blocked links back into the special unitary group. This reunitarisation is often performed using an iterative maximisation of a gauge invariant measure. This technique is not differentiable with respect to the gauge field and thus prevents the use of standard Hybrid Monte Carlo simulation algorithms. The use of an alternative projection technique circumvents this difficulty and allows the simulation of dynamical fat link fermions with standard HMC and its variants. The necessary equations of motion for FLIC fermions are derived, and some initial simulation results are presented. The technique is more general however, and is straightforwardly applicable to other smearing techniques or fat link actions