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

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

Solitons: from Charge Density Waves to FFLO in superconductors

This short review aims to summarize on "What the Charge Density Waves can tell to other inhomogeneous states in strongly correlated systems, particularly to spin-polarized superconductors". We shall update on expanding observations of solitons in quasi 1D CDW conductors and link them to the growing information and demands related to inhomogeneous spin-polarized states in superconductors. The related theory, existent or awaited for, stretches from solitons in 1D models to vortex-like elementary excitations in 2D,3D ordered incommensurate CDWs and superconductors.Comment: After presentations given at the conferences STRIPES 2008 and ECRYS 200

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

Structure Oriented Compact Model for Advanced Trench IGBTs without Fitting Parameters for Extreme Condition: Part II

Compact model for expressing turn-off waveform for advanced trench gate IGBTs is proposed even under high current density condition. The model is analytically formulated only with device structure parameters so that no fitting parameters are required. The validity of the model is confirmed with TCAD simulation for 1.2 kV to 6.5 kV class IGBTs. The proposed turn-off model is sufficiently accurate to calculate trade-off curve between turn-off loss and saturation collector voltage under extremely high current conduction, so that the model can be used for system design with the advanced trench gate IGBTs.ESREF 2014, 25th EUROPEAN SYMPOSIUM ON RELIABILITY OF ELECTRON DEVICES,FAILURE PHYSICS AND ANALYSIS, Sep 29–Oct 3, 2014, Technische Universität Berli

Scaling Analysis of Improved Actions for Pure SU(3) Gauge Theory

We have explored the behaviour of some improved actions based on a nonperturbative renormalization group (RG) analysis in coupling space. We calculate the RG flow in two-coupling space (\boneone,\bonetwo) and examine the restoration of rotational invariance and the scaling of physical quantities $(T_c/\sqrt{\sigma})$.Comment: LATTICE98(improvement

Responses of quark condensates to the chemical potential

The responses of quark condensates to the chemical potential, as a function of temperature T and chemical potential \mu, are calculated within the Nambu--Jona-Lasinio (NJL) model. We compare our results with those from the recent lattice QCD simulations [QCD-TARO Collaboration, Nucl. Phys. B (Proc. Suppl.) 106, 462 (2002)]. The NJL model and lattice calculations show qualitatively similar behavior, and they will be complimentary ways to study hadrons at finite density. The behavior above T_c requires more elaborated analyses.Comment: 3 pages, 2 figs, based on a contribution to the Prof. Osamu Miyamura memorial symposium, Hiroshima University, Nov. 16-17, 2001; slightly revised, accepted for publication in Physical Review