Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR

In order to forecast one-step ahead volatility, we calculated jump intensity by using estimated parameters of a duration model of price change. In this procedure, we do not assume any distribution on log-return. Although we do not make any distributional assumption, we may practically choose a suitable distribution e.g. Normal, student, etc, including empirical density, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore, we compare the goodness of fit among assumed distributions of log-return. We find that fat tail distributions such as NIG, Laplace, are well fitted to the actual high frequency data listed on the Tokyo stock exchange 1st section from 4 Jan. 2001 to 28 June 2001High frequency data, Duration model, Instantaneous volatility, VaR

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned here with a modification of the weighting technique of Hansen and Lunde (2005). As an empirical study, we estimate optimal weights in a certain sense for Japanese stock data listed on the Tokyo Stock Exchange. We found that, in most stocks appropriate use of the optimally weighted RV can lead to remarkably smaller estimation variance compared with naive RV, hence substantially to more accurate forecasting of daily volatility.high-frequency data, market microstructure noise, realized volatility, Japanese stock markets, variance of realized variance

Synthesis, properties and reactivity of an ortho-phenylene-cyclopentene-bridged tetrapyrrole

Increasing the number of meso-methine carbons of porphyrin has led to a creation of a series of vinylogous expanded porphyrins, while the introduction of an ortho-phenylene-unit as a pyrrole-connecting two-carbon bridge usually leads to prevention of effective macrocyclic conjugation. Cyclopentene can serve as a conjugative bridge to increase the macrocyclic conjugation owing to its cis-geometry. In this work, ortho-phenylene-cyclopentene-bridged tetrapyrrole 5 was prepared on the basis of a coupling strategy. The tetrapyrrole 5 exhibited slightly more conjugative features as compared to ortho-phenylene-bridged tetrapyrrole 4. Oxidation of 5 with [bis(trifluoroacetoxy)iodo]benzene (PIFA) at low temperature afforded a partly fused tetrapyrrolic compound 9 having a spiro-connected pyrrolo[2, 1-a]isoindole moiety

Formal Total Synthesis of Manzacidin B via Sequential Diastereodivergent Henry Reaction

A formal total synthesis of manzacidin B is described. beta,beta-Disubstituted gamma-hydroxy-beta-aminoalcohol, the key structure of manzacidin B, is stereoselectively constructed via sequential Henry reactions. By taking advantage of noncovalent interactions, such as intramolecular hydrogen bonding and chelation, we could diastereodivergently control the stereoselectivity of the Henry reaction

経験類似度に基づくボラティリティ予測

要旨あり高頻度金融データに基づく統計的推測とモデリング原著論

Creation of Curved Surface by Lathe Turning -Development of CAM system using original tool layout-

AbstractThe machining of 3D curved surfaces with an un-axisymmetric axis by lathe turning is proposed considering the best machinable tool layout. The best offset tool layout from the central axis of a spindle enables us to machine curved surfaces and to obtain a long tool life for hard material workpieces using a rotary tool. A dedicated NC program for the 3D surface using the original CAM system has been developed and applied to what. The machining results and the validity of our system are evaluated in this paper

O. 新型計算機の設計と評価

近年の計算機の性能向上はめざましく、特にプロセッサ単体の性能向上には目を見張るものがある。しかし、プロセッサの性能向上の大きな要因である半導体の性能向上も、その物理的限界が取りざたされている。一方、プロセッサの台数を増加させることによって性能向上を図る並列計算機の開発も進んでおり、プロセッサ数が数千∿1万台規模のものも開発・使用されている。だが、並列計算機にもいくつか問題がある。その一つとして、並列計算機の有効利用のほとんどが科学技術計算であることが挙げられる。これは、計算量や使用メモリ量の調節が容易な点や並列化の有効性などがその主要因である。そこで、次世代向けの並列計算機には・科学技術計算以外のアプリケーションが高速に処理可能・10^4個以上のプロセッサといった要求を満たす必要があると考え、本研究では脳の処理および脳型計算機に着目する。そして、本研究の最終目的は脳型計算機を設計・評価することで、次世代向け計算機のための一つの指針を示すことである