The IGARCH e®ect: Consequences on volatility forecasting and option trading

This paper studies the integrated Garch (IGARCH) e®ect, a phenomenon often encountered when estimating conditional auto-regressive models on ¯nancial time series. The analysis of twelve indexes of major ¯nancial markets provides empirical evidence of its well-spread presence especially in periods of market turbulence. We examine its impact on volatility forecasting and on trading and hedging options. We show that a strong IGARCH e®ect may have relevant consequences on trading and on risk management.stock returns, volatility forecasting, GARCH(1,1), IGARCH effect, option hedging

Assessing electron beam sensitivity for SrTiO3 and La0.7Sr0.3MnO3 using electron energy loss spectroscopy

Thresholds for beam damage have been assessed for La0.7Sr0.3MnO3 and SrTiO3 as a function of electron probe current and exposure time at 80 and 200 kV acceleration voltage. The materials were exposed to an intense electron probe by aberration corrected scanning transmission electron microscopy (STEM) with simultaneous acquisition of electron energy loss spectroscopy (EELS) data. Electron beam damage was identified by changes of the core loss fine structure after quantification by a refined and improved model based approach. At 200 kV acceleration voltage, damage in SrTiO3 was identified by changes both in the EEL fine structure and by contrast changes in the STEM images. However, the changes in the STEM image contrast as introduced by minor damage can be difficult to detect under several common experimental conditions. No damage was observed in SrTiO3 at 80 kV acceleration voltage, independent of probe current and exposure time. In La0.7Sr0.3MnO3, beam damage was observed at both 80 and 200 kV acceleration voltages. This damage was observed by large changes in the EEL fine structure, but not by any detectable changes in the STEM images. The typical method to validate if damage has been introduced during acquisitions is to compare STEM images prior to and after spectroscopy. Quantifications in this work show that this method possibly can result in misinterpretation of beam damage as changes of material properties

3D sub-nanoscale imaging of unit cell doubling due to octahedral tilting and cation modulation in strained perovskite thin films

Determining the 3-dimensional crystallography of a material with sub-nanometre resolution is essential to understanding strain effects in epitaxial thin films. A new scanning transmission electron microscopy imaging technique is demonstrated that visualises the presence and strength of atomic movements leading to a period doubling of the unit cell along the beam direction, using the intensity in an extra Laue zone ring in the back focal plane recorded using a pixelated detector method. This method is used together with conventional atomic resolution imaging in the plane perpendicular to the beam direction to gain information about the 3D crystal structure in an epitaxial thin film of LaFeO3 sandwiched between a substrate of (111) SrTiO3 and a top layer of La0.7Sr0.3MnO3. It is found that a hitherto unreported structure of LaFeO3 is formed under the unusual combination of compressive strain and (111) growth, which is triclinic with a periodicity doubling from primitive perovskite along one of the three directions lying in the growth plane. This results from a combination of La-site modulation along the beam direction, and modulation of oxygen positions resulting from octahedral tilting. This transition to the period-doubled cell is suppressed near both the substrate and near the La0.7Sr0.3MnO3 top layer due to the clamping of the octahedral tilting by the absence of tilting in the substrate and due to an incompatible tilt pattern being present in the La0.7Sr0.3MnO3 layer. This work shows a rapid and easy way of scanning for such transitions in thin films or other systems where disorder-order transitions or domain structures may be present and does not require the use of atomic resolution imaging, and could be done on any scanning TEM instrument equipped with a suitable camera.Comment: Minor fixes, especially in reference

Lessons Learned From Inspire Super-Performers

Objective: The purpose of this study is to examine what demographic factors correlate with greater rates of upper airway stimulation adherence and efficacy. Study Design: Case control study Introduction: Upper airway stimulation (UAS) is emerging as an effective procedure for select patients with obstructive sleep apnea. As initially studied, this procedure is reserved for those exhibiting body mass index (BMI) Methods: We queried a single surgeon’s database of UAS cases, totaling 97 at the time of study. The electronic medical record (EMR) was queried for each patient and pertinent demographics were recorded. We began by defining cohorts: super-adherers were those with greater than 6 hours of nightly device use; non-adherers less than 4. Super-responders had a post-operative AHI and ESS less than 10, and greater than 80% decrease in AHI. Non-responders had an AHI greater than 20 and less than 50% decrease. Super-performers met both super-adherer responder criteria, while non-performers similarly met both negative criteria. Results: Overall, 97 patients underwent hypoglossal nerve stimulation with an average AHI reduction of 67.1%, and 6.2 hours of nightly adherence. 11 patients were defined as super-performers, and 3 as non-performers. 20 patients were super responders vs 11 non-responders. 49 were super adherers vs 34 non-adherers. P-values for various categories will be displayed in Table 1, no difference was found between the groups as age, BMI, sex, pre-op AHI, and pre-op VOTE score were examined. Conclusions: Upper airway stimulation is an effective treatment for patients intolerant of CPAP. In this review there were no statistically significant differences found between the best and lowers performing patients in terms of baseline characteristics