Modeling and forecasting exchange rate volatility in time-frequency domain

This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. Our results indicate that disentangling jump variation from the integrated variation is important for forecasting performance. An interesting insight into the volatility process is also provided by its multiscale decomposition. We find that most of the information for future volatility comes from high frequency part of the spectra representing very short investment horizons. Our newly proposed models outperform statistically the popular as well conventional models in both one-day and multi-period-ahead forecasting

Surveying the SO(10) Model Landscape: The Left-Right Symmetric Case

Grand Unified Theories (GUTs) are a very well motivated extensions of the Standard Model (SM), but the landscape of models and possibilities is overwhelming, and different patterns can lead to rather distinct phenomenologies. In this work we present a way to automatise the model building process, by considering a top to bottom approach that constructs viable and sensible theories from a small and controllable set of inputs at the high scale. By providing a GUT scale symmetry group and the field content, possible symmetry breaking paths are generated and checked for consistency, ensuring anomaly cancellation, SM embedding and gauge coupling unification. We emphasise the usefulness of this approach for the particular case of a non-supersymmetric SO(10) model with an intermediate left-right symmetry and we analyse how low-energy observables such as proton decay and lepton flavour violation might affect the generated model landscape.Comment: 36 pages, 6 figure

MACHINE LEARNING FOR THING DETECTION, BEHAVIOR ANALYTICS, AND THREAT DETECTION: AN EFFICIENT ELIMINATION METHOD OF REDUNDANT FEATURE-SUBSETS

Techniques are described herein to efficiently detect redundant features in a machine learning process. The techniques are able to compute feature redundancy not only for a single feature at a time, but for any subset of features without the need to naively train and evaluate a classifier for each combination of features

Trafficking of Mononuclear Phagocytes in Healthy Arteries and Atherosclerosis

Monocytes and macrophages play essential roles in all stages of atherosclerosis – from early precursor lesions to advanced stages of the disease. Intima-resident macrophages are among the first cells to be confronted with the influx and retention of apolipoprotein B-containing lipoproteins at the onset of hypercholesterolemia and atherosclerosis development. In this review, we outline the trafficking of monocytes and macrophages in and out of the healthy aorta, as well as the adaptation of their migratory behaviour during hypercholesterolemia. Furthermore, we discuss the functional and ontogenetic composition of the aortic pool of mononuclear phagocytes and its link to the atherosclerotic disease process. The development of mouse models of atherosclerosis regression in recent years, has enabled scientists to investigate the behaviour of monocytes and macrophages during the resolution of atherosclerosis. Herein, we describe the dynamics of these mononuclear phagocytes upon cessation of hypercholesterolemia and how they contribute to the restoration of tissue homeostasis. The aim of this review is to provide an insight into the trafficking, fate and disease-relevant dynamics of monocytes and macrophages during atherosclerosis, and to highlight remaining questions. We focus on the results of rodent studies, as analysis of cellular fates requires experimental manipulations that cannot be performed in humans but point out findings that could be replicated in human tissues. Understanding of the biology of macrophages in atherosclerosis provides an important basis for the development of therapeutic strategies to limit lesion formation and promote plaque regression

Absorption of Hydrogen in the HBond©9000 Metal Hydride Tank

The present article describes the measurements of hydrogen absorbed into an intermetallic alloy. The process of hydrogen absorption into a metal hydride tank is accompanied with generating heat that must be removed during the process. If the tank is not cooled, the gas pressure rapidly increases and even with a small amount of the stored hydrogen the pressure exceeds the permissible value. By contrast, during hydrogen desorption it is required to supply the same amount of specific heat to avoid a significant decrease in pressure which would result in a decrease in hydrogen release kinetics. &nbsp