Replies

This paper responds to the contributions by Alexander Bird, Nathan Wildman, David Yates, Jennifer McKitrick, Giacomo Giannini & Matthew Tugby, and Jennifer Wang. I react to their comments on my 2015 book Potentiality: From Dispositions to Modality, and in doing so expands on some of the arguments and ideas of the book

Estimation of integrated volatility of volatility with applications to goodness-of-fit testing

In this paper, we are concerned with nonparametric inference on the volatility of volatility process in stochastic volatility models. We construct several estimators for its integrated version in a high-frequency setting, all based on increments of spot volatility estimators. Some of those are positive by construction, others are bias corrected in order to attain the optimal rate $n^{-1/4}$. Associated central limit theorems are proven which can be widely used in practice, as they are the key to essentially all tools in model validation for stochastic volatility models. As an illustration we give a brief idea on a goodness-of-fit test in order to check for a certain parametric form of volatility of volatility.Comment: Published at http://dx.doi.org/10.3150/14-BEJ648 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Delegation and Rewards

We study experimentally whether anti-corruption policies with a focus on bribery might be insufficient to uncover more subtle ways of gaining an unfair advantage. In particular, we investigate whether an implicit agreement to exchange favors between a decision-maker and a lobbying party serves as a legal substitute for corruption. Due to the obvious lack of field data on these activities, the laboratory provides an excellent opportunity to study this question. We find that even the pure anticipation of future rewards from a lobbying party suffices to bias a decision-maker in favor of this party, even though it creates negative externalities to others. Although future rewards are not contractible, the benefitting party voluntarily compensates decision-makers for partisan choices. In this way, both receive higher payoffs, but aggregate welfare is lower than without a rewards channel. Thus, the outcome mirrors what might have been achieved via conventional bribing, while not being illegal

Exploring emerging technologies for extreme scale HPC architectures

While architectures and programming models have remained relatively stable for almost two decades, new architectural features, such as heterogeneous processing, nonvolatile memory, and optical interconnection networks, will demand that software systems and applications be redesigned so that they expose massive amounts of hierarchical parallelism, carefully orchestrate data movement, and balance concerns over performance, power, and resiliency. This instability has led to two inevitable problems: decreased programmer productivity, and difficult performance prediction. In this talk, I will describe two solutions to these problems, respectively: our OpenARC compiler and runtime system, and our Aspen performance modeling language. First, OpenARC is a research compiler that supports OpenACC and OpenMP4, and can generate code in CUDA, OpenCL, and LLVM IR. OpenARC has enabled us to explore how to enable performance portability of applications across diverse architectures. Second, Aspen is a domain specific language for structured analytical modeling of applications and architectures. It is designed to enable rapid exploration of new algorithm and architectures. Once created, Aspen models can then be used for a variety of purposes including predicting performance of future applications, evaluating system architectures, informing runtime scheduling decisions, and identifying system anomalies

A note on central limit theorems for quadratic variation in case of endogenous observation times

This paper is concerned with a central limit theorem for quadratic variation when observations come as exit times from a regular grid. We discuss the special case of a semimartingale with deterministic characteristics and finite activity jumps in detail and illustrate technical issues in more general situations.Comment: 16 pages, 1 figur