A dynamic copula approach to recovering the index implied volatility skew

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a major German stock index, the DAX, by recovering index implied volatility from simulating the 30 dimensional return system of all DAX constituents. Option prices are computed after risk neutralization of the multivariate process which is estimated under the physical probability measure. The multivariate models belong to the class of copula asymmetric dynamic conditional correlation models. We show that moderate tail-dependence coupled with asymmetric correlation response to negative news is essential to explain the index implied volatility skew. Standard dynamic correlation models with zero tail-dependence fail to generate a sufficiently steep implied volatility skew.Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH Models, Change of Measure, Esscher Transform

The Effect of Luxury Taxes on Competitive Balance, Club Profits, and Social Welfare in Sports Leagues

This paper provides a game-theoretic model of a professional sports league and analyzes the effect of luxury taxes on competitive balance, club profits and social welfare. We show that a luxury tax increases aggregate salary payments in the league as well as produces a more balanced league. Moreover, a higher tax rate increases the profits of large-market clubs, whereas the profits of small-market clubs only increase if the tax rate is not set inadequately high. Finally, we show that social welfare increases with a luxury tax.Sports League, Luxury Tax, Social Welfare, Competitive Balance

Efficient Prediction Designs for Random Fields

For estimation and predictions of random fields it is increasingly acknowledged that the kriging variance may be a poor representative of true uncertainty. Experimental designs based on more elaborate criteria that are appropriate for empirical kriging are then often non-space-filling and very costly to determine. In this paper, we investigate the possibility of using a compound criterion inspired by an equivalence theorem type relation to build designs quasi-optimal for the empirical kriging variance, when space-filling designs become unsuitable. Two algorithms are proposed, one relying on stochastic optimization to explicitly identify the Pareto front, while the second uses the surrogate criteria as local heuristic to chose the points at which the (costly) true Empirical Kriging variance is effectively computed. We illustrate the performance of the algorithms presented on both a simple simulated example and a real oceanographic dataset

A criterion and incremental design construction for simultaneous kriging predictions

In this paper, we further investigate the problem of selecting a set of design points for universal kriging, which is a widely used technique for spatial data analysis. Our goal is to select the design points in order to make simultaneous predictions of the random variable of interest at a finite number of unsampled locations with maximum precision. Specifically, we consider as response a correlated random field given by a linear model with an unknown parameter vector and a spatial error correlation structure. We propose a new design criterion that aims at simultaneously minimizing the variation of the prediction errors at various points. We also present various efficient techniques for incrementally buillding designs for that criterion scaling well for high dimensions. Thus the method is particularly suitable for big data applications in areas of spatial data analysis such as mining, hydrogeology, natural resource monitoring, and environmental sciences or equivalently for any computer simulation experiments. The effectiveness of the proposed designs is demonstrated through numerical examples

Dry Electrode Manufacturing in a Calender: The Role of Powder Premixing for Electrode Quality and Electrochemical Performance

The dry manufacturing of battery electrodes has the potential to significantly reduce costs and the environmental impact of battery production but deteriorates the electrode quality due to drawbacks in the processability of the materials. By varying the mixing intensity of the powder mixtures, this work investigates the impact of blend homogeneity on the flow properties and the processability of the dry mixtures. Furthermore, the electrochemical performance of dry laminated electrodes made of LiNi0.6Mn0.2Co0.2O2 is investigated with respect to their initial mixture homogeneities and compared to slurry-based electrodes. An improvement of the powder flowability is observed for mixtures with a homogeneously distributed PVDF binder, which acts as a temporary lubricant in dry electrode manufacturing due to its ability to shear, resulting also in filament formation. Capacity and rate performance of electrodes made of homogeneous mixtures are the highest with 169 mAh/g at C/20 and 70 mAh/g at 3C compared to 169 and 49 mAh/g for the slurry-based electrodes, respectively. Cyclic voltammetry indicates lower overpotentials for incompletely homogenized electrodes due to the existence of carbon black aggregates that establish better long-range conductivity. Overall, electrodes from highly homogenized powders show the best electrochemical performance in terms of C-rate capability due to their favorable electrode thickness and porosity resulting from better processability in combination with a sufficiently distributed carbon binder domain

Über den richtigen Umgang mit der Arbeitslosen-Statistik

"Zur Darstellung von Umfang, Dauer und Struktur der Arbeitslosigkeit gibt es eine Fülle von Einzelstatistiken, die sinnvoll aufeinander bezogen werden können und die es ermöglichen, die Arbeitslosigkeit umfassend und detailliert zu beschreiben. Neben stichtagbezogenen Bestandsstatistiken veröffentlicht die Bundesanstalt für Arbeit seit Jahren zeitraumbezogene Bewegungsstatistiken, also Statistiken über Zugänge in die Arbeitslosigkeit und Abgänge aus der Arbeitslosigkeit. In der wissenschaftlichen und politischen Diskussion werden aber weiterhin überwiegend die gewohnten Bestandsstatistiken verwendet. Mit den folgenden Ausführungen wird versucht, die Zusammenhänge zwischen Bewegungen und Beständen in der Arbeitslosenstatistik methodisch offenzulegen und dem Benutzer dieser Statistiken damit klarzumachen, für welche Fragen die jeweiligen Statistiken problemadäquat sind. Im Mittelpunkt der Überlegungen steht dabei der Prozeßcharakter der Arbeitslosigkeit. Es wird gezeigt, wie Bestände aus Zugängen entstehen und welche herausragende Rolle dabei die Verteilung der für die zugehenden Arbeitslosen zu erwartende Arbeitslosigkeitsdauer hat. Inwiefern die Arbeitslosenstatistik hierbei unter vergleichbaren Bestands- und Bewegungsdaten eine Sonderstellung einnimmt, wird an zahlreichen Beispielen untersucht." (Autorenreferat)Arbeitslosenstatistik, amtliche Statistik - Methode

Social Welfare in Sports Leagues with Profit-Maximizing and/or Win-Maximizing Clubs

This paper develops a contest model to compare social welfare in homogeneous leagues in which all clubs maximize identical objective functions with mixed leagues in which clubs maximize different objective functions. We show that homogeneous leagues in which all clubs are profit-maximizers dominate all other leagues whereas mixed leagues in which small-market clubs are profit- and large-market clubs are win-maximizers (type-I mixed leagues) are dominated by all other leagues. In addition, we show that, from a welfare perspective, large-market clubs win too often in (purely) win-maximizing and type-I mixed leagues whereas small-market clubs win too many games in (purely) profit-maximizing leagues and in mixed leagues in which large-market clubs are profit- and small-market clubs are win-maximizers (type-II mixed leagues). These results have important policy implications: Social welfare will increase if clubs are reorganized from non-profit members associations to profit-maximizing corporations. Moreover, it is socially desirable to reorganize large-market clubs first because, in mixed leagues, it is better if large-market clubs maximize profits instead of small-market clubs. Finally, we show that the invariance proposition does not hold in any league. In mixed (homogeneous) leagues, revenue sharing decreases (increases) social welfare. Given these results, homogeneous leagues should introduce revenue sharing; mixed leagues should not.Social welfare, team sports leagues, objective functions, mixed leagues, competitive balance