19,872 research outputs found
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
As a forward-looking measure of future equity market volatility, the VIX
index has gained immense popularity in recent years to become a key measure of
risk for market analysts and academics. We consider discrete reported intraday
VIX tick values as realisations of a collection of curves observed sequentially
on equally spaced and dense grids over time and utilise functional data
analysis techniques to produce one-day-ahead forecasts of these curves. The
proposed method facilitates the investigation of dynamic changes in the index
over very short time intervals as showcased using the 15-second high-frequency
VIX index values. With the help of dynamic updating techniques, our point and
interval forecasts are shown to enjoy improved accuracy over conventional time
series models.Comment: 29 pages, 5 figures, To appear at the Annals of Operations Researc
Explanation of the ATLAS Z-peaked excess by squark pair production in the NMSSM
The ATLAS collaboration recently reported a excess in the
leptonic- channel. We intend to interpret this excess by
squark pair production in the Next-to-Minimal Supersymmetric Standard Model
(NMSSM). The decay chain we employ is , where and denote the
lightest and the next-to-lightest neutralinos with singlino and bino as their
dominant components respectively. Our simulations indicate that after
considering the constraints from the ATLAS searches for
signal the central value of the excess can be obtained for , and if the constraint from the CMS on- search is
further considered, more than 10 signal events are still attainable for
. Compared with the interpretation by
gluino pair production, the squark explanation allows for a significantly wider
range of as well as a less compressed SUSY mass spectrum. We
also show that the squark explanation will be readily tested at the initial
stage of the 14 TeV LHC.Comment: 19 pages, 4 figure
Explanation of the ATLAS Z-peaked excess in the NMSSM
Recently the ATLAS collaboration reported a excess in the
leptonic- channel. This may be interpreted in the
Next-to-Minimal Supersymmetric Standard Model (NMSSM) by gluino pair production
with the decay chain , where and denote the
lightest and the next-to-lightest neutralinos with singlino and bino as their
dominant components respectively. After exploring the relevant parameter space
of the NMSSM by considering the constraints from the ATLAS searches for signals, we conclude that the NMSSM is able to explain the excess
at level with the number of the signal events reaching its measured
central value in optimal cases, and the best explanation comes from a
compressed spectrum such as ,
and . We also check the consistency of the ATLAS results with the
null result of the CMS on- search. We find that under the CMS limits at
C.L., the event number of the ATLAS on- signal can still reach 11 in
our scenario, which is about away from the measured central value.Comment: 18 pages, 2 figure
Using a Modified Payment Card Survey on Chinese Consumers’ Willingness to Pay for Fair Trade Coffee: Would the Starting Point Matter
Coffee consumption in China is increasing rapidly over the recent years. This study offers one of the few initial attempts to not only understand general consumption behavior associated with Chinese coffee, but to explore the viability of niche markets for coffee with the credence attribute “fair trade”. A modified payment card approach was adopted as the consumer willingness to pay elicitation method. Survey results of 564 consumers from the city of Wuhan, China suggest a positive attitude toward coffee as an alternative drink and a willingness to pay a premium for “fair trade” coffee. This study also explores and describes the potential impact of starting point bias, which has been relatively well documented in the dichotomous choice literature but has not been thoroughly addressed in a payment card context.coffee, fair trade, payment card, starting point bias, willingness to pay, Agribusiness, Consumer/Household Economics, Food Security and Poverty, International Development, Marketing, Research Methods/ Statistical Methods, D12, Q13,
On the Distribution of MIMO Mutual Information: An In-Depth Painlev\'{e} Based Characterization
This paper builds upon our recent work which computed the moment generating
function of the MIMO mutual information exactly in terms of a Painlev\'{e} V
differential equation. By exploiting this key analytical tool, we provide an
in-depth characterization of the mutual information distribution for
sufficiently large (but finite) antenna numbers. In particular, we derive
systematic closed-form expansions for the high order cumulants. These results
yield considerable new insight, such as providing a technical explanation as to
why the well known Gaussian approximation is quite robust to large SNR for the
case of unequal antenna arrays, whilst it deviates strongly for equal antenna
arrays. In addition, by drawing upon our high order cumulant expansions, we
employ the Edgeworth expansion technique to propose a refined Gaussian
approximation which is shown to give a very accurate closed-form
characterization of the mutual information distribution, both around the mean
and for moderate deviations into the tails (where the Gaussian approximation
fails remarkably). For stronger deviations where the Edgeworth expansion
becomes unwieldy, we employ the saddle point method and asymptotic integration
tools to establish new analytical characterizations which are shown to be very
simple and accurate. Based on these results we also recover key well
established properties of the tail distribution, including the
diversity-multiplexing-tradeoff.Comment: Submitted to IEEE Transaction on Information Theory (under revision
Interpreting the galactic center gamma-ray excess in the NMSSM
In the Next-to-Minimal Supersymmetric Standard Model (NMSSM), all
singlet-dominated particles including one neutralino, one CP-odd Higgs boson
and one CP-even Higgs boson can be simultaneously lighter than about 100 GeV.
Consequently, dark matter (DM) in the NMSSM can annihilate into multiple final
states to explain the galactic center gamma-ray excess (GCE). In this work we
take into account the foreground and background uncertainties for the GCE and
investigate these explanations. We carry out a sophisticated scan over the
NMSSM parameter space by considering various experimental constraints such as
the Higgs data, -physics observables, DM relic desnity, LUX experiment and
the dSphs constraints. Then for each surviving parameter point we perform a fit
to the GCE spectrum by using the correlation matrix that incorporates both the
statistical and systematic uncertainties of the measured excess. After
examining the properties of the obtained GCE solutions, we conclude that the
GCE can be well explained by the pure annihilations and with being the lighter singlet-dominated CP-odd Higgs boson and
denoting the singlet-dominated CP-even Higgs boson or SM-like Higgs
boson, and it can also be explained by the mixed annihilation . Among these annihilation channels,
can provide the best
interpretation with the corresponding -value reaching 0.55. We also discuss
to what extent the future DM direct detection experiments can explore the GCE
solutions and conclude that the XENON-1T experiment is very promising in
testing nearly all the solutions.Comment: 31 pages, 7 figure
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