Empirical Evidence of the Leverage Effect in a Stochastic Volatility Model: A Realized Volatility Approach

Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged stochastic volatility model using the realized volatility computed from five popular methods across six sampling-frequency transaction data (from 1-min to 60-min). Availability of the realized volatility allows us to estimate the model parameters via the MLE and thus avoids computational challenge in the high dimensional integration.Six stock indices are considered in the empirical investigation. We discover some consistent findings and interesting patterns from the empirical results. In general, the significant leverage effect is consistently detected at each sampling frequency. The volatility persistence becomes weaker at the lower sampling frequency. We also find that the consistent-scaling and "optimal"-weighted realized volatility method proposed by Hansen and Lunde (2005) provide relatively better performances compared to other methods considered.

The Application of Translation Variation Techniques in Martial Arts Fiction: Taking The Book & The Sword as an Example

Distinguishing itself from normal novels by being endowed with Chinese unique chivalrous spirits, Chinese martial arts fiction is the epitome of Chinese culture since it shares a wide range from martial arts styles, heroes’ nicknames, national conflicts, love and hate between schools and heroes, and poems to human’s body structure. Together with the destitute of martial culture in western world, the complicated plots of martial arts fictions make it extremely difficult for translators to do the work if he adopted complete translation strategy. According to the author’s observation, quite a number of translation variation techniques including large scale of addition (added explanations), deletion, etc. have been applied in English-translated Chinese martial arts novels. Therefore, the author intends to take this opportunity to testify the reasonability and practicality of the application of translation variation strategy and techniques in translating martial arts fictions by analyzing Chinese famous kung fu novel The Book & The Sword translated by English writer Enshaw.

Concurrent coupling of atomistic simulation and mesoscopic hydrodynamics for flows over soft multi-functional surfaces

We develop an efficient parallel multiscale method that bridges the atomistic and mesoscale regimes, from nanometer to micron and beyond, via concurrent coupling of atomistic simulation and mesoscopic dynamics. In particular, we combine an all-atom molecular dynamics (MD) description for specific atomistic details in the vicinity of the functional surface, with a dissipative particle dynamics (DPD) approach that captures mesoscopic hydrodynamics in the domain away from the functional surface. In order to achieve a seamless transition in dynamic properties we endow the MD simulation with a DPD thermostat, which is validated against experimental results by modeling water at different temperatures. We then validate the MD-DPD coupling method for transient Couette and Poiseuille flows, demonstrating that the concurrent MD-DPD coupling can resolve accurately the continuum-based analytical solutions. Subsequently, we simulate shear flows over polydimethylsiloxane (PDMS)-grafted surfaces (polymer brushes) for various grafting densities, and investigate the slip flow as a function of the shear stress. We verify that a "universal" power law exists for the sliplength, in agreement with published results. Having validated the MD-DPD coupling method, we simulate time-dependent flows past an endothelial glycocalyx layer (EGL) in a microchannel. Coupled simulation results elucidate the dynamics of EGL changing from an equilibrium state to a compressed state under shear by aligning the molecular structures along the shear direction. MD-DPD simulation results agree well with results of a single MD simulation, but with the former more than two orders of magnitude faster than the latter for system sizes above one micron.Comment: 11 pages, 12 figure

Novel Modelling Strategies for High-frequency Stock Trading Data

Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods. Machine learning algorithms are widely applied to mid-price stock predictions. Processing raw data as inputs for prediction models (e.g., data thinning and feature engineering) can primarily affect the performance of the prediction methods. However, researchers rarely discuss this topic. This motivated us to propose three novel modelling strategies for processing raw data. We illustrate how our novel modelling strategies improve forecasting performance by analyzing high-frequency data of the Dow Jones 30 component stocks. In these experiments, our strategies often lead to statistically significant improvement in predictions. The three strategies improve the F1 scores of the SVM models by 0.056, 0.087, and 0.016, respectively.Comment: 28 pages, 5 tables, 5 figure

Numerical simulation of circulating tumor cell separation in a dielectrophoresis based Y-Y shaped microfluidic device

Efficient and effective separation of circulating tumor cells from biological samples to promote early diagnosis of cancer is important but challenging, especially for non-small cell lung cancer (NSCLC). In this article, a Y-Y shaped microfluidic device was designed to isolate NSCLC cells with a dielectrophoresis approach. Numerical simulations were conducted that the trajectories of cells were traced by solving the electric potential distribution and the flow field in a microchannel. The effects of inlet flow rate ratio of blood sample and buffer on separation performance were studied and optimized by the numerical investigation. Under optimal operating conditions, the separation efficiency can reach around 99%, which is achieved with 100 kHz AC, electrodes potential ranging from 1.6 V to 2.2 V, and flow rate ratio from 1.9 to 2.5. This study presents a potentially efficient, facile and low-cost route for circulating tumor cell separation

Central cholinergic signal-mediated neuroendocrine regulation of vasopressin and oxytocin in ovine fetuses

<p>Abstract</p> <p>Background</p> <p>The hypothalamic-neurohypophysial system plays a fundamental role in the maintenance of body fluid homeostasis by secreting arginine vasopressin (AVP) and oxytocin (OT) in response to a variety of signals, including osmotic and nonosmotic stimuli. It is well established that central cholinergic mechanisms are critical in the regulation of cardiovascular responses and maintenance of body fluid homeostasis in adults. Our recent study demonstrated that intracerebroventricular (i.c.v.) injection of carbachol elicited an increase of blood pressure in the near-term ovine fetuses. However, <it>in utero </it>development of brain cholinergic mechanisms in the regulation of the hypothalamic neuropeptides is largely unknown. This study investigated AVP and OT neural activation in the fetal hypothalamus induced by central carbachol.</p> <p>Results</p> <p>Chronically prepared near-term ovine fetuses (0.9 gestation) received an i.c.v. carbachol (3 μg/kg). Fetal blood samples were collected for AVP and OT assay, and brains were used for c-fos mapping studies. I.c.v. carbachol significantly increased fetal plasma AVP and OT concentrations. Intense FOS immunoreactivity (FOS-ir) was observed in the fetal supraoptic nuclei (SON) and paraventricular nuclei (PVN) in the hypothalamus. Double labeling demonstrated that a number of AVP- and OT-containing neurons in the fetal SON and PVN were expressing c-fos in response to central carbachol.</p> <p>Conclusion</p> <p>The results indicate that the central cholinergic mechanism is established and functional in the regulation of the hypothalamic neuropeptides during the final trimester of pregnancy. This provides evidence for a functional link between the development of central cholinergic mechanisms and hypothalamic neuropeptide systems in the fetus.</p

PB-ACR: Node Payload Balanced Ant Colony Optimal Cooperative Routing for Multi-Hop Underwater Acoustic Sensor Networks

For a given source-destination pair in multi-hop underwater acoustic sensor networks (UASNs), an optimal route is the one with the lowest energy consumptions that usually consists of the same relay nodes even under different transmission tasks. However, this will lead to the unbalanced payload of the relay nodes in the multi-hop UASNs and accelerate the loss of the working ability for the entire system. In this paper, we propose a node payload balanced ant colony optimal cooperative routing (PB-ACR) protocol for multi-hop UASNs, through combining the ant colony algorithm and cooperative transmission. The proposed PB-ACR protocol is a relay node energy consumption balanced scheme, which considers both data priority and residual energy of each relay node, aiming to reduce the occurrence of energy holes and thereby prolong the lifetime of the entire UASNs. We compare the proposed PB-ACR protocol with the existing ant colony algorithm routing (ACAR) protocol to verify its performances in multi-hop UASNs, in terms of network throughput, energy consumption, and algorithm complexity. The simulation results show that the proposed PB-ACR protocol can effectively balance the energy consumption of underwater sensor nodes and hence prolong the network lifetime