Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities

This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset returns and volatilities. Our model nests Duan’s GARCH option models, where conditional returns are constrained to being normal, as well as mixed jump processes as used in Merton. The diffusion limits of our model have been shown to include jump diffusion models, stochastic volatility models and models with both jumps and diffusive elements in both returns and volatilities. Empirical analysis on the S&P 500 index reveals that the incorporation of jumps in returns and volatilities adds significantly to the description of the time series process and improves option pricing performance. In addition, we provide the first-ever hedging effectiveness tests of GARCH option models.Options (Finance) ; Hedging (Finance)

Recent progress in anodic oxidation of TiO2 nanotubes and enhanced photocatalytic performance: a short review

© 2021 World Scientific Publishing Company. This is the accepted version of the final published version found at https://doi.org/10.1142/S1793292021300024By adjusting the oxidation voltage, electrolyte, anodizing time and other parameters, TiO2 nanotubes with high aspect ratio can be prepared by oxidation in organic system because anodic oxidation method has the advantage of simple preparation process, low material cost and controllable morphology. Low material cost and controllable morphology by anodizing. This review focuses on the influence of anodizing parameters on the morphology of TiO2 nanotube arrays prepared by anodizing. In order to improve the photocatalytic activity of TiO2 nanotubes under visible light and prolong the life of photo-generated carriers, the research status of improving the photocatalytic activity of TiO2 nanotubes in recent years is reviewed. This review focuses on the preparation and modification of TiO2 nanotubes by anodic oxidation, which is helpful to understand the best structure of TiO2 nanotubes and the appropriate modification methods, thus guiding the application of TiO2 nanotubes in practical photocatalysis. Finally, the development of TiO2 nanotubes is prospected.Peer reviewe

Intelligent Gearbox Diagnosis Methods Based on SVM, Wavelet Lifting and RBR

Given the problems in intelligent gearbox diagnosis methods, it is difficult to obtain the desired information and a large enough sample size to study; therefore, we propose the application of various methods for gearbox fault diagnosis, including wavelet lifting, a support vector machine (SVM) and rule-based reasoning (RBR). In a complex field environment, it is less likely for machines to have the same fault; moreover, the fault features can also vary. Therefore, a SVM could be used for the initial diagnosis. First, gearbox vibration signals were processed with wavelet packet decomposition, and the signal energy coefficients of each frequency band were extracted and used as input feature vectors in SVM for normal and faulty pattern recognition. Second, precision analysis using wavelet lifting could successfully filter out the noisy signals while maintaining the impulse characteristics of the fault; thus effectively extracting the fault frequency of the machine. Lastly, the knowledge base was built based on the field rules summarized by experts to identify the detailed fault type. Results have shown that SVM is a powerful tool to accomplish gearbox fault pattern recognition when the sample size is small, whereas the wavelet lifting scheme can effectively extract fault features, and rule-based reasoning can be used to identify the detailed fault type. Therefore, a method that combines SVM, wavelet lifting and rule-based reasoning ensures effective gearbox fault diagnosis

Possible Luttinger liquid behavior of edge transport in monolayer transition metal dichalcogenide crystals.

In atomically-thin two-dimensional (2D) semiconductors, the nonuniformity in current flow due to its edge states may alter and even dictate the charge transport properties of the entire device. However, the influence of the edge states on electrical transport in 2D materials has not been sufficiently explored to date. Here, we systematically quantify the edge state contribution to electrical transport in monolayer MoS2/WSe2 field-effect transistors, revealing that the charge transport at low temperature is dominated by the edge conduction with the nonlinear behavior. The metallic edge states are revealed by scanning probe microscopy, scanning Kelvin probe force microscopy and first-principle calculations. Further analyses demonstrate that the edge-state dominated nonlinear transport shows a universal power-law scaling relationship with both temperature and bias voltage, which can be well explained by the 1D Luttinger liquid theory. These findings demonstrate the Luttinger liquid behavior in 2D materials and offer important insights into designing 2D electronics

A multiplex TaqMan real-time PCR assays for the rapid detection of mobile colistin resistance (mcr-1 to mcr-10) genes

ObjectiveRecently, 10 plasmid-mediated mobile colistin resistance genes, mcr-1 to mcr-10, and their variants have been identified, posing a new threat to the treatment of clinical infections caused by Gram-negative bacteria. Our objective was to develop a rapid, sensitive, and accurate molecular assay for detecting mcr genes in clinical isolates.MethodsThe primers and corresponding TaqMan-MGB probes were designed based on the sequence characteristics of all reported MCR family genes, multiplex Taqman-MGB probe-based qPCR assays were developed and optimized, and the sensitivity, specificity and reproducibility of the method were evaluated. The assay contained 8 sets of primers and probes in 4 reaction tubes, each containing 2 sets of primers and probes.ResultsThe standard curves for both the single and multiplex systems showed good linearity (R2 > 0.99) between the starting template amount and the Ct value, with a lower limit of detection of 102 copies/μL. The specificity test showed positive amplification results only for strains containing the mcr genes, whereas the other strains were negative. The results of intra-and inter-group repeatability experiments demonstrated the stability and reliability of the newly developed method. It was used to detect mcr genes in 467 clinically-obtained Gram-negative isolates, which were multidrug-resistant. Twelve strains containing the mcr genes were detected (seven isolates carrying mcr-1, four isolates carrying mcr-10, and one isolate carrying mcr-9). The products amplified by the full-length PCR primer were identified by sequencing, and the results were consistent with those of the multiplex qPCR method.ConclusionThe assay developed in this study has the advantages of high specificity, sensitivity, and reproducibility. It can be used to specifically detect drug-resistant clinical isolates carrying the mcr genes (mcr-1 to mcr-10), thus providing a better basis for clinical drug treatment and drug resistance research

SenseCare: A Research Platform for Medical Image Informatics and Interactive 3D Visualization

Clinical research on smart healthcare has an increasing demand for intelligent and clinic-oriented medical image computing algorithms and platforms that support various applications. To this end, we have developed SenseCare research platform for smart healthcare, which is designed to boost translational research on intelligent diagnosis and treatment planning in various clinical scenarios. To facilitate clinical research with Artificial Intelligence (AI), SenseCare provides a range of AI toolkits for different tasks, including image segmentation, registration, lesion and landmark detection from various image modalities ranging from radiology to pathology. In addition, SenseCare is clinic-oriented and supports a wide range of clinical applications such as diagnosis and surgical planning for lung cancer, pelvic tumor, coronary artery disease, etc. SenseCare provides several appealing functions and features such as advanced 3D visualization, concurrent and efficient web-based access, fast data synchronization and high data security, multi-center deployment, support for collaborative research, etc. In this paper, we will present an overview of SenseCare as an efficient platform providing comprehensive toolkits and high extensibility for intelligent image analysis and clinical research in different application scenarios.Comment: 11 pages, 10 figure

Molecular evolution of the H6 subtype influenza a viruses from poultry in eastern China from 2002 to 2010

<p>Abstract</p> <p>Background</p> <p>Although extensive data demonstrates that the majority of H6 duck isolates belonged to a single H6N2 virus lineage with a single gene constellation in southern China from 2000 to 2005, the prevalence of H6N2 virus in poultry in Eastern China is largely unknown.</p> <p>Results</p> <p>Epidemiology revealed that H6N2 viruses were the most frequently detected influenza subtypes in live bird markets from 2002 to 2008 in Eastern China, but from 2009 onwards, they were replaced with novel H6N6 viruses. We phylogenetically and antigenically analyzed 42 H6 viruses isolated mainly in domestic ducks from 2002 to 2010 in Eastern China. Surprisingly, none of these isolates grouped with the previously described H6N2 viruses which belonged to a single H6N2 virus lineage with a single gene constellation in domestic ducks in southern China from 2000 to 2005. Two distinct hemagglutinin lineages were identified and they all underwent frequent reassortment with multiple virus subtypes from the natural gene pool, but few reassortants were persistent or prevalent.</p> <p>Conclusions</p> <p>Five subtypes of H6 influenza viruses (H6N1, H6N2, H6N5, H6N6 and H6N8) cocirculated in Eastern China, which form a significant part of the natural influenza virus reservoir in domestic ducks, and significant viral reassortment is still ongoing in this species.</p

‘ZhongPan 101’ and ‘ZhongPan 102’: Two Flat Peach Cultivars From China

Flat peach [Prunus persica (L.) Batsch var. platycarpa] is a variant of ordinary peach with a unique flat shape. It is well known for its shape and delicious fruits (Miao et al. 2022). Although flat peach has a long history of cultivation in China, until the beginning of the 20th century, flat peach was only distributed as a minor variety in the main peach-producing areas of China. In terms of flat peach cultivars, only 46 of the 709 peach cultivars listed in Peach Genetic Resource in China (Wang et al. 2012) are flat peach cultivars, and most of them are flat landraces. Several problems have been noted previously in flat peach cultivars, including poor closure of the blossom end (blossom-end scarring in mild cases and cracking in severe cases), cracked stone in some cultivars (loss of commercial value in severe cases), nonsymmetrical fruit shape, small flesh, and low yield (Wang 2021). Many of the shortcomings of flat peach cultivars are intrinsic problems of the cultivars, which are difficult to improve through cultivation measures. This is the key factor limiting the large-scale promotion of flat peach cultivation in China. For many years, peach breeders in China have been devoted to the genetic improvement of flat peach, and some improved flat peach cultivars have been released, for instance, ‘Pocket Zaoban’ (Jiang et al. 2007) and ‘124 Pantao’ (Ma et al. 2003). However, problems persist in these cultivars, including small fruits, soft flesh, and blossom-end cracks. Only a few flat peach cultivars have good overall performance. In recent years, the Zhengzhou Fruit Research Institute (ZFRI), Chinese Academy of Agricultural Sciences (CAAS), identified genetic sources of flat peach with slow or nonmelting flesh, a well-closed blossom end, and little or no cracking. They were hybridized with high-quality peach and nectarine cultivars or selections. After multiple generations of improvement, breakthroughs were made in early flat peach breeding, and a series of flat peach cultivars with excellent comprehensive traits have been produced. These cultivars are favored by fruit farmers in the main peach-producing areas in China. Hence, the main problems in flat peach cultivation are expected to be solved, which will help expand the cultivation area of flat peach. ‘ZhongPan 101’ and ‘ZhongPan 102’ are two yellow-flesh flat peach cultivars 45 released from the ZFRI, CAAS. These two cultivars produce large, well-shaped, high-quality fruits with a completely closed stylar end and high yield. Three years of evaluation has confirmed that the peach trees of the two cultivars are stable. ‘ZhongPan 101’ and ‘ZhongPan 102’ were well adapted to climate of the middle and lower reaches of the Yellow River; have performed well in Henan, Jiangsu, and Anhui Provinces; and are suggested for trial wherever ‘ZhongYouPan 9’ is grown