Vast volatility matrix estimation for high-frequency financial data

High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are often used to estimate integrated volatility. For problems involving a large number of assets, the estimation objects we face are volatility matrices of large size. The existing volatility estimators work well for a small number of assets but perform poorly when the number of assets is very large. In fact, they are inconsistent when both the number, $p$, of the assets and the average sample size, $n$, of the price data on the $p$ assets go to infinity. This paper proposes a new type of estimators for the integrated volatility matrix and establishes asymptotic theory for the proposed estimators in the framework that allows both $n$ and $p$ to approach to infinity. The theory shows that the proposed estimators achieve high convergence rates under a sparsity assumption on the integrated volatility matrix. The numerical studies demonstrate that the proposed estimators perform well for large $p$ and complex price and volatility models. The proposed method is applied to real high-frequency financial data.Comment: Published in at http://dx.doi.org/10.1214/09-AOS730 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Two-orbital Systems with Crystal Field Splitting and Interorbital Hopping

The nondegenerate two-orbital Hubbard model is studied within the dynamic mean-field theory to reveal the influence of two important factors, i.e. crystal field splitting and interorbital hopping, on orbital selective Mott transition (OSMT) and realistic compound Ca$_{2-x}$Sr$_{x}$RuO$_{4}$. A distinctive feature of the optical conductivity of the two nondegenerate bands is found in OSMT phase, where the metallic character of the wide band is indicated by a nonzero Drude peak, while the insulating narrow band has its Drude peak drop to zero in the mean time. We also find that the OSMT regime expands profoundly with the increase of interorbital hopping integrals. On the contrary, it is shown that large and negative level splitting of the two orbitals diminishes the OSMT regime completely. Applying the present findings to compound Ca$_{2-x}$Sr$_{x}$RuO$_{4}$, we demonstrate that in the doping region from $x=0.2$ to 2.0, the negative level splitting is unfavorable to the OSMT phase.Comment: 7 pages with 5 figure

Effects of interorbital hopping on orbital fluctuations and metal-insulator transitions: Extended linearized dynamical mean-field theory

We study the effects of interorbital hopping on orbital fluctuations and Mott-Hubbard metal-insulator transition (MIT) in the two-orbital Hubbard model within the extended linearized dynamical mean-field theory. By mapping the model onto an effective model with different bandwidths through the canonical transformation, we find that at half-filling, the increases of the interorbital Coulomb interaction $U^{\prime}$ and the Hund's coupling $J$ drive the MIT, and the critical $J_{c}$ for MIT increases with the lift of the inter-orbital hopping integral $t_{ab}$. Meanwhile at quarter filling and in the strong correlation regime, the system without $t_{ab}$ exhibits MIT with the decreasing of $J$, and favors the orbital liquid ground state. However, the system transits from metal to insulator with the increasing of t$_{ab}$, accompanied with the rising of the orbital order parameter. These results show the important role of the interorbital hopping in the orbital fluctuation and orbital ordering.Comment: 7 pages, 6 figure

Pathogenetic role of tissue factor in graft-versus-host disease

Graft-versus-host disease (GVHD) is a serious complication after allogeneic stem cell transplantation, the mechanism of it is still not elucidated. Recent findings suggest that host endothelial cells are a target of alloreactive donor cytotoxic T lymphocytes in GVHD and tissue factor (TF) plays an important role not only in coagulation-inflammation cycle, but also in transplant immunology. We postulate TF expression in vascular endothelial cells(VEC) may play an pivotal role in the pathogenesis of GVHD. TF gene andprotein expression in target organs of GVHD in aGVHD mice was significantly elevated compared to that of controls as determined by real-time PCR and Western blotting. Allogeneic CD4^+^T cell and CD8^+^T cells enhanced TF, VCAM-1, TNF-[alpha], IFN-[gamma] and IL-6 expression in TNF-[alpha] prestimulated HUVECs compared to controls as determined by flowcytometry and real-time PCR. JNK and p38MAPK mediated allogeneic T cells-induced TF expression in HUVECs. These effects were largely prevented by monoclonal antibody against TF, SB203580 and SP600125. In concert, these data provide strong evidence that upregulated TF expression is related to tissue damage caused by GVHD, TF isthe key factor in GVHD mediated by endothelial cells and allogeneic T cells-induced TF and consecutive proinflammatory cytokines expression in VEC contribute to the pathogenesis of GVHD