Implied Filtering Densities on Volatility's Hidden State

We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional expectations that are already observed in the market, and which can be used as input to an inverse problem whose solution is an implied conditional density on volatility. Our analysis relies on a specification of the martingale change of measure, which we refer to as \textit{separability}. This specification has a multiplicative component that behaves like a risk premium on volatility uncertainty in the market. When applied to SPX options data, the estimated model and implied densities produce variance-swap rates that are consistent with the VIX volatility index. The implied densities are relatively stable over time and pick up some of the monthly effects that occur due to the options' expiration, indicating that the volatility-uncertainty premium could experience cyclic effects due to the maturity date of the options

ArrayInitiative - a tool that simplifies creating custom Affymetrix CDFs

<p>Abstract</p> <p>Background</p> <p>Probes on a microarray represent a frozen view of a genome and are quickly outdated when new sequencing studies extend our knowledge, resulting in significant measurement error when analyzing any microarray experiment. There are several bioinformatics approaches to improve probe assignments, but without in-house programming expertise, standardizing these custom array specifications as a usable file (e.g. as Affymetrix CDFs) is difficult, owing mostly to the complexity of the specification file format. However, without correctly standardized files there is a significant barrier for testing competing analysis approaches since this file is one of the required inputs for many commonly used algorithms. The need to test combinations of probe assignments and analysis algorithms led us to develop ArrayInitiative, a tool for creating and managing custom array specifications.</p> <p>Results</p> <p>ArrayInitiative is a standalone, cross-platform, rich client desktop application for creating correctly formatted, custom versions of manufacturer-provided (default) array specifications, requiring only minimal knowledge of the array specification rules and file formats. Users can import default array specifications, import probe sequences for a default array specification, design and import a custom array specification, export any array specification to multiple output formats, export the probe sequences for any array specification and browse high-level information about the microarray, such as version and number of probes. The initial release of ArrayInitiative supports the Affymetrix 3' IVT expression arrays we currently analyze, but as an open source application, we hope that others will contribute modules for other platforms.</p> <p>Conclusions</p> <p>ArrayInitiative allows researchers to create new array specifications, in a standard format, based upon their own requirements. This makes it easier to test competing design and analysis strategies that depend on probe definitions. Since the custom array specifications are easily exported to the manufacturer's standard format, researchers can analyze these customized microarray experiments using established software tools, such as those available in Bioconductor.</p

Evidence for the Direct Detection of the Thermal Spectrum of the Non-Transiting Hot Gas Giant HD 88133 b

We target the thermal emission spectrum of the non-transiting gas giant HD 88133 b with high-resolution near-infrared spectroscopy, by treating the planet and its host star as a spectroscopic binary. For sufficiently deep summed flux observations of the star and planet across multiple epochs, it is possible to resolve the signal of the hot gas giant's atmosphere compared to the brighter stellar spectrum, at a level consistent with the aggregate shot noise of the full data set. To do this, we first perform a principal component analysis to remove the contribution of the Earth's atmosphere to the observed spectra. Then, we use a cross-correlation analysis to tease out the spectra of the host star and HD 88133 b to determine its orbit and identify key sources of atmospheric opacity. In total, six epochs of Keck NIRSPEC L band observations and three epochs of Keck NIRSPEC K band observations of the HD 88133 system were obtained. Based on an analysis of the maximum likelihood curves calculated from the multi-epoch cross correlation of the full data set with two atmospheric models, we report the direct detection of the emission spectrum of the non-transiting exoplanet HD 88133 b and measure a radial projection of the Keplerian orbital velocity of 40 $\pm$ 15 km/s, a true mass of 1.02$^{+0.61}_{-0.28}M_J$, a nearly face-on orbital inclination of 15${^{+6}_{-5}}^{\circ}$, and an atmosphere opacity structure at high dispersion dominated by water vapor. This, combined with eleven years of radial velocity measurements of the system, provides the most up-to-date ephemeris for HD 88133.Comment: 9 pages, 6 figures; accepted for publication in Ap

Primordial black holes in braneworld cosmologies: Formation, cosmological evolution and evaporation

We consider the population evolution and evaporation of primordial black holes in the simplest braneworld cosmology, Randall-Sundrum type II. We demonstrate that black holes forming during the high-energy phase of this theory (where the expansion rate is proportional to the density) have a modified evaporation law, resulting in a longer lifetime and lower temperature at evaporation, while those forming in the standard regime behave essentially as in the standard cosmology. For sufficiently large values of the AdS radius, the high-energy regime can be the one relevant for primordial black holes evaporating at key epochs such as nucleosynthesis and the present. We examine the formation epochs of such black holes, and delimit the parameter regimes where the standard scenario is significantly modified.Comment: 9 pages RevTeX4 file with four figures incorporated, minor changes to match published versio

Testing post-IR IRSL luminescence dating methods in the southwest Mojave Desert, California, USA

The Mojave Desert presents an array of Pleistocene lacustrine deposits and aeolian landforms to which, at times, it has proved challenging to apply luminescence methods. We tested the suitability of K-feldspar post-IR IRSL methods using two sites with independent radiocarbon dating – shorelines at Harper Lake and Silver Lake – considering: 1) overall performance of the post-IR IRSL 225 °C (pIRIR225) protocol; 2) effect of test dose size on pIRIR225 De; 3) anomalous fading correction of pIRIR225 ages; 4) preliminary single grain pIRIR225 results. We observe consistently good performance of the single aliquot pIRIR225 protocol, with good dose recovery, acceptable recycling ratios, low recuperation and low inter-aliquot scatter. The pIRIR225 ages for Silver Lake (8.8 ± 0.4 and 11.3 ± 0.5 ka) and Harper Lake (both 25.4 ± 1.4 ka) are in substantially better agreement with the independent dating than low temperature (50 °C) IRSL and quartz OSL ages. pIRIR225 fading rates are reduced to ∼2.0–2.5% per decade, but there remains a tendency for under-estimation when using uncorrected ages. A need for fading correction is further implied at Harper Lake via comparison with multi-elevated temperature (MET)-PIR age plateaus and pIRIR290 measurements, although at the younger Silver lake site these methods produce ages nearly identical to the uncorrected pIRIR225 ages. Preliminary single grain pIRIR225 measurements suggest a ∼25–30% usable grain yield. At Silver Lake the single grain and single aliquot ages agree well despite over-dispersion of the single grain equivalent dose distribution. At Harper Lake the single grain and single aliquot pIRIR225 ages also agree well, although a population of insensitive, lower De grains is observed. These grains are not associated with significantly higher fading rates

Characterisation of aeolian sediment accumulation and preservation across complex topography

Topography fundamentally influences the distribution and morphology of aeolian landforms via the modification of surface wind flow and the creation of space for sediment deposition. This has been observed at both landform (individual topographic dune forms) and macro-landscape (sand sea) scales. Although previous studies have considered several effects of topography on aeolian landforms, the patterns of landscape-scale aeolian sediment accumulation that emerge at the meso-scale, within topographically complex environments have received less consideration. To address this, we present an approach that combines information on the presence of surficial sand (via remote sensing) with the morphometric feature classification method, LandSerf. Using the Cady Mountains in the Mojave Desert as a case study, we explore the relationships between sand cover and topographic indices over length scales of 102-103 m. Field observations are then used to refine our understanding of these patterns. Aeolian deposits across the Cady Mountains are strongly controlled by the topography. Although sand cover is often continuous and highly variable in depth, four archetypal “accommodation space types” are identified from the morphometric analysis: Slopes, Plains, Valley-Fills, and Slope-Valley composite. Specific aeolian landforms within these accommodation spaces may manifest as sand ramps and climbing and falling dunes, particularly on mountain front Slopes, and sand sheets on downwind Plains within the mountain block. In areas of high sediment supply, these may also coalescence, as exemplified by the extensive and compositionally complex Slope-Valley composites in the northern Cady Mountains. In conjunction with field observations, we argue that topography, moderated by proximity to 34 sediment supply, strongly influences the character of the aeolian sedimentary record. However, even 35 within the relatively complex landscape studied here, 90% of the mapped sand accumulation is 36 associated with the four identified accommodation space types identified. The implication is that 37 areas of such complex topography are amenable to analysis within the scheme outlined and that 38 this can potentially be used to interpret the accompanying dune chronologies

Increasing age and tear size reduce rotator cuff repair healing rate at 1 year : Data from a large randomized controlled trial

Peer reviewedPublisher PD