Modelling the implied probability of stock market movements

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of the implied PDFs and we examine the relations between the moments and observable factors such as macroeconomic variables, the US stock markets and credit risk. We find that the risk-neutral densities exhibit pronounced negative skewness. Our second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15Option prices, risk-neutral density, spillover, Volatility

How frequently do consumer prices change in Austria? Evidence from micro CPI data

Based on individual price records collected for the computation of the Austrian CPI, average frequencies of price changes and durations of price spells are estimated to characterize price setting in Austria. Depending on the estimation method, prices are unchanged for 10 to 14 months on average. We find strong heterogeneity across sectors and products. Price increases occur only slightly more often than price decreases. The typical size of a price increase (decrease) is 11 (15) percent. The aggregate hazard function of prices is decreasing with time. Besides heterogeneity across products and price setters, this is due to oversampling of products with a high frequency of price changes. Accounting for unobserved heterogeneity in estimating the probability of a price change with a fixed-effects logit model, we find a positive effect of the duration of a price spell. During the Euro cash changeover the probability of price changes was higher. JEL Classification: C41, D21, E31, L11consumer prices, duration of price spells, frequency and synchronization of price changes, sticky prices

The forecasting performance of German stock option densities

In this paper the authors estimate risk-neutral densities (RND) for the largest euro-area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. The authors have applied an innovative test procedure to a new, rich, and accurate data set. They have two main results. First, They have recorded strong negative skewness in the densities. Second, they find evidence for a significant difference between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX.Stock market - Germany ; Stock options

The Forecasting Performance of German Stock Option Densities

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and accurate data set. We have two main results. First, we have recorded strong negative skewness in the densities. Second, we find evidence for significant differences between the actual density and the risk-neutral density, leading to the conclusion that market participants were surprised by the extent of both the rise and the fall of the DAX. -- In dieser Arbeit werden "risikoneutrale" Dichtefunktionen über künftige DAXIndexstände aus täglich beobachteten Preisen europäischer Kauf- und Verkaufsoptionen mit verschiedenen Restlaufzeiten abgeleitet. Das hierbei verwendete Berechnungsverfahren beruht auf der Mischung von zwei Log-Normalverteilung, bei dem fünf Parameter (der Mischungsparameter, zwei Mittelwerte und zwei Standardabweichungen) so bestimmt werden, dass der quadratische Abstand zwischen beobachteten und impliziten Optionspreisen minimal ist. Die Preisnotierungen für die Derivative werden der Eurex entnommen und der Untersuchungszeitraum erstreckt sich von Dezember 1995 bis Mai 2002, also sowohl über die Boom- als auch über die Niedergangsphase des DAX. Die Vorhersagehorizonte der Dichten sind auf Grund der Datenlage auf sechs bis acht Wochen begrenzt. Die Vorhersagegüte dieser Dichten wird über verschiedene neuartige statistische Evaluierungsverfahren abgeschätzt. Im Ergebnis stellt sich folgendes heraus: Erstens: Die Dichten weisen im Durchschnitt eine negative Schiefe (negatives drittes Moment) auf, so dass das linke Ende der Dichte "dicker" ist als das rechte und die Marktteilnehmer somit einen bestimmten prozentualen Kursverlust als wahrscheinlicher einschätzten als einen Kursgewinn. Zweitens: Die Evaluierungstests für die Dichten machen deutlich, dass die tatsächlichen Dichten im Mittel deutlich von den risikoneutralen Dichten abweichen. Dabei kann ausgeschlossen werden, dass es sich lediglich um einen "Mittelwert"fehler handelt. Vielmehr scheinen die Markteilnehmer sowohl in der Aufschwung- als auch in der Abschwungphase von den Kursbewegungen des DAX überrascht worden zu.option prices,risk-neutral density,density evaluation,overlapping data

Measurement of the cross-section of high transverse momentum vector bosons reconstructed as single jets and studies of jet substructure in pp collisions at √s = 7 TeV with the ATLAS detector

This paper presents a measurement of the cross-section for high transverse momentum W and Z bosons produced in pp collisions and decaying to all-hadronic final states. The data used in the analysis were recorded by the ATLAS detector at the CERN Large Hadron Collider at a centre-of-mass energy of √s = 7 TeV;{\rm Te}{\rm V}$and correspond to an integrated luminosity of$4.6\;{\rm f}{{{\rm b}}^{-1}}$. The measurement is performed by reconstructing the boosted W or Z bosons in single jets. The reconstructed jet mass is used to identify the W and Z bosons, and a jet substructure method based on energy cluster information in the jet centre-of-mass frame is used to suppress the large multi-jet background. The cross-section for events with a hadronically decaying W or Z boson, with transverse momentum${{p}_{{\rm T}}}\gt 320\;{\rm Ge}{\rm V}$and pseudorapidity$|\eta |\lt 1.9$, is measured to be${{\sigma }_{W+Z}}=8.5\pm 1.7$ pb and is compared to next-to-leading-order calculations. The selected events are further used to study jet grooming techniques

Jet energy measurement with the ATLAS detector in proton-proton collisions at root s=7 TeV

The jet energy scale and its systematic uncertainty are determined for jets measured with the ATLAS detector at the LHC in proton-proton collision data at a centre-of-mass energy of √s = 7TeV corresponding to an integrated luminosity of 38 pb-1. Jets are reconstructed with the anti-kt algorithm with distance parameters R=0. 4 or R=0. 6. Jet energy and angle corrections are determined from Monte Carlo simulations to calibrate jets with transverse momenta pT≥20 GeV and pseudorapidities {pipe}η{pipe}<4. 5. The jet energy systematic uncertainty is estimated using the single isolated hadron response measured in situ and in test-beams, exploiting the transverse momentum balance between central and forward jets in events with dijet topologies and studying systematic variations in Monte Carlo simulations. The jet energy uncertainty is less than 2. 5 % in the central calorimeter region ({pipe}η{pipe}<0. 8) for jets with 60≤pT<800 GeV, and is maximally 14 % for pT<30 GeV in the most forward region 3. 2≤{pipe}η{pipe}<4. 5. The jet energy is validated for jet transverse momenta up to 1 TeV to the level of a few percent using several in situ techniques by comparing a well-known reference such as the recoiling photon pT, the sum of the transverse momenta of tracks associated to the jet, or a system of low-pT jets recoiling against a high-pT jet. More sophisticated jet calibration schemes are presented based on calorimeter cell energy density weighting or hadronic properties of jets, aiming for an improved jet energy resolution and a reduced flavour dependence of the jet response. The systematic uncertainty of the jet energy determined from a combination of in situ techniques is consistent with the one derived from single hadron response measurements over a wide kinematic range. The nominal corrections and uncertainties are derived for isolated jets in an inclusive sample of high-pT jets. Special cases such as event topologies with close-by jets, or selections of samples with an enhanced content of jets originating from light quarks, heavy quarks or gluons are also discussed and the corresponding uncertainties are determined. © 2013 CERN for the benefit of the ATLAS collaboration

Measurement of the inclusive and dijet cross-sections of b-jets in pp collisions at sqrt(s) = 7 TeV with the ATLAS detector

The inclusive and dijet production cross-sections have been measured for jets containing b-hadrons (b-jets) in proton-proton collisions at a centre-of-mass energy of sqrt(s) = 7 TeV, using the ATLAS detector at the LHC. The measurements use data corresponding to an integrated luminosity of 34 pb^-1. The b-jets are identified using either a lifetime-based method, where secondary decay vertices of b-hadrons in jets are reconstructed using information from the tracking detectors, or a muon-based method where the presence of a muon is used to identify semileptonic decays of b-hadrons inside jets. The inclusive b-jet cross-section is measured as a function of transverse momentum in the range 20 < pT < 400 GeV and rapidity in the range |y| < 2.1. The bbbar-dijet cross-section is measured as a function of the dijet invariant mass in the range 110 < m_jj < 760 GeV, the azimuthal angle difference between the two jets and the angular variable chi in two dijet mass regions. The results are compared with next-to-leading-order QCD predictions. Good agreement is observed between the measured cross-sections and the predictions obtained using POWHEG + Pythia. MC@NLO + Herwig shows good agreement with the measured bbbar-dijet cross-section. However, it does not reproduce the measured inclusive cross-section well, particularly for central b-jets with large transverse momenta.Comment: 10 pages plus author list (21 pages total), 8 figures, 1 table, final version published in European Physical Journal

Search for direct production of charginos and neutralinos in events with three leptons and missing transverse momentum in √s = 7 TeV pp collisions with the ATLAS detector

A search for the direct production of charginos and neutralinos in final states with three electrons or muons and missing transverse momentum is presented. The analysis is based on 4.7 fb−1 of proton–proton collision data delivered by the Large Hadron Collider and recorded with the ATLAS detector. Observations are consistent with Standard Model expectations in three signal regions that are either depleted or enriched in Z-boson decays. Upper limits at 95% confidence level are set in R-parity conserving phenomenological minimal supersymmetric models and in simplified models, significantly extending previous results

Observation of associated near-side and away-side long-range correlations in √sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Two-particle correlations in relative azimuthal angle (Δϕ) and pseudorapidity (Δη) are measured in √sNN=5.02  TeV p+Pb collisions using the ATLAS detector at the LHC. The measurements are performed using approximately 1  μb-1 of data as a function of transverse momentum (pT) and the transverse energy (ΣETPb) summed over 3.1<η<4.9 in the direction of the Pb beam. The correlation function, constructed from charged particles, exhibits a long-range (2<|Δη|<5) “near-side” (Δϕ∼0) correlation that grows rapidly with increasing ΣETPb. A long-range “away-side” (Δϕ∼π) correlation, obtained by subtracting the expected contributions from recoiling dijets and other sources estimated using events with small ΣETPb, is found to match the near-side correlation in magnitude, shape (in Δη and Δϕ) and ΣETPb dependence. The resultant Δϕ correlation is approximately symmetric about π/2, and is consistent with a dominant cos⁡2Δϕ modulation for all ΣETPb ranges and particle pT

Evidence for the Higgs-boson Yukawa coupling to tau leptons with the ATLAS detector

Results of a search for H → τ τ decays are presented, based on the full set of proton-proton collision data recorded by the ATLAS experiment at the LHC during 2011 and 2012. The data correspond to integrated luminosities of 4.5 fb−1 and 20.3 fb−1 at centre-of-mass energies of √s = 7 TeV and √s = 8 TeV respectively. All combinations of leptonic (τ → `νν¯ with ` = e, µ) and hadronic (τ → hadrons ν) tau decays are considered. An excess of events over the expected background from other Standard Model processes is found with an observed (expected) significance of 4.5 (3.4) standard deviations. This excess provides evidence for the direct coupling of the recently discovered Higgs boson to fermions. The measured signal strength, normalised to the Standard Model expectation, of µ = 1.43 +0.43 −0.37 is consistent with the predicted Yukawa coupling strength in the Standard Model