On the volatility of volatility

The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no significant correlation between changes in the VIX and changes in the 30-day realized volatility of the SPX are observed. We investigate whether this indicates a mispricing of options following large VIX moves, and examine the relation to excess returns from variance swaps.Comment: 15 pages, 12 figures, LaTe

Idiosyncratic Hiatus Resolution: An Argument for Gradient Harmonic Grammar

This paper discusses implications for generative theories of phonological idiosyncrasy, based on two vowel reduction patterns exhibited in Palauan. First, the process involves multiple degrees of idiosyncrasy; in cases of stress shift, vowels may surface faithfully, reduce to some unpredictable degree, or delete entirely. Second, the process involves unpredictability with respect to the patterning of tautomorphemic vowels with respect to hiatus resolution. We show that Palauan vowel reduction and hiatus resolution receive a parsimonious analysis in Gradient Harmonic Grammar (Smolensky & Goldrick 2016), a weighted constraint system in which individual segments and features are specified for non-integer degrees of activity (i.e. presence) in input forms. By proposing that vowels in Palauan may be specified for distinct input activity values, we are able to capture the idiosyncratic patterning of individual vowels within these two processes

Infantile Hemangiomas Masquerading as Other Periocular Disorders

Periocular tumors are common in infancy. The most common periocular tumors are capillary hemangiomas, which are present in 1-2% of newborns and develop in 10%–12% of children by the age of 1 year old. Deep capillary hemangiomas may be more challenging to diagnose than superficial capillary hemangiomas and can be confused with other orbital lesions. Deep orbital hemangiomas can mimic teratoma, lymphangioma, rhabdomyosarcoma, metastatic neuroblastoma, and granulocytic sarcoma. In this paper, we describe 2 pediatric cases where previously diagnosed dermoid cyst and dacrocystocele were found to be capillary hemangiomas upon biopsy. Approaches to distinguish capillary hemangiomas from other periocular tumors are further discussed. To our knowledge, this is the first case report of periocular hemangiomas imitating a dermoid cyst and a dacrocystocele. These cases emphasize the importance of including infantile hemangiomas in the differential diagnosis of subcutaneous periocular abnormalities

Minimizing Non-Response in The Delphi Process: How to Respond to Non-Response

When using the Delphi process, investigators need not only to achieve a desirable response rate in the initial round but they must also concern themselves with maintaining high response rates in the following iterations. Due to the potential scarcity of qualified participants and the relatively small number of subjects used in a Delphi study, the ability to achieve and maintain an ideal response rate can either ensure or jeopardize the validity of a Delphi study. The purpose of this paper is to discuss possible options to achieve and maintain a desirable response rate when engaged in a Delphi research project. These possible options focus on the importance of seeking help from well recognized experts or endorsed individuals, the value in establishing the first contact with each participant, the option of utilizing different forms and formats of questions, the use of incentives to encourage response and finally, strategies for dealing with non-respondents. Accessed 17,861 times on https://pareonline.net from December 07, 2007 to December 31, 2019. For downloads from January 1, 2020 forward, please click on the PlumX Metrics link to the right

The Delphi Technique: Making Sense of Consensus

The Delphi technique is a widely used and accepted method for gathering data from respondents within their domain of expertise. The technique is designed as a group communication process which aims to achieve a convergence of opinion on a specific real-world issue. The Delphi process has been used in various fields of study such as program planning, needs assessment, policy determination, and resource utilization to develop a full range of alternatives, explore or expose underlying assumptions, as well as correlate judgments on a topic spanning a wide range of disciplines. The Delphi technique is well suited as a method for consensus-building by using a series of questionnaires delivered using multiple iterations to collect data from a panel of selected subjects. Subject selection, time frames for conducting and completing a study, the possibility of low response rates, and unintentionally guiding feedback from the respondent group are areas which should be considered when designing and implementing a Delphi study. Accessed 68,465 times on https://pareonline.net from August 30, 2007 to December 31, 2019. For downloads from January 1, 2020 forward, please click on the PlumX Metrics link to the right

Unifying Phonotactics and Derived Environment Blocking through Prosodic Constraint Indexation

This paper presents a theory of prosodic constraint indexation that derives the blocking of markedness-reducing processes at prosodic and morphological junctures. The principle claim is that markedness constraints are indexed to prosodic categories, and are violated only when a marked structure is fully contained within the span of the indexed constituent. The interaction of prosodically-indexed constraints with faithfulness constraints accounts for both static phonotactic restrictions and derived environment blocking effects. Furthermore, they account for domain restrictions that can not be derived by CrispEdge constraints, which reference only prosodic edges. Where Strict Layering is violated, prosodic constraint indexation correctly predicts that more marked segment sequences can be admitted in extraprosodic affixes than in root morphemes

Information Structure Features and Syntax-prosody Mapping of Bangla Embedded Clauses: Implications for Match Theory

In both the Alignment (Selkirk 1986, 1996) and Match (Selkirk 2009, 2011) theories of syntax-prosody correspondence, prosodic structure is formed by mapping syntactic constituent structure to a corresponding prosodic representation. Under standard assumptions that mapping constraints reference only syntactic phrasehood or category, these parameters do not account for certain cases where the same syntactic category is prosodified differently in different syntactic contexts. This paper presents data on clausal prosody in Bangla (a.k.a. Bengali), where the prosodic status of embedded clauses varies depending on their positions within the main clause, which in turn correlate with different discourse interpretations. I argue that these patterns are the result of restrictions on the inventory of syntax-prosody mapping constraints. Contra the view of Focus Prominence Theory (Truckenbrodt 1995, 1999; Selkirk 2005, 2007), I propose that Match constraints that reference the intonational phrase level do not reference syntactic category alone, and must additionally be associated with information structure features on clauses (i.e. focus, topic)