The Forecast Performance of Model-Free Implied Volatility: Evidence from DAX Index Options

Volatility has a central role in various theoretical and practical applications in financial markets. These include the applications related to portfolio theory, derivatives pricing and financial risk management. Both theoretical and practical applications require good estimates and forecasts for the asset return volatility. The goal of this study is to examine the forecast performance of one of the more recent volatility measures, model-free implied volatility. Model-free implied volatility is extracted from the prices in the option markets, and it aims to provide an unbiased estimate for the market’s expectation on the future level of volatility. Since it is extracted from the option prices, model-free implied volatility should contain all the relevant information that the market participants have. Moreover, model-free implied volatility requires less restrictive assumptions than the commonly used Black-Scholes implied volatility, which means that it should be less biased estimate for the market’s expectations. Therefore, it should also be a better forecast for the future volatility. The forecast performance of model-free implied volatility is evaluated by comparing it to the forecast performance of Black-Scholes implied volatility and GARCH(1,1) forecast. Weekly forecasts for six years period were calculated for the forecasted variable, German stock market index DAX. The data consisted of price observations for DAX index options. The forecast performance was measured using econometric methods, which aimed to capture the biasedness, accuracy and the information content of the forecasts. The results of the study suggest that the forecast performance of model-free implied volatility is superior to forecast performance of GARCH(1,1) forecast. However, the results also suggest that the forecast performance of model-free implied volatility is not as good as the forecast performance of Black-Scholes implied volatility, which is against the hypotheses based on theory. The results of this study are consistent with the majority of prior research on the subject.siirretty Doriast

Liikenneohjausjärjestelmän VMX-kameraintegraatio

Suomen liikennekeskukset vastaavat tieverkostojen tilan valvonnasta. Liikennekeskuksissa työskentelevät tieliikennepäivystäjät käyttävät tähän tehtävään T-LOIK-tietojärjestelmää. Tietojärjestelmä koostuu useasta eri työkalusta, joista yksi on liikennekameroiden kuvien katseluun tarkoitettu kameratyökalu. Kameratyökalu näyttää liikennekameroiden ottamia kuvia ja videoleikkeitä. Tämän työn tavoitteena on kehittää kameratyökalua uusien toiminnallisuuksien muodossa. Pelkkien staattisten kuvien ja ladattujen videoleikkeiden lisäksi kameratyökaluun toteutetaan tuki suoratoistettavan videokuvan esittämiseen sekä liikennekameroiden ohjaamiseen, jolloin tieliikennepäivystäjien voivat hahmottaa liikennetilannetta paremmin. Tässä diplomityössä käydään läpi edellä mainittujen suoratoisto- ja kameraohjaus-toimintojen suunnittelu- ja toteutusvaihe ohjelmistotuotannon näkökulmasta. Ensin kuvataan nykyisen tietojärjestelmän osia, jonka jälkeen selitetään hieman videoiden suoratoistossa käytettävää videopakkaamisen teoriaa. Tämän jälkeen käydään läpi toimintojen suunnittelu- ja toteutusprosesseja kuvaamalla erilaisia ratkaisuja prosessien aikana ilmenneisiin haasteisiin. Työn lopussa arvioidaan vielä toteutusprosessin tuloksia eli millaisia suoratoisto- ja kameraohjaus-toiminnoista lopulta tuli vallitsevien reunaehtojen puitteissa. Arvioinnissa keskitytään siihen, miten toteutus erosi alkuperäisestä suunnitelmasta ja nostaa esiin vaihtoehtoisia ratkaisuja, jotka olisivat ehkä soveltuneet joidenkin ongelmien ratkaisuiksi paremmin

Recovery of the 20Hz Rebound to Tactile and Proprioceptive Stimulation after Stroke

Sensorimotor integration is closely linked to changes in motor-cortical excitability, observable in the modulation of the 20 Hz rhythm. After somatosensory stimulation, the rhythm transiently increases as a rebound that reflects motor-cortex inhibition. Stroke-induced alterations in afferent input likely affect motor-cortex excitability and motor recovery. To study the role of somatosensory afferents in motor-cortex excitability after stroke, we employed magnetoencephalographic recordings (MEG) at 1-7 days, one month, and 12 months in 23 patients with stroke in the middle cerebral artery territory and 22 healthy controls. The modulation of the 20 Hz motor-cortical rhythm was evaluated to two different somatosensory stimuli, tactile stimulation, and passive movement of the index fingers. The rebound strengths to both stimuli were diminished in the acute phase compared to the controls and increased significantly during the first month after stroke. However, only the rebound amplitudes to tactile stimuli fully recovered within the follow-up period. The rebound strengths in the affected hemisphere to both stimuli correlated strongly with the clinical scores across the follow-up. The results show that changes in the 20 Hz rebound to both stimuli behave similarly and occur predominantly during the first month. The 20 Hz rebound is a potential marker for predicting motor recovery after stroke.Peer reviewe

Refining Coarse Manual Segmentations with Stable Probability Regions

Most feature-based lesion detection and computer-aided diagnosis methods for medical images require representative data of each region of interest (ROI) for parameter selection. Furthermore, the spatial accuracy of the segmentation of the ROIs from the background can significantly affect certain image features extracted from the ROIs. How- ever, requiring spatially accurate manual segmentations of the ROIs to be used as the ground truth is infeasible for large image sets due to the amount of manual work involved. To relax the requirement of spatial accuracy and to enable spatial refinement of coarse manual segmentations to have more representative feature data, a method based on color information and maximally stable extremal regions of lesion likelihoods is presented. The proposed method is quantitatively compared to several segmentation approaches by using a challenging set of retinal images with spatially accurate ground truth of exudates. The experiments show that the proposed method produces good results measured as Dice coefficients between the refined segmentation and ground truth

Modulation of the similar to 20-Hz motor-cortex rhythm to passive movement and tactile stimulation

Background: Integration of afferent somatosensory input with motor-cortex output is essential for accurate movements. Prior studies have shown that tactile input modulates motor-cortex excitability, which is reflected in the reactivity of the similar to 20-Hz motor-cortex rhythm. similar to 20-Hz rebound is connected to inhibition or deactivation of motor cortex whereas suppression has been associated with increased motor cortex activity. Although tactile sense carries important information for controlling voluntary actions, proprioception likely provides the most essential feedback for motor control. Methods: To clarify how passive movement modulates motor-cortex excitability, we studied with magnetoencephalography (MEG) the amplitudes and peak latencies of suppression and rebound of the similar to 20-Hz rhythm elicited by tactile stimulation and passive movement of right and left index fingers in 22 healthy volunteers. Results: Passive movement elicited a stronger and more robust similar to 20-Hz rebound than tactile stimulation. In contrast, the suppression amplitudes did not differ between the two stimulus types. Conclusion: Our findings suggest that suppression and rebound represent activity of two functionally distinct neuronal populations. The similar to 20-Hz rebound to passive movement could be a suitable tool to study the functional state of the motor cortex both in healthy subjects and in patients with motor disorders.Peer reviewe

Functional Analysis of the Microgrid Concept Applied to Case Studies of the Sundom Smart Grid

The operation of microgrids is a complex task because it involves several stakeholders and controlling a large number of different active and intelligent resources or devices. Management functions, such as frequency control or islanding, are defined in the microgrid concept, but depending on the application, some functions may not be needed. In order to analyze the required functions for network operation and visualize the interactions between the actors operating a particular microgrid, a comprehensive use case analysis is needed. This paper presents the use case modelling method applied for microgrid management from an abstract or concept level to a more practical level. By utilizing case studies, the potential entities can be detected where the development or improvement of practical solutions is necessary. The use case analysis has been conducted from top-down until test use cases by real-time simulation models. Test use cases are applied to a real distribution network model, Sundom Smart Grid, with measurement data and newly developed controllers.. The functional analysis provides valuable results when studying several microgrid functions operating in parallel and affecting each other. For example, as shown in this paper, ancillary services provided by an active customer may mean that both the active power and reactive power from customer premises are controlled at the same time by different stakeholders.© 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).fi=vertaisarvioitu|en=peerReviewed

Comparison of image registration methods for composing spectral retinal images

Spectral retinal images have signficant potential for improving the early detection and visualization of subtle changes due to eye diseases and many systemic diseases. High resolution in both the spatial and the spectral domain can be achieved by capturing a set of narrowband channel images from which the spectral images are composed. With imaging techniques where the eye movement between the acquisition of the images is unavoidable, image registration is required. In this paper, the applicability of the state-of-the-art image registration methods for the composition of spectral retinal images is studied. The registration methods are quantitatively compared using synthetic channel image data of an eye phantom and semisynthetic set of retinal channel images subjected to known transformations. The experiments show that Generalized dual-bootstrap iterative closest point method outperforms the other evaluated methods in registration accuracy and the number of successful registrations