4,008 research outputs found

    Bayesian modeling and forecasting of 24-hour high-frequency volatility: A case study of the financial crisis

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    This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal components capturing time of the day patterns, correlations between return and volatility shocks, and announcement effects. We develop an integrated MCMC approach to estimate interday and intraday parameters and states using high-frequency data without resorting to various aggregation measures like realized volatility. We provide a case study using financial crisis data from 2007 to 2009, and use particle filters to construct likelihood functions for model comparison and out-of-sample forecasting from 2009 to 2012. We show that our approach improves realized volatility forecasts by up to 50% over existing benchmarks.Comment: 48 pages, 7 figure

    Bored with point and click?

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    Computers have the potential to be exploited as one of the most exciting examples of instructional media. Yet designers often fail to realize this potential. This is, in part, due to the limitations of hardware and software and, in part, due to the lack of good theory developed through conclusive research. Good examples of computer-based learning may owe more to the imaginative flair of the courseware designer than they do to the application of explicit design guidelines and good learning theory. This paper will therefore consider a variety of issues that may be blocking theoretical development and draw conclusions for future courses of action. This starts with a statement of the problem, first by considering the macro and micro issues, and then by looking at a recent call for help in ComputerBased Learning Environment (CBLE) design. Next, the contribution of instructional design theories will be presented together with a way forward for investigating the issues. Finally the implications for future progress are presented

    Contamination control by use of ethylene oxide

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    The uses of ethylene oxide as a decontaminating agent for planetary quarantine related applications are reported. Aspects discussed include: applications and limitations, chemical and physical properties, germicidal activity, methods of applications, and effects on personnel

    Tunable Band Gap in Graphene with a Non-Centrosymmetric Superlattice Potential

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    We show that, if graphene is subjected to the potential from an external superlattice, a band gap develops at the Dirac point provided the superlattice potential has broken inversion symmetry. As a numerical example, we calculate the band structure of graphene in the presence of an external potential due to periodically patterned gates arranged in a triangular graphene superlattice (TGS) with broken inversion symmetry, and find that a band gap is created at both the original and "second generation" Dirac point. The gap can be controlled, in principle, by changing the external potential and the lattice constant of the TGS.Comment: 6 figures, Phys. Rev. B 79, 20543

    A model for silicon solar cell performance in space Final report

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    Model for silicon solar cell performance in spac

    Steady-State Two Atom Entanglement in a Pumped Cavity

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    In this paper we explore the possibility of a steady-state entanglement of two two-level atoms inside a pumped cavity by taking into account cavity leakage and the spontaneous emission of photons by the atoms. We describe the system in the dressed state picture in which the coherence is built into the dressed states while transitions between the dressed states are incoherent. Our model assumes the vacuum Rabi splitting of the dressed states to be much larger than any of the decay parameters of the system which allows atom-field coherence to build up before any decay process takes over. We show that, under our model, a pumping field cannot entangle two closed two-level atoms inside the cavity in the steady-state, but a steady-state entanglement can be achieved with two open two-level atoms.Comment: 19 pages, 5 figure
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