Estimating Stochastic Volatility Models Using Daily Returns and Realized Volatility Simultaneously ( Revised in March 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2404-2426. April 2009. )

Realized volatility, which is the sum of squared intraday returns over a certain interval such as a day, has recently attracted the attention of financial economists and econometricians as an accurate measure of the true volatility. In the real market,however, the presence of non-trading hours and market microstructure noise in transaction prices may cause the bias in the realized volatility. On the other hand, daily returns are less subject to the noise and therefore may provide additional information on the true volatility. From this point of view, we propose modeling realized volatility and daily returns simultaneously based on well-known stochastic volatility model. Using intraday data of Tokyo stock price index, we show that this model can estimate realized volatility biases and parameters simultaneously.We take a Bayesian approach and propose an efficient sampling algorithm to implement the Markov chain Monte Carlo method for our simultaneous model. The result of the model comparison between the simultaneous models using both naive and scaled realized volatilities indicates that the effect of non-trading hours is more essential than that of microstructure noise but still the latter has to be considered for better fitting. Our Bayesian approach has an advantage over the conventional two-step correction procedure in that we are able to take the uncertainty in estimation of both biases and parameters into account for the prediction and the evaluation of Value-at-Risk.

Power of Uninitialized Qubits in Shallow Quantum Circuits

We study the computational power of shallow quantum circuits with O(log n) initialized and n^{O(1)} uninitialized ancillary qubits, where n is the input length and the initial state of the uninitialized ancillary qubits is arbitrary. First, we show that such a circuit can compute any symmetric function on n bits that is classically computable in polynomial time. Then, we regard such a circuit as an oracle and show that a polynomial-time classical algorithm with the oracle can estimate the elements of any unitary matrix corresponding to a constant-depth quantum circuit on n qubits. Since it seems unlikely that these tasks can be done with only O(log n) initialized ancillary qubits, our results give evidences that adding uninitialized ancillary qubits increases the computational power of shallow quantum circuits with only O(log n) initialized ancillary qubits. Lastly, to understand the limitations of uninitialized ancillary qubits, we focus on near-logarithmic-depth quantum circuits with them and show the impossibility of computing the parity function on n bits

Search for new physics via photon polarization of b→sγb \rightarrow s \gamma

We suggest a discriminant analysis of new physics beyond the standard model through a detection of photon polarization in a radiative B meson decay. This analysis is investigated in SUSY SU(5) GUT with right-handed neutrino and left-right symmetric models. New physics search via CP asymmetry in the same process are also evaluated in each model for comparison. We show that new physics can be found via detecting the photon polarization in a parameter space of TeV energy scale.Comment: 20 pages, 8 figures, v2:references added, v3:published versio

Design and implementation of a linear motor for multi-car elevators

The multi-car elevator system is a revolutionary new technology for high-rise buildings, promising outstanding economic benefits, but also requiring new technology for propulsion, safety and control. In this paper we report on experimental results with new components for linear motor driven multi-car elevators. We show that linear synchronous motors with optimized design and with our new safety and control system can be considered as core components of a new generation of elevator systems. The main new results concern the development of a safety system integrated into the propulsion system, the design methodology of a linear motor optimized for the multi-car elevator task, and the motion control system that is expected to be usable for extra high-rise buildings

Application of a Burkholderia cepacia lipase-immobilized silica monolith to batch and continuous biodiesel production with a stoichiometric mixture of methanol and crude Jatropha oil

<p>Abstract</p> <p>Background</p> <p>The enzymatic production of biodiesel through alcoholysis of triglycerides has become more attractive because it shows potential in overcoming the drawbacks of chemical processes. In this study, we investigate the production of biodiesel from crude, non-edible Jatropha oil and methanol to characterize <it>Burkholderia cepacia </it>lipase immobilized in an <it>n</it>-butyl-substituted hydrophobic silica monolith. We also evaluate the performance of a lipase-immobilized silica monolith bioreactor in the continuous production of biodiesel.</p> <p>Results</p> <p>The Jatropha oil used contained 18% free fatty acids, which is problematic in a base-catalyzed process. In the lipase-catalyzed reaction, the presence of free fatty acids made the reaction mixture homogeneous and allowed bioconversion to proceed to 90% biodiesel yield after a 12 hour reaction time. The optimal molar ratio of methanol to oil was 3.3 to 3.5 parts methanol to one part oil, with water content of 0.6% (w/w). Further experiments revealed that <it>B. cepacia </it>lipase immobilized in hydrophobic silicates was sufficiently tolerant to methanol, and glycerol adsorbed on the support disturbed the reaction to some extent in the present reaction system. The continuous production of biodiesel was performed at steady state using a lipase-immobilized silica monolith bioreactor loaded with 1.67 g of lipase. The yield of 95% was reached at a flow rate of 0.6 mL/h, although the performance of the continuous bioreactor was somewhat below that predicted from the batch reactor. The bioreactor was operated successfully for almost 50 days with 80% retention of the initial yield.</p> <p>Conclusions</p> <p>The presence of free fatty acids originally contained in Jatropha oil improved the reaction efficiency of the biodiesel production. A combination of <it>B. cepacia </it>lipase and its immobilization support, <it>n</it>-butyl-substituted silica monolith, was effective in the production of biodiesel. This procedure is easily applicable to the design of a continuous flow-through bioreactor system.</p

Classically Simulating Quantum Circuits with Local Depolarizing Noise

We study the effect of noise on the classical simulatability of quantum circuits defined by computationally tractable (CT) states and efficiently computable sparse (ECS) operations. Examples of such circuits, which we call CT-ECS circuits, are IQP, Clifford Magic, and conjugated Clifford circuits. This means that there exist various CT-ECS circuits such that their output probability distributions are anti-concentrated and not classically simulatable in the noise-free setting (under plausible assumptions). First, we consider a noise model where a depolarizing channel with an arbitrarily small constant rate is applied to each qubit at the end of computation. We show that, under this noise model, if an approximate value of the noise rate is known, any CT-ECS circuit with an anti-concentrated output probability distribution is classically simulatable. This indicates that the presence of small noise drastically affects the classical simulatability of CT-ECS circuits. Then, we consider an extension of the noise model where the noise rate can vary with each qubit, and provide a similar sufficient condition for classically simulating CT-ECS circuits with anti-concentrated output probability distributions