Model-Free Implied Volatility under Jump-Diffusion Models

The model-free implied volatility (MFIVol) is intended to measure the variability of underlying asset price on which options are written. Analytically, however, it does not measure exactly the variability under jump diffusion. Our extensive empirical study suggests that the approximation error can be as much as about 3%--5% although most samples over the data period exhibit less than 1% errors. Even with the non-negligible errors, the MFIVol may be still considered a valid volatility measure from the perspective of risk-neutral return density, in the sense that it is bounded by the two variability measures as well as reflecting the shape of the risk-neutral density via its higher central moments

Graph Regularized Tensor Sparse Coding for Image Representation

Sparse coding (SC) is an unsupervised learning scheme that has received an increasing amount of interests in recent years. However, conventional SC vectorizes the input images, which destructs the intrinsic spatial structures of the images. In this paper, we propose a novel graph regularized tensor sparse coding (GTSC) for image representation. GTSC preserves the local proximity of elementary structures in the image by adopting the newly proposed tubal-tensor representation. Simultaneously, it considers the intrinsic geometric properties by imposing graph regularization that has been successfully applied to uncover the geometric distribution for the image data. Moreover, the returned sparse representations by GTSC have better physical explanations as the key operation (i.e., circular convolution) in the tubal-tensor model preserves the shifting invariance property. Experimental results on image clustering demonstrate the effectiveness of the proposed scheme

Myopic Versus Farsighted Behaviors in a Low-Carbon Supply Chain with Reference Emission Effects

The increased carbon emissions cause relatively climate deterioration and attract more attention of governments, consumers, and enterprises to the low-carbon manufacturing. This paper considers a dynamic supply chain, which is composed of a manufacturer and a retailer, in the presence of the cap-and-trade regulation and the consumers’ reference emission effects. To investigate the manufacturer’s behavior choice and its impacts on the emission reduction and pricing strategies together with the profits of both the channel members, we develop a Stackelberg differential game model in which the manufacturer acts in both myopic and farsighted manners. By comparing the equilibrium strategies, it can be found that the farsighted manufacturer always prefers to keep a lower level of emission reduction. When the emission permit price is relatively high, the wholesale/retail price is lower if the manufacturer is myopic and hence benefits consumers. In addition, there exists a dilemma that the manufacturer is willing to act in a farsighted manner but the retailer looks forward to a partnership with the myopic manufacturer. For a relatively high price of emission permit, adopting myopic strategies results in a better performance of the whole supply chain

Research and experimental verification on low-frequency long-range underwater sound propagation dispersion characteristics under dual-channel sound speed profiles in the Chukchi Plateau

The dual-channel sound speed profiles of the Chukchi Plateau and the Canadian Basin have become current research hotspots due to their excellent low-frequency sound signal propagation ability. Previous research has mainly focused on using sound propagation theory to explain the changes in sound signal energy. This article is mainly based on the theory of normal modes to study the fine structure of low-frequency wide-band sound propagation dispersion under dual-channel sound speed profiles. In this paper, the problem of the intersection of normal mode dispersion curves caused by the dual-channel sound speed profile (SSP) has been explained, the blocking effect of seabed terrain changes on dispersion structures has been analyzed, and the normal modes has been separated by using modified warping operator. The above research results have been verified through a long-range seismic exploration experiment at the Chukchi Plateau. At the same time, based on the acoustic signal characteristics in this environment, two methods for estimating the distance of sound sources have been proposed, and the experiment data at sea has also verified these two methods.Comment: 30 pages, 18 figure

Research and experimental verification on low-frequency long-range sound propagation characteristics under ice-covered and range-dependent marine environment in the Arctic

At present, research on sound propagation under the Arctic ice mainly focuses on modeling and experimental verification of sound propagation under sea ice cover and unique sound velocity profiles. Among them, the main research object of concern is sound transmission loss, and this article will delve into the time-domain waveform and fine dispersion structure of low-frequency broadband acoustic signals. Firstly, based on the theory of normal modes, this article derives the horizontal wavenumber expression and warping transformation operator for refractive normal modes in the Arctic deep-sea environment. Subsequently, based on measured ocean environmental parameters and sound field simulation calculations, this article studied the general laws of low-frequency long-range sound propagation signals in the Arctic deep-sea environment, and elucidated the impact mechanism of environmental factors such as seabed terrain changes, horizontal changes in sound velocity profiles (SSPs), and sea ice cover on low-frequency long-range sound propagation in the Arctic. This article validates the above research viewpoint through a sound propagation experiment conducted in the Arctic with a propagation distance exceeding 1000km. The marine environment of this experiment has obvious horizontal variation characteristics. At the same time, this article takes the lead in utilizing the warping transformation of refractive normal waves in the Arctic waters to achieve single hydrophone based separation of normal waves and extraction of dispersion structures, which is conducive to future research on underwater sound source localization and environmental parameter inversion based on dispersion structures.Comment: 46 pages, 35 figure

Residential comfort assessment due to blasting vibration

Blasting operation usually causes vibration to adjacent buildings and adversely impacts the residential comfort of residents, and the resulting disturbance to residents may lead to the occurrence of disputes and complaints against such problems. In this study, the blasting vibration acceleration is calculated based on the measured blasting vibration velocity signal using the four-point forward difference method. The Infinite Impulse Response (IIR) digital filter is applied for frequency weighting of acceleration, so as to calculate the comfort index; the vibration dose value (VDV) method is adopted to evaluate the vibration comfort and impact of blasting operation. Combined with engineering cases analyses, it is found that even small blasting vibrations which are insufficient to cause building damage might result in residents’ grumbles or complaints, and thus we suggests that the comfort of blasting vibration be taken into account during blasting operations