Intraday forecasts of a volatility index: Functional time series methods with dynamic updating

As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick values as realisations of a collection of curves observed sequentially on equally spaced and dense grids over time and utilise functional data analysis techniques to produce one-day-ahead forecasts of these curves. The proposed method facilitates the investigation of dynamic changes in the index over very short time intervals as showcased using the 15-second high-frequency VIX index values. With the help of dynamic updating techniques, our point and interval forecasts are shown to enjoy improved accuracy over conventional time series models.Comment: 29 pages, 5 figures, To appear at the Annals of Operations Researc

Explanation of the ATLAS Z-peaked excess by squark pair production in the NMSSM

The ATLAS collaboration recently reported a $3\sigma$ excess in the leptonic-$Z+jets+E_{T}^{miss}$ channel. We intend to interpret this excess by squark pair production in the Next-to-Minimal Supersymmetric Standard Model (NMSSM). The decay chain we employ is $\tilde{q} \to q \tilde{\chi}_2^0 \to q \tilde{\chi}_1^0 Z$, where $\tilde{\chi}_1^0$ and $\tilde{\chi}_2^0$ denote the lightest and the next-to-lightest neutralinos with singlino and bino as their dominant components respectively. Our simulations indicate that after considering the constraints from the ATLAS searches for $jets + E_{T}^{miss}$ signal the central value of the excess can be obtained for $m_{\tilde{q}} \lesssim 1.2 {\rm TeV}$, and if the constraint from the CMS on-$Z$ search is further considered, more than 10 signal events are still attainable for $m_{\tilde{q}} \lesssim 750 {\rm GeV}$. Compared with the interpretation by gluino pair production, the squark explanation allows for a significantly wider range of $m_{\tilde{q}}$ as well as a less compressed SUSY mass spectrum. We also show that the squark explanation will be readily tested at the initial stage of the 14 TeV LHC.Comment: 19 pages, 4 figure

Explanation of the ATLAS Z-peaked excess in the NMSSM

Recently the ATLAS collaboration reported a $3\sigma$ excess in the leptonic-$Z+jets+E_{T}^{miss}$ channel. This may be interpreted in the Next-to-Minimal Supersymmetric Standard Model (NMSSM) by gluino pair production with the decay chain $\tilde{g} \to q \bar{q} \tilde{\chi}_2^0 \to q \bar{q} Z \tilde{\chi}_1^0$, where $\tilde{\chi}_1^0$ and $\tilde{\chi}_2^0$ denote the lightest and the next-to-lightest neutralinos with singlino and bino as their dominant components respectively. After exploring the relevant parameter space of the NMSSM by considering the constraints from the ATLAS searches for $jets + E_{T}^{miss}$ signals, we conclude that the NMSSM is able to explain the excess at $1 \sigma$ level with the number of the signal events reaching its measured central value in optimal cases, and the best explanation comes from a compressed spectrum such as $m_{\tilde{g}} \simeq 650 {\rm GeV}$, $m_{\tilde{\chi}_2^0} \simeq 565 {\rm GeV}$ and $m_{\tilde{\chi}_1^0} \simeq 465 {\rm GeV}$. We also check the consistency of the ATLAS results with the null result of the CMS on-$Z$ search. We find that under the CMS limits at $95\%$ C.L., the event number of the ATLAS on-$Z$ signal can still reach 11 in our scenario, which is about $1.2 \sigma$ away from the measured central value.Comment: 18 pages, 2 figure

Using a Modified Payment Card Survey on Chinese Consumers’ Willingness to Pay for Fair Trade Coffee: Would the Starting Point Matter

Coffee consumption in China is increasing rapidly over the recent years. This study offers one of the few initial attempts to not only understand general consumption behavior associated with Chinese coffee, but to explore the viability of niche markets for coffee with the credence attribute “fair trade”. A modified payment card approach was adopted as the consumer willingness to pay elicitation method. Survey results of 564 consumers from the city of Wuhan, China suggest a positive attitude toward coffee as an alternative drink and a willingness to pay a premium for “fair trade” coffee. This study also explores and describes the potential impact of starting point bias, which has been relatively well documented in the dichotomous choice literature but has not been thoroughly addressed in a payment card context.coffee, fair trade, payment card, starting point bias, willingness to pay, Agribusiness, Consumer/Household Economics, Food Security and Poverty, International Development, Marketing, Research Methods/ Statistical Methods, D12, Q13,

On the Distribution of MIMO Mutual Information: An In-Depth Painlev\'{e} Based Characterization

This paper builds upon our recent work which computed the moment generating function of the MIMO mutual information exactly in terms of a Painlev\'{e} V differential equation. By exploiting this key analytical tool, we provide an in-depth characterization of the mutual information distribution for sufficiently large (but finite) antenna numbers. In particular, we derive systematic closed-form expansions for the high order cumulants. These results yield considerable new insight, such as providing a technical explanation as to why the well known Gaussian approximation is quite robust to large SNR for the case of unequal antenna arrays, whilst it deviates strongly for equal antenna arrays. In addition, by drawing upon our high order cumulant expansions, we employ the Edgeworth expansion technique to propose a refined Gaussian approximation which is shown to give a very accurate closed-form characterization of the mutual information distribution, both around the mean and for moderate deviations into the tails (where the Gaussian approximation fails remarkably). For stronger deviations where the Edgeworth expansion becomes unwieldy, we employ the saddle point method and asymptotic integration tools to establish new analytical characterizations which are shown to be very simple and accurate. Based on these results we also recover key well established properties of the tail distribution, including the diversity-multiplexing-tradeoff.Comment: Submitted to IEEE Transaction on Information Theory (under revision

Interpreting the galactic center gamma-ray excess in the NMSSM

In the Next-to-Minimal Supersymmetric Standard Model (NMSSM), all singlet-dominated particles including one neutralino, one CP-odd Higgs boson and one CP-even Higgs boson can be simultaneously lighter than about 100 GeV. Consequently, dark matter (DM) in the NMSSM can annihilate into multiple final states to explain the galactic center gamma-ray excess (GCE). In this work we take into account the foreground and background uncertainties for the GCE and investigate these explanations. We carry out a sophisticated scan over the NMSSM parameter space by considering various experimental constraints such as the Higgs data, $B$-physics observables, DM relic desnity, LUX experiment and the dSphs constraints. Then for each surviving parameter point we perform a fit to the GCE spectrum by using the correlation matrix that incorporates both the statistical and systematic uncertainties of the measured excess. After examining the properties of the obtained GCE solutions, we conclude that the GCE can be well explained by the pure annihilations $\tilde{\chi}_1^0 \tilde{\chi}_1^0 \to b \bar{b}$ and $\tilde{\chi}_1^0 \tilde{\chi}_1^0 \to A_1 H_i$ with $A_1$ being the lighter singlet-dominated CP-odd Higgs boson and $H_i$ denoting the singlet-dominated CP-even Higgs boson or SM-like Higgs boson, and it can also be explained by the mixed annihilation $\tilde{\chi}_1^0 \tilde{\chi}_1^0 \to W^+ W^-, A_1 H_1$. Among these annihilation channels, $\tilde{\chi}_1^0 \tilde{\chi}_1^0 \to A_1 H_i$ can provide the best interpretation with the corresponding $p$-value reaching 0.55. We also discuss to what extent the future DM direct detection experiments can explore the GCE solutions and conclude that the XENON-1T experiment is very promising in testing nearly all the solutions.Comment: 31 pages, 7 figure