Parametric Immunization in Bond Portfolio Management

In this paper, we evaluate the relative immunization performance of the multifactor parametric interest rate risk model based on the Nelson-Siegel-Svensson specification of the yield curve with that of standard benchmark investment strategies, using European Central Bank yield curve data in the period between January 3, 2005 and December 31, 2011. In addition, we examine the role of portfolio design in the success of immunization strategies, particularly the role of the maturity bond. Considering multiperiod tests, the goal is to assess, in a highly volatile interest rate period, whether the use of the multifactor parametric immunization model contributes to improve immunization performance when compared to traditional single-factor duration strategies and whether durationmatching portfolios constrained to include a bond maturing near the end of the holding period prove to be an appropriate immunization strategy. Empirical results show that: (i) immunization models (single- and multi-factor) remove most of the interest rate risk underlying a naïve or maturity strategy; (ii) duration-matching portfolios constrained to include the maturity bond and formed using a single-factor model outperform the traditional duration-matching portfolio set up using a ladder portfolio and provide appropriate protection against interest rate risk; (iii) the multifactor parametric model outperforms all the other non-duration and duration-matching strategies, behaving almost like a perfect immunization asset; (iv) these results are consistent to changes in the rebalancing frequency of bond portfolios

Influence of developer factors on code quality: a data study

© 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes,creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.Automatic source-code inspection tools help to assess, monitor and improve code quality. Since these tools only examine the software project’s codebase, they overlook other possible factors that may impact code quality and the assessment of the technical debt (TD). Our initial hypothesis is that human factors associated with the software developers, like coding expertise, communication skills, and experience in the project have some measurable impact on the code quality. In this exploratory study, we test this hypothesis on two large open source repositories, using TD as a code quality metric and the data that may be inferred from the version control systems. The preliminary results of our statistical analysis suggest that the level of participation of the developers and their experience in the project have a positive correlation with the amount of TD that they introduce. On the contrary, communication skills have barely any impact on TD.Peer ReviewedPostprint (author's final draft

The impact of income adjustments in the Casen Survey on the measurement of inequality in Chile

The adjustment of the information obtained from household surveys to make the figures compatible with National Accounts is a non-standard and potentially questionable practice given that it alters the structure of income distribution. This paper analyzes the sensitivity of inequality and poverty indicators to the adjustments made by ECLAC so as to enable a consistency between what is reported by the CASEN survey and the National Accounts figures in Chile. The results reveal that this leads to important changes in the top-end of the distribution and to an overestimation in the main inequality indicators in Chile. Chile looks more unequal in international relative terms due to this adjustment.Inequality, Poverty, Income adjustment, Chile

Quantum Singular Value Decomposer

We present a variational quantum circuit that produces the Singular Value Decomposition of a bipartite pure state. The proposed circuit, that we name Quantum Singular Value Decomposer or QSVD, is made of two unitaries respectively acting on each part of the system. The key idea of the algorithm is to train this circuit so that the final state displays exact output coincidence from both subsystems for every measurement in the computational basis. Such circuit preserves entanglement between the parties and acts as a diagonalizer that delivers the eigenvalues of the Schmidt decomposition. Our algorithm only requires measurements in one single setting, in striking contrast to the $3^n$ settings required by state tomography. Furthermore, the adjoints of the unitaries making the circuit are used to create the eigenvectors of the decomposition up to a global phase. Some further applications of QSVD are readily obtained. The proposed QSVD circuit allows to construct a SWAP between the two parties of the system without the need of any quantum gate communicating them. We also show that a circuit made with QSVD and CNOTs acts as an encoder of information of the original state onto one of its parties. This idea can be reversed and used to create random states with a precise entanglement structure.Comment: 6 + 1 pages, 5 figure

Uniqueness of limit cycles for quadratic vector fields

Producción CientíficaThis article deals with the study of the number of limit cycles surrounding a critical point of a quadratic planar vector field, which, in normal form, can be written as x ′ = a1x − y − a3x 2 + (2a2 + a5)xy+a6y 2 , y ′ = x+a1y+a2x 2+(2a3+a4)xy−a2y 2 . In particular, we study the semi-varieties defined in terms of the parameters a1, a2, . . . , a6 where some classical criteria for the associated Abel equation apply. The proofs will combine classical ideas with tools from computational algebraic geometry.Agencia Estatal de Investigación - Fondo Europeo de Desarrollo Regional (grant MTM 2011-22751)Junta de Extremadura (grant GR15055)Ministerio de Economía, Industria y Competitividad - Fondo Europeo de Desarrollo Regional (grant MTM2015-65764-C3-1-P

Interval model predictive control

6TH INTERNATIONAL WORKSHOP ON ALGORITHMS AND ARCHITECTURES FOR REAL TIME CONTROL (6) (6.2000.PALMA DE MALLORCA. ESPAÑA)Model Predictive Control is one of the most popular control strategy in the process industry. One of the reason for this success can be attributed to the fact that constraints and uncertainties can be handled. There are many techniques based on interval mathematics that are used in a wide range of applications. These interval techniques can mean an important contribution to Model Predictive Control giving algorithms to achieve global optimization and constraint satisfaction

Advanced Positioning and Location based services in 4G Mobile-IP Radio Access Networks

2004 IEEE 15TH IEEE International Symposium on personal, indoor and mobile radio communications (PIMRC 2004), Barcelona, Spain, 5-8 september 2004.This paper proposes an evolved architecture from 3G networks to provide basic and advanced positioning methods for location based services in mobile IPv6-based radio access networks. We start analyzing current status of location-based services (i.e. LBS or LCS) and architectures in 3G networks as well as state-of-the-art research on LBS and mobile Internet. Next we set the requirements the solution should fulfill. We continue proposing the evolved architecture for support of basic and advanced positioning methods, using MIPv6 and HMIPv6 as mobility scenario for the mobile IPv6 based RAN, describing element's functions and changes from current approaches as well as description of the dynamic behavior. We complete the proposal with a bandwidth analysis of the signaling, identifying issues when planning implementation of LCS services in the network

Vanishing Abelian integrals on zero-dimensional cycles

In this paper we study conditions for the vanishing of Abelian integrals on families of zero-dimensional cycles. That is, for any rational function $f(z)$, characterize all rational functions $g(z)$ and zero-sum integers $\{n_i\}$ such that the function $t\mapsto\sum n_ig(z_i(t))$ vanishes identically. Here $z_i(t)$ are continuously depending roots of $f(z)-t$. We introduce a notion of (un)balanced cycles. Our main result is an inductive solution of the problem of vanishing of Abelian integrals when $f,g$ are polynomials on a family of zero-dimensional cycles under the assumption that the family of cycles we consider is unbalanced as well as all the cycles encountered in the inductive process. We also solve the problem on some balanced cycles. The main motivation for our study is the problem of vanishing of Abelian integrals on single families of one-dimensional cycles. We show that our problem and our main result are sufficiently rich to include some related problems, as hyper-elliptic integrals on one-cycles, some applications to slow-fast planar systems, and the polynomial (and trigonometric) moment problem for Abel equation. This last problem was recently solved by Pakovich and Muzychuk (\cite{PM} and \cite{P}). Our approach is largely inspired by their work, thought we provide examples of vanishing Abelian integrals on zero-cycles which are not given as a sum of composition terms contrary to the situation in the solution of the polynomial moment problem.Comment: 35 pages, 1 figure; one reference added; abstract, introduction and structure change