"Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio"

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional volatility estimated with the GARCH model. We apply our models to Canadian short-term interest rates. When comparing the profile of the interest rate stochastic volatility to the conditional one, we find that the omission of a constant term in the stochastic volatility model might have a perverse effect leading to a scaling problem, a problem often overlooked in the literature. Stochastic volatility seems to be a better forecasting tool than GARCH(1,1) since it is less conditioned by autoregressive past information. Second, we filter the S&P500 price-earnings(P/E) ratio in order to forecast its value. To make this forecast, we postulate a rational expectations process but our method may accommodate other data generating processes. We find that our forecast is close to a GARCH(1,1) profile.Stochastic volatility, Kalman filter, P/E ratio forecast, Interest rate forecast

Maintenance of polymorphism in the orb weaving spider species Agalenatea redii (Araneae, Araneidae)

The maintenance of polymorphism within populations may be the consequence of several elements of species life history such as use of space, activity rhythms, predation, parasitism and reproduction. The present study focuses on the latter aspect using an orb weaving spider, Agalenatea redii, which presents five different morphs of the opisthosoma pattern in the adult stage. Over the course of four years, from 2008 to 2011, adult spiders (males, females and pairs) were observed at different sites. In 2011, we also conducted a six-week survey of a single population, observing the number of spiders of each morph and the morph of paired spiders. We collected field data on the spatial and temporal distribution of spiders based on their sex and morph. Using a distance analysis, we compared the field distribution with a simulated one in which pairs were associated at random. The results showed that although there were changes over time and space in the proportions of females of the different morphs, as well as in the proportion of the pair associations, pairing according to morphs probably occurs at random

Work Sharing and Productivity : Evidence from a Natural Experiment

This paper is the first to examine empirically how work sharing influences workers' productivity, using a unique data set from a large Canadian firm. This firm has adopted a work sharing scheme for one year, which allows us to introduce a natural experiment approach of comparing workers' productivity before and after the implementation of work sharing. We find that work sharing has led to a significant decrease in labor productivity. Cet article examine empiriquement l'impact du partage du travail sur la productivité des travailleurs d'une grande firme canadienne. L'application de la semaine réduite de travail pendant un an au sein de cette entreprise nous permet de comparer analytiquement la productivité des employés avant et après l'adoption de ce programme. Nos résultats révèlent que l'expérimentation de la semaine réduite de travail provoque une baisse significative de la productivité des travailleurs.Productivity, Work Sharing, Work Organisation Methods, Productivité, partage du travail, modes d'organisation du travail

An Efficient OpenMP Runtime System for Hierarchical Arch

Exploiting the full computational power of always deeper hierarchical multiprocessor machines requires a very careful distribution of threads and data among the underlying non-uniform architecture. The emergence of multi-core chips and NUMA machines makes it important to minimize the number of remote memory accesses, to favor cache affinities, and to guarantee fast completion of synchronization steps. By using the BubbleSched platform as a threading backend for the GOMP OpenMP compiler, we are able to easily transpose affinities of thread teams into scheduling hints using abstractions called bubbles. We then propose a scheduling strategy suited to nested OpenMP parallelism. The resulting preliminary performance evaluations show an important improvement of the speedup on a typical NAS OpenMP benchmark application

P4-compatible High-level Synthesis of Low Latency 100 Gb/s Streaming Packet Parsers in FPGAs

Packet parsing is a key step in SDN-aware devices. Packet parsers in SDN networks need to be both reconfigurable and fast, to support the evolving network protocols and the increasing multi-gigabit data rates. The combination of packet processing languages with FPGAs seems to be the perfect match for these requirements. In this work, we develop an open-source FPGA-based configurable architecture for arbitrary packet parsing to be used in SDN networks. We generate low latency and high-speed streaming packet parsers directly from a packet processing program. Our architecture is pipelined and entirely modeled using templated C++ classes. The pipeline layout is derived from a parser graph that corresponds a P4 code after a series of graph transformation rounds. The RTL code is generated from the C++ description using Xilinx Vivado HLS and synthesized with Xilinx Vivado. Our architecture achieves 100 Gb/s data rate in a Xilinx Virtex-7 FPGA while reducing the latency by 45% and the LUT usage by 40% compared to the state-of-the-art.Comment: Accepted for publication at the 26th ACM/SIGDA International Symposium on Field-Programmable Gate Arrays February 25 - 27, 2018 Monterey Marriott Hotel, Monterey, California, 7 pages, 7 figures, 1 tabl