Miracle-dz/UniFAR-FTUs huggingface dataset:
Forecasting with Option-Implied Information

This chapter surveys the methods available for extracting information from option prices that can be used in forecasting. We consider option-implied volatilities, skewness, kurtosis, and densities. More generally, we discuss how any forecasting object that is a twice differentiable function of the future realization of the underlying risky asset price can utilize option-implied information in a well-defined manner. Going beyond the univariate option-implied density, we also consider results on option-implied covariance, correlation and beta forecasting, as well as the use of option-implied information in cross-sectional forecasting of equity returns. We discuss how option-implied information can be adjusted for risk premia to remove biases in forecasting regressions.
lcsim: A detector response simulation toolkit

As the complexity and resolution of particle detectors increases, the need for detailed simulation of the experimental setup also increases. Designing experiments requires efficient tools to simulate detector response and optimize the cost-benefit ratio for design options. We have developed efficient and flexible tools for detailed physics and detector response simulation which builds on the power of the Geant4 toolkit but frees the end user from any C++ coding. The primary goal has been to develop a software toolkit and computing infrastructure to allow physicists from universities and labs to quickly and easily contribute to detector design without requiring either coding expertise or experience with Geant4. Maximizing the physics performance of detectors being designed for the International Linear Collider (ILC), while remaining sensitive to cost constraints, requires a powerful, efficient, and flexible simulation, reconstruction and analysis environment to study the capabilities of a large number of different detector designs. The preparation of Letters Of Intent for the ILC involved the detailed study of dozens of detector options, layouts and readout technologies; the final physics benchmarking studies required the reconstruction and analysis of hundreds of millions of events. We describe the Java-based software toolkit (org.lcsim) which was used for full event reconstruction and analysis. The components are fully modular and are available for tasks from digitization of tracking detector signals through to cluster finding, pattern recognition, trackfitting, calorimeter clustering, individual particle reconstruction, jet-finding, and analysis. The detector is defined by the same input files used for the detector response simulation, ensuring the simulation and reconstruction geometries are always commensurate by construction. We discuss the architecture as well as the performance.
Option Pricing and Hedging Analysis under Regime-switching Models

This thesis explores option pricing and hedging in a discrete time regime-switching environment. If the regime risk cannot be hedged away, then we cannot ignore this risk and use the Black-Scholes pricing and hedging framework to generate a unique pricing and hedging measure. We develop a risk neutral pricing measure by applying an Esscher Transform to the real world asset price process, with the focus on the issue of incompleteness of the market. The Esscher transform turns out to be a convenient and effective tool for option pricing under the discrete time regime switching models. We apply the pricing measure to both single variate European options and multivariate options. To better understand the effect of the pricing method, we also compared the results with those generated from two other risk neutral methods: the Black-Scholes model, and the natural equivalent martingale method. We further investigate the difference in hedging associated with different pricing measures. This is of interest when the choice of pricing method is uncertain under regime switching models. We compare four hedging strategies: delta hedging for the three risk neutral pricing methods under study, and mean variance hedging. We also develop a more general tool of tail ordering for hedging analysis in a general incomplete market with the uncertainty of the risk neutral measures. As a result of the analysis, we propose that pricing and hedging using the Esscher transform may be an effective strategy for a market where the regime switching process brings uncertainty.
Clove: Congestion-Aware Load Balancing at the Virtual Edge

Most datacenters still use Equal Cost Multi-Path (ECMP), which performs congestion-oblivious hashing of flows over multiple paths, leading to an uneven distribution of traffic. Alternatives to ECMP come with deployment challenges, as they require either changing the tenant VM network stacks (e.g., MPTCP) or replacing all of the switches (e.g., CONGA). We argue that the hypervisor provides a unique point for implementing load-balancing algorithms that are easy to deploy, while still reacting quickly to congestion. We propose Clove, a scalable load-balancer that (i) runs entirely in the hypervisor, requiring no modifications to tenant VM networking stacks or physical switches, and (ii) works on any topology and adapts quickly to topology changes and traffic shifts. Clove relies on standard ECMP in physical switches, discovers paths using a novel traceroute mechanism, uses software-based flowlet-switching, and continuously learns congestion (or path utilization) state using standard switch features. It then manipulates packet-header fields in the hypervisor switch to direct traffic over less congested paths. Clove achieves 1.5 to 7 times smaller flow-completion times at 70% network load than other load-balancing algorithms that work with existing hardware. Clove also captures some 80% of the performance gain of best-of-breed hardware-based load-balancing algorithms like CONGA that require new equipment.
State and Federal Approaches to Health Reform: What Works for the Working Poor?

We compare and contrast the labor market and distributional impact of three common approaches to state and federal health insurance expansion: public insurance expansions, refundable tax credits for low income people, and employer and individual mandates. We draw on existing estimates from the literature and individual-level data on the non-institutionalized population aged 64 and younger from the 2005 Current Population Survey to estimate how each approach affects (1) the number of people insured; (2) private and public health spending; (3) employment and wages; and (4) the distribution of subsidies across families based on income in relation to the federal poverty level and work status of adult family members. Employer mandates expand coverage to the largest number of previously insured relative to public insurance expansions and individual tax credits, but with potentially negative labor market consequences. Medicaid expansions could achieve moderate reductions in the share of the uninsured with neutral labor market consequences, and by definition, they expand coverage to the poorest groups regardless of work status. Tax credits extend coverage to relatively few uninsured, but with neutral effects on the labor market. Both Medicaid expansions and tax credits offer moderate redistribution to previously insured individuals who are poor or near-poor. None of the three policies significantly expand insurance coverage among poor working families. Our findings suggest that no single approach helps the working poor in exactly the ways policy makers might hope. To the extent that states are motivated to help the uninsured in poor working families, health reforms must find ways to include those unlikely to take up optional policies, and states must address the challenge of the many uninsured likely to be excluded from policies based on part-time work status, firm size, or immigration status.
Maximizing the Capacity of Magnetic Induction Communication for Embedded Sensor Networks in Strongly and Loosely Coupled Regions

We attempt to maximize the capacity of magnetic induction communication in strongly and loosely coupled regions. In a strongly coupled region, we investigate frequency splitting, which disturbs the resonance of transmitter and receiver coils. We find a splitting coupling point, which is the value just before frequency splitting occurs, and propose an adaptive frequency-tracking scheme for finding an optimal frequency. The proposed scheme compensates for the degradation of capacity and so guarantees large capacity even at regions where frequency splitting occurs. Next, in a loosely coupled region, we derive an optimal quality factor for maximizing capacity in a two-coil system. As the distance between coils increases, strong resonance is needed to overcome the serious attenuation of signal strength. As a result, the optimal quality factor should be increased. In addition, we find an optimal quality factor for a relay system in order to guarantee reliable communication at long distance. In addition, an optimal- Q scheme that adjusts the optimal quality factor according to a given distance can achieve near-optimal capacity. Finally, through simulations using the Agilent Advanced Design System, we demonstrate the accuracy of our analytic results and the effectiveness of the proposed schemes.
Welfare Effects of Water Pricing in Germany

The observed two-part tariff price structure (consisting of a lump-sum price and linear marginal price) for drinking water in Germany does not reflect the cost structure reported in the literature. Recovering marginal costs from a sample of 251 German counties, we see that there are positive price-cost margins, while lump-sum prices are too low. A price structure readjustment along welfare economic principles (marginal cost pricing, lump-sum price ensures cost-recovery) would increase the mean consumer surplus by 0.037% of the local GDP or €2.129 million per county, assuming a share of 15% variable costs in total costs.
Expanding the public sphere through computer-mediated communication: political discussion about abortion in a usenet newsgroup

This thesis examines a conversation about abortion that occurred within the Usenet newsgroup “talk.abortion” between April 1, 1994 and March 31, 1995. It tests the hypothesis that the form of discourse fostered by computer mediated discussion provides opportunities to expand the informal zone of the public sphere. Specific criteria by which a public sphere can be evaluated for its goodness of fit with the idealized public sphere described by Habermas are proposed and applied to the ongoing conversation. The conversation analyzed consisted of nearly 46,000 messages written by almost three thousand authors in nearly 8,500 different threads. The public sphere created by the participants in the newsgroup was found to be diverse and reciprocal, but lacking in equality and quality. Equality, achieved with equal distribution of voice among the speakers, was not found in the newsgroup conversation, as participation was highly concentrated among a few participants. Quality, measured by the tendency of participants in the newsgroup to stay “on-topic,” was also lacking in the group. On the other hand, the conversation was found to be highly diverse, as its size contracted and expanded considerably over time, and the participants included both a consistent, regular group as well as a subset of constantly changing contributors. Finally, the authors in the newsgroup were reciprocal with many others, and groups of participants were not systematically excluded from interaction by other groups. Newsgroups are unquestionably a component of the informal zone of the public sphere. Thus, it is suggested that the definition of the public sphere be expanded to include all forms of “associational space,” providing the opportunity for citizens to converse with each other. Even those forms of associational space with no clearly identified political activity resulting from the discussions contribute to the opinionand will-formation exercise that is the function of the public sphere in a democratic society. Usenet newsgroups provide extensive opportunities for individuals to comment freely and autonomously on topics of public concern, and more importantly to engage in public discourse with other citizens about these issues. Thesis Supervisor: Joshua Cohen Title: Professor of Political Science and Philosophy
Noise Scenarios Robust Sequential Circuits Design Technique for Low Voltage and High

All electronic processing components in future deep nanotechnologies will exhibit high noise level and/or low S/N ratios because of the extreme voltage reduction and the nearly erratic nature of such devices. Systems implemented with these devices would exhibit a high probability to fail, causing an unacceptably reduced reliability. In this paper we introduce an innovative input and output data redundancy principle for sequential block circuits, the responsible to keep the state of the system, showing its efficiency in front of other robust technique approaches. The methodology is totally different from the Von Neumann approaches, because element are not replicated N times, but instead, they check the coherence of redundant input data no allowing data propagation in case of discrepancy. This mechanism does not require voting devices.
How a Systems Perspective Improves Knowledge Acquisition and Performance in Analytical Procedures

ABSTRACT: Auditors are required to understand dynamic business environments as part of the performance of analytical procedures. Prior evidence, though, suggests that auditors have difficulty understanding such environments. This study reports an experimental investigation of techniques that help auditors to identify incorrect management representations by developing expectations that are both accurate and adaptive to changing business conditions. My predictions suggest that analyzing a dynamic client environment through a systems perspective enhances information-processing ability, which then improves both evidence discrimination and the assimilation of new audit evidence. Results reveal that participants taking a holistic systems-based view of a client environment develop more coherently organized mental models that increase their likelihood of identifying management representations that are inconsistent with industry evidence. Furthermore, these participants more efficiently use their information-proce.
Technical forum: Communication-minded visualization: A call to action

A photoelectrochemical system for conducting endoergic chemical processes driven by light energy. This system consists essentially of an illuminated halfcell and a darkened halfcell joined via electrodes and an external circuit to allow for the transport of electrons. Also, the said halfcells are joined by an ion conducting junction so as to allow for the transport of ions. The illuminated halfcell contains a photosensitizer, an electron relay substance and a catalyst, and the darkened halfcell may contain a second electron relay and a catalyst. Illumination with visible light results in the simultaneous and separate generation of oxidation and reduction products.
Mathematical Analysis of Compaction Models in Fractured Sedimentary Basins

In this communication we are concerned by the mathematical analysis of a compaction model in a sedimentary basin. In this 2-D modelling, the sedimentary rocks are considered as a porous medium, saturated with water. Thanks to the mass conservation law, the force balance, the Darcy's law, the Terzaghi's relation, the elastoplastic and the Kozeny-Carman laws, we obtain a coupled system of three non-linear partial differential equations, taking into account a moving boundary. The unknowns are the vertical effective stress, the sediment velocity and the water pressure.
Label-free photoacoustic microscopy of cytochromes

Abstract. Photoacoustic microscopy (PAM) has achieved submicron lateral resolution in showing subcellular structures; however, relatively few endogenous subcellular contrasts have so far been imaged. Given that the hemeprotein, mostly cytochromes in general cells, is optically absorbing around the Soret peak (∼420 nm), we implemented label-free PAM of cytochromes in cytoplasm for the first time. By measuring the photoacoustic spectra of the oxidized and reduced states of fibroblast lysate and fitting the difference spectrum with three types of cytochromes, we found that the three cytochromes account for more than half the optical absorption in the cell lysate at 420 nm wavelength. Fixed fibroblasts on slides were imaged by PAM at 422 and 250 nm wavelengths to reveal cytoplasms and nuclei, respectively, as confirmed by standard staining histology. PAM was also applied to label-free histology of mouse ear sections by showing cytoplasms and nuclei of various cells. PAM of cytochromes in cytoplasm is expected to be a high-throughput, label-free technique for studying live cell functions, which cannot be accomplished by conventional histology.
HOW DO ECONOMIC FREEDOM AND ENTREPRENEURSHIP AFFECT PRODUCTIVITY

The economics of growth has shown that countries not only grow by deploying higher levels of inputs to production, but also by better allocating whatever resources are at their disposal and by introducing productivity-enhancing innovations. We proffer arguments as to why and how entrepreneurship as well institutions of liberty (i.e., economic freedom, including the rule of law, easy regulations, low taxes and limited government interference in the economy) positively impact total factor productivity (TFP): These institutions allow entrepreneurial experimentation with the combination of factors to take place at low transaction costs. We test these ideas on a unique panel data set derived from Compendia, World Bank data and the Fraser Institute's economic freedom data. We find that while entrepreneurship positively impacts TFP, the marginal contribution of entrepreneurship to TFP is strongest in economies with substantial government activity.
On the Winning Virtuous Strategies for Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange markets in the conditions of the discrete information absorption processes in the diffusion - type financial systems with the induced nonlinearities. Going from the academic literature, we discuss the probability theory and the statistics theory application to accurately characterize the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We consider the financial analysis methods, including the macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies exchange rates dynamics in the short and long time periods. We discuss the application of the Stratanovich-Kalman-Bucy filtering algorithm in the Stratanovich – Kalman – Bucy filter and the particle filter to accurately estimate the time series and predict the trends in the foreign currencies exchange rates dynamics in the short and long time periods. We research the influence by discrete information absorption on the ultra high frequency electronic trading strategies creation and execution during the electronic trading in the foreign currencies exchange markets. We formulate the Ledenyov law on the limiting frequency (the cut-off frequency) for the ultra high frequency electronic trading in the foreign currencies exchange markets.
Sources of Capital Market Segmentation: Empirical Evidence from Finland

Because Finland has experienced profound economic changes and financial deregulation since the mid-1980s, we use it as a laboratory to explore issues related to time-varying global equity market integration. Using a Finnish perspective, we construct two different portfolios of Finnish firms and a conditional one-factor international asset pricing model. We examine whether the segmentation varies over time and across assets. We use time-series variables for changing market integration (lagged foreign equity ownership, difference between Finnish and German short-term interest rates, and a portfolio-specific liquidity measure) and crosssectional variables (size and book-to-market ratios and industry sector) to show variation in integration. Copyright 2001 by MIT Press.
Temporal Aggregation and the Continuous-Time Capital Asset Pricing Model

The author examines how the empirical implications of the capital asset pricing model (CAPM) are affected by the length of the period over which returns are measured. He shows that the continuous-time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. He uses L. P. Hansen's generalized method of moments approach to test the continuous-time CAPM at an unconditional level using size portfolio returns. The results indicate that the continuous-time CAPM cannot be rejected. In contrast, the discrete-time CAPM is easily rejected by the tests. These results have a number of important implications for the interpretations of tests of the CAPM that have appeared in the literature. Copyright 1989 by American Finance Association.
Classification Pruning for Web-request Prediction

N-gram and repeating pattern based prediction rules have been used for next-web request prediction. However, there is no rigorous study of how to select the best rule for a given observation. The longer patter may not be the best pattern, because such patters are also more rare. In this paper, we propose several rule-pruning methods that enable us to build efficient, compact and high-quality classifiers for web-request prediction.
Deformation, parameterization and analysis of a single locomotion cycle

We present preliminary results of a framework that can synthesize parameterized locomotion with controllable quality from simple deformations over a single step cycle. Our approach enforces feet constraints per phase in order to appropriately perform motion deformation operations, resulting in a generative and controllable model that maintains the style of the input motion. The method is lightweight and has quantifiable motion quality related to the amount of deformation used. It only requires a single cycle of locomotion. An analysis of the deformation is presented with the quantification of the valid portion of the deformed motion space, informing on the parameterization coverage of the deformable motion cycle.
Reply to Comment on ‘A first map of tropical Africa’s above-ground biomass derived from satellite imagery’

Biomass mapping using satellite imagery is a rapidly evolving field that has been greatly facilitated in recent years by the advent of LiDAR remote sensing coupled with co-located field measurements. The biomass map of Africa that we published in 2008 did not take direct advantage of coincident field and LiDAR measurements, as our more recent efforts have. The criticisms of our earlier map by Mitchard et al (2011 Environ. Res. Lett. 6 049001) are duly noted and worthwhile, although they are also limited in several respects that we describe. Most notably, they assess our map with field data sets that are only representative of a subset of conditions across the study domain, thus they not only inadequately characterize undisturbed tropical forest regions but also the diverse disturbance dynamics that are captured in satellite imagery. We point out the limitations of their assessment and focus on a way forward, moving beyond both inadequate field sampling and remote sensing to an approach the captures the full range of dynamics by directly coupling field and satellite measurements.