Is twin behavior of Nikkei 225 index futures the same?

This study adopts the autoregressive conditional jump intensity (ARJI) model proposed by Chan and Maheu [J. Business Econ. Stat. 20 (2002) 377–389] to investigate the impact of news on SIMEX-Nikkei 225 and CME-Nikkei 225 (regards it as the twins). Empirical results demonstrate that the twins were captured by responses to various events; moreover, the twins have distinct jump intensity and risk. Finally, this investigation evaluates the lead–lag relationship between returns and jump behavior by the Granger causality test. Returns are based on unidirectional causality from two futures (the twins) to spot and feedback causality between the twins. Jump intensity reveal feedback causality between spot and the CME-Nikkei 225 and unidirectional causality from the CME-Nikkei 225 to in SIMEX-Nikkei 225.     

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.     

Optimization of focusing of linearly polarized light

We show that, by adding a π-phase shift to one-half of a linearly polarized beam, the roles of the transversal and longitudinal field components of the focused beam are interchanged, resulting in better focusing of the longitudinal component in the direction perpendicular to the phase jump line. For this component the scheme produces a spot with FWHM >15% smaller than a spot generated with either linearly or radially polarized light for any NA. The scheme has a similar advantage when applied to circularly polarized light, and it holds for both a plane wave and a realistic case of a Gaussian incident beam. This technique may find applications when using recording media responsive to the longitudinal field only, particularly in read/write for optical storage where the resolution in one transverse dimension is most important.     

Synchrotron radiation study of diffusion in FeAl

Nuclear resonance scattering of synchrotron radiation has been used to determine the elementary diffusion jump in the ordered stoichiometric alloy FeAl. To that aim the intensity decay in forward direction is measured as a function of crystal orientation. A decision between various jump models confirms earlier results from classical quasielastic Mössbauer spectroscopy, but with considerably better angular resolution.     

Quantitative model of price diffusion and market friction based on trading as a mechanistic random process

We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.     

Effect of diffusion and fluctuations in the nonequilibrium charge carrier density on the angular distribution of the output intensity for injection lasers based on an InAsSb/InAsSbP heterostructure

We have used numerical modeling to study the effect of diffusion and fluctuations in the nonequilibrium carrier density in the active layer of injection lasers based on an InAsSb/InAsSbP heterostructure on the angular distribution of the output intensity. We show that diffusion smoothes out the nonequilibrium carrier distribution in the active layer, and the fundamental lasing mode is stable over a much broader range of stripe contact widths. At the same time, diffusional processes can lead to formation of local regions with a jump in the density of nonequilibrium charge carriers, fluctuations in which can act as a source of instability for the fundamental lasing mode. Analysis of the numerical modeling results gives qualitative agreement with experimental data on the dependence of the angular distribution of the output radiation for different stripe contact widths.     

Tight Focusing of Radially and Azimuthally Polarized Vortex Beams through a Dielectric Interface

Based on vectorial Debye theory, tight focusing of radially and azimuthally polarized vortex beams passing through a dielectric interface are studied. The intensity distribution in the focal region is illustrated by numerical calculations. We show the influence of numerical-aperture （NA） on the full-width at half maximum （FWHM） of the focal spot or the focal hole. It has been found that compared with the azimuthally polarized Besse~Gaussian （BG） beams, the longitudinal component in the z direction of the radially polarized BG beams has no influence on the FWHM of the focal spot and hole, but enhances the total light intensity.     

The diffusion limit for reversible jump processes onZ d with ergodic random bond conductivities

We consider a reversible jump process on ? ^d whose jump rates themselves are random. We show mean square convergence of this process under diffusion scaling to a limiting Brownian motion with a certain diffusion matrix, characterizing effective conductivity.     

Generating and shifting a spherical focal spot in a 4Pi focusing system illuminated by azimuthally polarized beams

We aim to theoretically investigate the focusing property of a 4Pi configuration under the illumination of azimuthally polarized high-order Bessel–Gaussian beams. The radial component is produced in the focal region through the introduction of a spiral phase plate. The focal region differs from the zero radial intensity component of the azimuthally polarized beams without the spiral phase plate. The spherical focal spot is generated by selecting an appropriate annular obstruction. The position of the focal spot can be shifted.     

Modeling electricity spot and futures price dependence: A multifrequency approach

Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the Conditional Value-at-Risk.     

Extremal behavior of a coupled continuous time random walk

Coupled continuous time random walks (CTRWs) model normal and anomalous diffusion of random walkers by taking the sum of random jump lengths dependent on the random waiting times immediately preceding each jump. They are used to simulate diffusion-like processes in econophysics such as stock market fluctuations, where jumps represent financial market microstructure like log returns. In this and many other applications, the magnitude of the largest observations (e.g. a stock market crash) is of considerable importance in quantifying risk. We use a stochastic process called a coupled continuous time random maxima (CTRM) to determine the density governing the maximum jump length of a particle undergoing a CTRW. CTRM are similar to continuous time random walks but track maxima instead of sums. The many ways in which observations can depend on waiting times can produce an equally large number of CTRM governing density shapes. We compare densities governing coupled CTRM with their uncoupled counterparts for three simple observation/wait dependence structures.     

Diffusion of particles over triangular inhomogeneous lattice with two non-equivalent sites

We investigate the diffusion of particles adsorbed on a triangular lattice with deep and shallow sites. It is shown that the character of the particle migration depends substantially on the relative jump rates from the deep and shallow sites. The site inhomogeneity imposes specific correlation betweeen successive jumps: particles perform pairs of slow and fast jumps. General analytical expressions have been derived for the chemical and jump diffusion coefficients. We have calculated coverage dependencies of the diffusion coefficients and some thermodynamic quantities for different lateral interactions between the particles. The analytical data have been compared with the numerical data obtained by kinetic Monte Carlo simulations. The agreement between the results obtained by these quite different approaches is found to be very satisfactory.     

Pricing on electricity market based on coupled-continuous-time-random-walk concept

In this paper we propose a model of electricity market based on the forward rate dynamics described by a diffusion with jumps as a generalization of the classical diffusion approach. We consider jump components resulting from a coupled continuous-time random walk (CTRW) with jump lengths proportional to the corresponding inter-jump time intervals. In the framework of the model we derive a formula for the EURO-price of a standard European call option, showing applicability of CTRW processes for pricing of financial instruments. The result, obtained by an advance theory of semimartingales, is an essential extension of the pricing formula derived in the classical diffusion model of the forward rate dynamics. It indicates an influence of both, the continuous and the jump parts of the forward rate process on the option price.     

The impact of futures trading on volatility of the underlying asset in the Turkish stock market

This paper examines the impact of the introduction of stock index futures on the volatility of the Istanbul Stock Exchange (ISE), using asymmetric GARCH model, for the period July 2002-October 2007. The results from EGARCH model indicate that the introduction of futures trading reduced the conditional volatility of ISE-30 index. Results further indicate that there is a long-run relationship between spot and future prices. The results also suggest that the direction of both long- and short-run causality is from spot prices to future prices. These findings are consistent with those theories stating that futures markets enhance the efficiency of the corresponding spot markets.     

Network formation in a multi-asset artificial stock market

A multi-asset artificial stock market is developed. In the market, stocks are assigned to a number of sectors and traded by heterogeneous investors. The mechanism of continuous double auction is employed to clear order book and form daily closed prices. Simulation results of prices at the sector level show an intra-sector similarity and inter-sector distinctiveness, and returns of individual stocks have stylized facts that are ubiquitous in the real-world stock market. We find that the market risk factor has critical impact on both network topology transition and connection formation, and that sector risk factors account for the formation of intra-sector links and sector-based local interaction. In addition, the number of community in threshold-based networks is correlated negatively and positively with the value of correlation coefficients and the ratio of intra-sector links, which are respectively determined by intensity of sector risk factors and the number of sectors.     

基于多通道Kirkpatrick-Baez 显微镜的内爆热斑不对称性实验研究

利用多通道Kirkpatrick-Baez 显微镜具有约3μm 的空间分辨能力,对内爆压缩热斑的细节可以进行空间分辨测量。通过赤道和极区两个正交方向对柱腔辐射驱动内爆热斑的X 射线自发射进行测量,获得了热斑区在两个正交方向的二维X 射线强度空间分布。X 射线图像数据处理结果表明,赤道区表征内爆热斑不对称性的2 P 分量比极区的约高8%,极区的0 P 分量比赤道区大2μm。内爆热斑在极区的压缩要强于赤道区,反映了极区的辐射驱动要比赤道区的强,这导致靶球在压缩停滞阶段形成的热斑形状呈扁椭球。     

Master equations for subordinated processes

We study Markov jump processes constructed by subordination of diffusion processes. The procedure can be viewed as a randomization or a coarse graining of time. We construct the master equation for the cases of finite and infinite total jump rates, and give a collection of explicitly solvable examples.     

Modeling electricity spot prices using mean-reverting multifractal processes

We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein–Uhlenbeck process, i.e. via a drift (damping) term, and in the second model the anti-correlations are included by letting the innovations in the MRW model be fractional Gaussian noise with H<1/2$H<1/2$. For both models we present approximate maximum likelihood methods, and we apply these methods to estimate the parameters for the spot prices in the Nordic electricity market. The maximum likelihood estimates show that electricity spot prices are characterized by scaling exponents that are significantly different from the corresponding exponents in stock markets, confirming the exceptional nature of the electricity market. In order to compare the damped MRW model with the fractional MRW model we use ensemble simulations and wavelet-based variograms, and we observe that certain features of the spot prices are better described by the damped MRW model. The characteristic correlation time is estimated to approximately half a year.