A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model

Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of employing the intrinsic entropy model as a substitute for estimating the volatility of stock market indices. Diverging from the widely used volatility models that take into account only the elements related to the traded prices, namely the open, high, low, and close prices of a trading day (OHLC), the intrinsic entropy model takes into account the traded volumes during the considered time frame as well. We adjust the intraday intrinsic entropy model that we introduced earlier for exchange-traded securities in order to connect daily OHLC prices with the ratio of the corresponding daily volume to the overall volume traded in the considered period. The intrinsic entropy model conceptualizes this ratio as entropic probability or market credence assigned to the corresponding price level. The intrinsic entropy is computed using historical daily data for traded market indices (S&P 500, Dow 30, NYSE Composite, NASDAQ Composite, Nikkei 225, and Hang Seng Index). We compare the results produced by the intrinsic entropy model with the volatility estimates obtained for the same data sets using widely employed industry volatility estimators. The intrinsic entropy model proves to consistently deliver reliable estimates for various time frames while showing peculiarly high values for the coefficient of variation, with the estimates falling in a significantly lower interval range compared with those provided by the other advanced volatility estimators.     

Non-Existence of Black Hole Solutions¶for a Spherically Symmetric, Static Einstein–Dirac–Maxwell System

We consider for j=?, … a spherically symmetric, static system of (2j+1) Dirac particles, each having total angular momentum j. The Dirac particles interact via a classical gravitational and electromagnetic field. The Einstein–Dirac–Maxwell equations for this system are derived. It is shown that, under weak regularity conditions on the form of the horizon, the only black hole solutions of the EDM equations are the Reissner–Nordstr?m solutions. In other words, the spinors must vanish identically. Applied to the gravitational collapse of a “cloud” of spin-?-particles to a black hole, our result indicates that the Dirac particles must eventually disappear inside the event horizon. Received: 2 November 1998 / Accepted: 23 February 1999     

First observation of the P-wave spin-singlet bottomonium states hb(1P) and hb(2P)

We report the first observations of the spin-singlet bottomonium states h(b)(1P) and h(b)(2P). The states are produced in the reaction e(+)e(-)→h(b)(nP)π(+)π(-) using a 121.4 fb(-1) data sample collected at energies near the Υ(5S) resonance with the Belle detector at the KEKB asymmetric-energy e(+)e(-) collider. We determine M[h(b)(1P)]=(9898.2(-1.0-1.1)(+1.1+1.0)) MeV/c(2) and M[h(b)(2P)]=(10,259.8±0.6(-1.0)(+1.4)) MeV/c(2), which correspond to P-wave hyperfine splittings ΔM(HF)=(+1.7±1.5) and (+0.5(-1.2)(+1.6)) MeV/c(2), respectively. The significances of the h(b)(1P) and h(b)(2P) are 5.5σ and 11.2σ, respectively. We find that the production of the h(b)(1P) and h(b)(2P) is not suppressed relative to the production of the Υ(1S), Υ(2S), and Υ(3S).     

Electrocyclic [1,5] hydrogen shift in the thermal elimination kinetics of phenyl acetate and p-tolyl acetate in the gas phase: a density functional theory study

The kinetics and mechanisms of thermal decomposition of phenyl acetate and p-tolyl acetate in the gas phase were studied by means of electronic structure calculations using density functional theory methods: B3LYP/6-31G(d,p), B3LYP/6-31++G(d,p), B3PW91/6-31G(d,p), B3PW91/6-31++G(d,p), MPW1PW91/6-31G(d,p), MPW1PW91/6-31++G(d,p), PBE/6-31G(d,p) and PBE/6-31++G(d,p). Two possible mechanisms have been considered: mechanism A is a stepwise process involving electrocyclic [1,5] hydrogen shift to eliminate ketene through concerted six-membered cyclic transition-state structure, followed by tautomerisation of cyclohexadienone or by 4-methyl cyclohexadienone intermediate to give the corresponding phenol. Mechanism B is a one-step concerted [1,3] hydrogen shift through a four-membered cyclic transition-state geometry, to produce ketene and phenol or p-cresol. Theoretical calculations showed reasonable agreement with experimental activation parameters when using the Perdew, Burke and Ernserhof (PBE)functional, through the stepwise [1,5] hydrogen-shift mechanism. For mechanism B, large deviation for the entropy of activation was observed. No experimental data were available for p-tolyl acetate; however, theoretical calculations showed similar results to phenyl acetate, thus supporting the stepwise mechanism for both phenyl acetate and p-tolyl acetate.     

Parton distributions and new physics searches: the Drell–Yan forward–backward asymmetry as a case study

We present the first unquenched lattice-QCD calculation of the form factors for the decay \(B\rightarrow D^*\ell \nu \) at nonzero recoil. Our analysis includes 15 MILC ensembles with \(N_f=2+1\) flavors of asqtad sea quarks, with a strange quark mass close to its physical mass. The lattice spacings range from \(a\approx 0.15\) fm down to 0.045 fm, while the ratio between the light- and the strange-quark masses ranges from 0.05 to 0.4. The valence b and c quarks are treated using the Wilson-clover action with the Fermilab interpretation, whereas the light sector employs asqtad staggered fermions. We extrapolate our results to the physical point in the continuum limit using rooted staggered heavy-light meson chiral perturbation theory. Then we apply a model-independent parametrization to extend the form factors to the full kinematic range. With this parametrization we perform a joint lattice-QCD/experiment fit using several experimental datasets to determine the CKM matrix element \(|V_{cb}|\). We obtain \(\left| V_{cb}\right| = (38.40 \pm 0.68_{\text {th}} \pm 0.34_{\text {exp}} \pm 0.18_{\text {EM}})\times 10^{-3}\). The first error is theoretical, the second comes from experiment and the last one includes electromagnetic and electroweak uncertainties, with an overall \(\chi ^2\text {/dof} = 126/84\), which illustrates the tensions between the experimental data sets, and between theory and experiment. This result is in agreement with previous exclusive determinations, but the tension with the inclusive determination remains. Finally, we integrate the differential decay rate obtained solely from lattice data to predict \(R(D^*) = 0.265 \pm 0.013\), which confirms the current tension between theory and experiment.

     

Coulomb drag for strongly localized electrons: a pumping mechanism

The mutual influence of two layers with strongly localized electrons is exercised though the random Coulomb shifts of site energies in one layer caused by electron hops in the other layer. We trace how these shifts give rise to a voltage drop in the passive layer, when a current is passed through the active layer. We find that the microscopic origin of drag lies in the time correlations of the occupation numbers of the sites involved in a hop. These correlations are neglected within the conventional Miller-Abrahams scheme for calculating the hopping resistance.     

Makrocyclische Ionophore beruhend auf oligomeren Terephthaldiamiden mit von Gastmolekülen abhängiger Selektivität

Macrocyclic Oligolactams Based on Terephthalic Acid as Ionophores with Selectivity Depending on Included Guest Molecules Macrocyclic 20- to 60-membered oligolactam hosts exhibit ion selectivities in poly(vinyl chloride) membranes which depend on the ring size and on the substituents of the amide N-atoms. The selectivity may be changed by loading the macrocyclic host with CHCl₃ as guest molecule.