Search results for "Mile"
showing 10 items of 380 documents
Option-Implied Volatility Spillovers between Risk Factors in FX Markets and States of the Global Economy
2016
This study employs option price data to back out the implied portfolio volatilities of the dollar and carry trade risk factors of the G-10 currencies. To investigate expected volatility spillover effects between risk factors in FX markets, we extend Grobys (2015) and Diebold and Yilmaz (2009) by constructing expected volatility spillover indices based upon the forecast-error variance decomposition of Vector-Autoregression models employing option-implied portfolio volatilities. Surprisingly, the dollar and carry trade risk factors that are orthogonal in the first moment exhibit strong stochastic interrelations in the second expected moment. Our findings indicate that expected high spillover …
Open and Closed Positions and Stock Index Futures Volatility
2011
In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.
Sustainable Development Goals and Performance Measurement of Positive Energy District: A Methodological Approach
2021
The “Positive Energy Districts and Neighbourhoods for Sustainable Urban Development” program launched by the European Union can be considered a milestone towards the clean energy transition and carbon neutrality of urban areas. The achievement of this ambitious transition requires properly defined methodologies and action plans grounded on the main environmental, economic, and social pillars of sustainability. This paper is focused on the definition of a methodology for the characterization of PEDs sustainability assessment in terms of Sustainable Development Goals. In particular, the main research question to be answered regards the allocation of the surplus energy of PEDs to target the su…
Ksiądz prymas Stefan Wyszyński na uroczystościach milenijnych w Opolu i Kamieniu Śląskim (13-14 sierpnia 1966 r.) - historia i aktualność przesłania
2022
W dniach 13 i 14 sierpnia 1966 r. ks. prymas Stefan Wyszyński wziął udział w uroczystościach liturgicznych w Opolu i Kamieniu Śląskim w ramach obchodów milenium chrztu w Polsce. Wygłosił wtedy kazania w Opolu 13 i 14 sierpnia, a także 14 sierpnia w Kamieniu Śląskim. Zaangażowanie ówczesnych lokalnych władz, milicji czy Służby Bezpieczeństwa w niwelowanie znaczenia tych obchodów, a zarazem treść przesłania, z jakim do swoich rodaków zwrócił się w Opolu i Kamieniu Śląskim z 1966 r. prymas Wyszyński, dowodzą, że trudno było pozostać obojętnym wobec tego nauczania. Chociaż uwarunkowania społeczno-polityczne zmieniły się, postać prymasa i jego nauczanie wciąż inspirują. Artykuł pt. Ksiądz prymas…
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
Global retention models and their application to the prediction of chromatographic fingerprints
2020
Abstract The resolution of samples containing unknown compounds of different nature, or without standards available, as is the case of chromatographic fingerprints, is still a challenge. Possibly, the most problematic aspect that prevents systematic method development is finding models that describe without bias the retention behaviour of the compounds in the samples. In this work, the use of global models (able to describe the whole sample) is proposed as an alternative to the use of individual models for each solute. Global models contain parameters that are specific for each solute, while other parameters ‒related to the column and solvent‒ are common for all solutes. A special regressio…
Measurement of thett¯production cross section inpp¯collisions ats=1.96 TeVusing soft electronb-tagging
2010
The authors present a measurement of the t{bar t} production cross section using events with one charged lepton and jets from p{bar p} collisions at a center-of-mass energy of 1.96 TeV. A b-tagging algorithm based on the probability of displaced tracks coming from the event interaction vertex is applied to identify b quarks from top decay. Using 318 pb{sup -1} of data collected with the CDF II detector, they measure the t{bar t} production cross section in events with at least one restrictive (tight) b-tagged jet and obtain 8.9{sub -1.0}{sup +1.0}(stat.){sub -1.0}{sup +1.1}(syst.) pb. The cross section value assumes a top quark mass of m{sub t} is presented in the paper. This result is cons…
Precision electroweak measurements on the Z resonance
2005
We report on the final electroweak measurements performed with data taken at the Z resonance by the experiments operating at the electron-positron colliders SLC and LEP. The data consist of 17 million Z decays accumulated by the ALEPH, DELPHI, L3 and OPAL experiments at LEP, and 600 thousand Z decays by the SLD experiment using a polarised beam at SLC. The measurements include cross-sections, forward-backward asymmetries and polarised asymmetries. The mass and width of the Z boson, $\MZ$ and $\GZ$, and its couplings to fermions, for example the $\rho$ parameter and the effective electroweak mixing angle, are precisely measured. The number of light neutrino species is determined to be 2.9840…
The Constraints of Vehicle Range and Congestion for the Use of Electric Vehicles for Urban Freight in France
2015
The 9th International Conference on City Logistics, Tenerife, Espagne, 17-/06/2015 - 19/06/2015; Electric vehicle is a solution to reduce pollutant emissions from road urban freight. This paper assesses the potential CO2 reduction by transferring urban freight from diesel to electric vehicles while simultaneously looking at the two main technical constraints: electric vehicle range and the impact on congestion linked to change diesel heavy duty vehicles (with a load up to 25 tons) to much smaller electric vehicles. The data used has been computed from a survey (ECHO) that describes in details a very large sample of French shipments. Two scenarios were set up, which differ mainly by the type…
Vomilenine Reductase — a novel Enzyme catalyzing a crucial Step in the Biosynthesis of the Therapeutically applied Antiarrhythmic Alkaloid Ajmaline
2002
Delineation of the biochemical pathway leading to the antiarrhythmic Rauvolfia alkaloid ajmaline has been an important target in biosynthetic research for many years. The biosynthetic sequence starting with tryptamine and the monoterpene secologanin consists of about 10 different steps. Most of the participating enzymes have been detected and characterized previously, except those catalyzing the reduction of the intermediate vomilenine. A novel NADPH-dependent enzyme that reduces the intermediate has been isolated from Rauvolfia serpentina cell suspension cultures. Vomilenine reductase (M(r )43 kDa, temp opt 30 degrees C, pH opt 5.7-6.2), saturates the indolenine double bond of vomilenine w…