Search results for "volatility"
showing 10 items of 245 documents
Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model
2022
This paper employs the hidden semi-Markov model and a novel model selection procedure to detect different states in the US stock market. The empirical results suggest that the market is switching between five states that can be classified into three bull states and two bear states. The three bull states are categorized as a low volatility bull market, a high volatility bull market, and a stock market bubble. One of the bear states represents a regular bear market, while the other one corresponds to either a stock market crash or a market correction. The paper demonstrates that the five-state model is consistent with a number of stylized facts and provides many valuable insights into the dyn…
Impact of Destroying the Structure of Model Gels on Volatile Release
2007
International audience; The release of a strawberry aroma from different composite gels taken as models of fruit preparations and from a sucrose solution was investigated. The composition of the model systems differed with regard to the gelling agent, either pectin or carrageenan, and to the rigidity of the gel. With the use of atmospheric pressure chemical ionization−mass spectrometry, the release profiles of the aroma compounds were determined under stirring. At the same time, purge and trap measurements were performed to determine the release profiles of the aroma compounds without stirring. The comparison of the patterns obtained using these two complementary methods made it possible to…
FROM PRODUCER TO CONSUMER – RELATIONS BETWEEN PRICES OF SELECTED PRODUCTS ON THE AGRI-FOOD MARKET
2019
The food supply chain is characterized by a large diversity of entities comprising it, combining actions taken by individual links, starting with the producer on the consumer. The primary goal of the smooth functioning of the food supply chain is to ensure satisfaction of buyers, while profiting by companies participating in the flow of products. The primary aim of the efficient functioning of the food supply chain is to ensure satisfaction of buyers, while profiting by companies participating in the flow of products. Changes occurring in agricultural production, often cyclical, are transferred to individual links in the supply chain. This phenomenon is visible in changes in the level of pr…
Proportional Small Sample Bias in Pricing Kernel Estimations
2014
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio of two separate density estimations. In a first step, we analyze theoretically the functional dependence for the ratio of a density to its estimated density; this cautions the reader of potential computational issues coupled with statistical techniques. In a second step, we study this quantitatively; we show that small sample biases shape the estimated pricing kernel, and that estimated pricing kern…
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.
Available evidence on re-irradiation with stereotactic ablative radiotherapy following high-dose previous thoracic radiotherapy for lung malignancies
2015
Patients affected with intra-thoracic recurrences of primary or secondary lung malignancies after a first course of definitive radiotherapy have limited therapeutic options, and they are often treated with a palliative intent. Re-irradiation with stereotactic ablative radiotherapy (SABR) represents an appealing approach, due to the optimized dose distribution that allows for high-dose delivery with better sparing of organs at risk. This strategy has the goal of long-term control and even cure. Aim of this review is to report and discuss published data on re-irradiation with SABR in terms of efficacy and toxicity. Results indicate that thoracic re-irradiation may offer satisfactory disease c…
Volatility Weighting over Time in the Presence of Transaction Costs
2019
Numerous empirical studies demonstrate the superiority of dynamic strategies with a volatility-weighting-over-time mechanism. These strategies control the portfolio risk over time by adjusting the risk exposure according to updated volatility forecasts. Yet, to reap all the benefits promised by volatility weighting over time, the composition of the active portfolio must be revised rather frequently. Transaction costs represent a serious obstacle to benefiting from this dynamic risk control technique. In this article, we propose a modified volatility-weighting strategy that allows one to reduce dramatically the amount of trading costs. The empirical evidence shows that the advantages of the …
European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis
2015
In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at $O(\varepsilon^{1/2})$ and $O(\varepsilon)$. The optimal hedging strategy is then explicitly obtained for the Scott's model.
Approach to the 1-propanol dehydration using an extractive distillation process with ethylene glycol
2015
Abstract The extractive distillation process exploits the capacity of some chemicals to alter the relative volatility between the components of a mixture. In this way, a third component (called entrainer) may be added to an azeotropic binary mixture to break the azeotrope. This paper discusses the potential use of ethylene glycol as entrainer in a 1-propanol dehydration process by extractive distillation. First, the present work focuses on the acquisition of isobaric vapor–liquid equilibrium data of the ternary system 1-propanol + water + ethylene glycol system and the binaries systems 1-propanol + ethylene glycol and water + ethylene glycol. All measurements were done at 101.3 kPa. The exp…
Isobaric vapor-liquid equilibria for extractive distillation of 1-propanol + water mixture using thiocyanate-based ionic liquids
2017
Abstract This paper presents vapor-liquid equilibrium (VLE) data at 101.3 kPa for the ternary systems 1-propanol + water + 1-ethyl-3-methylimidazolium thiocyanate [emim][SCN] and 1-propanol + water + 1-butyl-3-methylimidazolium thiocyanate [bmim][SCN] and their constituents binary systems. The experimental data obtained were correlated using the NRTL, eNRTL and UNIQUAC models. It was found that the addition of these ionic liquids enhance the relative volatility of 1-propanol to water, and the separation ability follows the order of [emim][SCN] > [bmim][SCN]. The results obtained were compared with the VLE data of the system containing this azeotropic mixtures with different imidazolium-base…