scholarly journals A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

2013 ◽  
Vol 50 (3) ◽  
pp. 801-809 ◽  
Author(s):  
Kai Du ◽  
Ariel David Neufeld
Keyword(s):  
Large Deviations ◽  
Growth Condition ◽  
Failure Probability ◽  
Quantitative Form ◽  
Continuous Semimartingale ◽  
The Mean ◽  
Mean Variance

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Föllmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.

scholarly journals A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

2013 ◽  
Vol 50 (03) ◽  
pp. 801-809 ◽  
Author(s):  
Kai Du ◽  
Ariel David Neufeld
Keyword(s):  
Large Deviations ◽  
Growth Condition ◽  
Failure Probability ◽  
Quantitative Form ◽  
Continuous Semimartingale ◽  
The Mean ◽  
Mean Variance

The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Föllmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.

Acquisition and Processing of Atmospheric Boundary Layer Data

1994 ◽  
Author(s):  
J. C. Kaimal ◽  
J. J. Finnigan
Keyword(s):  
Boundary Layer ◽  
Low Frequency ◽  
Real Time Processing ◽  
Long Term Stability ◽  
Two Factors ◽  
The Mean ◽  
Averaging Time ◽  
Mean Variance ◽  
Atmospheric Variables

Much of what we know about the structure of the boundary layer is empirical, the result of painstaking analysis of observational data. As our understanding of the boundary layer evolved, so did our ability to define more clearly the requirements for sensing atmospheric variables and for processing that information. Decisions regarding choice of sampling rates, averaging time, detrending, ways to minimize aliasing, and so on, became easier to make. We find we can even standardize most procedures for real-time processing. The smaller, faster computers, now within the reach of most boundary layer scientists, offer virtually unlimited possibilities for processing and displaying results even as an experiment is progressing. The information we seek, for the most part, falls into two groups: (1) time-averaged statistics such as the mean, variance, covariance, skewness, and kurtosis and (2) spectra and cospectra of velocity components and scalars such as temperature and humidity. We discuss them separately because of different sampling and processing requirements for the two. A proper understanding of these requirements is essential for the successful planning of any experiment. In this chapter we discuss these considerations in some detail with examples of methods used in earlier applications. We will assume that sensors collecting the data have adequate frequency response, precision, and long-term stability and that the sampling is performed digitally at equally spaced intervals. We also assume that the observation heights are chosen with due regard to sensor response and terrain roughness. For calculations of means and higher order moments we need time series that are long enough to include all the relevant low-frequency contributions to the process, sampled at rates fast enough to capture all the high-frequency contributions the sensors are able to measure. Improper choices of averaging times and sampling rates can indeed compromise our statistics. We need to understand how those two factors affect our measurements in order to make sensible decisions on how long and how fast to sample.

Cardiovascular responses to denervation of pulmocutaneous baroreceptors in toads

1989 ◽  
Vol 256 (4) ◽  
pp. R946-R954
Author(s):  
B. N. Van Vliet ◽  
N. H. West
Keyword(s):  
Recovery Period ◽  
Weight Ratio ◽  
Cardiovascular Responses ◽  
Arterial Blood ◽  
Afferent Fibers ◽  
Wet Weight ◽  
The Mean ◽  
Recurrent Laryngeal Nerves ◽  
Mean Variance

Toad pulmocutaneous arterial baroreceptors are connected to afferent fibers carried in the recurrent laryngeal nerves (rLNs). Bilateral rLN denervation in conscious toads (Bufo marinus) caused 34 and 78% increases in heart rate (Fh) and systemic arterial blood pressure (Pa) within 10-15 min, respectively. The variance of Pa was significantly increased 2 days after denervation, but Pa and Fh were not. In additional chronic experiments, 5 of 17 baroreceptor-denervated toads died within the 2-wk recovery period. No deaths occurred in sham-operated toads. The mean Pa, Fh, and cardiac interval (Ic), the mean variance of Pa, Fh, and Ic, and Pa and Fh responses to stress, plasma composition, and the dry-to-wet weight ratio of skeletal muscle and lung were not statistically different in denervated and sham-operated toads. However, the sensitivity of Ic to changes in Pa, exposed by intra-arterial injections of phenylephrine and nitroprusside, was attenuated in denervated toads. Postmortem examination revealed occasional pulmonary lesions, the incidence of which appeared correlated with causes of pulmonary hypertension: baroreceptor denervation and phenylephrine injections. We conclude that pulmocutaneous arterial baroreflex is tonically active but is not essential for the long-term maintenance of Pa in conscious undisturbed toads.

scholarly journals Raising the bar on the foreign portfolio to 25 per cent: Strategic implications for South African investors

2015 ◽  
Vol 18 (3) ◽  
pp. 410-424 ◽  
Author(s):  
David John Bradfield ◽  
Brian Munro
Keyword(s):  
South African ◽  
Efficient Frontier ◽  
Strategic Role ◽  
Portfolio Managers ◽  
The Mean ◽  
Nonparametric Procedure ◽  
Mean Variance ◽  
Portfolio Planning

 Regulation 28 of the Pension Funds Act now permits an increased allocation of 25 per cent to foreign investments. The regulation previously only permitted a 20 per cent allocation. Establishing the optimal foreign allocation for South African portfolio managers given the 25 per cent upper bound is an important consideration for strategic portfolio planning. In this paper we consider two methodological approaches to establish a strategic foreign allocation weight. Our first approach considers the strategic role of foreign investment in South African global balanced portfolios by using a mean-variance efficient frontier framework over a long-term period. We also implement a second assessment methodology that utilises a nonparametric procedure. Both the mean-variance and the non-parametric methodology yield compelling evidence for the foreign allocation to be set at the maximum allowable bound of 25 per cent.

scholarly journals Derivatives pricing via p-optimal martingale measures: some extreme cases

2006 ◽  
Vol 43 (03) ◽  
pp. 634-651
Author(s):  
Marina Santacroce
Keyword(s):  
Asset Price ◽  
Martingale Measure ◽  
Power Utility ◽  
Derivatives Pricing ◽  
Trade Off ◽  
Continuous Semimartingale ◽  
Backward Equation ◽  
The Mean ◽  
Necessary And Sufficient ◽  
Mean Variance

In an incomplete financial market in which the dynamics of the asset prices is driven by a d-dimensional continuous semimartingale X, we consider the problem of pricing European contingent claims embedded in a power utility framework. This problem reduces to identifying the p-optimal martingale measure, which can be given in terms of the solution to a semimartingale backward equation. We use this characterization to examine two extreme cases. In particular, we find a necessary and sufficient condition, written in terms of the mean-variance trade-off, for the p-optimal martingale measure to coincide with the minimal martingale measure. Moreover, if and only if an exponential function of the mean-variance trade-off is a martingale strongly orthogonal to the asset price process, the p-optimal martingale measure can be simply expressed in terms of a Doléans-Dade exponential involving X.

Long Term Failure Probability Calculation Method Applied to Riser Design

2008 ◽  
Author(s):  
Timothe´e Perdrizet ◽  
Daniel Averbuch
Keyword(s):  
Failure Probability ◽  
Sea State ◽  
Reliability Method ◽  
Extreme Response ◽  
Probability Calculation ◽  
Riser Design ◽  
The Mean ◽  
Time Invariant ◽  
Wave Induced

A time efficient methodology is described to evaluate the non linear extreme response of a riser connected to a FPSO subjected to wave induced loads in a stationary sea state. It is extended to cover all sea states and thus to assess the long term failure probability of the riser. The short term procedure is based on a classic time variant reliability method. It uses an approximation of the mean outcrossing rate, which is computed with the time invariant reliability method FORM (First Order Reliability Method).

scholarly journals Derivatives pricing via p-optimal martingale measures: some extreme cases

2006 ◽  
Vol 43 (3) ◽  
pp. 634-651 ◽  
Author(s):  
Marina Santacroce
Keyword(s):  
Asset Price ◽  
Martingale Measure ◽  
Power Utility ◽  
Derivatives Pricing ◽  
Trade Off ◽  
Continuous Semimartingale ◽  
Backward Equation ◽  
The Mean ◽  
Necessary And Sufficient ◽  
Mean Variance

In an incomplete financial market in which the dynamics of the asset prices is driven by a d-dimensional continuous semimartingale X, we consider the problem of pricing European contingent claims embedded in a power utility framework. This problem reduces to identifying the p-optimal martingale measure, which can be given in terms of the solution to a semimartingale backward equation. We use this characterization to examine two extreme cases. In particular, we find a necessary and sufficient condition, written in terms of the mean-variance trade-off, for the p-optimal martingale measure to coincide with the minimal martingale measure. Moreover, if and only if an exponential function of the mean-variance trade-off is a martingale strongly orthogonal to the asset price process, the p-optimal martingale measure can be simply expressed in terms of a Doléans-Dade exponential involving X.

Acute and Chronic Changes in Platelet Volume and Count After Cardiopulmonary Bypass Induced Thrombocytopenia in Man

1987 ◽  
Vol 57 (01) ◽  
pp. 55-58 ◽  
Author(s):  
J F Martin ◽  
T D Daniel ◽  
E A Trowbridge
Keyword(s):  
Platelet Count ◽  
Mean Platelet Volume ◽  
Artery Bypass ◽  
Bypass Graft ◽  
Control Group ◽  
Artery Bypass Graft ◽  
Platelet Volume ◽  
Young Males ◽  
The Mean

SummaryPatients undergoing surgery for coronary artery bypass graft or heart valve replacement had their platelet count and mean volume measured pre-operatively, immediately post-operatively and serially for up to 48 days after the surgical procedure. The mean pre-operative platelet count of 1.95 ± 0.11 × 1011/1 (n = 26) fell significantly to 1.35 ± 0.09 × 1011/1 immediately post-operatively (p <0.001) (n = 22), without a significant alteration in the mean platelet volume. The average platelet count rose to a maximum of 5.07 ± 0.66 × 1011/1 between days 14 and 17 after surgery while the average mean platelet volume fell from preparative and post-operative values of 7.25 ± 0.14 and 7.20 ± 0.14 fl respectively to a minimum of 6.16 ± 0.16 fl by day 20. Seven patients were followed for 32 days or longer after the operation. By this time they had achieved steady state thrombopoiesis and their average platelet count was 2.44 ± 0.33 × 1011/1, significantly higher than the pre-operative value (p <0.05), while their average mean platelet volume was 6.63 ± 0.21 fl, significantly lower than before surgery (p <0.001). The pre-operative values for the platelet volume and counts of these patients were significantly different from a control group of 32 young males, while the chronic post-operative values were not. These long term changes in platelet volume and count may reflect changes in the thrombopoietic control system secondary to the corrective surgery.

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