17,862 research outputs found
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics
Get PDFThis paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.Conditional jump intensity, conditional volatility, macroeconomic announcements.
Static output-feedback stabilization of discrete-time Markovian jump linear systems: a system augmentation approach
Get PDFThis paper studies the static output-feedback (SOF) stabilization problem for discrete-time Markovian jump systems from a novel perspective. The closed-loop system is represented in a system augmentation form, in which input and gain-output matrices are separated. By virtue of the system augmentation, a novel necessary and sufficient condition for the existence of desired controllers is established in terms of a set of nonlinear matrix inequalities, which possess a monotonic structure for a linearized computation, and a convergent iteration algorithm is given to solve such inequalities. In addition, a special property of the feasible solutions enables one to further improve the solvability via a simple D-K type optimization on the initial values. An extension to mode-independent SOF stabilization is provided as well. Compared with some existing approaches to SOF synthesis, the proposed one has several advantages that make it specific for Markovian jump systems. The effectiveness and merit of the theoretical results are shown through some numerical example
Optimum take-off angle in the standing long jump
Get PDFThe aim of this study was to identify and explain the optimum projection angle that maximises the distance achieved in a standing long jump. Five physically active males performed maximum-effort jumps over a wide range of take-off angles, and the jumps were recorded and analysed using a 2-D video analysis procedure. The total jump distance achieved was considered as the sum of three component distances (take-off, flight, and landing), and the dependence of each component distance on the take-off angle was systematically investigated. The flight distance was strongly affected by a decrease in the jumper’s take-off speed with increasing take-off angle, and the take-off distance and landing distance steadily decreased with increasing take-off angle due to changes in the jumper’s body configuration. The optimum take-off angle for the jumper was the angle at which the three component distances combined to produce the greatest jump distance. Although the calculated optimum take-off angles (19–27º) were lower than the jumpers’ preferred take-off angles (31–39º), the loss in jump distance through using a sub-optimum take-off angle was relatively small
Jump risk, time-varying risk premia, and technical trading profits
Get PDFIn this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to address distributional anomalies. We estimate a variety of asset pricing models, including the random walk, autoregressive models, a combined jump diffusion model, and a combined model of jump-diffusion and autoregressive conditional heteroskedasticity. Technical trading profits are shown to be statistically significant for the pure diffusion models and autoregressive models, yet become less significant when jump risk is incorporated into the model and virtually disappear for an asset pricing model that incorporates both jump risk and time-varying risk premia. The empirical evidence suggests that technical trading profits could be fair compensation for the risk of price discontinuity as well as time-varying risk premia of asset returns. Alternatively, technical trading profits provide a test of specification of asset pricing models; in this vein the evidence provides support for the incorporation of jump risk into asset pricing models.Financial markets ; Prices
On the Strong Approximation of Pure Jump Processes
Get PDFThis paper constructs strong discrete time approximations for pure jump processes that can be described by stochastic differential equations. Strong approximations based on jump-adapted time discretizations, which produce no discretization bias, are analyzed. The computational complexity of these approximations is proportional to the jump intensity. Furthermore, by exploiting a stochastic expansion for pure jump processes, higher order discrete time approximations, whose computational complexity is not dependent on the jump intensity, are proposed. The strong order of convergence of the resulting schemes is analyzed.pure jump processes; stochastic Taylor expansion; discrete time approximation; simulation; strong convergence
Consistency Problems For Jump-Diffusion Models
Get PDFIn this paper we examine a consistency problem for a multi-factor jump diffusion model. First we bridge a gap between a jump-diffusion model and a generalized Heath-Jarrow-Morton (HJM) model, and bring a multi- factor jump-diffusion model into the HJM framework. By applying the drift condition for a generalized arbitrage-free HJM model, we derive the general consistency condition for a jump-diffusion model. Then we consider the case that the forward rate function has a separable structure, and obtain a specific version of the general consistency condition. In particular, we provide the necessary and sufficient condition for a jump-diffusion model to be affine, which generalizes the result in Duffie and Kan (1996). Finally we discuss the Nelson-Siegel type of forward curve structure, and give the necessary and sufficient condition for the consistency of this class of models in the jump- diffusion case.Arbitrage-free Condition, HJM Models, Jump-Diffusion Models
A Theory of Jump Bidding in Ascending Auctions
Get PDFJump bidding is a commonly observed phenomenon that involves bidders in ascending auctions submitting bids higher than required by the auctioneer. Such behavior is typically explained as due to irrationality or to bidders signaling their value. We present field data that suggests such explanations are unsatisfactory and construct an alternative model in which jump bidding occurs due to strategic concerns and impatience. We go on to examine the impact of jump bidding on the outcome of ascending auctions in an attempt to resolve some policy disputes in the design of ascending auctions.auction theory, ascending auctions, jump bidding
The effects of postactivation potentiation on sprint and jump performance of male academy soccer players.
Get PDFThe purpose of this investigation was to evaluate the postactivation potentiation (PAP) effects of both dynamic and isometric maximum voluntary contractions (MVCs) on sprint and jump performance and establish whether PAP methods could be used effectively in warm up protocols for soccer players. Twelve male soccer players performed 4 warm up protocols in a cross-over, randomized, and counterbalanced design. In addition to a control warm up, subjects performed deadlift (5 repetitions at 5 repetitions maximum), tuck jump (5 repetitions), and isometric MVC knee extensions (3 repetitions for 3 s) as PAP treatments in an otherwise identical warm up protocol. After each treatment, the subjects underwent 3 10 m and 20 m sprints 4, 5, and 6 minutes post-warm up and 3 vertical jumps (VJ) at 7, 8, and 9 minutes post-warm up. Repeated measures analysis of variance showed no significant differences in the first 10 m (p = 0.258) and 20 m (p = 0.253) sprint and VJ (p = 0.703) performance and the average 10 m (p = 0.215), 20 m (p = 0.388), and VJ (p = 0.529) performance between conditions. There were also no significant differences in performance responses between the strongest and weakest subjects, but large variations in individual responses were found between the subjects. The findings suggest that there was no significant group PAP effect on sprint and jump performance after dynamic and isometric MVCs compared with a control warm up protocol. However, the large variation in individual responses (-7.1% to +8.2%) suggests PAP should be considered on an individual basis. Factors such as method, volume, load, recovery, and interindividual variability of PAP must be considered in the practical application of PAP and the rigorous research design of future studies to evaluate the potential for performance enhancement
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
Get PDFEvent-driven uncertainties such as corporate defaults, operational failures or central bank announcements are important elements in the modelling of financial quantities. Therefore, stochastic differential equations (SDEs) of jump-diffusion type are often used in finance. We consider in this paper weak discrete time approximations of jump-diffusion SDEs which are appropriate for problems such as derivative pricing and the evaluation of risk measures. We present regular and jump-adapted predictor-corrector schemes with first and second order of weak convergence. The regular schemes are constructed on regular time discretizations that do not include jump times, while the jump-adapted schemes are based on time discretizations that include all jump times. A numerical analysis of the accuracy of these schemes when applied to the jump-diffusion Merton model is provided.weak approximations; Monte Carlo simulations; predictor-corrector schemes; jump diffusions
Effect of Using Hand-Weights on Performance in the Standing Long Jump
Get PDFPrevious standing long jump studies have shown that jumping with hand weights can significantly increase jumping performance. The purpose of this study was to investigate the mechanisms that enable performance improvement in the standing long jump when using hand weights and test the hypothesis that releasing the hand weights during flight can further increase jump distance. Four college-aged male subjects were chosen based on participation in athletic activities and physical ability. Each subject executed 24 jumps (six trials for each of four different standing long jump techniques: without weights, with weights, releasing the weights backwards near the high point of the jump, and releasing the weights just prior to landing). Joint positions were recorded using multiple high-speed cameras and reflective position markers on the body. The net joint moments were calculated using a 2D inverse dynamics analysis. An energy analysis of the system between jump initiation and takeoff was also performed. Results showed jumping with weights increased jump distance by an average of 9 cm while releasing them increased jump distance by another 7 cm. No significant difference in jump distance was found between the two release points. The mechanisms that enabled this performance improvement were a combination of increased kinetic energy stored in the hand weights before the propulsive phase, increased work performed by the muscles during the propulsive phase, and an increase in horizontal position of the center of mass at take-off. In addition performance was enhanced by releasing the weights backwards during flight due to conservation of linear momentum during the flight phase
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