1,720,984 research outputs found
Discrete sine transform for multi-scale realized volatility measures
Full text linkIn this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data
The restoration of Poincare' invariance and the energy momentum tensor in lattice gauge theories
No full textThe SU(2) deconfinement phase transition with Symanzik action
No full textA simulation of the SU(2) theory at finite temperatures by means of a Symanzik improved action is presented. The asymptotic scaling properties are discussed, based on an accurate measurement of the deconfinement temperature. The asymptotic scaling violation pattern is found to be substantially equivalent to the one already observed in studies using the Wilson action. An analysis using an effective coupling shows a precocious scaling, which we interpret as an effect of the Symanzik improvement
The SU(3) deconfining phase transition with Symanzik action
No full textWe report on the determination of the deconfining temperature in SU(3) pure gauge theory, using the Symanzik tree level improved action, on lattices of size 3 × 123, 4 × 163, 5 × 203, 6 × 243. We find that the asymptotic scaling violation pattern is similar to the one observed using the Wilson action. We conclude that the irrelevant operators do not affect, in the range of couplings considered, the lattice β function. An analysis based on an effective coupling formulation shows an apparent improvement
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