Colecciones multidisciplinareshttp://hdl.handle.net/10016/12017-02-23T19:12:27Z2017-02-23T19:12:27ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures marketLafuente, Juan A.http://hdl.handle.net/10016/98532016-06-16T00:11:56Z2000-01-01T00:00:00ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
Lafuente, Juan A.
Universidad Carlos III de Madrid. Departamento de Economía de la Empresa
This paper provides an a~alytical discussion of the optimal hedge ratio when discrepancies between the futures trading price and its theoretical valuation according to the cost-of-carry model occurs. Under the assumption of a geometric Brownian motion for spot prices we model the mispricing by a new specific noise in the theoretical dynamic of futures market. Empirical evidence above the model is provided for the Spanish stock index futures. Ex-post simulations reveal that hedging effectiveness applying the estimated ratio is similar to the achieved with a systematic unitary hedge ratio, the optimal one when a mispricing does not appear. However, a small number of futures contracts is needed.
2000-01-01T00:00:00ZElastic Cloud Services Compliance with Gustafson’s and Amdahl’s LawsRistov, SaskoProdan, RaduGusev, MarjanPetcu, DanaBarbosa, Jorgehttp://hdl.handle.net/10016/242232017-02-22T11:12:15Z2016-12-01T00:00:00ZElastic Cloud Services Compliance with Gustafson’s and Amdahl’s Laws
Ristov, Sasko; Prodan, Radu; Gusev, Marjan; Petcu, Dana; Barbosa, Jorge
Carretero Pérez, Jesús; García Blas, Javier; Margenov, Svetozar
The speedup that can be achieved with parallel and distributed architectures is limited at least by two laws: the Amdahl’s and Gustafson’s laws. The former limits the speedup to a constant value when a fixed size problem is executed on a multiprocessor, while the latter limits the speedup up to its linear value for the fixed time problems, which means that it is limited by the number of used processors. However, a superlinear speedup can be achieved (speedup greater than the number of used processors) due to insufficient memory, while, parallel and, especially distributed systems can even slowdown the execution due to the
communication overhead, when compared to the sequential one. Since the cloud performance is uncertain and it can be influenced by available memory and networks, in this paper we investigate if it follows the same speedup pattern as the other traditional distributed systems. The focus is to determine how the elastic cloud services behave in the different scaled environments. We define several scaled systems and we model the corresponding performance indicators. The analysis shows that both laws limit the speedup for a specific range of the input parameters and type of scaling. Even more, the speedup in cloud systems follows the Gustafson’s extreme cases, i.e. insufficient memory and communication bound domains.
Proceedings of: Third International Workshop on Sustainable Ultrascale Computing Systems (NESUS 2016). Sofia (Bulgaria), October, 6-7, 2016.
2016-12-01T00:00:00ZEnergy-efficient Assignment of Applications to Servers by Taking into Account the Influence of Processes on Each OtherJarus, MateuszOleksiak, ArielNarsisian, WahiAstsatryan, Hrachyahttp://hdl.handle.net/10016/242012017-02-22T11:32:05Z2016-12-01T00:00:00ZEnergy-efficient Assignment of Applications to Servers by Taking into Account the Influence of Processes on Each Other
Jarus, Mateusz; Oleksiak, Ariel; Narsisian, Wahi; Astsatryan, Hrachya
Carretero Pérez, Jesús; García Blas, Javier; Margenov, Svetozar
The power consumption of data centers is becoming a crucial challenge in the context of the steadily increasing demand for
computation. In this regard finding a way to improve energy efficiency of running applications in data centers is becoming a crucial
trend. One method to improve the processor utilization is the consolidation of applications on physical servers. It is possible to
run multiple jobs in parallel on the same machine, especially when their requirements regarding computation are smaller than the
maximum processor performance. It reduces the number of servers in the data center required to handle multiple requests and
therefore leads to energy usage reductions. In this paper, we introduce a realistic model of applications with deadlines executed
in parallel on a server and competing for the shared resources and present an energy-aware algorithm which may be used to
minimize the overall energy consumption of the servers.
Proceedings of: Third International Workshop on Sustainable Ultrascale Computing Systems (NESUS 2016). Sofia (Bulgaria), October, 6-7, 2016.
2016-12-01T00:00:00ZFree Form Deformation-Based Image Registration Improves Accuracy of Traction Force MicroscopyPeñas, Alvaro JorgeIzquierdo Álvarez, AliciaAguilar Cuenca, RocioManzanares, Miguel VicenteGarcía Aznar, José ManuelVan Oosterwyck, HansDe Juan Pardo, Elena M.Ortiz De Solórzano, CarlosMuñoz-Barrutia, Arratehttp://hdl.handle.net/10016/241842017-02-15T08:26:06Z2015-12-07T00:00:00ZFree Form Deformation-Based Image Registration Improves Accuracy of Traction Force Microscopy
Peñas, Alvaro Jorge; Izquierdo Álvarez, Alicia; Aguilar Cuenca, Rocio; Manzanares, Miguel Vicente; García Aznar, José Manuel; Van Oosterwyck, Hans; De Juan Pardo, Elena M.; Ortiz De Solórzano, Carlos; Muñoz-Barrutia, Arrate
Traction Force Microscopy (TFM) is a widespread method used to recover cellular tractions from the deformation that they cause in their surrounding substrate. Particle Image Velocimetry (PIV) is commonly used to quantify the substrate's deformations, due to its simplicity and efficiency. However, PIV relies on a block-matching scheme that easily underestimates the deformations. This is especially relevant in the case of large, locally non-uniform deformations as those usually found in the vicinity of a cell's adhesions to the substrate. To overcome these limitations, we formulate the calculation of the deformation of the substrate in TFM as a non-rigid image registration process that warps the image of the unstressed material to match the image of the stressed one. In particular, we propose to use a B-spline -based Free Form Deformation (FFD) algorithm that uses a connected deformable mesh to model a wide range of flexible deformations caused by cellular tractions. Our FFD approach is validated in 3D fields using synthetic (simulated) data as well as with experimental data obtained using isolated endothelial cells lying on a deformable, polyacrylamide substrate. Our results show that FFD outperforms PIV providing a deformation field that allows a better recovery of the magnitude and orientation of tractions. Together, these results demonstrate the added value of the FFD algorithm for improving the accuracy of traction recovery.
2015-12-07T00:00:00Z