e-Archivo
https://e-archivo.uc3m.es:443
The e-Archivo digital repository system captures, stores, indexes,
preserves, and distributes digital research material.
2020-06-03T23:05:13ZOptimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
http://hdl.handle.net/10016/9853
Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market
Lafuente Luengo, Juan Ángel
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.
2000-01-01T00:00:00ZSplitting a critical spin chain
http://hdl.handle.net/10016/30553
Splitting a critical spin chain
Zamora, Alejandro; Rodríguez Laguna, Javier; Lewenstein, Maciej; Tagliacozzo, Luca
We study a quench protocol that conserves the entanglement spectrum of a bipartition of a quantum system. As an example we consider the splitting of a critical Ising chain into two chains and compare it with the well-known case of the joining of two chains. We show that both the out-of-equilibrium time evolution of global properties and the equilibrium regime after the quench of local properties are different in the two scenarios. Since the two quenches only differ in the presence/absence of the conservation of the entanglement spectrum, our results suggest that this conservation plays a fundamental role in both the out-of-equilibrium dynamics and the subsequent equilibration mechanism. We discuss the relevance of our results to the next generation of quantum simulators.
2014-09-30T00:00:00ZAnimación en los años de la euforia
http://hdl.handle.net/10016/30552
Animación en los años de la euforia
Prieto Souto, Xose Antonio
2017-01-01T00:00:00ZEnumerating secondary structures and structural moieties for circular RNAs
http://hdl.handle.net/10016/30551
Enumerating secondary structures and structural moieties for circular RNAs
Cuesta, José A.; Manrubia, Susanna
A quantitative characterization of the relationship between molecular sequence and structure is essential to improve our understanding of how function emerges. This particular genotype-phenotype map has been often studied in the context of RNA sequences, with the folded configurations standing as a proxy for the phenotype. Here, we count the secondary structures of circular RNAs of length n and calculate the asymptotic distributions of different structural moieties, such as stems or hairpin loops, by means of symbolic combinatorics. Circular RNAs differ in essential ways from their linear counterparts. From the mathematical viewpoint, the enumeration of the corresponding secondary structures demands the use of combinatorial techniques additional to those used for linear RNAs. The asymptotic number of secondary structures for circular RNAs grows as a[superíndice n]n[superíndice -5/2], with a depending on particular constraints applied to the secondary structure. As it occurs with linear RNA, the abundance of any structural moiety is normally distributed in the limit n[tendiendo a infinito], with a mean and a variance that increase linearly with n.
2017-04-21T00:00:00Z