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Wed, 14 Apr 2021 15:14:22 GMT2021-04-14T15:14:22ZOptimal 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.
Sat, 01 Jan 2000 00:00:00 GMThttp://hdl.handle.net/10016/98532000-01-01T00:00:00ZA Survey of the Selenium Ecosystem
http://hdl.handle.net/10016/32358
A Survey of the Selenium Ecosystem
Garcia Gutierrez, Boni; Gallego, Micael; Gortázar, Francisco; Muñoz Organero, Mario
Selenium is often considered the de-facto standard framework for end-to-end web testing nowadays. It allows practitioners to drive web browsers (such as Chrome, Firefox, Edge, or Opera) in an automated fashion using different language bindings (such as Java, Python, or JavaScript, among others). The term ecosystem, referring to the open-source software domain, includes various components, tools, and other interrelated elements sharing the same technological background. This article presents a descriptive survey aimed to understand how the community uses Selenium and its ecosystem. This survey is structured in seven categories: Selenium foundations, test development, system under test, test infrastructure, other frameworks, community, and personal experience. In light of the current state of Selenium, we analyze future challenges and opportunities around it.
Wed, 01 Jul 2020 00:00:00 GMThttp://hdl.handle.net/10016/323582020-07-01T00:00:00ZSynthetic Aperture Imaging With Intensity-Only Data
http://hdl.handle.net/10016/32357
Synthetic Aperture Imaging With Intensity-Only Data
Moscoso Castro, Miguel Ángel; Novikov, Alexei; Papanicolaou, George; Tsogka, Chrysoula
In this paper, we consider imaging the reflectivity of scatterers from intensity-only data recorded by a single moving transducer that both emits and receives signals, forming a synthetic aperture. By exploiting frequency illumination diversity, we obtain multiple intensity measurements at each location, from which we determine field cross correlations using an appropriate phase controlled illumination strategy and the inner product polarization identity. The field cross correlations obtained this way do not, however, provide all the missing phase information because they are determined up to a phase that depends on the receiver's location. The main result of this paper is an algorithm with which we recover the field cross correlations up to a single phase that is common to all the data measured over the synthetic aperture, so all the data are synchronized. Thus, we can image coherently with data over all frequencies and measurement locations as if full phase information was recorded.
Wed, 01 Jan 2020 00:00:00 GMThttp://hdl.handle.net/10016/323572020-01-01T00:00:00ZFlocking and pattern formation in active particles and epithelial tissues
http://hdl.handle.net/10016/32356
Flocking and pattern formation in active particles and epithelial tissues
Trenado Yuste, Carolina
Collective behavior and, more specifically, flocking are phenomena observed in living systems, from bacterial colonies and spermatozoa, to larger systems such as insects and birds. These organizations exhibit changes from disordered to coherent behavior, which are examples of spontaneous symmetry-breaking out of equilibrium. Collective migrations in these systems can be predicted by simple models such as the Vicsek model (VM) or its variants, in which particles tend to align their velocities to an average of their neighbours’. The change from a disordered state to an ordered state can occur continuously or discontinuously and a variety of resulting patterns are possible. The study of mathematical models of these systems may reveal these changes to be bifurcations in their governing equations.
We consider a system of particles moving within a two dimensional box with periodic boundary conditions. In Chapter 2, and following Ihle’s approach, we derive a kinetic equation for a one-particle distribution function in the limit of infinitely many particles by assuming molecular chaos. The kinetic equation is discrete in time and space and it always has a simple uniform solution that corresponds to the disordered state of the system. We have carried out a linear stability analysis of this state and studied the possible bifurcations issuing from it. In the usual case, particles align their velocities to their average velocity with any other particles within a circle of influence plus some angular noise, which has a uniform probability density. The spectrum of the linearized equation has always one multiplier on the unit circumference and there is another one that moves from inside to outside the unit circle as a control parameter crosses a critical value. We use bifurcation methods to derive amplitude equations that describe solutions issuing from the disordered state. The amplitude equations comprise a conservation law for a density disturbance coupled to a two dimensional vector equation for a current density. Analysis and numerical simulations of these equations show that their solutions exhibit an interplay between parabolic and hyperbolic behavior in two different time scales when the distance to the critical value of the bifurcation control parameter goes to zero. In this limit, there appear oscillation frequencies that give rise to resonance phenomena if the alignment rule contains a periodic function of time. Direct simulation of the VM confirms the existence of these resonances.
In Chapter 3, we use the same methodology to study the effect of modifying the probability
density of the noise in the alignment rule by which VM particles change their velocities. The mechanism of velocity synchronization consists of: active particles may be conformist and align their velocities to the average velocity of their neighbors, or be contrarian and move opposite to the average angle. Depending on the weights of conformist and contrarian or almost contrarian rules, we study the ordered state solutions of the amplitude equations corresponding to period-doubling, Hopf, or pitchfork bifurcations of the disordered state.
In Chapter 4, we consider the collective migration of epithelial cell monolayers moving on a surface. This phenomenon is crucial for many relevant processes including wound healing, morphogenesis, and cancer-cell invasion during metastasis. There are many experiments on confluent cellular motion and different mathematical and computational models in the literature. A convenient model based on the physics of foams considers the cells as non-overlapping two dimensional convex polygons. In the active vertex model we study,
the cell centers are in a Delaunay triangulation and are subject to forces that constrain them to have target areas and perimeter length, other forces that try to align their velocities to neighboring cells (as in the VM), friction with the substrate, inertia, and stochastic forces. We have simulated numerically this model in two different cases related to wound healing and to invasion of one cell collective by another one: (i) a cellular monolayer spreading on empty space, and (ii) the collision of two different cell populations in an antagonistic migration assay.
For (i), we discuss how inertia is necessary to explain the larger size of cells in the boundary with respect to those in the interior of the layer. For (ii), we discuss which parameters of the model produce results that agree with experiments by P. Silberzan’s group. In both cases, the interfaces that separate cells from empty space or cells belonging to different populations are quite rough and may shed and absorb islands as time elapses. To analyze both images from experiments and results of numerical simulations, we use topological data analyses of the interfaces.
Mención Internacional en el título de doctor
Sun, 01 Nov 2020 00:00:00 GMThttp://hdl.handle.net/10016/323562020-11-01T00:00:00Z