Implicit Bayesian Inference Using Option Prices

Abstract. A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time‐varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out‐of‐sample predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. While the results provide support for models that accommodate leptokurtosis and skewness, no one model dominates when all criteria are considered.     

Ram‐air kite airfoil and reinforcements optimization for airborne wind energy applications

We present a multidisciplinary design optimization method for the profile and structural reinforcement layout of a ram‐air kite rib. The aim is to minimize the structural elastic energy and to maximize the traction power of a ram‐air kite used for airborne wind energy generation. Because of the large deformations occurring during flight, a fluid‐structure interaction (FSI) routine is included in the optimization, which determines the actual deformed rib geometry and its corresponding aerodynamic characteristics. A qualitative comparison between FSI inclusion and exclusion in the optimization is given. Discrepancies in airfoil profile and structural layout are observed.     

Modeling heterogeneous photocatalytic inactivation of E. coli using suspended and immobilized TiO2 reactors

A study was carried out to develop a kinetic model of the photocatalytic inactivation of Escherichia coli using different TiO₂ catalysts. The model developed is based on a reaction scheme that involves effectively coupling mass‐transfer fluxes between bacteria and catalyst surface on one hand and bacterial degradation reaction on the other. The photocatalytic results were derived from experiments led in a batch reactor under both dark and Ultra Violet (UV) irradiation conditions. Using a reference catalyst, the robustness of the developed model was tested under solar conditions. The experimental data validated the model as successfully able to reproduce evolutions in the viable bacteria concentration in the range of parameters studied without any further adjustment of the kinetic parameters. The model was used to simulate the bacterial degradation kinetics under different working conditions to describe the partitioning of both bacterial adhesion and photocatalytic reaction in the solution to be treated © 2015 American Institute of Chemical Engineers AIChE J, 61: 2532–2542, 2015     

SIMULTANEOUS GC/MS ANALYSIS OF POLYCYCLIC AROMATIC HYDROCARBONS AND THEIR NITRATED DERIVATIVES IN ATMOSPHERIC PARTICULATE MATTER FROM WORKPLACES

Abstract

PAH are routinely analyzed using HPLC/FD. This technique is unsuitable for analyzing NPAH. This study aims at developing a reliable method, using GC/MS, and applying this technique to actual samples from small volumes of atmospheric particulate matter from workplaces. Mixtures of PAH and NPAH were separated by GC/MS and detected by electronic impact (EI) or negative ion chemical ionization (NICI). Analyses on twelve actual samples were thus carried out by sampling a small volume of atmosphere (≈0.5 m ³ ) from five different industrial workplaces. Samples displayed wide differences from one industrial workplace to another, and this can be explained by the specific methods applied. The PAH and NPAH concentrations also varied with time in the same industrial workplace. NPAH concentrations were not correlated with PAH concentrations, underscoring the complex chemical mechanisms involved in NPAH formation. PAH and NPAH formation appeared to be dependent on both industrial activities and uncontrolled physicochemical conditions.     

Employment test validation for minority and nonminority clerks with work sample criteria.

10 tests of intellectual ability and perceptual speed and accuracy were validated against specially developed clerical work samples of telephone company employees, using a newly hired sample of 143 Blacks, 74 Spanish-surnamed, and 195 Whites. Most validity coefficients were statistically significant, and in only 2 out of 36 comparisons were ethnic sample validity coefficients significantly different. A combination of 4 tests was significantly predictive of clerical proficiency for each ethnic sample and for the total combined sample. Comparisons of ethnic sample regression equations indicated that the slopes were essentially the same but that the intercepts differed significantly. The total sample regression equation did not underpredict prospective proficiency levels for minority clerks. A composite predictor found to be appropriate for minority and nonminority applicants for clerical jobs is recommended for employment office use. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

High niobium oxide content in germanate glasses: Thermal,structural, and optical properties

Niobium alkali germanate glasses were synthesized by the melt‐quenching technique. The ternary system (90‐x)GeO₂–xNb₂O₅–10K₂O forms homogeneous glasses with x ranging from 0 to 20 mol%. Samples were investigated by DSC and XRD analysis, FTIR and Raman spectroscopy, and optical absorption. Structural and physical features are discussed in terms of Nb₂O₅ content. The niobium content increase in the glass network strongly modifies the thermal, structural and optical properties of alkali germanate glasses. DSC, Raman and FTIR analysis suggest niobium addition promotes NbO₆ groups insertion close to GeO₄ units of the glass network. XRD analysis also pointed out that samples containing high niobium oxide contents exhibit preferential niobium oxide‐rich phase after crystallization after heat treatment, which is similar to orthorhombic Nb₂O₅. Absorption spectra revealed high transmission range between 400 nm to 6.2 μm, added to a considerably decreased hydroxyl group content as the addition of niobium in the alkali germanate network. The niobium oxide‐rich phase crystallization process was studied and activation energy was determined, as well as nucleation and crystal growth temperatures and time for obtaining transparent glass‐ceramics.     

Energy harvesting based on FE-FE transition in ferroelectric single crystals

The pyroelectric properties of Pb(Zn(1/3)Nb(2/3))(0955)Ti(0.045)O(3) single crystals versus an electric field have been studied for energy harvesting in this paper. Two thermodynamic cycles (Stirling and Ericsson) were used for this purpose. By applying an electric field, a FE-FE transition was induced, abruptly increasing the polarization. This transition minimized the supplied energy and improved the harvested energy. By discharging the single crystal at a higher temperature, a gain of 1100% was obtained with the Stirling cycle at 1 kV/mm (gain is defined as harvested energy divided by supplied energy). The study revealed that Stirling cycles are more interesting for low electric fields. Based on experimental results, simulations were carried out to estimate energy harvesting in high electric fields to evaluate the performances of thin samples (single crystals or oriented thin films). At high electric fields, both cycles gave almost the same energy harvesting, but Ericsson cycles were more appropriate to control the voltage on the sample. The simulation led to a harvested energy of 500 mJ/g for an applied electric field equal to 50 kV/mm. The efficiency with respect to Carnot was raised 20%.     

The relative risk and timing of divorce in families of children with an autism spectrum disorder.

We compared the occurrence and timing of divorce in 391 parents of children with an autism spectrum disorder (ASD) and a matched representative sample of parents of children without disabilities using a survival analysis. Parents of children with an ASD had a higher rate of divorce than the comparison group (23.5% vs. 13.8%). The rate of divorce remained high throughout the son's or daughter's childhood, adolescence, and early adulthood for parents of children with an ASD, whereas it decreased following the son's or daughter's childhood (after about age 8 years) in the comparison group. Younger maternal age when the child with ASD was born and having the child born later in the birth order were positively predictive of divorce for parents of children with an ASD. Findings have implications for interventions focused on ameliorating ongoing and long-term marital strains for parents of children with an ASD. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Can a new ergonomical ankle–foot orthosis (AFO) device improve patients’ daily life? A preliminary study

Abstract

Approximately two-thirds of patients survive following a cerebral vascular accident (stroke), nevertheless about half are left with a physical incapacity. The clinical picture is frequently a combination of motor, sensory, visual and cognitive deficits. Mechanically, the use of ankle-foot orthosis (AFO) appear a good option. The objective of this study was to quantify the impact of the AFO on patients having a deficit of dorsi-flexion during gait in the aim to improve their daily lives. Different biomechanical variables were analysed such as parameters of Balance in static position and spatio-temporal (ST) ones in dynamics. Seven patients were enrolled in this study (53.57 ± 16.17 years old, 1.80 ± 0.07 m height and 89 ± 15.06 kg body mass). The pressure force plate used in this experimentation aimed to measure the patients’ behaviors with and without AFO. The results showed a significant impact of AFO in terms of ST analysis (p < 0.05). These results can be related to the fact that the orthosis supports the foot during walking and propels the step during the initial swing phase. In posturography, the results showed that patients increased their balance by using AFO (p < 0.05). This result permits the patients a better expansion of their movements during gait after an immediate benefit.     

Adhesion of human pathogenic enteric viruses and surrogate viruses to inert and vegetal food surfaces

Enteric viruses, particularly human Noroviruses (NoV) and hepatitis A virus (HAV), are key food-borne pathogens. The attachment of these pathogens to foodstuff and food-contact surfaces is an important mechanism in the human contamination process. Studies were done to investigate the nature of the physicochemical forces, such as hydrophobic and electrostatic ones, involved in the interaction virus/matrix but, at this day, only few data are available concerning surface properties of viruses and prediction of the adhesion capacity of one specific virus onto matrices is still very difficult. The purpose of this study was to propose a reference system, including a representative virus surrogate, able to predict as close as possible behaviour of pathogenic viruses in term of adhesion on inert (stainless steel and polypropylene) and food surfaces (lettuce leaves, strawberries and raspberries). The adhesion of human pathogenic enteric viruses, cultivable strain of HAV and non-cultivable strains of human NoV (genogroups I and II), have been quantified and compared to these of human enteric viruses surrogates, included the MNV-1 and three F-specific RNA bacteriophages (MS2, GA and Qβ). A standardized approach was developed to assess and quantify viral adhesion on tested matrices after a contact time with each virus using real-time RT-PCR. Methods used for virus recovery were in accordance with the CEN recommendations, including a bovine Enterovirus type 1 as control to monitor the efficiency of the extraction process and amplification procedure from directly extracted or eluted samples. The adhesion of human pathogenic viruses, ranging from 0.1 to 2%, could be comparable for all matrices studied, except for NoV GII on soft fruits. Adhesion percentages obtained for the studied surrogate virus and phages were shown to be comparable to those of HAV and NoV on inert and lettuce surfaces. The MNV-1 appeared as the best candidate to simulate adhesion phenomena of all human pathogenic enteric viruses on all studied surfaces, while MS2 and GA bacteriophages could be a good alternative as model of viral adhesion on inert and lettuce surfaces. These results will be usable to design relevant experimental systems integrating adhesion behaviour of enteric viruses in the assessment of the efficiency of a technological or hygienic industrial process.