We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of the log–return standard deviation. We choose an hourly time window in order to investigate intraday propertie...

We consider the setting of sequential prediction of arbitrary sequences based on specialized experts. We first provide a review of the relevant literature and present two theoretical contributions: a general analysis of the specialist aggregation rule of Freund et al. [1997] and an adaptation of fixed-share rules of Herbster and Warmuth [1998] in this setting. We then apply these rules to the s...

We propose in this paper an original technique to predict global radiation using a hybrid ARMA/ANN model and data issued from a numerical weather prediction model (ALADIN). We particularly look at the Multi-Layer Perceptron. After optimizing our architecture with ALADIN and endogenous data previously made stationary and using an innovative pre-input layer selection method, we combined it to an ...

This paper conducts an empirical analysis of risk premiums in the German day-ahead Electricity Wholesale Market. We compare hourly price data of the European Energy Exchange (EEX) auction and of the continuous over-the-counter (OTC) market taking place prior to EEX. As OTC price data are not publicly available, data provided by the Energy Exchange Austria (EXAA) have been used as a snapshot of ...

Daily temperature measures are commonly used when examining the association between temperature and mortality. In fact, temperature measures are available 24 hours a day and more detailed records may provide a better prediction of mortality compared to daily statistics. In this article, monthly stratified analysis modeling for mortality is conducted for the total population as well as the strat...

(1) The cocainized eye tolerates subconjunctival injections of crystalline penicillin in doses of 100,000 untts at 12 hourly intervals and doses ranging from 200,000 to 500,000 units at 24 hourly intervals. (2) With doses of 500,000 units in 0 5 ml. of adrenalin solution 1 :1,000, at 24 hourly intervals, preliminary results in hypopyon ulcer are distinctly promising, both as to a satisfactory e...

Available data concerning rumination have been used to develop a quantitative description of its control. Rumination patterns were examined using cosinor analysis in which leastsquares estimates of parameters were made by a derivative-free nonlinear regression technique. The model equation was, F = C O + C cos (cot + ~), where fraction of time spent ruminating (F) was determined by: C O , the l...

BACKGROUND The aim of the study was to describe the population pharmacokinetics (PK) of meropenem in critically ill patients receiving sustained low-efficiency dialysis (SLED). METHODS Prospective population PK study on 19 septic patients treated with meropenem and receiving SLED for acute kidney injury. Serial blood samples for determination of meropenem concentrations were taken before, dur...