Clustering of K-band selected local galaxies (2009)
Ma, Bin, Meng, Kelai, Pan, Jun, Huang, Jiasheng, Feng, Longlong
We present detailed clustering analysis of a large K-band selected local galaxy sample, which is constructed from the 2MASS and the SDSS and consists of $82,486$ galaxies with $10 < K < 13.5$ and...
seminar participants at Barclays Global Investors, the Moody’s and Copenhagen (2009)
Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton
Abstract. The benefits from diversifying equity portfolios internationally are well established in the literature. We study whether diversifying sovereign credit portfolios across countries has...
Effects of correlation between merging steps on the global halo formation (2008)
Pan, Jun, Wang, Yougang, Chen, Xuelei, Teodoro, Luis
The excursion set theory of halo formation is modified by adopting the fractional Brownian motion, to account for possible correlation between merging steps. We worked out analytically the...
CMOS analog integrated circuit design techniques for low-powered ubiquitous device (2008)
制度:新 ; 文部省報告番号:甲2633号 ; 学位の種類:博士(工学) ; 授与年月日:2008/3/15 ; 早大学位記番号:新4793
Excess Volatility of Corporate Bonds (2008)
This paper examines the connection among corporate bonds, stocks, and Treasury bonds under the Merton model with stochastic interest rate, focusing in particular on the volatility of corporate bonds...
Liquidity of Corporate Bonds (2008)
This paper examines the liquidity of corporate bonds and its asset-pricing implications using a novel measure of illiquidity based on the magnitude of transitory price movements. Using...
Chemistry of Nanoscale Semiconductor Clusters (2007)
Jun Pan, Atul Bahel, Mushti V. Ramakrishna
The ground state structures of small silicon clusters are determined through exhaustive tight-binding molecular dynamics simulation studies. These simulations revealed that Si 11 is an icosahedron...
CEO Compensation, Diversication and Incentives (2007)
Li Jin Latest, Li Jin Y, Jon Lewellen, Sendhil Mullainathan, Jun Pan, Anna Pavlova, ...
This paper studies how #rms tie CEO compensation to #rms' stock market performance. I demonstrate that in theory and in practice there is a tradeo# between giving CEOs incentives and forcing...
PAN, Jun, INOUE, Yasuaki, LIANG, Zheng
An energy management circuit is proposed for self-powered ubiquitous sensor modules using vibration-based energy. With the proposed circuit, the sensor modules work with low duty cycle operation....
Scale Transformations, Tree-level Perturbation Theory, and the Cosmological Matter Bispectrum (2007)
Pan, Jun, Coles, Peter, Szapudi, Istvan
Scale transformations have played an extremely successful role in studies of cosmological large-scale structure by relating the non-linear spectrum of cosmological density fluctuations to the linear...
HUANG, Zhangcai, INOUE, Yasuaki, YU, Hong, PAN, Jun, YANG, Yun, ZHANG, Quan, ...
Accurate estimating or measuring the intake manifold absolute pressure plays an important role in automobile engine control. In order to achieve the real-time estimation of the absolute pressure, the...
A Low-Power Sub-1-V Low-Voltage Reference Using Body Effect (2007)
PAN, Jun, INOUE, Yasuaki, LIANG, Zheng, HUANG, Zhangcai, HUANG, Weilun
A low-power sub-1-V self-biased low-voltage reference is proposed for micropower electronic applications based on body effect. The proposed reference has a very low temperature dependence by using a...
The fractional Brownian motion and the halo mass function (2006)
The fractional Brownian motion with index $\alpha$ is introduced to construct the fractional excursion set model. A new mass function with single parameter $\alpha$ is derived within the formalism,...
The DWT Power Spectrum of the two-degree Field Galaxy Redshift Survey (2006)
Cai, Yan-Chuan, Pan, Jun, Zhao, Yong-Heng, Feng, Long-Long, Fang, Li-Zhi
The power spectrum of the two-degree Field Galaxy Redshift Survey (2dFGRS) sample is estimated with the discrete wavelet transform (DWT) method. The DWT power spectra within $0.04
Colour Dependence of the Distribution of IRAS Galaxies revealed by Multifractal Measures (2006)
Multifractal measures are applied to three IRAS galaxy subsamples selected by colour from the PSCz catalogue. As shown by generalised dimension spectrum, hot IRAS galaxies are found less clustered...
Note on Redshift Distortion in Fourier Space (2006)
We explore features of redshift distortion in Fourier analysis of N-body simulations. The phases of the Fourier modes of the dark matter density fluctuation are generally shifted by the peculiar...
GALICS – V: Low- and high-order clustering in mock sloan digital sky surveys (2006)
Blaizot, Jérémy, Szapudi, István, Colombi, Stéphane, Budavàri, Tamás, Bouchet, François R., Devriendt, Julien E. G., ...
The Information in Option Volume for Future Stock Prices (2006)
We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated...
The Information in Option Volume for Future Stock Prices (2006)
We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique dataset, we construct put-call ratios from option volume initiated...
We measure the monopole moment of the three-point correlation function on scales $1\mpc-70\mpc$ in the Two degree Field Galaxy Redshift Survey (2dFGRS). Volume limited samples are constructed using a...
Fast Edge Corrected Measurement of the Two-Point Correlation Function and the Power Spectrum (2005)
Szapudi, István, Pan, Jun, Prunet, Simon, Budavári, Tamás
We present two related techniques to measure the two-point correlation function and the power spectrum with edge correction in any spatial dimensions. The underlying algorithm uses fast Fourier...
Cosmological Three-Point Function: Testing The Halo Model Against Simulations (2005)
Fosalba, Pablo, Pan, Jun, Szapudi, Istvan
We perform detailed comparison of the semi-analytic halo model predictions with measurements in numerical simulations of the two and three point correlation functions (3PCF), as well as power...
Default and Recovery Implicit in the Term Structure (2005)
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign CDS spreads. We argue that term structures of spreads reveal not only the arrival rates of...
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks (2005)
This article studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices...
Modeling the Effective Capacitance of Interconnect Loads for Predicting CMOS Gate Slew (2005)
HUANG, Zhangcai, KUROKAWA, Atsushi, PAN, Jun, INOUE, Yasuaki
In deep submicron designs, predicting gate slews and delays for interconnect loads is vitally important for Static Timing Analysis (STA). The effective capacitance Ceff concept is usually used to...
Conditional Cumulants in Weakly Non-linear Regime (2004)
Conditional cumulants form a set of unique statistics which represent a sensible compromise between N-point correlation functions and cumulants measured from moments of counts in cells. They share...
Kayo, Issha, Suto, Yasushi, Nichol, Robert C., Pan, Jun, Szapudi, Istvan, Connolly, Andrew J., ...
We present measurements of the redshift--space three-point correlation function of galaxies in the Sloan Digital Sky Survey (SDSS). For the first time, we analyze the dependence of this statistic on...
The Information in Option Volume for Future Stock Prices (2004)
We find strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we construct...
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks* (2004)
This paper studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices...
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks* (2004)
This paper studies the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices...
Dynamic Derivative Strategies (2003)
This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We consider the investment situation where,...
Dynamic Derivative Strategies (2003)
This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We consider the investment situation where,...
On Recovering the Nonlinear Bias Function from Counts in Cells Measurements (2003)
We present a simple and accurate method to constrain galaxy bias based on the distribution of counts in cells. The most unique feature of our technique is that it is applicable to non-linear scales,...
Dynamic Derivative Strategies (2003)
This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We consider the investment situation where,...
An Equilibrium Model of Rare Event Premia (2002)
In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset...
An Equilibrium Model of Rare Event Premia (2002)
In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset...
The jump-risk premia implicit in options: Evidence from an integrated time-series study (2002)
Jun Pan, Joe Chen, Mark Ferguson, Peter Glynn, Harrison Hong, Ming Huang, ...
Abstract: This paper examines the joint time series of the S&P 500 index and near-the-money short-dated option prices with an arbitrage-free model, capturing both stochastic volatility and jumps....
Boundary Corrections in Fractal Analysis of Galaxy Surveys (2001)
The analysis of redshift surveys with fractal tools requires one to apply some form of statistical correction for galaxies lying near the geometric boundary of the sample. In this paper we compare...
Dynamic Asset Allocation with Event Risk (2001)
Liu, Jun, Longstaff, Francis, Pan, Jun
An inherent risk facing investors in financial markets is that a major event may trigger a large abrupt change in stock prices and market volatility. This paper studies the implications of jumps in...
Large-scale Cosmic Homogeneity from a Multifractal Analysis of the PSCz Catalogue (2000)
We investigate the behaviour of galaxy clustering on large scales using the PSCz catalogue. In particular, we ask whether there is any evidence of large-scale fractal behaviour in this catalogue. We...
Traveling waves for viscous conservation laws with dispersion / (2000)
Magdeburg, University, Diss., 2000.
Transform analysis and asset pricing for affine jump diffusions (2000)
Darrell Duffie, Jun Pan, Kenneth Singleton
In the setting of ‘‘affine’ ’ jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special...
Thesis (M. Sc.)--Massey University, Palmerston North, 2000.
Chemistry of Nanoscale Semiconductor Clusters (1995)
Pan, Jun, Bahel, Atul, Ramakrishna, Mushti V.
The ground state structures of small silicon clusters are determined through exhaustive tight-binding molecular dynamics simulation studies. These simulations revealed that \Si{11} is an icosahedron...
Growth Pattern of Silicon Clusters (1995)
Bahel, Atul, Pan, Jun, Ramakrishna, Mushti V.
Tight-binding molecular dynamics simulated annealing technique is employed to search for the ground state geometries of silicon clusters containing 11-17 atoms. These studies revealed that layer...
Structure of Silicon Clusters (1995)
Pan, Jun, Bahel, Atul, Ramakrishna, Mushti V.
We determined the structures of silicon clusters in the 11-14 atom size range using the tight-binding molecular dynamics method. These calculations reveal that \Si{11} is an icosahedron with one...
Chemical Reactions of Silicon Clusters (1994)
Ramakrishna, Mushti V., Pan, Jun
Smalley and co-workers discovered that chemisorption reactivities of silicon clusters vary over three orders of magnitude as a function of cluster size. In particular, they found that \Si{33},...
Magic Numbers of Silicon Clusters (1994)
Pan, Jun, Ramakrishna, Mushti V.
A structural model for intermediate sized silicon clusters is proposed that is able to generate unique structures without any dangling bonds. This structural model consists of bulk-like core of five...
Magic Numbers of Silicon Clusters (1994)
Pan, Jun, Ramakrishna, Mushti V.
A structural model for intermediate sized silicon clusters is proposed that is able to generate unique structures without any dangling bonds. This structural model consists of bulk-like core of five...
AC resistivity measurements of metals and high-Tc superconductors /--by Jun Pan. (1991)
Thesis (M.S.)--Western Illinois University, 1991.
The Information of Option Volume for Future Stock Prices
We present strong evidence that option trading volume contains information about future stock price movements. Taking advantage of a unique dataset from the Chicago Board Options Exchange, we...
Jump-diffusion models of asset prices : theory and empirical evidence / Jun Pan.
Submitted to the Graduate School of Business.
Dynamic Asset Allocation with Event Risk
Jun Liu, Francis A. Longstaff, Jun Pan
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of...
Interpreting Recent Changes in the Credit Spreads of Japanese Banks
This paper examines the recent period of relatively low credit spreads in Japan, with particular emphasis on the marketfs assessments of the credit risks of large Japanese banks implicit in the...
Dynamic Asset Allocation with Event Risk
Jun Liu, Francis Longstaff, Jun Pan
An inherent risk facing investors in financial markets is that a major event may trigger a large abrupt change in stock prices and market volatility. This paper studies the implications of jumps in...
The Information in Option Volume for Future Stock Prices
We present strong evidence that option trading volume contains information about future stock prices. Taking advantage of a unique data set, we construct put-call ratios from option volume initiated...
Analytical value-at-risk with jumps and credit risk
This paper provides an analytical approximation for computing value at risk and other risk measures for portfolios that may include options and other derivatives with defaultable counterparties or...
An Equilibrium Model of Rare Event Premia
In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset...
This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We consider the investment situation where,...
Default and Recovery Implicit in the Term Structure of Sovereign "CDS" Spreads
This paper explores the nature of default arrival and recovery implicit in the term structures of sovereign "CDS" spreads. We argue that term structures of spreads reveal not only the arrival rates...
Volatility Information Trading in the Option Market
SOPHIE X. NI, JUN PAN, ALLEN M. POTESHMAN
This paper investigates informed trading on stock volatility in the option market. We construct non-market maker net demand for volatility from the trading volume of individual equity options and...
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
Darrell Duffie, Jun Pan, Kenneth Singleton
In the setting of affine' jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that...
Dynamic Asset Allocation With Event Risk
Jun Liu, Francis A. Longstaff, Jun Pan
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of...
How Sovereign is Sovereign Credit Risk?
Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton
We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with...