University of Chicago

About: University of Chicago is a education organization based out in Chicago, Illinois, United States. It is known for research contribution in the topics: Population & Cancer. The organization has 66716 authors who have published 160098 publications receiving 9644339 citations. The organization is also known as: Chicago University & U of C.

The Impact of Jumps in Volatility and Returns

Abstract: This paper examines a class of continuous-time models that incorporate jumps in returns and volatility, in addition to diffusive stochastic volatility. We develop a likelihood-based estimation strategy and provide estimates of model parameters, spot volatility, jump times and jump sizes using both S&P 500 and Nasdaq 100 index returns. Estimates of jumps times, jump sizes and volatility are particularly useful for disentangling the dynamic effects of these factors during periods of market stress, such as those in 1987, 1997 and 1998. Using both formal and informal diagnostics, we find strong evidence for jumps in volatility, even after accounting for jumps in returns. We use implied volatility curves computed from option prices to judge the economic differences between the models. Finally, we evaluate the impact of estimation risk on option prices and find that the uncertainty in estimating the parameters and the spot volatility has important, though very different, effects on option prices.

Research on Innovation: A Review and Agenda for Marketing Science

Abstract: Innovation is one of the most important issues in business research today. It has been studied in many independent research traditions. Our understanding and study of innovation can benefit from an integrative review of these research traditions. In so doing, we identify 16 topics relevant to marketing science, which we classify under five research fields: - Consumer response to innovation, including attempts to measure consumer innovative-ness, models of new product growth, and recent ideas on network externalities - Organizations and innovation, which are increasingly important as product development becomes more complex and tools more effective but demanding - Market entry strategies, which includes recent research on technology revolution, exten-sive marketing science research on strategies for entry, and issues of portfolio manage-ment - Prescriptive techniques for product development processes, which have been transformed through global pressures, increasingly accurate customer input, web-based communica-tion for dispersed and global product design, and new tools for dealing with complexity over time and across product lines - Defending against market entry and capturing the rewards of innovating, which includes extensive marketing science research on strategies of defense, managing through metrics and rewards to entrants For each topic, we summarize key concepts and highlight research challenges. For pre-scriptive research topics, we also review current thinking and applications. For descriptive top-ics, we review key findings.

Kinetically driven self assembly of highly ordered nanoparticle monolayers

Abstract: When a drop of a colloidal solution of nanoparticles dries on a surface, it leaves behind coffee-stain-like rings of material with lace-like patterns or clumps of particles in the interior. These non-uniform mass distributions are manifestations of far-from-equilibrium effects, such as fluid flows and solvent fluctuations during late-stage drying. However, recently a strikingly different drying regime promising highly uniform, long-range-ordered nanocrystal monolayers has been found. Here we make direct, real-time and real-space observations of nanocrystal self-assembly to reveal the mechanism. We show how the morphology of drop-deposited nanoparticle films is controlled by evaporation kinetics and particle interactions with the liquid-air interface. In the presence of an attractive particle-interface interaction, rapid early-stage evaporation dynamically produces a two-dimensional solution of nanoparticles at the liquid-air interface, from which nanoparticle islands nucleate and grow. This self-assembly mechanism produces monolayers with exceptional long-range ordering that are compact over macroscopic areas, despite the far-from-equilibrium evaporation process. This new drop-drying regime is simple, robust and scalable, is insensitive to the substrate material and topography, and has a strong preference for forming monolayer films. As such, it stands out as an excellent candidate for the fabrication of technologically important ultra thin film materials for sensors, optical devices and magnetic storage media.