Search Results (3)

Skateboarding as a method of transportation has become prevalent, which has increased the occurrence and likelihood of pedestrian–skateboarder collisions and near-collision scenarios in shared-use roadway areas. Collisions between pedestrians and skateboarders can result in significant injury. New approaches are needed to evaluate shared-use areas prone to hazardous pedestrian–skateboarder interactions, and perform real-time, in situ (e.g., on-device) predictions of pedestrian–skateboarder collisions as road conditions vary due to changes in land usage and construction. A mechanism called the Surrogate Safety Measures for skateboarder–pedestrian interaction can be computed to evaluate high-risk conditions on roads and sidewalks using deep learning object detection models. In this paper, we present the first ever skateboarder–pedestrian safety study leveraging deep learning architectures. We view and analyze state of the art deep learning architectures, namely the Faster R-CNN and two variants of the Single Shot Multi-box Detector (SSD) model to select the correct model that best suits two different tasks: automated calculation of Post Encroachment Time (PET) and finding hazardous conflict zones in real-time. We also contribute a new annotated data set that contains skateboarder–pedestrian interactions that has been collected for this study. Both our selected models can detect and classify pedestrians and skateboarders correctly and efficiently. However, due to differences in their architectures and based on the advantages and disadvantages of each model, both models were individually used to perform two different set of tasks. Due to improved accuracy, the Faster R-CNN model was used to automate the calculation of post encroachment time, whereas to determine hazardous regions in real-time, due to its extremely fast inference rate, the Single Shot Multibox MobileNet V1 model was used. An outcome of this work is a model that can be deployed on low-cost, small-footprint mobile and IoT devices at traffic intersections with existing cameras to perform on-device inferencing for in situ Surrogate Safety Measurement (SSM), such as Time-To-Collision (TTC) and Post Encroachment Time (PET). SSM values that exceed a hazard threshold can be published to an Message Queuing Telemetry Transport (MQTT) broker, where messages are received by an intersection traffic signal controller for real-time signal adjustment, thus contributing to state-of-the-art vehicle and pedestrian safety at hazard-prone intersections. Full article

In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-reverting behavior of this series and juxtapose the empirically-derived laws of motion with the author’s prior theories of margin loan pricing (Garivaltis 2019a, 2019b). This allows us to derive stochastic differential equations that govern the evolution of the margin loan interest rate and the leverage ratios of sophisticated brokerage clients (namely, continuous-time Kelly gamblers). Finally, we apply Merton’s (1974) arbitrage theory of corporate liability pricing to study theoretical constraints on the risk premia that could be generated in the market for call money. Apparently, if there is no arbitrage in the U.S. financial markets, the implication is that the total volume of call loans must constitute north of $70\%$ of the value of all leveraged portfolios. Full article

I derive practical formulas for optimal arrangements between sophisticated stock market investors (continuous-time Kelly gamblers or, more generally, CRRA investors) and the brokers who lend them cash for leveraged bets on a high Sharpe asset (i.e., the market portfolio). Rather than, say, the broker posting a monopoly price for margin loans, the gambler agrees to use a greater quantity of margin debt than he otherwise would in exchange for an interest rate that is lower than the broker would otherwise post. The gambler thereby attains a higher asymptotic capital growth rate and the broker enjoys a greater rate of intermediation profit than would be obtained under non-cooperation. If the threat point represents a complete breakdown of negotiations (resulting in zero margin loans), then we get an elegant rule of thumb: $r_L^{*}=\left(3/4\right)r+\left(1/4\right)\left(\nu -{\sigma }^2/2\right)$ , where r is the broker’s cost of funds, $\nu$ is the compound-annual growth rate of the market index, and $\sigma$ is the annual volatility. We show that, regardless of the particular threat point, the gambler will negotiate to size his bets as if he himself could borrow at the broker’s call rate. Full article