arXiv subjects

Toshiaki Watanabe

Publications and source records attributed to Toshiaki Watanabe.

3 recordsLinked to original sources

arXiv2026

Magneto-optical hologram lens with microsecond focal switching in magnetic garnet

Active lenses based on metasurfaces have been demonstrated across broad applications, and their response speeds remain limited to the microsecond range. Here we report the experimental demonstration of a magneto-optical (MO) active lens based on a magnetic hologram formed on a magnetic garnet film. A Fresnel zone plate pattern was created using an array of permanent magnets, focusing a 633 nm laser beam of 12.5 mm diameter to a spot size of 0.7 mm at a focal length of 3.1 m with a modulation depth of ~91%. The focusing state was reversibly switched by applying an external magnetic field pulse. Through optimization of the magnetic field application system, a switching speed of 10.8 $\mu$s was achieved, surpassing the operating speeds of conventional active lenses. The intrinsic picosecond-scale response of the MO effect indicates that further improvement in switching speed is achievable, establishing this work as a proof-of-concept for ultra-fast active lenses.

physics.optics↗

arXiv2024

Realized Stochastic Volatility Models with Skew-t Distributions for Volatility and Tail Risk Forecasting

Accurate forecasting of volatility is essential for financial risk management and for the evaluation of tail risk measures such as value-at-risk (VaR) and expected shortfall (ES). This study proposes the realized stochastic volatility (RSV) model, an extension of the traditional stochastic volatility (SV) model that incorporates realized volatility as an efficient proxy for latent volatility. To better capture the stylized features of financial return distributions, particularly skewness and heavy tails, we consider three variants of skew-t distributions, two of which also admit skew-normal components to flexibly model asymmetry. The models are estimated using a Bayesian Markov chain Monte Carlo approach and applied to daily returns and realized volatility measures for major U.S. and Japanese stock indices. Empirically, RSV models robustly improve volatility forecasts relative to SV models across both indices, all four realized volatility proxies, and both pairwise and joint evaluation procedures. The evidence on VaR and ES forecasts is more heterogeneous and the advantage of RSV and skew-t specifications over their SV counterparts is mixed. Across both volatility and tail risk forecasting, RSV and skew-t specifications are useful in several settings, but no single specification dominates uniformly across indices, risk levels, and sample periods.

econ.EM↗

arXiv2017

Analysis of Realized Volatility for Nikkei Stock Average on the Tokyo Stock Exchange

We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoon, of the Tokyo Stock Exchange and find that the microstructure noise decreases the realized volatility at small sampling frequency. Using realized volatility as a proxy of the integrated volatility we standardize returns in the morning and afternoon sessions and investigate the normality of the standardized returns by calculating variance, kurtosis and 6th moment. We find that variance, kurtosis and 6th moment are consistent with those of the standard normal distribution, which indicates that the return dynamics of the Nikkei Stock Average are well described by a Gaussian random process with time-varying volatility.

q-fin.ST↗