Range-based volatility, expected stock returns, and the low volatility anomaly

PubMed Central

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652

Range-based volatility, expected stock returns, and the low volatility anomaly.

PubMed

Blau, Benjamin M; Whitby, Ryan J

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Long-Term Memory: A Natural Mechanism for the Clustering of Extreme Events and Anomalous Residual Times in Climate Records

NASA Astrophysics Data System (ADS)

Bunde, Armin; Eichner, Jan F.; Kantelhardt, Jan W.; Havlin, Shlomo

2005-01-01

We study the statistics of the return intervals between extreme events above a certain threshold in long-term persistent records. We find that the long-term memory leads (i)to a stretched exponential distribution of the return intervals, (ii)to a pronounced clustering of extreme events, and (iii)to an anomalous behavior of the mean residual time to the next event that depends on the history and increases with the elapsed time in a counterintuitive way. We present an analytical scaling approach and demonstrate that all these features can be seen in long climate records. The phenomena should also occur in heartbeat records, Internet traffic, and stock market volatility and have to be taken into account for an efficient risk evaluation.

Analysis of Spin Financial Market by GARCH Model

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2013-08-01

A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits "volatility clustering" also observed in the real financial markets. Using volatility determined by the GARCH model we examine the mixture-of-distribution hypothesis (MDH) suggested for the asset return dynamics. We find that the returns standardized by volatility are approximately standard normal random variables. Moreover we find that the absolute standardized returns show no significant autocorrelation. These findings are consistent with the view of the MDH for the return dynamics.

Modeling the stock price returns volatility using GARCH(1,1) in some Indonesia stock prices

NASA Astrophysics Data System (ADS)

Awalludin, S. A.; Ulfah, S.; Soro, S.

2018-01-01

In the financial field, volatility is one of the key variables to make an appropriate decision. Moreover, modeling volatility is needed in derivative pricing, risk management, and portfolio management. For this reason, this study presented a widely used volatility model so-called GARCH(1,1) for estimating the volatility of daily returns of stock prices of Indonesia from July 2007 to September 2015. The returns can be obtained from stock price by differencing log of the price from one day to the next. Parameters of the model were estimated by Maximum Likelihood Estimation. After obtaining the volatility, natural cubic spline was employed to study the behaviour of the volatility over the period. The result shows that GARCH(1,1) indicate evidence of volatility clustering in the returns of some Indonesia stock prices.

The non-random walk of stock prices: the long-term correlation between signs and sizes

NASA Astrophysics Data System (ADS)

La Spada, G.; Farmer, J. D.; Lillo, F.

2008-08-01

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.

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

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya; Watanabe, Toshiaki

2016-04-01

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.

Communicating asset risk: how name recognition and the format of historic volatility information affect risk perception and investment decisions.

PubMed

Weber, Elke U; Siebenmorgen, Niklas; Weber, Martin

2005-06-01

An experiment examined how the type and presentation format of information about investment options affected investors' expectations about asset risk, returns, and volatility and how these expectations related to asset choice. Respondents were provided with the names of 16 domestic and foreign investment options, with 10-year historical return information for these options, or with both. Historical returns were presented either as a bar graph of returns per year or as a continuous density distribution. Provision of asset names allowed for the investigation of the mechanisms underlying the home bias in investment choice and other asset familiarity effects. Respondents provided their expectations of future returns, volatility, and expected risk, and indicated the options they would choose to invest in. Expected returns closely resembled historical expected values. Risk and volatility perceptions both varied significantly as a function of the type and format of information, but in different ways. Expected returns and perceived risk, not predicted volatility, predicted portfolio decisions.

Leverage effect and its causality in the Korea composite stock price index

NASA Astrophysics Data System (ADS)

Lee, Chang-Yong

2012-02-01

In this paper, we investigate the leverage effect and its causality in the time series of the Korea Composite Stock Price Index from November of 1997 to September of 2010. The leverage effect, which can be quantitatively expressed as a negative correlation between past return and future volatility, is measured by using the cross-correlation coefficient of different time lags between the two time series of the return and the volatility. We find that past return and future volatility are negatively correlated and that the cross correlation is moderate and decays over 60 trading days. We also carry out a partial correlation analysis in order to confirm that the negative correlation between past return and future volatility is neither an artifact nor influenced by the traded volume. To determine the causality of the leverage effect within the decay time, we additionally estimate the cross correlation between past volatility and future return. With the estimate, we perform a statistical hypothesis test to demonstrate that the causal relation is in favor of the return influencing the volatility rather than the other way around.

Dynamics of bid-ask spread return and volatility of the Chinese stock market

NASA Astrophysics Data System (ADS)

Qiu, Tian; Chen, Guang; Zhong, Li-Xin; Wu, Xiao-Run

2012-04-01

The bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory effect and the multifractal nature. By investigating the autocorrelation function and the Detrended Fluctuation Analysis (DFA), we find that the spread return is the lack of long-range memory, while the spread volatility is long-range time correlated. Besides, the spread volatilities of different stocks present long-range cross-correlations. Moreover, by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA), the spread return is observed to possess a strong multifractality, which is similar to the dynamics of a variety of financial quantities. Different from the spread return, the spread volatility exhibits a weak multifractal nature.

Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2018-06-01

The realized stochastic volatility model has been introduced to estimate more accurate volatility by using both daily returns and realized volatility. The main advantage of the model is that no special bias-correction factor for the realized volatility is required a priori. Instead, the model introduces a bias-correction parameter responsible for the bias hidden in realized volatility. We empirically investigate the bias-correction parameter for realized volatilities calculated at various sampling frequencies for six stocks on the Tokyo Stock Exchange, and then show that the dynamic behavior of the bias-correction parameter as a function of sampling frequency is qualitatively similar to that of the Hansen-Lunde bias-correction factor although their values are substantially different. Under the stochastic diffusion assumption of the return dynamics, we investigate the accuracy of estimated volatilities by examining the standardized returns. We find that while the moments of the standardized returns from low-frequency realized volatilities are consistent with the expectation from the Gaussian variables, the deviation from the expectation becomes considerably large at high frequencies. This indicates that the realized stochastic volatility model itself cannot completely remove bias at high frequencies.

Pricing foreign equity option under stochastic volatility tempered stable Lévy processes

NASA Astrophysics Data System (ADS)

Gong, Xiaoli; Zhuang, Xintian

2017-10-01

Considering that financial assets returns exhibit leptokurtosis, asymmetry properties as well as clustering and heteroskedasticity effect, this paper substitutes the logarithm normal jumps in Heston stochastic volatility model by the classical tempered stable (CTS) distribution and normal tempered stable (NTS) distribution to construct stochastic volatility tempered stable Lévy processes (TSSV) model. The TSSV model framework permits infinite activity jump behaviors of return dynamics and time varying volatility consistently observed in financial markets through subordinating tempered stable process to stochastic volatility process, capturing leptokurtosis, fat tailedness and asymmetry features of returns. By employing the analytical characteristic function and fast Fourier transform (FFT) technique, the formula for probability density function (PDF) of TSSV returns is derived, making the analytical formula for foreign equity option (FEO) pricing available. High frequency financial returns data are employed to verify the effectiveness of proposed models in reflecting the stylized facts of financial markets. Numerical analysis is performed to investigate the relationship between the corresponding parameters and the implied volatility of foreign equity option.

Realized Volatility Analysis in A Spin Model of Financial Markets

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

We calculate the realized volatility of returns in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard normal variables. This is the first evidence that the return distributions of the spin financial markets are consistent with a finite-variance of mixture of normal distributions that is also observed empirically in real financial markets.

Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies

NASA Astrophysics Data System (ADS)

Rak, Rafał; Drożdż, Stanisław; Kwapień, Jarosław; Oświȩcimka, Paweł

2015-11-01

We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law cross-correlations among these quantities aggregated over different time units from 1 min to 10 min. Our study is based on empirical data from the American stock market consisting of tick-by-tick recordings of 31 stocks listed in Dow Jones Industrial Average during the years 2008-2011. Since all the considered quantities except the returns show strong daily patterns related to the variable trading activity in different parts of a day, which are the most evident in the autocorrelation function, we remove these patterns by detrending before we proceed further with our study. We apply the multifractal detrended cross-correlation analysis with sign preserving (MFCCA) and show that the strongest power-law cross-correlations exist between trading activity and volume traded, while the weakest ones exist (or even do not exist) between the returns and the remaining quantities. We also show that the strongest cross-correlations are carried by those parts of the signals that are characterized by large and medium variance. Our observation that the most convincing power-law cross-correlations occur between trading activity and volume traded reveals the existence of strong fractal-like coupling between these quantities.

Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects

NASA Astrophysics Data System (ADS)

Pan, Zhiyuan; Liu, Li

2018-02-01

In this paper, we extend the GARCH-MIDAS model proposed by Engle et al. (2013) to account for the leverage effect in short-term and long-term volatility components. Our in-sample evidence suggests that both short-term and long-term negative returns can cause higher future volatility than positive returns. Out-of-sample results show that the predictive ability of GARCH-MIDAS is significantly improved after taking the leverage effect into account. The leverage effect for short-term volatility component plays more important role than the leverage effect for long-term volatility component in affecting out-of-sample forecasting performance.

Effects of daylight savings time changes on stock market volatility.

PubMed

Berument, M Hakan; Dogan, Nukhet; Onar, Bahar

2010-04-01

The presence of daylight savings time effects on stock returns and on stock volatility was investigated using an EGARCH specification to model the conditional variance. The evidence gathered from the major United States stock markets for the period between 1967 and 2007 did not support the existence of the daylight savings time effect on stock returns or on volatility. Returns on the first business day following daylight savings time changes were not lower nor was the volatility higher, as would be expected if there were an effect.

A simple microstructure return model explaining microstructure noise and Epps effects

NASA Astrophysics Data System (ADS)

Saichev, A.; Sornette, D.

2014-01-01

We present a novel simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii) the fat tail structure of the distribution of returns and (iv) the non-Poissonian statistics of inter-trade intervals. This model allows us to explain both qualitatively and quantitatively important stylized facts observed in the statistics of both microstructure and macrostructure returns, including the short-ranged correlation of returns, the long-ranged correlations of absolute returns, the microstructure noise and Epps effects. According to the microstructure noise effect, volatility is a decreasing function of the time-scale used to estimate it. The Epps effect states that cross correlations between asset returns are increasing functions of the time-scale at which the returns are estimated. The microstructure noise is explained as the result of the negative return correlations inherent in the definition of the bid-ask bounce component (ii). In the presence of a genuine correlation between the returns of two assets, the Epps effect is due to an average statistical overlap of the momentum of the returns of the two assets defined over a finite time-scale in the presence of the long memory process (i).

How Volatilities Nonlocal in Time Affect the Price Dynamics in Complex Financial Systems

PubMed Central

Tan, Lei; Zheng, Bo; Chen, Jun-Jie; Jiang, Xiong-Fei

2015-01-01

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made, it remains challenging. Physicists usually apply the concepts and methods in statistical physics, such as temporal correlation functions, to study financial dynamics. However, the usual volatility-return correlation function, which is local in time, typically fluctuates around zero. Here we construct dynamic observables nonlocal in time to explore the volatility-return correlation, based on the empirical data of hundreds of individual stocks and 25 stock market indices in different countries. Strikingly, the correlation is discovered to be non-zero, with an amplitude of a few percent and a duration of over two weeks. This result provides compelling evidence that past volatilities nonlocal in time affect future returns. Further, we introduce an agent-based model with a novel mechanism, that is, the asymmetric trading preference in volatile and stable markets, to understand the microscopic origin of the volatility-return correlation nonlocal in time. PMID:25723154

Escape problem under stochastic volatility: The Heston model

NASA Astrophysics Data System (ADS)

Masoliver, Jaume; Perelló, Josep

2008-11-01

We solve the escape problem for the Heston random diffusion model from a finite interval of span L . We obtain exact expressions for the survival probability (which amounts to solving the complete escape problem) as well as for the mean exit time. We also average the volatility in order to work out the problem for the return alone regardless of volatility. We consider these results in terms of the dimensionless normal level of volatility—a ratio of the three parameters that appear in the Heston model—and analyze their form in several asymptotic limits. Thus, for instance, we show that the mean exit time grows quadratically with large spans while for small spans the growth is systematically slower, depending on the value of the normal level. We compare our results with those of the Wiener process and show that the assumption of stochastic volatility, in an apparently paradoxical way, increases survival and prolongs the escape time. We finally observe that the model is able to describe the main exit-time statistics of the Dow-Jones daily index.

Realized volatility and absolute return volatility: a comparison indicating market risk.

PubMed

Zheng, Zeyu; Qiao, Zhi; Takaishi, Tetsuya; Stanley, H Eugene; Li, Baowen

2014-01-01

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.

Realized Volatility and Absolute Return Volatility: A Comparison Indicating Market Risk

PubMed Central

Takaishi, Tetsuya; Stanley, H. Eugene; Li, Baowen

2014-01-01

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods. PMID:25054439

The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China

NASA Astrophysics Data System (ADS)

Su, Zhi; Shu, Tengjia; Yin, Libo

2018-05-01

Inspired by Herskovic et al. (2016), we investigate the pricing effect of the firm-level common idiosyncratic volatility (CIV) in China's A-Share market. Return tests indicate that lower CIV risk loadings bring higher returns significantly, while the pricing function of market volatility (MV) is inconsistent. Strategy that goes long the highest CIV-beta quintile and short the lowest CIV-beta quintile brings an annualized average return of 5%-7%. Our findings supplement Herskovic et al. (2016) by confirming a significantly negative relationship between CIV and stock returns in a developing market.

Large-Scale Simulation of Multi-Asset Ising Financial Markets

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2017-03-01

We perform a large-scale simulation of an Ising-based financial market model that includes 300 asset time series. The financial system simulated by the model shows a fat-tailed return distribution and volatility clustering and exhibits unstable periods indicated by the volatility index measured as the average of absolute-returns. Moreover, we determine that the cumulative risk fraction, which measures the system risk, changes at high volatility periods. We also calculate the inverse participation ratio (IPR) and its higher-power version, IPR6, from the absolute-return cross-correlation matrix. Finally, we show that the IPR and IPR6 also change at high volatility periods.

The record of Martian climatic history in cores and its preservation

NASA Technical Reports Server (NTRS)

Zent, A. P.

1988-01-01

Among the questions to be addressed by a Mars Sample Return Mission are the history of the Martian climate and the mechanisms that control the volatile cycles. Unfortunately, the evidence that bears most strongly on those issues lies in the volatile distribution in, and physical configuration of, a very delicate and volatile system: the uppermost Martian regolith. Some useful measurements to be made on returned samples of the regolith are identified, along with the many critical considerations in ensuring the usefulness of returned samples.

Modeling returns volatility: Realized GARCH incorporating realized risk measure

NASA Astrophysics Data System (ADS)

Jiang, Wei; Ruan, Qingsong; Li, Jianfeng; Li, Ye

2018-06-01

This study applies realized GARCH models by introducing several risk measures of intraday returns into the measurement equation, to model the daily volatility of E-mini S&P 500 index futures returns. Besides using the conventional realized measures, realized volatility and realized kernel as our benchmarks, we also use generalized realized risk measures, realized absolute deviation, and two realized tail risk measures, realized value-at-risk and realized expected shortfall. The empirical results show that realized GARCH models using the generalized realized risk measures provide better volatility estimation for the in-sample and substantial improvement in volatility forecasting for the out-of-sample. In particular, the realized expected shortfall performs best for all of the alternative realized measures. Our empirical results reveal that future volatility may be more attributable to present losses (risk measures). The results are robust to different sample estimation windows.

Free float and stochastic volatility: the experience of a small open economy

NASA Astrophysics Data System (ADS)

Selçuk, Faruk

2004-11-01

Following a dramatic collapse of a fixed exchange rate based inflation stabilization program, Turkey moved into a free floating exchange rate system in February 2001. In this paper, an asymmetric stochastic volatility model of the foreign exchange rate in Turkey is estimated for the floating period. It is shown that there is a positive relation between the exchange return and its volatility. Particularly, an increase in the return at time t results in an increase in volatility at time t+1. However, the effect is asymmetric: a decrease in the exchange rate return at time t causes a relatively less decrease in volatility at time t+1. The results imply that a central bank with a volatility smoothing policy would be biased in viewing the shocks to the exchange rate in favor of appreciation. The bias would increase if the bank is also following an inflation targeting policy.

The dynamic conditional relationship between stock market returns and implied volatility

NASA Astrophysics Data System (ADS)

Park, Sung Y.; Ryu, Doojin; Song, Jeongseok

2017-09-01

Using the dynamic conditional correlation multivariate generalized autoregressive conditional heteroskedasticity (DCC-MGARCH) model, we empirically examine the dynamic relationship between stock market returns (KOSPI200 returns) and implied volatility (VKOSPI), as well as their statistical mechanics, in the Korean market, a representative and leading emerging market. We consider four macroeconomic variables (exchange rates, risk-free rates, term spreads, and credit spreads) as potential determinants of the dynamic conditional correlation between returns and volatility. Of these macroeconomic variables, the change in exchange rates has a significant impact on the dynamic correlation between KOSPI200 returns and the VKOSPI, especially during the recent financial crisis. We also find that the risk-free rate has a marginal effect on this dynamic conditional relationship.

Idiosyncratic risk in the Dow Jones Eurostoxx50 Index

NASA Astrophysics Data System (ADS)

Daly, Kevin; Vo, Vinh

2008-07-01

Recent evidence by Campbell et al. [J.Y. Campbell, M. Lettau B.G. Malkiel, Y. Xu, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, The Journal of Finance (February) (2001)] shows an increase in firm-level volatility and a decline of the correlation among stock returns in the US. In relation to the Euro-Area stock markets, we find that both aggregate firm-level volatility and average stock market correlation have trended upwards. We estimate a linear model of the market risk-return relationship nested in an EGARCH(1, 1)-M model for conditional second moments. We then show that traditional estimates of the conditional risk-return relationship, that use ex-post excess-returns as the conditioning information set, lead to joint tests of the theoretical model (usually the ICAPM) and of the Efficient Market Hypothesis in its strong form. To overcome this problem we propose alternative measures of expected market risk based on implied volatility extracted from traded option prices and we discuss the conditions under which implied volatility depends solely on expected risk. We then regress market excess-returns on lagged market implied variance computed from implied market volatility to estimate the relationship between expected market excess-returns and expected market risk.We investigate whether, as predicted by the ICAPM, the expected market risk is the main factor in explaining the market risk premium and the latter is independent of aggregate idiosyncratic risk.

Analysis of Realized Volatility in Two Trading Sessionsof the Japanese Stock Market

NASA Astrophysics Data System (ADS)

Takaishi, T.; Chen, T. T.; Zheng, Z.

We analyze realized volatilities constructedusing high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.

Long-term memory and volatility clustering in high-frequency price changes

NASA Astrophysics Data System (ADS)

oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun

2008-02-01

We studied the long-term memory in diverse stock market indices and foreign exchange rates using Detrended Fluctuation Analysis (DFA). For all high-frequency market data studied, no significant long-term memory property was detected in the return series, while a strong long-term memory property was found in the volatility time series. The possible causes of the long-term memory property were investigated using the return data filtered by the AR(1) model, reflecting the short-term memory property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long-term memory property of the volatility time series. The memory effect in the AR(1) filtered return and volatility time series remained unchanged, while the long-term memory property diminished significantly in the volatility series of the GARCH(1,1) filtered data. Notably, there is no long-term memory property, when we eliminate the long-term memory property of volatility by the FIGARCH model. For all data used, although the Hurst exponents of the volatility time series changed considerably over time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the financial time series.

Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

Multifractals in Western Major STOCK Markets Historical Volatilities in Times of Financial Crisis

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

In this paper, the generalized Hurst exponent is used to investigate multifractal properties of historical volatility (CHV) in stock market price and return series before, during and after 2008 financial crisis. Empirical results from NASDAQ, S&P500, TSE, CAC40, DAX, and FTSE stock market data show that there is strong evidence of multifractal patterns in HV of both price and return series. In addition, financial crisis deeply affected the behavior and degree of multifractality in volatility of Western financial markets at price and return levels.

Modelling volatility recurrence intervals in the Chinese commodity futures market

NASA Astrophysics Data System (ADS)

Zhou, Weijie; Wang, Zhengxin; Guo, Haiming

2016-09-01

The law of extreme event occurrence attracts much research. The volatility recurrence intervals of Chinese commodity futures market prices are studied: the results show that the probability distributions of the scaled volatility recurrence intervals have a uniform scaling curve for different thresholds q. So we can deduce the probability distribution of extreme events from normal events. The tail of a scaling curve can be well fitted by a Weibull form, which is significance-tested by KS measures. Both short-term and long-term memories are present in the recurrence intervals with different thresholds q, which denotes that the recurrence intervals can be predicted. In addition, similar to volatility, volatility recurrence intervals also have clustering features. Through Monte Carlo simulation, we artificially synthesise ARMA, GARCH-class sequences similar to the original data, and find out the reason behind the clustering. The larger the parameter d of the FIGARCH model, the stronger the clustering effect is. Finally, we use the Fractionally Integrated Autoregressive Conditional Duration model (FIACD) to analyse the recurrence interval characteristics. The results indicated that the FIACD model may provide a method to analyse volatility recurrence intervals.

Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system

NASA Astrophysics Data System (ADS)

Tsionas, Mike G.; Michaelides, Panayotis G.

2017-09-01

We use a novel Bayesian inference procedure for the Lyapunov exponent in the dynamical system of returns and their unobserved volatility. In the dynamical system, computation of largest Lyapunov exponent by traditional methods is impossible as the stochastic nature has to be taken explicitly into account due to unobserved volatility. We apply the new techniques to daily stock return data for a group of six countries, namely USA, UK, Switzerland, Netherlands, Germany and France, from 2003 to 2014, by means of Sequential Monte Carlo for Bayesian inference. The evidence points to the direction that there is indeed noisy chaos both before and after the recent financial crisis. However, when a much simpler model is examined where the interaction between returns and volatility is not taken into consideration jointly, the hypothesis of chaotic dynamics does not receive much support by the data ("neglected chaos").

Performance of Bootstrap MCEWMA: Study case of Sukuk Musyarakah data

NASA Astrophysics Data System (ADS)

Safiih, L. Muhamad; Hila, Z. Nurul

2014-07-01

Sukuk Musyarakah is one of several instruments of Islamic bond investment in Malaysia, where the form of this sukuk is actually based on restructuring the conventional bond to become a Syariah compliant bond. The Syariah compliant is based on prohibition of any influence of usury, benefit or fixed return. Despite of prohibition, daily returns of sukuk are non-fixed return and in statistic, the data of sukuk returns are said to be a time series data which is dependent and autocorrelation distributed. This kind of data is a crucial problem whether in statistical and financing field. Returns of sukuk can be statistically viewed by its volatility, whether it has high volatility that describing the dramatically change of price and categorized it as risky bond or else. However, this crucial problem doesn't get serious attention among researcher compared to conventional bond. In this study, MCEWMA chart in Statistical Process Control (SPC) is mainly used to monitor autocorrelated data and its application on daily returns of securities investment data has gained widespread attention among statistician. However, this chart has always been influence by inaccurate estimation, whether on base model or its limit, due to produce large error and high of probability of signalling out-of-control process for false alarm study. To overcome this problem, a bootstrap approach used in this study, by hybridise it on MCEWMA base model to construct a new chart, i.e. Bootstrap MCEWMA (BMCEWMA) chart. The hybrid model, BMCEWMA, will be applied to daily returns of sukuk Musyarakah for Rantau Abang Capital Bhd. The performance of BMCEWMA base model showed that its more effective compare to real model, MCEWMA based on smaller error estimation, shorter the confidence interval and smaller false alarm. In other word, hybrid chart reduce the variability which shown by smaller error and false alarm. It concludes that the application of BMCEWMA is better than MCEWMA.

The predictive content of CBOE crude oil volatility index

NASA Astrophysics Data System (ADS)

Chen, Hongtao; Liu, Li; Li, Xiaolei

2018-02-01

Volatility forecasting is an important issue in the area of econophysics. The information content of implied volatility for financial return volatility has been well documented in the literature but very few studies focus on oil volatility. In this paper, we show that the CBOE crude oil volatility index (OVX) has predictive ability for spot volatility of WTI and Brent oil returns, from both in-sample and out-of-sample perspectives. Including OVX-based implied volatility in GARCH-type volatility models can improve forecasting accuracy most of time. The predictability from OVX to spot volatility is also found for longer forecasting horizons of 5 days and 20 days. The simple GARCH(1,1) and fractionally integrated GARCH with OVX performs significantly better than the other OVX models and all 6 univariate GARCH-type models without OVX. Robustness test results suggest that OVX provides different information from as short-term interest rate.

Relation between volatility correlations in financial markets and Omori processes occurring on all scales

NASA Astrophysics Data System (ADS)

Weber, Philipp; Wang, Fengzhong; Vodenska-Chitkushev, Irena; Havlin, Shlomo; Stanley, H. Eugene

2007-07-01

We analyze the memory in volatility by studying volatility return intervals, defined as the time between two consecutive fluctuations larger than a given threshold, in time periods following stock market crashes. Such an aftercrash period is characterized by the Omori law, which describes the decay in the rate of aftershocks of a given size with time t by a power law with exponent close to 1. A shock followed by such a power law decay in the rate is here called Omori process. We find self-similar features in the volatility. Specifically, within the aftercrash period there are smaller shocks that themselves constitute Omori processes on smaller scales, similar to the Omori process after the large crash. We call these smaller shocks subcrashes, which are followed by their own aftershocks. We also show that the Omori law holds not only after significant market crashes as shown by Lillo and Mantegna [Phys. Rev. E 68, 016119 (2003)], but also after “intermediate shocks.” By appropriate detrending we remove the influence of the crashes and subcrashes from the data, and find that this procedure significantly reduces the memory in the records. Moreover, when studying long-term correlated fractional Brownian motion and autoregressive fractionally integrated moving average artificial models for volatilities, we find Omori-type behavior after high volatilities. Thus, our results support the hypothesis that the memory in the volatility is related to the Omori processes present on different time scales.

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

NASA Astrophysics Data System (ADS)

Bentes, Sonia R.

2015-11-01

This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market conditions, which is particularly relevant in periods of high volatility. This makes understanding gold volatility important for a number of theoretical and empirical applications, namely investment valuation, portfolio selection, risk management, monetary policy-making, futures and option pricing, hedging strategies and value-at-risk (VaR) policies (e.g. Baur and Lucey (2010)). We use daily data from August 2, 1976 to February 6, 2015 and divide the full sample into two periods: the in-sample period (August 2, 1976-October 24, 2008) is used to estimate model coefficients, while the out-of-sample period (October 27, 2008-February 6, 2015) is for forecasting purposes. Specifically, we employ the GARCH(1,1), IGARCH(1,1) and FIGARCH(1, d,1) specifications. The results show that the FIGARCH(1, d,1) is the best model to capture linear dependence in the conditional variance of the gold returns as given by the information criteria. It is also found to be the best model to forecast the volatility of gold returns.

Constraining Our Understanding of the Actions and Effects of Martian Volatiles Through the Study of Returned Samples

NASA Astrophysics Data System (ADS)

iMOST Team; Swindle, T. D.; Altieri, F.; Busemann, H.; Niles, P. B.; Shaheen, R.; Zorzano, M. P.; Amelin, Y.; Ammannito, E.; Anand, M.; Beaty, D. W.; Benning, L. G.; Bishop, J. L.; Borg, L. E.; Boucher, D.; Brucato, J. R.; Campbell, K. A.; Carrier, B. L.; Czaja, A. D.; Debaille, V.; Des Marais, D. J.; Dixon, M.; Ehlmann, B. L.; Farmer, J. D.; Fernandez-Remolar, D. C.; Fogarty, J.; Glavin, D. P.; Goreva, Y. S.; Grady, M. M.; Hallis, L. J.; Harrington, A. D.; Hausrath, E. M.; Herd, C. D. K.; Horgan, B.; Humayun, M.; Kleine, T.; Kleinhenz, J.; Mangold, N.; Mackelprang, R.; Mayhew, L. E.; McCubbin, F. M.; McCoy, J. T.; McLennan, S. M.; McSween, H. Y.; Moser, D. E.; Moynier, F.; Mustard, J. F.; Ori, G. G.; Raulin, F.; Rettberg, P.; Rucker, M. A.; Schmitz, N.; Sefton-Nash, E.; Sephton, M. A.; Shuster, D. L.; Siljestrom, S.; Smith, C. L.; Spry, J. A.; Steele, A.; ten Kate, I. L.; Tosca, N. J.; Usui, T.; Van Kranendonk, M. J.; Wadhwa, M.; Weiss, B. P.; Werner, S. C.; Westall, F.; Wheeler, R. M.; Zipfel, J.

2018-04-01

Volatiles play a key role in the evolution of Mars' atmosphere, hydrosphere, and geosphere, and returned samples of the atmosphere, sedimentary rocks, regolith, and secondary minerals will inform our understanding of that evolution.

Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices

NASA Astrophysics Data System (ADS)

Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah@Rozita

2014-06-01

Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stable information ratio.

Volatility Measurements Applied to Information Systems

DTIC Science & Technology

2013-09-01

Measuring and forecasting volatility through historical volatility and a normal distribution provides a volatility expectation from which managers can...been argued as more accurate alternative to historical volatility (Ederington & Guan, 2006). Other alternatives include the daily squared returns...Ederington, L. H., & Guan, W. (2006). Measuring historical volatility . Journal of Applied Finance, 16(1), 5–14. Retrieved from http

Static vs stochastic optimization: A case study of FTSE Bursa Malaysia sectorial indices

DOE Office of Scientific and Technical Information (OSTI.GOV)

Mamat, Nur Jumaadzan Zaleha; Jaaman, Saiful Hafizah; Ahmad, Rokiah Rozita

2014-06-19

Traditional portfolio optimization methods in the likes of Markowitz' mean-variance model and semi-variance model utilize static expected return and volatility risk from historical data to generate an optimal portfolio. The optimal portfolio may not truly be optimal in reality due to the fact that maximum and minimum values from the data may largely influence the expected return and volatility risk values. This paper considers distributions of assets' return and volatility risk to determine a more realistic optimized portfolio. For illustration purposes, the sectorial indices data in FTSE Bursa Malaysia is employed. The results show that stochastic optimization provides more stablemore » information ratio.« less

Applying Modern Portfolio Theory and the Capital Asset Pricing Model to DoD’s Information Technology Investments

DTIC Science & Technology

2009-03-01

axis was really historical volatility of the return on a particular stock (capital gains of losses as well as dividends). Markowitz’s theory is an...market, the risk involved in a particular stock is determined by the historical volatility of the return. “But investments like IT projects or new...product development don’t typically have ‘ historical volatility .’ They do, however, share another characteristic of risk that is more fundamental than

What distinguishes individual stocks from the index?

NASA Astrophysics Data System (ADS)

Wagner, F.; Milaković, M.; Alfarano, S.

2010-01-01

Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests that both the index as well as its individual stocks share a common volatility factor. While the noise component is Gaussian for the index, individual stock returns turn out to require a leptokurtic noise. Thus we propose a two-component model for stocks, given by the sum of Gaussian noise, which reflects market-wide fluctuations, and Laplacian noise, which incorporates firm-specific factors such as firm profitability or growth performance, both of which are known to be Laplacian distributed. In the case of purely Gaussian noise, the chi-squared probability for the density of individual stock returns is typically on the order of 10-20, while it increases to values of O(1) by adding the Laplace component.

On the source of stochastic volatility: Evidence from CAC40 index options during the subprime crisis

NASA Astrophysics Data System (ADS)

Slim, Skander

2016-12-01

This paper investigates the performance of time-changed Lévy processes with distinct sources of return volatility variation for modeling cross-sectional option prices on the CAC40 index during the subprime crisis. Specifically, we propose a multi-factor stochastic volatility model: one factor captures the diffusion component dynamics and two factors capture positive and negative jump variations. In-sample and out-of-sample tests show that our full-fledged model significantly outperforms nested lower-dimensional specifications. We find that all three sources of return volatility variation, with different persistence, are needed to properly account for market pricing dynamics across moneyness, maturity and volatility level. Besides, the model estimation reveals negative risk premium for both diffusive volatility and downward jump intensity whereas a positive risk premium is found to be attributed to upward jump intensity.

Stock price dynamics and option valuations under volatility feedback effect

NASA Astrophysics Data System (ADS)

Kanniainen, Juho; Piché, Robert

2013-02-01

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect by modeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model predicts the negative effect of an increase in squared return volatility on the value of deep-in-the-money call options and, furthermore, attempts to explain the volatility puzzle. We theoretically demonstrate a mechanism by which the market price of diffusion return risk, or an equity risk-premium, affects option prices and empirically illustrate how to identify that mechanism using forward-looking information on option contracts. Our theoretical and empirical results support the relevance of the volatility feedback effect. Overall, the results indicate that the prevailing practice of ignoring the time-varying dividend yield in option pricing can lead to oversimplification of the stock market dynamics.

Quantifying meta-correlations in financial markets

NASA Astrophysics Data System (ADS)

Kenett, Dror Y.; Preis, Tobias; Gur-Gershgoren, Gitit; Ben-Jacob, Eshel

2012-08-01

Financial markets are modular multi-level systems, in which the relationships between the individual components are not constant in time. Sudden changes in these relationships significantly affect the stability of the entire system, and vice versa. Our analysis is based on historical daily closing prices of the 30 components of the Dow Jones Industrial Average (DJIA) from March 15th, 1939 until December 31st, 2010. We quantify the correlation among these components by determining Pearson correlation coefficients, to investigate whether mean correlation of the entire portfolio can be used as a precursor for changes in the index return. To this end, we quantify the meta-correlation - the correlation of mean correlation and index return. We find that changes in index returns are significantly correlated with changes in mean correlation. Furthermore, we study the relationship between the index return and correlation volatility - the standard deviation of correlations for a given time interval. This parameter provides further evidence of the effect of the index on market correlations and their fluctuations. Our empirical findings provide new information and quantification of the index leverage effect, and have implications to risk management, portfolio optimization, and to the increased stability of financial markets.

Stabilizing effect of volatility in financial markets

NASA Astrophysics Data System (ADS)

Valenti, Davide; Fazio, Giorgio; Spagnolo, Bernardo

2018-06-01

In financial markets, greater volatility is usually considered to be synonymous with greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting time, i.e., the average time a stock return takes to undergo for the first time a large negative (crashes) or positive variation (rallies), as an indicator of price stability, and relate this to a standard measure of volatility. In an empirical analysis of daily returns for 1071 stocks traded in the New York Stock Exchange, we find that this measure of stability displays nonmonotonic behavior, with a maximum, as a function of volatility. Also, we show that the statistical properties of the empirical data can be reproduced by a nonlinear Heston model. This analysis implies that, contrary to conventional wisdom, not only high, but also low volatility values can be associated with higher instability in financial markets. This proposed measure of stability can be extremely useful in risk control.

Treated domestic sewage irrigation significantly decreased the CH4, N2O and NH3 emissions from paddy fields with straw incorporation

NASA Astrophysics Data System (ADS)

Xu, Shanshan; Hou, Pengfu; Xue, Lihong; Wang, Shaohua; Yang, Linzhang

2017-11-01

Straw incorporation and domestic sewage irrigation have been recommended as an environmentally friendly agricultural practice and are widely used not only in China but also in other countries. The individual effects on yield and environmental impacts have been studied extensively, but the comprehensive effect when straw returning and domestic sewage irrigation are combined together has seldom been reported. This study was conducted to examine the effects of straw returning and domestic sewage irrigation on rice yields, greenhouse gas emissions (GHGs) and ammonia (NH3) volatilization from paddy fields from 2015 to 2016. The results showed that the rice yield was not affected by the irrigation water sources and straw returning under the same total N input, which was similar in both years. Due to the rich N in the domestic sewage, domestic sewage irrigation could reduce approximately 45.2% of chemical nitrogen fertilizer input without yield loss. Compared to straw removal treatments, straw returning significantly increased the CH4 emissions by approximately 7-9-fold under domestic sewage irrigation and 13-14-fold under tap water irrigation. Straw returning also increased the N2O emissions under the two irrigation water types. In addition, the seasonal NH3 volatilization loss was significantly increased by 88.8% and 61.2% under straw returning compared to straw removal in 2015 and 2016, respectively. However, domestic sewage irrigation could decrease CH4 emissions by 24.5-26.6%, N2O emissions by 37.0-39.0% and seasonal NH3 volatilization loss by 27.2-28.3% under straw returning compared to tap water irrigation treatments. Global warming potentials (GWP) and greenhouse gas intensities (GHGI) were significantly increased with straw returning compared with those of straw removal, while they were decreased by domestic sewage irrigation under straw returning compared to tap water irrigation. Significant interactions between straw returning and domestic sewage irrigation on NH3 volatilization loss, CH4 and N2O emissions were observed. The results indicate that domestic sewage irrigation combined with straw returning could be an environmentally friendly and resource-saving agricultural management measure for paddy fields with which to reduce the chemical N input, GHG emissions, and NH3 volatilization loss while maintaining high rice productivity.

A multiscale analysis of stock return co-movements and spillovers: Evidence from Pacific developed markets

NASA Astrophysics Data System (ADS)

Das, Debojyoti; Bhowmik, Puja; Jana, R. K.

2018-07-01

In this paper we examine the stock market co-movement and volatility spillover dynamics in the Pacific developed markets for a period spanning over January 05, 2001 to January 09, 2018. We employ wavelet-based techniques to study the multiscale co-movement dynamics of stock returns. Additionally, we also study the subtleties of volatility spillover of returns among the sample countries. We find that: (a) diversification benefits in these markets are limited due to higher degrees of integration, (b) Pacific developed markets co-move strongly during the periods of financial crisis (i.e. the contagion hypothesis) and (c) higher degree of volatility spills during financial crisis. We believe our study holds significance in the perspective of international portfolio diversification.

Nonlinearities in the exchange rates returns and volatility

NASA Astrophysics Data System (ADS)

Díaz, Andrés Fernández; Grau-Carles, Pilar; Mangas, Lorenzo Escot

2002-12-01

Recent findings of nonlinearities in financial assets can be the product of contamination produced by shifts in the distribution of the data. Using the BDS and Kaplan tests it is shown that, some of the nonlinearities found in foreign exchange rate returns, can be the product of shifts in variance while other do not. Also, the behavior of the volatility is studied, showing that the ARFIMA modeling is able to capture long memory, but, depending on the proxy used for the volatility, is not always able to capture all the nonlinearities of the data

Water-quality data of stormwater runoff from Davenport, Iowa, 1992 and 1994

USGS Publications Warehouse

Schaap, B.D.; Einhellig, R.F.

1996-01-01

During 1992 and 1994, stormwater runoff in Davenport, Iowa, was sampled from the following land use types: agricultural and vacant, residential, commercial, parks and wooded areas, and industrial. Grab samples collected within the first hour of the runoff event were analyzed for many constituents including volatile organic compounds. Flow-weighted composite samples, composed from discrete samples collected at 15-minute intervals during the first three hours of the event or until discharge returned to pre-event levels, also were analyzed for many constituents including major ions, nitrogen, phosphorus, metals, total organic carbon, acid/base-neutral organics, organochlorine pesticides, and polycyclic aromatic hydrocarbons.

Portfolio management under sudden changes in volatility and heterogeneous investment horizons

NASA Astrophysics Data System (ADS)

Fernandez, Viviana; Lucey, Brian M.

2007-03-01

We analyze the implications for portfolio management of accounting for conditional heteroskedasticity and sudden changes in volatility, based on a sample of weekly data of the Dow Jones Country Titans, the CBT-municipal bond, spot and futures prices of commodities for the period 1992-2005. To that end, we first proceed to utilize the ICSS algorithm to detect long-term volatility shifts, and incorporate that information into PGARCH models fitted to the returns series. At the next stage, we simulate returns series and compute a wavelet-based value at risk, which takes into consideration the investor's time horizon. We repeat the same procedure for artificial data generated from semi-parametric estimates of the distribution functions of returns, which account for fat tails. Our estimation results show that neglecting GARCH effects and volatility shifts may lead to an overestimation of financial risk at different time horizons. In addition, we conclude that investors benefit from holding commodities as their low or even negative correlation with stock and bond indices contribute to portfolio diversification.

Intraday price dynamics in spot and derivatives markets

NASA Astrophysics Data System (ADS)

Kim, Jun Sik; Ryu, Doojin

2014-01-01

This study examines intraday relationships among the spot index, index futures, and the implied volatility index based on the VAR(1)-asymmetric BEKK-MGARCH model. Analysis of a high-frequency dataset from the Korean financial market confirms that there is a strong intraday market linkage between the spot index, KOSPI200 futures, and VKOSPI and that asymmetric volatility behaviour is clearly present in the Korean market. The empirical results indicate that the futures return shock affects the spot market more severely than the spot return shock affects the futures market, though there is a bi-directional causal relationship between the spot and futures markets. Our results, based on a high-quality intraday dataset, satisfy both the positive risk-return relationship and asymmetric volatility effect, which are not reconciled in the frameworks of previous studies.

Stylized facts of intraday precious metals

PubMed Central

Batten, Jonathan; McGroarty, Frank; Peat, Maurice; Urquhart, Andrew

2017-01-01

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples. PMID:28448492

Stylized facts of intraday precious metals.

PubMed

Batten, Jonathan; Lucey, Brian; McGroarty, Frank; Peat, Maurice; Urquhart, Andrew

2017-01-01

This paper examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency for gold, silver, platinum and palladium from May 2000 to April 2015. We study the full sample period, as well as three subsamples to determine how high-frequency data of precious metals have developed over time. We find that over the full sample, the number of trades has increased substantially over time for each precious metal, while the bid-ask spread has narrowed over time, indicating an increase in liquidity and price efficiency. We also find strong evidence of periodicity in returns, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and closing of major markets around the world while the bid-ask spread is at its lowest when European markets are open. We also show a bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples.

Applying the partitioned multiobjective risk method (PMRM) to portfolio selection.

PubMed

Reyes Santos, Joost; Haimes, Yacov Y

2004-06-01

The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using volatility, which is derived from the historical variance-covariance relationships among the portfolio assets. This article focuses on assessing portfolio risk, with emphasis on extreme risks. To date, volatility is a major measure of risk owing to its simplicity and validity for relatively small asset price fluctuations. Volatility is a justified measure for stable market performance, but it is weak in addressing portfolio risk under aberrant market fluctuations. Extreme market crashes such as that on October 19, 1987 ("Black Monday") and catastrophic events such as the terrorist attack of September 11, 2001 that led to a four-day suspension of trading on the New York Stock Exchange (NYSE) are a few examples where measuring risk via volatility can lead to inaccurate predictions. Thus, there is a need for a more robust metric of risk. By invoking the principles of the extreme-risk-analysis method through the partitioned multiobjective risk method (PMRM), this article contributes to the modeling of extreme risks in portfolio performance. A measure of an extreme portfolio risk, denoted by f(4), is defined as the conditional expectation for a lower-tail region of the distribution of the possible portfolio returns. This article presents a multiobjective problem formulation consisting of optimizing expected return and f(4), whose solution is determined using Evolver-a software that implements a genetic algorithm. Under business-as-usual market scenarios, the results of the proposed PMRM portfolio selection model are found to be compatible with those of the volatility-based model. However, under extremely unfavorable market conditions, results indicate that f(4) can be a more valid measure of risk than volatility.

A study about the existence of the leverage effect in stochastic volatility models

NASA Astrophysics Data System (ADS)

Florescu, Ionuţ; Pãsãricã, Cristian Gabriel

2009-02-01

The empirical relationship between the return of an asset and the volatility of the asset has been well documented in the financial literature. Named the leverage effect or sometimes risk-premium effect, it is observed in real data that, when the return of the asset decreases, the volatility increases and vice versa. Consequently, it is important to demonstrate that any formulated model for the asset price is capable of generating this effect observed in practice. Furthermore, we need to understand the conditions on the parameters present in the model that guarantee the apparition of the leverage effect. In this paper we analyze two general specifications of stochastic volatility models and their capability of generating the perceived leverage effect. We derive conditions for the apparition of leverage effect in both of these stochastic volatility models. We exemplify using stochastic volatility models used in practice and we explicitly state the conditions for the existence of the leverage effect in these examples.

Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model

NASA Astrophysics Data System (ADS)

Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang

2018-02-01

This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.

Statistical properties of short-selling and margin-trading activities and their impacts on returns in the Chinese stock markets

NASA Astrophysics Data System (ADS)

Gao, Yan; Gao, Yao

2015-11-01

We investigate the collective behaviors of short-selling and margin-trading between Chinese stocks and their impacts on the co-movements of stock returns by cross-correlation and partial correlation analyses. We find that the collective behaviors of margin-trading are largely attributed to the index cohesive force, while those of short-selling are mainly due to some direct interactions between stocks. Interestingly, the dominant role the finance industry plays in the collective behaviors of short-selling could make it more important in affecting the co-movement structure of stock returns by strengthening its relationship with the market index. By detecting the volume-return and volume-volatility relationships, we find that the investors of the two leverage activities are positively triggered by individual stock volatility first, and next, at the return level, margin-buyers show trend-following properties, while short-sellers are probably informative traders who trade on the information impulse of specific firms. However, the return predictability of the two leverage trading activities and their impacts on stock volatility are not significant. Moreover, both tails of the cumulative distributions of the two leverage trading activities are found following the stretched exponential law better than the power-law.

The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab.

PubMed

Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

2012-08-01

As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets.

Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student’s t-distribution*

PubMed Central

Leão, William L.; Chen, Ming-Hui

2017-01-01

A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor’s 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model. PMID:29333210

Bayesian analysis of stochastic volatility-in-mean model with leverage and asymmetrically heavy-tailed error using generalized hyperbolic skew Student's t-distribution.

PubMed

Leão, William L; Abanto-Valle, Carlos A; Chen, Ming-Hui

2017-01-01

A stochastic volatility-in-mean model with correlated errors using the generalized hyperbolic skew Student-t (GHST) distribution provides a robust alternative to the parameter estimation for daily stock returns in the absence of normality. An efficient Markov chain Monte Carlo (MCMC) sampling algorithm is developed for parameter estimation. The deviance information, the Bayesian predictive information and the log-predictive score criterion are used to assess the fit of the proposed model. The proposed method is applied to an analysis of the daily stock return data from the Standard & Poor's 500 index (S&P 500). The empirical results reveal that the stochastic volatility-in-mean model with correlated errors and GH-ST distribution leads to a significant improvement in the goodness-of-fit for the S&P 500 index returns dataset over the usual normal model.

Late Wenlock (middle Silurian) bio-events: Caused by volatile boloid impact/s

NASA Technical Reports Server (NTRS)

Berry, W. B. N.; Wilde, P.

1988-01-01

Late Wenlockian (late mid-Silurian) life is characterized by three significant changes or bioevents: sudden development of massive carbonate reefs after a long interval of limited reef growth; sudden mass mortality among colonial zooplankton, graptolites; and origination of land plants with vascular tissue (Cooksonia). Both marine bioevents are short in duration and occur essentially simultaneously at the end of the Wenlock without any recorded major climatic change from the general global warm climate. These three disparate biologic events may be linked to sudden environmental change that could have resulted from sudden infusion of a massive amount of ammonia into the tropical ocean. Impact of a boloid or swarm of extraterrestrial bodies containing substantial quantities of a volatile (ammonia) component could provide such an infusion. Major carbonate precipitation (formation), as seen in the reefs as well as, to a more limited extent, in certain brachiopods, would be favored by increased pH resulting from addition of a massive quantity of ammonia into the upper ocean. Because of the buffer capacity of the ocean and dilution effects, the pH would have returned soon to equilibrium. Major proliferation of massive reefs ceased at the same time. Addition of ammonia as fertilizer to terrestrial environments in the tropics would have created optimum environmental conditions for development of land plants with vascular, nutrient-conductive tissue. Fertilization of terrestrial environments thus seemingly preceded development of vascular tissue by a short time interval. Although no direct evidence of impact of a volatile boloid may be found, the bioevent evidence is suggestive that such an impact in the oceans could have taken place. Indeed, in the case of an ammonia boloid, evidence, such as that of the Late Wenlockian bioevents may be the only available data for impact of such a boloid.

Essays on oil price volatility and irreversible investment

NASA Astrophysics Data System (ADS)

Pastor, Daniel J.

In chapter 1, we provide an extensive and systematic evaluation of the relative forecasting performance of several models for the volatility of daily spot crude oil prices. Empirical research over the past decades has uncovered significant gains in forecasting performance of Markov Switching GARCH models over GARCH models for the volatility of financial assets and crude oil futures. We find that, for spot oil price returns, non-switching models perform better in the short run, whereas switching models tend to do better at longer horizons. In chapter 2, I investigate the impact of volatility on firms' irreversible investment decisions using real options theory. Cost incurred in oil drilling is considered sunk cost, thus irreversible. I collect detailed data on onshore, development oil well drilling on the North Slope of Alaska from 2003 to 2014. Volatility is modeled by constructing GARCH, EGARCH, and GJR-GARCH forecasts based on monthly real oil prices, and realized volatility from 5-minute intraday returns of oil futures prices. Using a duration model, I show that oil price volatility generally has a negative relationship with the hazard rate of drilling an oil well both when aggregating all the fields, and in individual fields.

Statistical regularities of Carbon emission trading market: Evidence from European Union allowances

NASA Astrophysics Data System (ADS)

Zheng, Zeyu; Xiao, Rui; Shi, Haibo; Li, Guihong; Zhou, Xiaofeng

2015-05-01

As an emerging financial market, the trading value of carbon emission trading market has definitely increased. In recent years, the carbon emission allowances have already become a way of investment. They are bought and sold not only by carbon emitters but also by investors. In this paper, we analyzed the price fluctuations of the European Union allowances (EUA) futures in European Climate Exchange (ECX) market from 2007 to 2011. The symmetric and power-law probability density function of return time series was displayed. We found that there are only short-range correlations in price changes (return), while long-range correlations in the absolute of price changes (volatility). Further, detrended fluctuation analysis (DFA) approach was applied with focus on long-range autocorrelations and Hurst exponent. We observed long-range power-law autocorrelations in the volatility that quantify risk, and found that they decay much more slowly than the autocorrelation of return time series. Our analysis also showed that the significant cross correlations exist between return time series of EUA and many other returns. These cross correlations exist in a wide range of fields, including stock markets, energy concerned commodities futures, and financial futures. The significant cross-correlations between energy concerned futures and EUA indicate the physical relationship between carbon emission and energy production process. Additionally, the cross-correlations between financial futures and EUA indicate that the speculation behavior may become an important factor that can affect the price of EUA. Finally we modeled the long-range volatility time series of EUA with a particular version of the GARCH process, and the result also suggests long-range volatility autocorrelations.

Volatility Behaviors of Financial Time Series by Percolation System on Sierpinski Carpet Lattice

NASA Astrophysics Data System (ADS)

Pei, Anqi; Wang, Jun

2015-01-01

The financial time series is simulated and investigated by the percolation system on the Sierpinski carpet lattice, where percolation is usually employed to describe the behavior of connected clusters in a random graph, and the Sierpinski carpet lattice is a graph which corresponds the fractal — Sierpinski carpet. To study the fluctuation behavior of returns for the financial model and the Shanghai Composite Index, we establish a daily volatility measure — multifractal volatility (MFV) measure to obtain MFV series, which have long-range cross-correlations with squared daily return series. The autoregressive fractionally integrated moving average (ARFIMA) model is used to analyze the MFV series, which performs better when compared to other volatility series. By a comparative study of the multifractality and volatility analysis of the data, the simulation data of the proposed model exhibits very similar behaviors to those of the real stock index, which indicates somewhat rationality of the model to the market application.

Essays on the effects of oil price shocks on the U.S. stock returns

NASA Astrophysics Data System (ADS)

Alsalman, Zeina N.

This research investigates the effect of changes in oil prices and oil price volatility on the U.S. stock returns. The first essay tests whether the sign and the size of oil price shocks matter for the U.S. stock returns. The results suggest a linear model provides a good approximation to the response of real stock returns to real oil price innovations. However, this is not the case when the model is specified in terms of the nominal price of crude oil. Using a modified structural VAR to accommodate GARCH-in-Mean errors, the second essay studies the direct effects of oil price uncertainty on the U.S. stock returns at the aggregate and sectoral levels. We also simulate the response of U.S. stock returns to positive and negative oil price shocks, to examine whether the responses to positive and negative shocks are symmetric. Estimation results suggest that there is no statistically significant effect of oil price volatility on the U.S. stock returns. Moreover, the impulse responses indicate that oil price increases and decreases have symmetric effects on the U.S. stock returns. Using high frequency data, the third essay addresses the issue of uncertainty in oil prices and its effect on U.S. stock returns, taking into account the day of the week effect. The results suggest that the-day-of-the-week effect is present in both the mean and volatility equations. The results also show that the U.S. stock market is sensitive to oil price variations not only at the aggregate level but also across some industries, such as chemicals, entertainment, and retail, where uncertainty in oil prices proves to have positive and statistically significant effect.

Investment Dynamics with Natural Expectations.

PubMed

Fuster, Andreas; Hebert, Benjamin; Laibson, David

2010-01-01

We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are excessively optimistic in good times and excessively pessimistic in bad times. (ii) Asset prices are too volatile. (iii) Excess returns are negatively autocorrelated. (iv) High levels of corporate profits predict negative future excess returns. (v) Real economic activity is excessively volatile; the economy experiences amplified investment cycles. (vi) Corporate profits are positively autocorrelated in the short run and negatively autocorrelated in the medium run. The paper provides an illustrative model of animal spirits, amplified business cycles, and excess volatility.

Investment Dynamics with Natural Expectations*

PubMed Central

Fuster, Andreas; Hebert, Benjamin; Laibson, David

2012-01-01

We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are excessively optimistic in good times and excessively pessimistic in bad times. (ii) Asset prices are too volatile. (iii) Excess returns are negatively autocorrelated. (iv) High levels of corporate profits predict negative future excess returns. (v) Real economic activity is excessively volatile; the economy experiences amplified investment cycles. (vi) Corporate profits are positively autocorrelated in the short run and negatively autocorrelated in the medium run. The paper provides an illustrative model of animal spirits, amplified business cycles, and excess volatility. PMID:23243469

Eliciting interval beliefs: An experimental study

PubMed Central

Peeters, Ronald; Wolk, Leonard

2017-01-01

In this paper we study the interval scoring rule as a mechanism to elicit subjective beliefs under varying degrees of uncertainty. In our experiment, subjects forecast the termination time of a time series to be generated from a given but unknown stochastic process. Subjects gradually learn more about the underlying process over time and hence the true distribution over termination times. We conduct two treatments, one with a high and one with a low volatility process. We find that elicited intervals are better when subjects are facing a low volatility process. In this treatment, participants learn to position their intervals almost optimally over the course of the experiment. This is in contrast with the high volatility treatment, where subjects, over the course of the experiment, learn to optimize the location of their intervals but fail to provide the optimal length. PMID:28380020

Traders' behavioral coupling and market phase transition

NASA Astrophysics Data System (ADS)

Ma, Rong; Zhang, Yin; Li, Honggang

2017-11-01

Traditional economic theory is based on the assumption that traders are completely independent and rational; however, trading behavior in the real market is often coupled by various factors. This paper discusses behavioral coupling based on the stock index in the stock market, focusing on the convergence of traders' behavior, its effect on the correlation of stock returns and market volatility. We find that the behavioral consensus in the stock market, the correlation degree of stock returns, and the market volatility all exhibit significant phase transitions with stronger coupling.

Market dynamics and stock price volatility

NASA Astrophysics Data System (ADS)

Li, H.; Rosser, J. B., Jr.

2004-06-01

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison and switching between heterogeneous play key roles, which build a connection between endogenous market and the emergence of stylized facts.

A study on chaos in crude oil markets before and after 2008 international financial crisis

NASA Astrophysics Data System (ADS)

Lahmiri, Salim

2017-01-01

The purpose of this study is to investigate existence of chaos in crude oil markets (Brent and WTI) before and after recent 2008 international financial crisis. Largest Lyapunov exponent is estimated for prices, returns, and volatilities. The empirical results show strong evidence that chaos does not exist in prices and returns in both crude oil markets before and after international crisis. However, we find strong evidence of chaotic dynamics in both Brent and WTI volatilities after international financial crisis.

Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model

NASA Astrophysics Data System (ADS)

Wang, Jie; Wang, Jun; Stanley, H. Eugene

2018-02-01

To investigate the characteristics of extreme events in financial markets and the corresponding return intervals among these events, we use a Potts dynamic system to construct a random financial time series model of the attitudes of market traders. We use multiscale multifractal detrended cross-correlation analysis (MM-DCCA) and Lempel-Ziv complexity (LZC) perform numerical research of the return intervals for two significant China's stock market indices and for the proposed model. The new MM-DCCA method is based on the Hurst surface and provides more interpretable cross-correlations of the dynamic mechanism between different return interval series. We scale the LZC method with different exponents to illustrate the complexity of return intervals in different scales. Empirical studies indicate that the proposed return intervals from the Potts system and the real stock market indices hold similar statistical properties.

Multiscaling and clustering of volatility

NASA Astrophysics Data System (ADS)

Pasquini, Michele; Serva, Maurizio

1999-07-01

The dynamics of prices in stock markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, while the distribution of returns of the most important indices is known to be a truncated Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology is known to be relevant in fully developed turbulence and in disordered systems and it is pointed out here for the first time for a financial series. In our study we consider the New York Stock Exchange (NYSE) daily index, from January 1966 to June 1998, for a total of 8180 working days.

Time-scale effects on the gain-loss asymmetry in stock indices

NASA Astrophysics Data System (ADS)

Sándor, Bulcsú; Simonsen, Ingve; Nagy, Bálint Zsolt; Néda, Zoltán

2016-08-01

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over 2 % , and it is the result of the non-Pearson-type autocorrelations in the index. These non-Pearson-type correlations can be viewed also as functionally dependent daily volatilities, extending for a finite time interval. A generalized time-window shuffling method is used to show the existence of such autocorrelations. Their characteristic time scale proves to be smaller (less than 25 trading days) than what was previously believed. It is also found that this characteristic time scale has decreased with the appearance of program trading in the stock market transactions. Connections with the leverage effect are also established.

Effect of temperature shock and inventory surprises on natural gas and heating oil futures returns.

PubMed

Hu, John Wei-Shan; Hu, Yi-Chung; Lin, Chien-Yu

2014-01-01

The aim of this paper is to examine the impact of temperature shock on both near-month and far-month natural gas and heating oil futures returns by extending the weather and storage models of the previous study. Several notable findings from the empirical studies are presented. First, the expected temperature shock significantly and positively affects both the near-month and far-month natural gas and heating oil futures returns. Next, significant temperature shock has effect on both the conditional mean and volatility of natural gas and heating oil prices. The results indicate that expected inventory surprises significantly and negatively affects the far-month natural gas futures returns. Moreover, volatility of natural gas futures returns is higher on Thursdays and that of near-month heating oil futures returns is higher on Wednesdays than other days. Finally, it is found that storage announcement for natural gas significantly affects near-month and far-month natural gas futures returns. Furthermore, both natural gas and heating oil futures returns are affected more by the weighted average temperature reported by multiple weather reporting stations than that reported by a single weather reporting station.

Effect of Temperature Shock and Inventory Surprises on Natural Gas and Heating Oil Futures Returns

PubMed Central

Hu, John Wei-Shan; Lin, Chien-Yu

2014-01-01

The aim of this paper is to examine the impact of temperature shock on both near-month and far-month natural gas and heating oil futures returns by extending the weather and storage models of the previous study. Several notable findings from the empirical studies are presented. First, the expected temperature shock significantly and positively affects both the near-month and far-month natural gas and heating oil futures returns. Next, significant temperature shock has effect on both the conditional mean and volatility of natural gas and heating oil prices. The results indicate that expected inventory surprises significantly and negatively affects the far-month natural gas futures returns. Moreover, volatility of natural gas futures returns is higher on Thursdays and that of near-month heating oil futures returns is higher on Wednesdays than other days. Finally, it is found that storage announcement for natural gas significantly affects near-month and far-month natural gas futures returns. Furthermore, both natural gas and heating oil futures returns are affected more by the weighted average temperature reported by multiple weather reporting stations than that reported by a single weather reporting station. PMID:25133233

Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

PubMed Central

Borysov, Stanislav S.; Balatsky, Alexander V.

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994–2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. PMID:25162697

Cross-correlation asymmetries and causal relationships between stock and market risk.

PubMed

Borysov, Stanislav S; Balatsky, Alexander V

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.

Intrinsic Multi-Scale Dynamic Behaviors of Complex Financial Systems.

PubMed

Ouyang, Fang-Yan; Zheng, Bo; Jiang, Xiong-Fei

2015-01-01

The empirical mode decomposition is applied to analyze the intrinsic multi-scale dynamic behaviors of complex financial systems. In this approach, the time series of the price returns of each stock is decomposed into a small number of intrinsic mode functions, which represent the price motion from high frequency to low frequency. These intrinsic mode functions are then grouped into three modes, i.e., the fast mode, medium mode and slow mode. The probability distribution of returns and auto-correlation of volatilities for the fast and medium modes exhibit similar behaviors as those of the full time series, i.e., these characteristics are rather robust in multi time scale. However, the cross-correlation between individual stocks and the return-volatility correlation are time scale dependent. The structure of business sectors is mainly governed by the fast mode when returns are sampled at a couple of days, while by the medium mode when returns are sampled at dozens of days. More importantly, the leverage and anti-leverage effects are dominated by the medium mode.

Extracting volatility signal using maximum a posteriori estimation

NASA Astrophysics Data System (ADS)

Neto, David

2016-11-01

This paper outlines a methodology to estimate a denoised volatility signal for foreign exchange rates using a hidden Markov model (HMM). For this purpose a maximum a posteriori (MAP) estimation is performed. A double exponential prior is used for the state variable (the log-volatility) in order to allow sharp jumps in realizations and then log-returns marginal distributions with heavy tails. We consider two routes to choose the regularization and we compare our MAP estimate to realized volatility measure for three exchange rates.

A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis

NASA Astrophysics Data System (ADS)

Tan, Pei P.; Chin, Cheong W.; Galagedera, Don U. A.

2014-09-01

This study, using wavelet-based method investigates the dynamics of long memory in the returns and volatility of equity markets. In the sample of five developed and five emerging markets we find that the daily return series from January 1988 to June 2013 may be considered as a mix of weak long memory and mean-reverting processes. In the case of volatility in the returns, there is evidence of long memory, which is stronger in emerging markets than in developed markets. We find that although the long memory parameter may vary during crisis periods (1997 Asian financial crisis, 2001 US recession and 2008 subprime crisis) the direction of change may not be consistent across all equity markets. The degree of return predictability is likely to diminish during crisis periods. Robustness of the results is checked with de-trended fluctuation analysis approach.

Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model

NASA Astrophysics Data System (ADS)

Rounaghi, Mohammad Mahdi; Nassir Zadeh, Farzaneh

2016-08-01

We investigated the presence and changes in, long memory features in the returns and volatility dynamics of S&P 500 and London Stock Exchange using ARMA model. Recently, multifractal analysis has been evolved as an important way to explain the complexity of financial markets which can hardly be described by linear methods of efficient market theory. In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Several studies find that the return volatility of stocks tends to exhibit long-range dependence, heavy tails, and clustering. Because stochastic processes with self-similarity possess long-range dependence and heavy tails, it has been suggested that self-similar processes be employed to capture these characteristics in return volatility modeling. The present study applies monthly and yearly forecasting of Time Series Stock Returns in S&P 500 and London Stock Exchange using ARMA model. The statistical analysis of S&P 500 shows that the ARMA model for S&P 500 outperforms the London stock exchange and it is capable for predicting medium or long horizons using real known values. The statistical analysis in London Stock Exchange shows that the ARMA model for monthly stock returns outperforms the yearly. ​A comparison between S&P 500 and London Stock Exchange shows that both markets are efficient and have Financial Stability during periods of boom and bust.

Option pricing for stochastic volatility model with infinite activity Lévy jumps

NASA Astrophysics Data System (ADS)

Gong, Xiaoli; Zhuang, Xintian

2016-08-01

The purpose of this paper is to apply the stochastic volatility model driven by infinite activity Lévy processes to option pricing which displays infinite activity jumps behaviors and time varying volatility that is consistent with the phenomenon observed in underlying asset dynamics. We specially pay attention to three typical Lévy processes that replace the compound Poisson jumps in Bates model, aiming to capture the leptokurtic feature in asset returns and volatility clustering effect in returns variance. By utilizing the analytical characteristic function and fast Fourier transform technique, the closed form formula of option pricing can be derived. The intelligent global optimization search algorithm called Differential Evolution is introduced into the above highly dimensional models for parameters calibration so as to improve the calibration quality of fitted option models. Finally, we perform empirical researches using both time series data and options data on financial markets to illustrate the effectiveness and superiority of the proposed method.

An agent-based approach to financial stylized facts

NASA Astrophysics Data System (ADS)

Shimokawa, Tetsuya; Suzuki, Kyoko; Misawa, Tadanobu

2007-06-01

An important challenge of the financial theory in recent years is to construct more sophisticated models which have consistencies with as many financial stylized facts that cannot be explained by traditional models. Recently, psychological studies on decision making under uncertainty which originate in Kahneman and Tversky's research attract a lot of interest as key factors which figure out the financial stylized facts. These psychological results have been applied to the theory of investor's decision making and financial equilibrium modeling. This paper, following these behavioral financial studies, would like to propose an agent-based equilibrium model with prospect theoretical features of investors. Our goal is to point out a possibility that loss-averse feature of investors explains vast number of financial stylized facts and plays a crucial role in price formations of financial markets. Price process which is endogenously generated through our model has consistencies with, not only the equity premium puzzle and the volatility puzzle, but great kurtosis, asymmetry of return distribution, auto-correlation of return volatility, cross-correlation between return volatility and trading volume. Moreover, by using agent-based simulations, the paper also provides a rigorous explanation from the viewpoint of a lack of market liquidity to the size effect, which means that small-sized stocks enjoy excess returns compared to large-sized stocks.

Intraday LeBaron effects

PubMed Central

Bianco, Simone; Corsi, Fulvio; Renò, Roberto

2009-01-01

We study the relation at intraday level between serial correlation and volatility of the Standard and Poor (S&P) 500 stock index futures returns. At daily and weekly levels, serial correlation and volatility forecasts have been found to be negatively correlated (LeBaron effect). After finding a significant attenuation of the original effect over time, we show that a similar but more pronounced effect holds by using intraday measures, by such as realized volatility and variance ratio. We also test the impact of unexpected volatility, defined as the part of volatility which cannot be forecasted, on the presence of intraday serial correlation in the time series by employing a model for realized volatility based on the heterogeneous market hypothesis. We find that intraday serial correlation is negatively correlated to volatility forecasts, whereas it is positively correlated to unexpected volatility.

Comet coma sample return instrument

NASA Technical Reports Server (NTRS)

Albee, A. L.; Brownlee, Don E.; Burnett, Donald S.; Tsou, Peter; Uesugi, K. T.

1994-01-01

The sample collection technology and instrument concept for the Sample of Comet Coma Earth Return Mission (SOCCER) are described. The scientific goals of this Flyby Sample Return are to return to coma dust and volatile samples from a known comet source, which will permit accurate elemental and isotopic measurements for thousands of individual solid particles and volatiles, detailed analysis of the dust structure, morphology, and mineralogy of the intact samples, and identification of the biogenic elements or compounds in the solid and volatile samples. Having these intact samples, morphologic, petrographic, and phase structural features can be determined. Information on dust particle size, shape, and density can be ascertained by analyzing penetration holes and tracks in the capture medium. Time and spatial data of dust capture will provide understanding of the flux dynamics of the coma and the jets. Additional information will include the identification of cosmic ray tracks in the cometary grains, which can provide a particle's process history and perhaps even the age of the comet. The measurements will be made with the same equipment used for studying micrometeorites for decades past; hence, the results can be directly compared without extrapolation or modification. The data will provide a powerful and direct technique for comparing the cometary samples with all known types of meteorites and interplanetary dust. This sample collection system will provide the first sample return from a specifically identified primitive body and will allow, for the first time, a direct method of matching meteoritic materials captured on Earth with known parent bodies.

Price dynamics in political prediction markets

PubMed Central

Majumder, Saikat Ray; Diermeier, Daniel; Rietz, Thomas A.; Amaral, Luís A. Nunes

2009-01-01

Prediction markets, in which contract prices are used to forecast future events, are increasingly applied to various domains ranging from political contests to scientific breakthroughs. However, the dynamics of such markets are not well understood. Here, we study the return dynamics of the oldest, most data-rich prediction markets, the Iowa Electronic Presidential Election “winner-takes-all” markets. As with other financial markets, we find uncorrelated returns, power-law decaying volatility correlations, and, usually, power-law decaying distributions of returns. However, unlike other financial markets, we find conditional diverging volatilities as the contract settlement date approaches. We propose a dynamic binary option model that captures all features of the empirical data and can potentially provide a tool with which one may extract true information events from a price time series. PMID:19155442

Multifractal analysis of the Korean agricultural market

NASA Astrophysics Data System (ADS)

Kim, Hongseok; Oh, Gabjin; Kim, Seunghwan

2011-11-01

We have studied the long-term memory effects of the Korean agricultural market using the detrended fluctuation analysis (DFA) method. In general, the return time series of various financial data, including stock indices, foreign exchange rates, and commodity prices, are uncorrelated in time, while the volatility time series are strongly correlated. However, we found that the return time series of Korean agricultural commodity prices are anti-correlated in time, while the volatility time series are correlated. The n-point correlations of time series were also examined, and it was found that a multifractal structure exists in Korean agricultural market prices.

Temporal and Spatial Aspects of Gas Release During the 2010 Apparition of Comet 103P/Hartley-2

NASA Technical Reports Server (NTRS)

Mumma, M. J.; Bonev, B. P.; Villanueva, G. L.; Paganini, L.; DiSanti, M. A.; Gibb, E. L.; Keane, J. V.; Meech, K. J.; Blake, G. A.; Ellis, R. S.;

A mini-review on econophysics: Comparative study of Chinese and western financial markets

NASA Astrophysics Data System (ADS)

Zheng, Bo; Jiang, Xiong-Fei; Ni, Peng-Yun

2014-07-01

We present a review of our recent research in econophysics, and focus on the comparative study of Chinese and western financial markets. By virtue of concepts and methods in statistical physics, we investigate the time correlations and spatial structure of financial markets based on empirical high-frequency data. We discover that the Chinese stock market shares common basic properties with the western stock markets, such as the fat-tail probability distribution of price returns, the long-range auto-correlation of volatilities, and the persistence probability of volatilities, while it exhibits very different higher-order time correlations of price returns and volatilities, spatial correlations of individual stock prices, and large-fluctuation dynamic behaviors. Furthermore, multi-agent-based models are developed to simulate the microscopic interaction and dynamic evolution of the stock markets.

In-situ continuous water analyzing module

DOEpatents

Thompson, Cyril V.; Wise, Marcus B.

1998-01-01

An in-situ continuous liquid analyzing system for continuously analyzing volatile components contained in a water source comprises: a carrier gas supply, an extraction container and a mass spectrometer. The carrier gas supply continuously supplies the carrier gas to the extraction container and is mixed with a water sample that is continuously drawn into the extraction container. The carrier gas continuously extracts the volatile components out of the water sample. The water sample is returned to the water source after the volatile components are extracted from it. The extracted volatile components and the carrier gas are delivered continuously to the mass spectometer and the volatile components are continuously analyzed by the mass spectrometer.

Intrinsic Multi-Scale Dynamic Behaviors of Complex Financial Systems

PubMed Central

Ouyang, Fang-Yan; Zheng, Bo; Jiang, Xiong-Fei

2015-01-01

The empirical mode decomposition is applied to analyze the intrinsic multi-scale dynamic behaviors of complex financial systems. In this approach, the time series of the price returns of each stock is decomposed into a small number of intrinsic mode functions, which represent the price motion from high frequency to low frequency. These intrinsic mode functions are then grouped into three modes, i.e., the fast mode, medium mode and slow mode. The probability distribution of returns and auto-correlation of volatilities for the fast and medium modes exhibit similar behaviors as those of the full time series, i.e., these characteristics are rather robust in multi time scale. However, the cross-correlation between individual stocks and the return-volatility correlation are time scale dependent. The structure of business sectors is mainly governed by the fast mode when returns are sampled at a couple of days, while by the medium mode when returns are sampled at dozens of days. More importantly, the leverage and anti-leverage effects are dominated by the medium mode. PMID:26427063

An analysis of first-time blood donors return behaviour using regression models.

PubMed

Kheiri, S; Alibeigi, Z

2015-08-01

Blood products have a vital role in saving many patients' lives. The aim of this study was to analyse blood donor return behaviour. Using a cross-sectional follow-up design of 5-year duration, 864 first-time donors who had donated blood were selected using a systematic sampling. The behaviours of donors via three response variables, return to donation, frequency of return to donation and the time interval between donations, were analysed based on logistic regression, negative binomial regression and Cox's shared frailty model for recurrent events respectively. Successful return to donation rated at 49·1% and the deferral rate was 13·3%. There was a significant reverse relationship between the frequency of return to donation and the time interval between donations. Sex, body weight and job had an effect on return to donation; weight and frequency of donation during the first year had a direct effect on the total frequency of donations. Age, weight and job had a significant effect on the time intervals between donations. Aging decreases the chances of return to donation and increases the time interval between donations. Body weight affects the three response variables, i.e. the higher the weight, the more the chances of return to donation and the shorter the time interval between donations. There is a positive correlation between the frequency of donations in the first year and the total number of return to donations. Also, the shorter the time interval between donations is, the higher the frequency of donations. © 2015 British Blood Transfusion Society.

Magma at depth: A retrospective analysis of the 1975 unrest at Mount Baker, Washington, USA

USGS Publications Warehouse

Crider, Juliet G.; Frank, David; Malone, Stephen D.; Poland, Michael P.; Werner, Cynthia; Caplan-Auerbach, Jacqueline

2011-01-01

Mount Baker volcano displayed a short interval of seismically-quiescent thermal unrest in 1975, with high emissions of magmatic gas that slowly waned during the following three decades. The area of snow-free ground in the active crater has not returned to pre-unrest levels, and fumarole gas geochemistry shows a decreasing magmatic signature over that same interval. A relative microgravity survey revealed a substantial gravity increase in the ~30 years since the unrest, while deformation measurements suggest slight deflation of the edifice between 1981-83 and 2006-07. The volcano remains seismically quiet with regard to impulsive volcano-tectonic events, but experiences shallow (10 km) long-period earthquakes. Reviewing the observations from the 1975 unrest in combination with geophysical and geochemical data collected in the decades that followed, we infer that elevated gas and thermal emissions at Mount Baker in 1975 resulted from magmatic activity beneath the volcano: either the emplacement of magma at mid-crustal levels, or opening of a conduit to a deep existing source of magmatic volatiles. Decadal-timescale, multi-parameter observations were essential to this assessment of magmatic activity.

A Financial Market Model Incorporating Herd Behaviour.

PubMed

Wray, Christopher M; Bishop, Steven R

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents' accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents' accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option.

An analysis of the financial crisis in the KOSPI market using Hurst exponents

NASA Astrophysics Data System (ADS)

Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

2014-09-01

Recently, the study of the financial crisis has progressed to include the concept of the complex system, thereby improving the understanding of this extreme event from a neoclassical economic perspective. To determine which variables are related to the financial event caused by the 2008 US subprime crisis using temporal correlations, we investigate the diverse variables that may explain the financial system. These variables include return, volatility, trading volume and inter-trade duration data sets within the TAQ data for 27 highly capitalized individual companies listed on the KOSPI stock market. During 2008 and 2009, the Hurst exponent for the return time series over the whole period was less than 0.5, and the Hurst exponents for other variables, such as the volatility, trading volume and inter-trade duration, were greater than 0.5. Additionally, we analyze the relationships between the variation of temporal correlation and market instability based on these Hurst exponents and the degree of multifractality. We find that for the data related to trading volume, the Hurst exponents do not allow us to detect changes in market status, such as changes from normal to abnormal status, whereas other variables, including the return, volatility and weekly inter-trade duration, indicate a significant change in market status after the Lehman Brothers' bankruptcy. In addition, the multifractality and the measurement defined by subtracting the Hurst exponent of the return time series from that of the volatility time series decrease sharply after the US subprime event and recover approximately 50 days after the Lehman Brothers' collapse. Our findings suggest that the temporal features of financial quantities in the TAQ data set and the market complexity perform very well at diagnosing financial market stability.

[Comparing the ammonia volatilization characteristic of two typical paddy soil with total wheat straw returning in Taihu Lake region].

PubMed

Wang, Jun; Wang, De-Jian; Zhang, Gang; Wang, Yuan

2013-01-01

An experiment using monolith lysimeter was conducted to compare the characteristic of N loss by ammonia (NH3) volatilization between the gleyed paddy soil (G soil) and hydromorphic paddy soil (H soil) the Changshu National Agro-ecological Experimental Station of the Chinese Academy of Sciences(31 degrees 33' N, 123 degrees 38' E). Three treatments were designed for each soil type, i. e. control (no urea and straw applied), nitrogen solely and nitrogen plus wheat straw. Ammonia volatilization, flood water NH4(+) -N concentration, pH and top soil Eh were measured during the rice-growing season. Results showed that the NH3 volatilization flux and cumulative N losses by NH3 volatilization from G soil were significantly higher than those from H soil, the average cumulative N losses being about 41.8 kg x hm(-2) and 11.2 kg x hm(-2), or 15.2% and 3.8% of the fertilizer N, respectively. The average N loss by NH3 volatilization during the tillering stage was the highest among the three fertilization stages, accounting for 29.4% and 8.3% of the fertilizer N for G soil and H soil, respectively. Wheat straw returning significantly increased paddy filed NH3 volatilization losses. Comparing with the sole application of fertilizer-N, the cumulative N loss by NH3 volatilization of fertilizer-N in combination with wheat straw was increased by 19.8% and 20.6% for G soil and H soil, respectively. In addition, ammonia volatilization fluxes showed a positive relationship with the flood water NH4(+) -N concentration and pH for both soils, but the relationship with top soil Eh still needs further study.

Rx for low cash yields.

PubMed

Tobe, Chris

2003-10-01

Certain strategies can offer not-for-profit hospitals potentially greater investment yields while maintaining stability and principal safety. Treasury inflation-indexed securities can offer good returns, low volatility, and inflation protection. "Enhanced cash" strategies offer liquidity and help to preserve capital. Stable value "wrappers" allow hospitals to pursue higher-yielding fixed-income securities without an increase in volatility.

Testing CEV stochastic volatility models using implied volatility index data

NASA Astrophysics Data System (ADS)

Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

2018-06-01

We test the goodness-of-fit of stochastic volatility (SV) models using the implied volatility index of the KOSPI200 options (VKOSPI). The likelihood ratio tests reject the Heston and Hull-White SV models, whether or not they include jumps. Our estimation results advocate the unconstrained constant elasticity of variance (CEV) model with return jumps for describing the physical-measure dynamics of the spot index. The sub-period analysis shows that there was a significant increase in the size and frequency of jumps during the crisis period, when compared to those in the normal periods.

Stochastic volatility of the futures prices of emission allowances: A Bayesian approach

NASA Astrophysics Data System (ADS)

Kim, Jungmu; Park, Yuen Jung; Ryu, Doojin

2017-01-01

Understanding the stochastic nature of the spot volatility of emission allowances is crucial for risk management in emissions markets. In this study, by adopting a stochastic volatility model with or without jumps to represent the dynamics of European Union Allowances (EUA) futures prices, we estimate the daily volatilities and model parameters by using the Markov Chain Monte Carlo method for stochastic volatility (SV), stochastic volatility with return jumps (SVJ) and stochastic volatility with correlated jumps (SVCJ) models. Our empirical results reveal three important features of emissions markets. First, the data presented herein suggest that EUA futures prices exhibit significant stochastic volatility. Second, the leverage effect is noticeable regardless of whether or not jumps are included. Third, the inclusion of jumps has a significant impact on the estimation of the volatility dynamics. Finally, the market becomes very volatile and large jumps occur at the beginning of a new phase. These findings are important for policy makers and regulators.

Risk and Returns to Education. NBER Working Paper No. 18300

ERIC Educational Resources Information Center

Brown, Jeffrey; Fang, Chichun; Gomes, Francisco

2012-01-01

We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility (including unemployment), and a progressive income tax and social insurance system. We show that such a framework significantly reduces the measured gains from education relative to simple present-value calculations, although the…

Implied adjusted volatility functions: Empirical evidence from Australian index option market

NASA Astrophysics Data System (ADS)

Harun, Hanani Farhah; Hafizah, Mimi

2015-02-01

This study aims to investigate the implied adjusted volatility functions using the different Leland option pricing models and to assess whether the use of the specified implied adjusted volatility function can lead to an improvement in option valuation accuracy. The implied adjusted volatility is investigated in the context of Standard and Poor/Australian Stock Exchange (S&P/ASX) 200 index options over the course of 2001-2010, which covers the global financial crisis in the mid-2007 until the end of 2008. Both in- and out-of-sample resulted in approximately similar pricing error along the different Leland models. Results indicate that symmetric and asymmetric models of both moneyness ratio and logarithmic transformation of moneyness provide the overall best result in both during and post-crisis periods. We find that in the different period of interval (pre-, during and post-crisis) is subject to a different implied adjusted volatility function which best explains the index options. Hence, it is tremendously important to identify the intervals beforehand in investigating the implied adjusted volatility function.

Risk assessment and stock market volatility in the Eurozone: 1986-2014

NASA Astrophysics Data System (ADS)

Menezes, Rui; Oliveira, Álvaro

2015-04-01

This paper studies the stock market return's volatility in the Eurozone as an input for evaluating the market risk. Stock market returns are endogenously determined by long-term interest rate changes and so is the return's conditional variance. The conditional variance is the time-dependent variance of the underlying variable. In other words, it is the variance of the returns measured at each moment t, so it changes through time depending on the specific market structure at each time observation. Thus, a multivariate EGARCH model is proposed to capture the complex nature of this network. By network, in this context, we mean the chain of stock exchanges that co-move and interact in such a way that a shock in one of them propagates up to the other ones (contagion). Previous studies provide evidence that the Eurozone stock exchanges are deeply integrated. The results indicate that asymmetry and leverage effects exist along with fat tails and endogeneity. In-sample and out-of-sample forecasting tests provide clear evidence that the multivariate EGARCH model performs better than the univariate counterpart to predict the behavior of returns both before and after the 2008 crisis.

Volatile selenium flux from the great Salt Lake, Utah

USGS Publications Warehouse

Diaz, X.; Johnson, W.P.; Oliver, W.A.; Naftz, D.L.

2009-01-01

The removal mechanisms that govern Se concentrations in the Great Salt Lake are unknown despite this terminal lake being an avian habitat of hemispheric importance. However, the volatilization flux of Se from the Great Salt Lake has not been previously measured due to challenges of analysis in this hypersaline environment This paper presents results from recent field studies examining the spatial distribution of dissolved volatile Se (areally and with depth) in the south arm (main body) of the Great Salt Lake. The analyses involved collection of dissolved volatile Se in a cryofocusing trap system via sparging with helium. The cryotrapped volatile Se was digested with nitric acid and analyzed by inductively coupled plasma mass spectrometry (ICP-MS). Results show concentrations of dissolved volatile Se that increase with depth in the shallow brine, suggesting that phytoplankton in the open waters and bioherms in shallow sites (<4 m in depth) may be responsible for volatile Se production. Volatile Se flux to the atmosphere was determined using mass transport models corrected to simulate the highly saline environment of the south arm of the Great Salt Lake. The estimated annual flux of volatile Se was 1455 kg/year within a range from 560 to 3780 kg Se/year for the 95% confidence interval and from 970 to 2180 kg Se/year within the 68% confidence interval. ?? 2009 American Chemical Society.

Development of the probability of return of spontaneous circulation in intervals without chest compressions during out-of-hospital cardiac arrest: an observational study.

PubMed

Gundersen, Kenneth; Kvaløy, Jan Terje; Kramer-Johansen, Jo; Steen, Petter Andreas; Eftestøl, Trygve

2009-02-06

One of the factors that limits survival from out-of-hospital cardiac arrest is the interruption of chest compressions. During ventricular fibrillation and tachycardia the electrocardiogram reflects the probability of return of spontaneous circulation associated with defibrillation. We have used this in the current study to quantify in detail the effects of interrupting chest compressions. From an electrocardiogram database we identified all intervals without chest compressions that followed an interval with compressions, and where the patients had ventricular fibrillation or tachycardia. By calculating the mean-slope (a predictor of the return of spontaneous circulation) of the electrocardiogram for each 2-second window, and using a linear mixed-effects statistical model, we quantified the decline of mean-slope with time. Further, a mapping from mean-slope to probability of return of spontaneous circulation was obtained from a second dataset and using this we were able to estimate the expected development of the probability of return of spontaneous circulation for cases at different levels. From 911 intervals without chest compressions, 5138 analysis windows were identified. The results show that cases with the probability of return of spontaneous circulation values 0.35, 0.1 and 0.05, 3 seconds into an interval in the mean will have probability of return of spontaneous circulation values 0.26 (0.24-0.29), 0.077 (0.070-0.085) and 0.040(0.036-0.045), respectively, 27 seconds into the interval (95% confidence intervals in parenthesis). During pre-shock pauses in chest compressions mean probability of return of spontaneous circulation decreases in a steady manner for cases at all initial levels. Regardless of initial level there is a relative decrease in the probability of return of spontaneous circulation of about 23% from 3 to 27 seconds into such a pause.

In-situ continuous water monitoring system

DOEpatents

Thompson, Cyril V.; Wise, Marcus B.

1998-01-01

An in-situ continuous liquid monitoring system for continuously analyzing volatile components contained in a water source comprises: a carrier gas supply, an extraction container and a mass spectrometer. The carrier gas supply continuously supplies the carrier gas to the extraction container and is mixed with a water sample that is continuously drawn into the extraction container by the flow of carrier gas into the liquid directing device. The carrier gas continuously extracts the volatile components out of the water sample. The water sample is returned to the water source after the volatile components are extracted from it. The extracted volatile components and the carrier gas are delivered continuously to the mass spectrometer and the volatile components are continuously analyzed by the mass spectrometer.

In-situ continuous water monitoring system

DOEpatents

Thompson, C.V.; Wise, M.B.

1998-03-31

An in-situ continuous liquid monitoring system for continuously analyzing volatile components contained in a water source comprises: a carrier gas supply, an extraction container and a mass spectrometer. The carrier gas supply continuously supplies the carrier gas to the extraction container and is mixed with a water sample that is continuously drawn into the extraction container by the flow of carrier gas into the liquid directing device. The carrier gas continuously extracts the volatile components out of the water sample. The water sample is returned to the water source after the volatile components are extracted from it. The extracted volatile components and the carrier gas are delivered continuously to the mass spectrometer and the volatile components are continuously analyzed by the mass spectrometer. 2 figs.

Recurrence interval analysis of trading volumes

NASA Astrophysics Data System (ADS)

Ren, Fei; Zhou, Wei-Xing

2010-06-01

We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q . The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.

Recurrence interval analysis of trading volumes.

PubMed

Ren, Fei; Zhou, Wei-Xing

2010-06-01

We study the statistical properties of the recurrence intervals τ between successive trading volumes exceeding a certain threshold q. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period from January 2000 to May 2009, and two Chinese indices from January 2003 to April 2009. Similar to the recurrence interval distribution of the price returns, the tail of the recurrence interval distribution of the trading volumes follows a power-law scaling, and the results are verified by the goodness-of-fit tests using the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cramér-von Mises criterion. The measurements of the conditional probability distribution and the detrended fluctuation function show that both short-term and long-term memory effects exist in the recurrence intervals between trading volumes. We further study the relationship between trading volumes and price returns based on the recurrence interval analysis method. It is found that large trading volumes are more likely to occur following large price returns, and the comovement between trading volumes and price returns is more pronounced for large trading volumes.

Depth and Horizontal Distribution of Volatiles in Lunar Permanently Shadowed Regions

NASA Astrophysics Data System (ADS)

Hurley, D. M.; Bussey, B.; Lawrence, D. J.; Gladstone, R.; Elphic, R. C.; Vondrak, R. R.

2011-12-01

Neutron spectroscopy from Lunar Prospector returned data consistent with the presence of water ice in the near-subsurface of the Moon in permanently shadowed regions (PSRs) at low spatial resolution. Clementine and ground-based radar returned tantalizing, but inconclusive evidence of ice in lunar PSRs. Later, Mini-RF on Chandrayaan-1 and LRO detected a signature consistent with water ice in some polar craters on the Moon, but not all PSRs. Similarly, LEND on LRO detected a heterogeneous distribution of hydrogen among lunar PSRs. In addition, LAMP on LRO detected FUV spectra consistent with a heterogeneous distribution of frost on the surface of permanently shadowed regions. Yet the weakest spectral feature from LAMP was associated with the crater with the strongest hydrogen feature from LEND. The impact of LCROSS into Cabeus released water and other volatiles, but abundances were higher than the background amounts detected by neutron spectroscopy implying heterogeneity within that PSR. Data from any one instrument taken alone would lead one to a different conclusion about the distribution of volatiles than data taken from any other single instrument. Although the data from different instrumentation can seem to be disparate, the apparent discrepancy results from the different fields of view and sensitivities of the detection techniques. The complementary nature of these data can be exploited to provide a multi-dimensional view of volatiles in lunar PSRs. We apply a Monte Carlo model to describe the retention and redistribution of volatiles within lunar cold traps. The model runs constrain the coherence of volatile deposits with depth, area, and time, which allows us to examine how a given volatile distribution would appear to remote sensing experiments. This provides a big picture framework for integrating the observations of volatiles on the surface and at depth at the poles of the Moon with the goal of finding a distribution of volatiles in lunar PSRs consistent with all of the data.

Hayabusa2 Sample Catcher and Container: Metal-Seal System for Vacuum Encapsulation of Returned Samples with Volatiles and Organic Compounds Recovered from C-Type Asteroid Ryugu

NASA Astrophysics Data System (ADS)

Okazaki, Ryuji; Sawada, Hirotaka; Yamanouchi, Shinji; Tachibana, Shogo; Miura, Yayoi N.; Sakamoto, Kanako; Takano, Yoshinori; Abe, Masanao; Itoh, Shoichi; Yamada, Keita; Yabuta, Hikaru; Okamoto, Chisato; Yano, Hajime; Noguchi, Takaaki; Nakamura, Tomoki; Nagao, Keisuke

2017-07-01

The spacecraft Hayabusa2 was launched on December 3, 2014, to collect and return samples from a C-type asteroid, 162173 Ryugu (provisional designation, 1999 JU3). It is expected that the samples collected contain organic matter and water-bearing minerals and have key information to elucidate the origin and history of the Solar System and the evolution of bio-related organics prior to delivery to the early Earth. In order to obtain samples with volatile species without terrestrial contamination, based on lessons learned from the Hayabusa mission, the sample catcher and container of Hayabusa2 were refined from those used in Hayabusa. The improvements include (1) a mirror finish of the inner wall surface of the sample catcher and the container, (2) adoption of an aluminum metal sealing system, and (3) addition of a gas-sampling interface for gas collection and evacuation. The former two improvements were made to limit contamination of the samples by terrestrial atmosphere below 1 Pa after the container is sealed. The gas-sampling interface will be used to promptly collect volatile species released from the samples in the sample container after sealing of the container. These improvements maintain the value of the returned samples.

Asymmetric conditional volatility in international stock markets

NASA Astrophysics Data System (ADS)

Ferreira, Nuno B.; Menezes, Rui; Mendes, Diana A.

2007-08-01

Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional variance of stock returns are asymmetric functions of past information. We compare the results for the Portuguese Stock Market Index PSI 20 with six other Stock Market Indices, namely the SP 500, FTSE 100, DAX 30, CAC 40, ASE 20, and IBEX 35. In order to assess asymmetric volatility we use autoregressive conditional heteroskedasticity specifications known as TARCH and EGARCH. We also test for asymmetry after controlling for the effect of macroeconomic factors on stock market returns using TAR and M-TAR specifications within a VAR framework. Our results show that the conditional variance is an asymmetric function of past innovations raising proportionately more during market declines, a phenomenon known as the leverage effect. However, when we control for the effect of changes in macroeconomic variables, we find no significant evidence of asymmetric behaviour of the stock market returns. There are some signs that the Portuguese Stock Market tends to show somewhat less market efficiency than other markets since the effect of the shocks appear to take a longer time to dissipate.

Co-movement measure of information transmission on international equity markets

NASA Astrophysics Data System (ADS)

Al Rahahleh, Naseem; Bhatti, M. Ishaq

2017-03-01

Recently, Bhatti and Nguyen (2012) used EVT and various stochastic copulas to study the cross-country co-movements diversification and asset pricing allocation. Weiss (2013) observed that Dynamic Conditional Correlation (DCC) models outperform various copula models. This paper attempts to contribute to the literature on multivariate models for capturing forward and backward return co-movement, spillover effects and volatility linkages. It reflects cross-country forward and backward co-movements more clearly among various coupled international stock markets relating to information transmission and price discovery for making investment decisions. Given the reality of fat-tail or skewed distribution of financial data, this paper proposes the use of VECM-DCC and VAR-DCC models which capture dynamic dependences between the Australian and other selected international financial stock markets. We observe that the return co-movement effects between Australian and Asian countries are bidirectional ((AUS ↔ Hong Kong), (AUS ↔ Japan)) with the exception of Taiwan (AUS → Taiwan). We also observe that the volatility spillover between the Australian and both the UK and the US markets are bidirectional with a larger volatility spillover from both toward the AUS market. Further, the UK market has a higher volatility spillover on the Australian market compared to the US market and the US market has a higher volatility spillover on the UK than that of the Australian market.

Option pricing: Stock price, stock velocity and the acceleration Lagrangian

NASA Astrophysics Data System (ADS)

Baaquie, Belal E.; Du, Xin; Bhanap, Jitendra

2014-12-01

The industry standard Black-Scholes option pricing formula is based on the current value of the underlying security and other fixed parameters of the model. The Black-Scholes formula, with a fixed volatility, cannot match the market's option price; instead, it has come to be used as a formula for generating the option price, once the so called implied volatility of the option is provided as additional input. The implied volatility not only is an entire surface, depending on the strike price and maturity of the option, but also depends on calendar time, changing from day to day. The point of view adopted in this paper is that the instantaneous rate of return of the security carries part of the information that is provided by implied volatility, and with a few (time-independent) parameters required for a complete pricing formula. An option pricing formula is developed that is based on knowing the value of both the current price and rate of return of the underlying security which in physics is called velocity. Using an acceleration Lagrangian model based on the formalism of quantum mathematics, we derive the pricing formula for European call options. The implied volatility of the market can be generated by our pricing formula. Our option price is applied to foreign exchange rates and equities and the accuracy is compared with Black-Scholes pricing formula and with the market price.

A Financial Market Model Incorporating Herd Behaviour

PubMed Central

2016-01-01

Herd behaviour in financial markets is a recurring phenomenon that exacerbates asset price volatility, and is considered a possible contributor to market fragility. While numerous studies investigate herd behaviour in financial markets, it is often considered without reference to the pricing of financial instruments or other market dynamics. Here, a trader interaction model based upon informational cascades in the presence of information thresholds is used to construct a new model of asset price returns that allows for both quiescent and herd-like regimes. Agent interaction is modelled using a stochastic pulse-coupled network, parametrised by information thresholds and a network coupling probability. Agents may possess either one or two information thresholds that, in each case, determine the number of distinct states an agent may occupy before trading takes place. In the case where agents possess two thresholds (labelled as the finite state-space model, corresponding to agents’ accumulating information over a bounded state-space), and where coupling strength is maximal, an asymptotic expression for the cascade-size probability is derived and shown to follow a power law when a critical value of network coupling probability is attained. For a range of model parameters, a mixture of negative binomial distributions is used to approximate the cascade-size distribution. This approximation is subsequently used to express the volatility of model price returns in terms of the model parameter which controls the network coupling probability. In the case where agents possess a single pulse-coupling threshold (labelled as the semi-infinite state-space model corresponding to agents’ accumulating information over an unbounded state-space), numerical evidence is presented that demonstrates volatility clustering and long-memory patterns in the volatility of asset returns. Finally, output from the model is compared to both the distribution of historical stock returns and the market price of an equity index option. PMID:27007236

Hammerstein system represention of financial volatility processes

NASA Astrophysics Data System (ADS)

Capobianco, E.

2002-05-01

We show new modeling aspects of stock return volatility processes, by first representing them through Hammerstein Systems, and by then approximating the observed and transformed dynamics with wavelet-based atomic dictionaries. We thus propose an hybrid statistical methodology for volatility approximation and non-parametric estimation, and aim to use the information embedded in a bank of volatility sources obtained by decomposing the observed signal with multiresolution techniques. Scale dependent information refers both to market activity inherent to different temporally aggregated trading horizons, and to a variable degree of sparsity in representing the signal. A decomposition of the expansion coefficients in least dependent coordinates is then implemented through Independent Component Analysis. Based on the described steps, the features of volatility can be more effectively detected through global and greedy algorithms.

NUCLEAR REACTOR

DOEpatents

Breden, C.R.; Dietrich, J.R.

1961-06-20

A water-soluble non-volatile poison may be introduced into a reactor to nullify excess reactivity. The poison is removed by passing a side stream of the water containing the soluble poison to an evaporation chamber. The vapor phase is returned to the reactor to decrease the concentration of soluble poison and the liquid phase is returned to increase the concentration of soluble poison.

Do Earthquakes Shake Stock Markets?

PubMed Central

2015-01-01

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan. PMID:26197482

Estimation of the Continuous and Discontinuous Leverage Effects

PubMed Central

Aït-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J. A.; Wang, Christina Dan; Yang, Xiye

2017-01-01

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one. PMID:29606780

Do Earthquakes Shake Stock Markets?

PubMed

Ferreira, Susana; Karali, Berna

2015-01-01

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.

Estimation of the Continuous and Discontinuous Leverage Effects.

PubMed

Aït-Sahalia, Yacine; Fan, Jianqing; Laeven, Roger J A; Wang, Christina Dan; Yang, Xiye

2017-01-01

This paper examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate them. We establish the asymptotic properties of these estimators. We also extend our methods and results (for the continuous leverage) to the situation where there is market microstructure noise in the observed returns. We show in Monte Carlo simulations that our estimators have good finite sample performance. When applying our methods to real data, our empirical results provide convincing evidence of the presence of the two leverage effects, especially the discontinuous one.

Assessing the stock market volatility for different sectors in Malaysia by using standard deviation and EWMA methods

NASA Astrophysics Data System (ADS)

Saad, Shakila; Ahmad, Noryati; Jaffar, Maheran Mohd

2017-11-01

Nowadays, the study on volatility concept especially in stock market has gained so much attention from a group of people engaged in financial and economic sectors. The applications of volatility concept in financial economics can be seen in valuation of option pricing, estimation of financial derivatives, hedging the investment risk and etc. There are various ways to measure the volatility value. However for this study, two methods are used; the simple standard deviation and Exponentially Weighted Moving Average (EWMA). The focus of this study is to measure the volatility on three different sectors of business in Malaysia, called primary, secondary and tertiary by using both methods. The daily and annual volatilities of different business sector based on stock prices for the period of 1 January 2014 to December 2014 have been calculated in this study. Result shows that different patterns of the closing stock prices and return give different volatility values when calculating using simple method and EWMA method.

Rusty rock 66095 - A paradigm for volatile-element mobility in highland rocks

NASA Astrophysics Data System (ADS)

Hunter, R. H.; Taylor, L. A.

The ultimate goals of Apollo 16 consortia investigations are related to a determination of the nature of the early crust of the moon, taking into account questions regarding the petrogenesis of highland breccias and melt-rocks. In addition to these potential objectives, the consortia study of 66095 has also the goal to provide information for an understanding of the origin of volatile elements. Since 66095 is the most volatile-rich sample returned by the Apollo missions and its elemental ratios mimic those in many Apollo 16 breccias, it was selected as a paradigm for the highland breccias. 66095 is a clast-laden, impact-melt breccia. The volatile-rich nature is manifest in the presence of rust, schreibersite, and minor volatile-bearing compounds, usually in association with native metal and/or troilite. Attention is given to aspects of petrography, mineral chemistry, major element chemistry, the volatile bearing phases, and the history of the volatiles starting with their ultimate origin.

The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model

NASA Astrophysics Data System (ADS)

Chen, Cathy W. S.; Yang, Ming Jing; Gerlach, Richard; Jim Lo, H.

2006-07-01

In this paper, we investigate the asymmetric reactions of mean and volatility of stock returns in five major markets to their own local news and the US information via linear and nonlinear models. We introduce a four-regime Double-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by employing two threshold variables, to analyze the stock markets’ reactions to different types of information (good/bad news) generated from the domestic markets and the US stock market. By applying the four-regime DTGARCH model, this study finds that the interaction between the information of domestic and US stock markets leads to the asymmetric reactions of stock returns and their variability. In addition, this research also finds that the positive autocorrelation reported in the previous studies of financial markets may in fact be mis-specified, and actually due to the local market's positive response to the US stock market.

Modeling and complexity of stochastic interacting Lévy type financial price dynamics

NASA Astrophysics Data System (ADS)

Wang, Yiduan; Zheng, Shenzhou; Zhang, Wei; Wang, Jun; Wang, Guochao

2018-06-01

In attempt to reproduce and investigate nonlinear dynamics of security markets, a novel nonlinear random interacting price dynamics, which is considered as a Lévy type process, is developed and investigated by the combination of lattice oriented percolation and Potts dynamics, which concerns with the instinctive random fluctuation and the fluctuation caused by the spread of the investors' trading attitudes, respectively. To better understand the fluctuation complexity properties of the proposed model, the complexity analyses of random logarithmic price return and corresponding volatility series are preformed, including power-law distribution, Lempel-Ziv complexity and fractional sample entropy. In order to verify the rationality of the proposed model, the corresponding studies of actual security market datasets are also implemented for comparison. The empirical results reveal that this financial price model can reproduce some important complexity features of actual security markets to some extent. The complexity of returns decreases with the increase of parameters γ1 and β respectively, furthermore, the volatility series exhibit lower complexity than the return series

Soyuz 7 Return Samples: Assessment of Air Quality Aboard the International Space Station

NASA Technical Reports Server (NTRS)

James, John T.

2004-01-01

The toxicological assessments of one grab sample canister (GSC), 6 dual sorbent tubes (DSTs), and 20 formaldehyde badges returned aboard Soyuz 7 are reported. Analytical methods have not changed from earlier reports. Surrogate standard recoveries from the GSC were 84-89%. The recoveries of the less volatile surrogates from the DSTs were 87 to 112%; however, 13C-acetone was only recovered at 53-59%. Formaldehyde recoveries from 2 lab controls were 87 and 95%; trip controls were not returned to ground.

On the connection between financial processes with stochastic volatility and nonextensive statistical mechanics

NASA Astrophysics Data System (ADS)

Queirós, S. M. D.; Tsallis, C.

2005-11-01

The GARCH algorithm is the most renowned generalisation of Engle's original proposal for modelising returns, the ARCH process. Both cases are characterised by presenting a time dependent and correlated variance or volatility. Besides a memory parameter, b, (present in ARCH) and an independent and identically distributed noise, ω, GARCH involves another parameter, c, such that, for c=0, the standard ARCH process is reproduced. In this manuscript we use a generalised noise following a distribution characterised by an index qn, such that qn=1 recovers the Gaussian distribution. Matching low statistical moments of GARCH distribution for returns with a q-Gaussian distribution obtained through maximising the entropy Sq=1-sumipiq/q-1, basis of nonextensive statistical mechanics, we obtain a sole analytical connection between q and left( b,c,qnright) which turns out to be remarkably good when compared with computational simulations. With this result we also derive an analytical approximation for the stationary distribution for the (squared) volatility. Using a generalised Kullback-Leibler relative entropy form based on Sq, we also analyse the degree of dependence between successive returns, zt and zt+1, of GARCH(1,1) processes. This degree of dependence is quantified by an entropic index, qop. Our analysis points the existence of a unique relation between the three entropic indexes qop, q and qn of the problem, independent of the value of (b,c).

Observability of market daily volatility

NASA Astrophysics Data System (ADS)

Petroni, Filippo; Serva, Maurizio

2016-02-01

We study the price dynamics of 65 stocks from the Dow Jones Composite Average from 1973 to 2014. We show that it is possible to define a Daily Market Volatility σ(t) which is directly observable from data. This quantity is usually indirectly defined by r(t) = σ(t) ω(t) where the r(t) are the daily returns of the market index and the ω(t) are i.i.d. random variables with vanishing average and unitary variance. The relation r(t) = σ(t) ω(t) alone is unable to give an operative definition of the index volatility, which remains unobservable. On the contrary, we show that using the whole information available in the market, the index volatility can be operatively defined and detected.

Statistics of return intervals between long heartbeat intervals and their usability for online prediction of disorders

NASA Astrophysics Data System (ADS)

Bogachev, Mikhail I.; Kireenkov, Igor S.; Nifontov, Eugene M.; Bunde, Armin

2009-06-01

We study the statistics of return intervals between large heartbeat intervals (above a certain threshold Q) in 24 h records obtained from healthy subjects. We find that both the linear and the nonlinear long-term memory inherent in the heartbeat intervals lead to power-laws in the probability density function PQ(r) of the return intervals. As a consequence, the probability WQ(t; Δt) that at least one large heartbeat interval will occur within the next Δt heartbeat intervals, with an increasing elapsed number of intervals t after the last large heartbeat interval, follows a power-law. Based on these results, we suggest a method of obtaining a priori information about the occurrence of the next large heartbeat interval, and thus to predict it. We show explicitly that the proposed method, which exploits long-term memory, is superior to the conventional precursory pattern recognition technique, which focuses solely on short-term memory. We believe that our results can be straightforwardly extended to obtain more reliable predictions in other physiological signals like blood pressure, as well as in other complex records exhibiting multifractal behaviour, e.g. turbulent flow, precipitation, river flows and network traffic.

Recurrence patterns and factors associated with regular, irregular, and late return to service of female pigs and their lifetime performance on southern European farms.

PubMed

Tani, S; Piñeiro, C; Koketsu, Y

2016-05-01

A return-to-service occurrence increases nonproductive days of female pigs and decreases herd productivity. The objectives of the present study were 1) to characterize 3 return types based on reservice intervals in female pigs on southern European farms, 2) to determine return risks and recurrence patterns for these types of returns, and 3) to assess lifetime performance of females with the 3 types of returns. We analyzed 653,528 service records and lifetime records of 114,906 females on 125 farms between 2008 and 2013. Reservice intervals were categorized into 3 groups: regular returns (RR: 18 to 24 d), irregular returns (IR: 25 to 38 d), and late returns (LR: 39 d or later). Multilevel generalized linear models were applied to the data. There were 64,385 reservice records (9.9%), with mean risks of RR, IR, and LR per service (±SEM) of 3.6% ± 0.06%, 2.5% ± 0.05%, and 3.0% ± 0.06%, respectively. Of the 43,931 first-returned females, 32.7% had a second return in the same or later parity. Also, 18.8%, 10.2%, and 11.6% of females that had RR, IR, and LR first returns, respectively, had a second return of the same return type. Summer servicing was associated with greater RR, IR, and LR risks in gilts. Also, increased gilt age at first mating was associated with RR ( = 0.03) and LR risk ( < 0.01) but not with IR risk ( = 0.53). For sows, factors associated with greater RR, IR, or LR risks were summer servicing, lower parity, farrowing more stillborn piglets, and having a weaning-to-first-mating interval of 7 d or more ( < 0.01). In lifetime, 33.5% of serviced females had 1 or more returns. These returned females had 41.5 more lifetime nonproductive days than nonreturn females but also 1.9 more lifetime pigs born alive ( < 0.01). We recommend that producers closely monitor females in high-risk groups to reduce their return-to-service intervals.

Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

NASA Astrophysics Data System (ADS)

Cao, Guangxi; Zhang, Minjia; Li, Qingchen

2017-04-01

This study focuses on multifractal detrended cross-correlation analysis of the different volatility intervals of Mainland China, US, and Hong Kong stock markets. A volatility-constrained multifractal detrended cross-correlation analysis (VC-MF-DCCA) method is proposed to study the volatility conductivity of Mainland China, US, and Hong Kong stock markets. Empirical results indicate that fluctuation may be related to important activities in real markets. The Hang Seng Index (HSI) stock market is more influential than the Shanghai Composite Index (SCI) stock market. Furthermore, the SCI stock market is more influential than the Dow Jones Industrial Average stock market. The conductivity between the HSI and SCI stock markets is the strongest. HSI was the most influential market in the large fluctuation interval of 1991 to 2014. The autoregressive fractionally integrated moving average method is used to verify the validity of VC-MF-DCCA. Results show that VC-MF-DCCA is effective.

Grassland agriculture

USDA-ARS?s Scientific Manuscript database

Agriculture in grassland environments is facing multiple stresses from: shifting demographics, declining and fragmented agricultural landscapes, declining environmental quality, variable and changing climate, volatile and increasing energy costs, marginal economic returns, and globalization. Degrad...

Breeds of risk-adjusted fundamentalist strategies in an order-driven market

NASA Astrophysics Data System (ADS)

LiCalzi, Marco; Pellizzari, Paolo

2006-01-01

This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its risk-adjusted fundamental value. This environment generates returns that are remarkably leptokurtic and fat-tailed. By extending the study over a grid of different parameters for the fundamentalist trading strategy, we exhibit the existence of monotone relationships between the bid-ask spread demanded by the agents and several statistics of the returns. We conjecture that this effect, coupled with positive dependence of the risk premium on the volatility, generates positive feedbacks that might explain volatility bursts.

Is stock market volatility asymmetric? A multi-period analysis for five countries

NASA Astrophysics Data System (ADS)

Bentes, Sonia R.

2018-06-01

This study examines the asymmetry in the volatility of the returns of five indices, namely, PSI 20 (Portugal), ISEQ 20 (Ireland), MIB 30 (Italy), ATHEX 30 (Greece) and IBEX 35 (Spain) using daily data from 2004-2016. For this purpose, we estimate the GJR and EGARCH asymmetric models for the whole sample and then split it into three subperiods of approximately four years each to examine how the coefficient on asymmetry behaves over time. Our results for the full sample show that all indices exhibit different levels of asymmetry. When we consider the subsample analysis however results show that while there is mixed evidence from the first to the second subperiods, all returns evidence an increase in asymmetry from the second to the last subperiod.

Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations

NASA Astrophysics Data System (ADS)

Meng, Hao; Ren, Fei; Gu, Gao-Feng; Xiong, Xiong; Zhang, Yong-Jie; Zhou, Wei-Xing; Zhang, Wei

2012-05-01

Understanding the statistical properties of recurrence intervals (also termed return intervals in econophysics literature) of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been extensively investigated. However, the impacts of microscopic rules of a complex system on the macroscopic properties of its recurrence intervals are less studied. In this letter, we adopt an order-driven stock model to address this issue for stock returns. We find that the distributions of the scaled recurrence intervals of simulated returns have a power-law scaling with stretched exponential cutoff and the intervals possess multifractal nature, which are consistent with empirical results. We further investigate the effects of long memory in the directions (or signs) and relative prices of the order flow on the characteristic quantities of these properties. It is found that the long memory in the order directions (Hurst index Hs) has a negligible effect on the interval distributions and the multifractal nature. In contrast, the power-law exponent of the interval distribution increases linearly with respect to the Hurst index Hx of the relative prices, and the singularity width of the multifractal nature fluctuates around a constant value when Hx<0.7 and then increases with Hx. No evident effects of Hs and Hx are found on the long memory of the recurrence intervals. Our results indicate that the nontrivial properties of the recurrence intervals of returns are mainly caused by traders' behaviors of persistently placing new orders around the best bid and ask prices.

An analysis of switching and non-switching slot machine player behaviour.

PubMed

Coates, Ewan; Blaszczynski, Alex

2013-12-01

Learning theory predicts that, given the repeated choice to bet between two concurrently available slot machines, gamblers will learn to bet more money on the machine with higher expected return (payback percentage) or higher win probability per spin (volatility). The purpose of this study was to investigate whether this occurs when the two machines vary orthogonally on payback percentage and volatility. The sample comprised 52 first year psychology students (mean age = 20.3 years, 20 females, 32 males) who had played a gaming machine at least once in the previous 12 months. Participants were administered a battery of questionnaires designed to assess level of knowledge on the characteristics and operation of poker machines, frequency of poker machine play in the past 12 months, personality traits of impulsivity and capacity for cognitive reflection, and gambling beliefs. For the experimental task, participants were instructed to play on two PC-simulated electronic gaming machines (EGMs or slot machines) that differed on payback percentage and volatility, with the option of freely switching between EGMs after a practice phase. Results indicated that participants were able to easily discriminate between machines and manifested a preference to play machines offering higher payback or volatility. These findings diverged from previous findings of no preference for play on higher payback/volatility machines, potentially due to of the current study's absence of the option to make multi-line and multi-credit bets. It was concluded that return rate parameters like payback percentage and volatility strongly influenced slot machine preference in the absence of betting options like multi-line bets, though more research is needed to determine the effects of such betting options on player distribution of money between multiple EGMs.

Dimension reduction and multiscaling law through source extraction

NASA Astrophysics Data System (ADS)

Capobianco, Enrico

2003-04-01

Through the empirical analysis of financial return generating processes one may find features that are common to other research fields, such as internet data from network traffic, physiological studies about human heart beat, speech and sleep recorded time series, geophysics signals, just to mention well-known cases of study. In particular, long range dependence, intermittency, heteroscedasticity are clearly appearing, and consequently power laws and multi-scaling behavior result typical signatures of either the spectral or the time correlation diagnostics. We study these features and the dynamics underlying financial volatility, which can respectively be detected and inferred from high frequency realizations of stock index returns, and show that they vary according to the resolution levels used for both the analysis and the synthesis of the available information. Discovering whether the volatility dynamics are subject to changes in scaling regimes requires the consideration of a model embedding scale-dependent information packets, thus accounting for possible heterogeneous activity occurring in financial markets. Independent component analysis result to be an important tool for reducing the dimension of the problem and calibrating greedy approximation techniques aimed to learn the structure of the underlying volatility.

Predictors of return rate discrimination in slot machine play.

PubMed

Coates, Ewan; Blaszczynski, Alex

2014-09-01

The purpose of this study was to investigate the extent to which accurate estimates of payback percentages and volatility combined with prior learning, enabled players to successfully discriminate between multi-line/multi-credit slot machines that provided differing rates of reinforcement. The aim was to determine if the capacity to discriminate structural characteristics of gaming machines influenced player choices in selecting 'favourite' slot machines. Slot machine gambling history, gambling beliefs and knowledge, impulsivity, illusions of control, and problem solving style were assessed in a sample of 48 first year undergraduate psychology students. Participants were subsequently exposed to a choice paradigm where they could freely select to play either of two concurrently presented PC-simulated slot machines programmed to randomly differ in expected player return rates (payback percentage) and win frequency (volatility). Results suggest that prior learning and cognitions (particularly gambler's fallacy) but not payback, were major contributors to the ability of a player to discriminate volatility between slot machines. Participants displayed a general tendency to discriminate payback, but counter-intuitively placed more bets on the slot machine with lower payback percentage rates.

Maintaining molten salt electrolyte concentration in aluminum-producing electrolytic cell

DOEpatents

Barnett, Robert J.; Mezner, Michael B.; Bradford, Donald R

2005-01-04

A method of maintaining molten salt concentration in a low temperature electrolytic cell used for production of aluminum from alumina dissolved in a molten salt electrolyte contained in a cell free of frozen crust wherein volatile material is vented from the cell and contacted and captured on alumina being added to the cell. The captured volatile material is returned with alumina to cell to maintain the concentration of the molten salt.

Approximation methods of European option pricing in multiscale stochastic volatility model

NASA Astrophysics Data System (ADS)

Ni, Ying; Canhanga, Betuel; Malyarenko, Anatoliy; Silvestrov, Sergei

2017-01-01

In the classical Black-Scholes model for financial option pricing, the asset price follows a geometric Brownian motion with constant volatility. Empirical findings such as volatility smile/skew, fat-tailed asset return distributions have suggested that the constant volatility assumption might not be realistic. A general stochastic volatility model, e.g. Heston model, GARCH model and SABR volatility model, in which the variance/volatility itself follows typically a mean-reverting stochastic process, has shown to be superior in terms of capturing the empirical facts. However in order to capture more features of the volatility smile a two-factor, of double Heston type, stochastic volatility model is more useful as shown in Christoffersen, Heston and Jacobs [12]. We consider one modified form of such two-factor volatility models in which the volatility has multiscale mean-reversion rates. Our model contains two mean-reverting volatility processes with a fast and a slow reverting rate respectively. We consider the European option pricing problem under one type of the multiscale stochastic volatility model where the two volatility processes act as independent factors in the asset price process. The novelty in this paper is an approximating analytical solution using asymptotic expansion method which extends the authors earlier research in Canhanga et al. [5, 6]. In addition we propose a numerical approximating solution using Monte-Carlo simulation. For completeness and for comparison we also implement the semi-analytical solution by Chiarella and Ziveyi [11] using method of characteristics, Fourier and bivariate Laplace transforms.

40 CFR 60.112b - Standard for volatile organic compounds (VOC).

Code of Federal Regulations, 2010 CFR

2010-07-01

... for Volatile Organic Liquid Storage Vessels (Including Petroleum Liquid Storage Vessels) for Which... specifications: (i) The internal floating roof shall rest or float on the liquid surface (but not necessarily in... be floating on the liquid surface at all times, except during initial fill and during those intervals...

40 CFR 60.112b - Standard for volatile organic compounds (VOC).

Code of Federal Regulations, 2012 CFR

2012-07-01

... for Volatile Organic Liquid Storage Vessels (Including Petroleum Liquid Storage Vessels) for Which... specifications: (i) The internal floating roof shall rest or float on the liquid surface (but not necessarily in... be floating on the liquid surface at all times, except during initial fill and during those intervals...

40 CFR 60.112b - Standard for volatile organic compounds (VOC).

Code of Federal Regulations, 2014 CFR

2014-07-01

... for Volatile Organic Liquid Storage Vessels (Including Petroleum Liquid Storage Vessels) for Which... specifications: (i) The internal floating roof shall rest or float on the liquid surface (but not necessarily in... be floating on the liquid surface at all times, except during initial fill and during those intervals...

40 CFR 60.112b - Standard for volatile organic compounds (VOC).

Code of Federal Regulations, 2013 CFR

2013-07-01

... for Volatile Organic Liquid Storage Vessels (Including Petroleum Liquid Storage Vessels) for Which... specifications: (i) The internal floating roof shall rest or float on the liquid surface (but not necessarily in... be floating on the liquid surface at all times, except during initial fill and during those intervals...

40 CFR 60.112b - Standard for volatile organic compounds (VOC).

Code of Federal Regulations, 2011 CFR

2011-07-01

... for Volatile Organic Liquid Storage Vessels (Including Petroleum Liquid Storage Vessels) for Which... specifications: (i) The internal floating roof shall rest or float on the liquid surface (but not necessarily in... be floating on the liquid surface at all times, except during initial fill and during those intervals...

Workshop on Evolution of Martian Volatiles. Part 1

NASA Technical Reports Server (NTRS)

Jakosky, B. (Editor); Treiman, A. (Editor)

1996-01-01

This volume contains papers that were presented on February 12-14, 1996 at the Evolution for Martian Volatiles Workshop. Topics in this volume include: returned Martian samples; acidic volatiles and the Mars soil; solar EUV Radiation; the ancient Mars Thermosphere; primitive methane atmospheres on Earth and Mars; the evolution of Martian water; the role of SO2 for the climate history of Mars; impact crater morphology; the formation of the Martian drainage system; atmospheric dust-water ice Interactions; volatiles and volcanos; accretion of interplanetary dust particles; Mars' ionosphere; simulations with the NASA Ames Mars General Circulation Model; modeling the Martian water cycle; the evolution of Martian atmosphere; isotopic composition; solar occultation; magnetic fields; photochemical weathering; NASA's Mars Surveyor Program; iron formations; measurements of Martian atmospheric water vapor; and the thermal evolution Models of Mars.

Three essays on agricultural price volatility and the linkages between agricultural and energy markets

NASA Astrophysics Data System (ADS)

Wu, Feng

This dissertation contains three essays. In the first essay I use a volatility spillover model to find evidence of significant spillovers from crude oil prices to corn cash and futures prices, and that these spillover effects are time-varying. Results reveal that corn markets have become much more connected to crude oil markets after the introduction of the Energy Policy Act of 2005. Furthermore, crude oil prices transmit positive volatility spillovers into corn prices and movements in corn prices become more energy-driven as the ethanol gasoline consumption ratio increases. Based on this strong volatility link between crude oil and corn prices, a new cross hedging strategy for managing corn price risk using oil futures is examined and its performance studied. Results show that this cross hedging strategy provides only slightly better hedging performance compared to traditional hedging in corn futures markets alone. The implication is that hedging corn price risk in corn futures markets alone can still provide relatively satisfactory performance in the biofuel era. The second essay studies the spillover effect of biofuel policy on participation in the Conservation Reserve Program. Landowners' participation decisions are modeled using a real options framework. A novel aspect of the model is that it captures the structural change in agriculture caused by rising biofuel production. The resulting model is used to simulate the spillover effect under various conditions. In particular, I simulate how increased growth in agricultural returns, persistence of the biofuel production boom, and the volatility surrounding agricultural returns, affect conservation program participation decisions. Policy implications of these results are also discussed. The third essay proposes a methodology to construct a risk-adjusted implied volatility measure that removes the forecasting bias of the model-free implied volatility measure. The risk adjustment is based on a closed-form relationship between the expectation of future volatility and the model-free implied volatility assuming a jump-diffusion model. I use a GMM estimation framework to identify the key model parameters needed to apply the model. An empirical application to corn futures implied volatility is used to illustrate the methodology and demonstrate differences between my approach and the model-free implied volatility using observed corn option prices. I compare the risk-adjusted forecast with the unadjusted forecast as well as other alternatives; and results suggest that the risk-adjusted volatility is unbiased, informationally more efficient, and has superior predictive power over the alternatives considered.

The risks and returns of stock investment in a financial market

NASA Astrophysics Data System (ADS)

Li, Jiang-Cheng; Mei, Dong-Cheng

2013-03-01

The risks and returns of stock investment are discussed via numerically simulating the mean escape time and the probability density function of stock price returns in the modified Heston model with time delay. Through analyzing the effects of delay time and initial position on the risks and returns of stock investment, the results indicate that: (i) There is an optimal delay time matching minimal risks of stock investment, maximal average stock price returns and strongest stability of stock price returns for strong elasticity of demand of stocks (EDS), but the opposite results for weak EDS; (ii) The increment of initial position recedes the risks of stock investment, strengthens the average stock price returns and enhances stability of stock price returns. Finally, the probability density function of stock price returns and the probability density function of volatility and the correlation function of stock price returns are compared with other literatures. In addition, good agreements are found between them.

Correlation and volatility in an Indian stock market: A random matrix approach

NASA Astrophysics Data System (ADS)

Kulkarni, Varsha; Deo, Nivedita

2007-11-01

We examine the volatility of an Indian stock market in terms of correlation of stocks and quantify the volatility using the random matrix approach. First we discuss trends observed in the pattern of stock prices in the Bombay Stock Exchange for the three-year period 2000 2002. Random matrix analysis is then applied to study the relationship between the coupling of stocks and volatility. The study uses daily returns of 70 stocks for successive time windows of length 85 days for the year 2001. We compare the properties of matrix C of correlations between price fluctuations in time regimes characterized by different volatilities. Our analyses reveal that (i) the largest (deviating) eigenvalue of C correlates highly with the volatility of the index, (ii) there is a shift in the distribution of the components of the eigenvector corresponding to the largest eigenvalue across regimes of different volatilities, (iii) the inverse participation ratio for this eigenvector anti-correlates significantly with the market fluctuations and finally, (iv) this eigenvector of C can be used to set up a Correlation Index, CI whose temporal evolution is significantly correlated with the volatility of the overall market index.

Long-range dependence in returns and volatility of global gold market amid financial crises

NASA Astrophysics Data System (ADS)

Omane-Adjepong, Maurice; Boako, Gideon

2017-04-01

Using sampled historical daily gold market data from 07-03-1985 to 06-01-2015, and building on a related work by Bentes (2016), this paper examines the presence of long-range dependence (LRD) in the world's gold market returns and volatility, accounting for structural breaks. The sampled gold market data was divided into subsamples based on four global crises: the September 1992 collapse of the European Exchange Rate Mechanism (ERM), the Asian financial crisis of mid-1997, the Subprime meltdown of 2007, and the recent European sovereign debt crisis, which hit the world's market with varying effects. LRD test was carried-out on the full-sample and subsample periods using three semiparametric methods-before and after adjusting for structural breaks. The results show insignificant evidence of LRD in gold returns. However, very diminutive evidence is found for periods characterized by financial/economic shocks, with no significant detections for post-shock periods. Collectively, this is indicative that the gold market is less speculative, and hence could be somehow less risky for hedging and portfolio diversification.

Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries

NASA Astrophysics Data System (ADS)

Muniandy, Sithi V.; Uning, Rosemary

2006-11-01

Foreign currency exchange rate policies of ASEAN member countries have undergone tremendous changes following the 1997 Asian financial crisis. In this paper, we study the fractal and long-memory characteristics in the volatility of five ASEAN founding members’ exchange rates with respect to US dollar. The impact of exchange rate policies implemented by the ASEAN-5 countries on the currency fluctuations during pre-, mid- and post-crisis are briefly discussed. The time series considered are daily price returns, absolute returns and aggregated absolute returns, each partitioned into three segments based on the crisis regimes. These time series are then modeled using fractional Gaussian noise, fractionally integrated ARFIMA (0,d,0) and generalized Cauchy process. The first two stationary models provide the description of long-range dependence through Hurst and fractional differencing parameter, respectively. Meanwhile, the generalized Cauchy process offers independent estimation of fractal dimension and long memory exponent. In comparison, among the three models we found that the generalized Cauchy process showed greater sensitivity to transition of exchange rate regimes that were implemented by ASEAN-5 countries.

An analysis of security price risk and return among publicly traded pharmacy corporations.

PubMed

Gilligan, Adrienne M; Skrepnek, Grant H

2013-01-01

Community pharmacies have been subject to intense and increasing competition in the past several decades. To determine the security price risk and rate of return of publicly traded pharmacy corporations present on the major U.S. stock exchanges from 1930 to 2009. The Center of Research in Security Prices (CRSP) database was used to examine monthly security-level stock market prices in this observational retrospective study. The primary outcome of interest was the equity risk premium, with analyses focusing upon financial metrics associated with risk and return based upon modern portfolio theory (MPT) including: abnormal returns (i.e., alpha), volatility (i.e., beta), and percentage of returns explained (i.e., adjusted R(2)). Three equilibrium models were estimated using random-effects generalized least squares (GLS): 1) the Capital Asset Pricing Model (CAPM); 2) Fama-French Three-Factor Model; and 3) Carhart Four-Factor Model. Seventy-five companies were examined from 1930 to 2009, with overall adjusted R(2) values ranging from 0.13 with the CAPM to 0.16 with the Four-Factor model. Alpha was not significant within any of the equilibrium models across the entire 80-year time period, though was found from 1999 to 2009 in the Three- and Four-Factor models to be associated with a large, significant, and negative risk-adjusted abnormal returns of -33.84%. Volatility varied across specific time periods based upon the financial model employed. This investigation of risk and return within publicly listed pharmacy corporations from 1930 to 2009 found that substantial losses were incurred particularly from 1999 to 2009, with risk-adjusted security valuations decreasing by one-third. Copyright © 2013 Elsevier Inc. All rights reserved.

Scaling symmetry, renormalization, and time series modeling: the case of financial assets dynamics.

PubMed

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

Scaling symmetry, renormalization, and time series modeling: The case of financial assets dynamics

NASA Astrophysics Data System (ADS)

Zamparo, Marco; Baldovin, Fulvio; Caraglio, Michele; Stella, Attilio L.

2013-12-01

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous autoregressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments’ stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power-law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal, and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance, in terms of obtaining closed formulas for derivative pricing. Further important features are the possibility of making contact, in certain limits, with autoregressive models widely used in finance and the possibility of partially resolving the long- and short-memory components of the volatility, with consistent results when applied to historical series.

A Coupled Model for Simulating Future Wildfire Regimes in the Western U.S.

NASA Astrophysics Data System (ADS)

Bart, R. R.; Kennedy, M. C.; Tague, C.; Hanan, E. J.

2017-12-01

Higher temperatures and larger fuel loads in the western U.S. have increased the size and intensity of wildfires over the past decades. However, it is unclear if this trend will continue over the long-term since increased wildfire activity has the countering effect of reducing landscape fuel loads, while higher temperatures alter the rate of vegetation recovery following fire. In this study, we introduce a coupled ecohydrologic-fire model for investigating how changes in vegetation, forest management, climate, and hydrology may affect future fire regimes. The spatially-distributed ecohydrologic model, RHESSys, simulates hydrologic, carbon and nutrient fluxes at watershed scales; the fire-spread model, WMFire, stochastically propagates fire on a landscape based on conditions in the ecohydrologic model. We use the coupled model to replicate fire return intervals in multiple ecoregions within the western U.S., including the southern Sierra Nevada and southern California. We also examine the sensitivity of fire return intervals to various model processes, including litter production, fire severity, and post-fire vegetation recovery rates. Results indicate that the coupled model is able to replicate expected fire return intervals in the selected locations. Fire return intervals were highly sensitive to the rate of vegetation growth, with longer fire return intervals associated with slower growing vegetation. Application of the model is expected to aid in our understanding of how fuel treatments, climate change and droughts may affect future fire regimes.

Predictability of Bristol Bay, Alaska, sockeye salmon returns one to four years in the future

USGS Publications Warehouse

Adkison, Milo D.; Peterson, R.M.

2000-01-01

Historically, forecast error for returns of sockeye salmon Oncorhynchus nerka to Bristol Bay, Alaska, has been large. Using cross-validation forecast error as our criterion, we selected forecast models for each of the nine principal Bristol Bay drainages. Competing forecast models included stock-recruitment relationships, environmental variables, prior returns of siblings, or combinations of these predictors. For most stocks, we found prior returns of siblings to be the best single predictor of returns; however, forecast accuracy was low even when multiple predictors were considered. For a typical drainage, an 80% confidence interval ranged from one half to double the point forecast. These confidence intervals appeared to be appropriately wide.

Analysis of aggregated tick returns: Evidence for anomalous diffusion

NASA Astrophysics Data System (ADS)

Weber, Philipp

2007-01-01

In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time interval is important, it cannot alone explain the heavy-tailed distribution of stock price changes. For this reason, we analyze intervals with a fixed number of trades in order to eliminate the influence of the trading frequency and investigate the relevance of other factors for the aggregate return. We show that in tick time the price follows a discrete diffusion process with a variable step width while the difference between the number of steps in positive and negative direction in an interval is Gaussian distributed. The step width is given by the return due to a single trade and is long-term correlated in tick time. Hence, its mean value can well characterize an interval of many trades and turns out to be an important determinant for large aggregate returns. We also present a statistical model reproducing the cumulative distribution of aggregate returns. For an accurate agreement with the empirical distribution, we also take into account asymmetries of the step widths in different directions together with cross correlations between these asymmetries and the mean step width as well as the signs of the steps.

Farming with Grass: Achieving Sustainable Mixed Agricultural Landscapes

USDA-ARS?s Scientific Manuscript database

Agriculture in grassland environments is facing multiple stresses from shifting demographics, declining and fragmented agricultural landscapes, declining environmental quality, variable and changing climate, volatile and increasing energy costs, marginal economic returns, and globalization. Grassla...

Volatile-rich lunar soil - Evidence of possible cometary impact.

NASA Technical Reports Server (NTRS)

Gibson, E. K., Jr.; Moore, G. W.

1973-01-01

A subsurface Apollo 16 soil, 61221, is much richer in volatile compounds than soils from any other locations or sites as shown by thermal analysis-gas release measurements. A weight loss of 0.03% during the interval 175 to 350 C was associated with the release of water, carbon dioxide, methane, hydrogen cyanide, hydrogen, and minor amounts of hydrocarbons and other species. These volatile components may have been brought to this site by a comet, which may have formed North Ray crater.

Effects of fire interval restoration on carbon and nitrogen in sedimentary- and volcanic-derived soils of the Mogollon Rim, Arizona

Treesearch

Dan Neary; Steven T. Overby; Sally M. Haase

2003-01-01

Prescribed fire was returned into over-stocked ponderosa pine stands on the Mogollon Rim of Arizona for the purpose of restoring fire into the ecosystem and removing fuel buildups. Prescribed fires have been ignited at intervals of 1, 2, 4, 6, 8, and 10 years to determine the best fire return interval for Southwest ponderosa pine ecosystems. Two sites were treated; one...

Monetary Shocks in Models with Inattentive Producers.

PubMed

Alvarez, Fernando E; Lippi, Francesco; Paciello, Luigi

2016-04-01

We study models where prices respond slowly to shocks because firms are rationally inattentive. Producers must pay a cost to observe the determinants of the current profit maximizing price, and hence observe them infrequently. To generate large real effects of monetary shocks in such a model the time between observations must be long and/or highly volatile. Previous work on rational inattentiveness has allowed for observation intervals that are either constant-but-long ( e.g . Caballero, 1989 or Reis, 2006) or volatile-but-short ( e.g . Reis's, 2006 example where observation costs are negligible), but not both. In these models, the real effects of monetary policy are small for realistic values of the duration between observations. We show that non-negligible observation costs produce both of these effects: intervals between observations are infrequent and volatile. This generates large real effects of monetary policy for realistic values of the average time between observations.

Monetary Shocks in Models with Inattentive Producers

PubMed Central

Alvarez, Fernando E.; Lippi, Francesco; Paciello, Luigi

2016-01-01

We study models where prices respond slowly to shocks because firms are rationally inattentive. Producers must pay a cost to observe the determinants of the current profit maximizing price, and hence observe them infrequently. To generate large real effects of monetary shocks in such a model the time between observations must be long and/or highly volatile. Previous work on rational inattentiveness has allowed for observation intervals that are either constant-but-long (e.g. Caballero, 1989 or Reis, 2006) or volatile-but-short (e.g. Reis's, 2006 example where observation costs are negligible), but not both. In these models, the real effects of monetary policy are small for realistic values of the duration between observations. We show that non-negligible observation costs produce both of these effects: intervals between observations are infrequent and volatile. This generates large real effects of monetary policy for realistic values of the average time between observations. PMID:27516627

Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months

NASA Astrophysics Data System (ADS)

Vicente, Renato; de Toledo, Charles M.; Leite, Vitor B. P.; Caticha, Nestor

2006-02-01

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20 min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics.

Minority games with score-dependent and agent-dependent payoffs

NASA Astrophysics Data System (ADS)

Ren, F.; Zheng, B.; Qiu, T.; Trimper, S.

2006-10-01

Score-dependent and agent-dependent payoffs of the strategies are introduced into the standard minority game. The intrinsic periodicity is consequently removed, and the stylized facts arise, such as long-range volatility correlations and “fat tails” in the distribution of the returns. The agent dependence of the payoffs is essential in producing the long-range volatility correlations. The new payoffs lead to a better performance in the dynamic behavior nonlocal in time, and can coexist with the inactive strategy. We also observe that the standard deviation σ2/N is significantly reduced, thus the efficiency of the system is distinctly improved. Based on this observation, we give a qualitative explanation for the long-range volatility correlations.

The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab

PubMed Central

Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael

2012-01-01

As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how “stylized facts”, namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. PMID:23565012

Investor structure and the price-volume relationship in a continuous double auction market: An agent-based modeling perspective

NASA Astrophysics Data System (ADS)

Zhang, Wei; Bi, Zhengzheng; Shen, Dehua

2017-02-01

This paper investigates the impact of investor structure on the price-volume relationship by simulating a continuous double auction market. Connected with the underlying mechanisms of the price-volume relationship, i.e., the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hypothesis (SIAH), the simulation results show that: (1) there exists a strong lead-lag relationship between the return volatility and trading volume when the number of informed investors is close to the number of uninformed investors in the market; (2) as more and more informed investors entering the market, the lead-lag relationship becomes weaker and weaker, while the contemporaneous relationship between the return volatility and trading volume becomes more prominent; (3) when the informed investors are in absolute majority, the market can achieve the new equilibrium immediately. Therefore, we can conclude that the investor structure is a key factor in affecting the price-volume relationship.

Fire-return intervals in mixed-conifer forests of the Kings River Sustainable Forest Ecosystems Project area

Treesearch

Catherine Phillips

2002-01-01

Fire-return intervals were studied on six 1.4-ha plots in a 2,070-ha study area in the Dinkey Creek watershed. Stumps in mixed-conifer forest were examined for fire scars created from 1771 to 1994, with 1873 chosen as the end of the pre-Euro-American settlement period because the rate of fire events decreased on most plots after about that year. Mean intervals from...

Impact of wildfire return interval on the ectomycorrhizal resistant propagules communities of a Mediterranean open forest.

PubMed

Buscardo, Erika; Rodríguez-Echeverría, Susana; Martín, María P; De Angelis, Paolo; Pereira, João Santos; Freitas, Helena

2010-08-01

Ectomycorrhizal (ECM) fungi, in particular their spores and other resistant propagules, play an important role in secondary succession processes that facilitate regeneration after disturbance events. In this study, the effects of high and low wildfire frequencies (respectively short and long fire return intervals) on the resistant propagules communities (RPCs) of a Mediterranean open pine forest were compared. Soil samples were collected in four mountain sites with different fire return intervals and used to test ectomycorrhiza development in two hosts, Pinus pinaster and Quercus suber. RPCs were characterized by direct sequencing of fungal internal transcribed spacer (ITS) regions from individual ECM root tips. Eighteen ECM species were detected in the bioassay. The most frequently found fungi were Cenococcum geophilum, Inocybe jacobi, Thelephora terrestris, Tomentella ellisii on both hosts and Rhizopogon luteolus and R. roseolus on maritime pine. A short fire return interval reduced the species richness of the ECM community found on Q. suber, promoted species like R. roseolus and reduced the abundance of other species (e.g. R. luteolus). The abundance of I. jacobi was positively affected by long fire return interval, but decreased significantly with recurrent fires. These results indicate that changes in fire frequency can alter the structure, composition and diversity of ECM communities, which could compromise the resilience of the ecosystem in highly disturbed areas. Copyright © 2010 The British Mycological Society. Published by Elsevier Ltd. All rights reserved.

Model for non-Gaussian intraday stock returns

NASA Astrophysics Data System (ADS)

Gerig, Austin; Vicente, Javier; Fuentes, Miguel A.

2009-12-01

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.

SOCCER: Comet Coma Sample Return Mission

NASA Technical Reports Server (NTRS)

Albee, A. L.; Uesugi, K. T.; Tsou, Peter

1994-01-01

Comets, being considered the most primitive bodies in the solar system, command the highest priority among solar system objects for studying solar nebula evolution and the evolution of life through biogenic elements and compounds. Sample Of Comet Coma Earth Return (SOCCER), a joint effort between NASA and the Institute of Space and Astronautical Science (ISAS) in Japan, has two primary science objectives: (1) the imaging of the comet nucleus and (2) the return to Earth of samples of volatile species and intact dust. This effort makes use of the unique strengths and capabilities of both countries in realizing this important quest for the return of samples from a comet. This paper presents an overview of SOCCER's science payloads, engineering flight system, and its mission operations.

Streamflow response from an ombrotrophic mire

Treesearch

E.S. Verry; K.N. Brooks; P.K. Barten

1988-01-01

Streamflow response to a rainstorm exceeding a 100-year return interval is documented in relation to the peat profile and microtopography. The water tab1e:discharge relation is corrected for specific yield and found to closely parallel the stage:discharge relationship for a level reservoir for flows up to a 25-year return interval. A faster water table:discharge...

Adding Fuel to the Fire: The Contribution of Perennial Bunchgrasses in Altering Fire Regimes in the Great Basin

USDA-ARS?s Scientific Manuscript database

The historic fire return interval in Wyoming sagebrush ecosystems has been estimated in the hundreds of years; however, the current fire regime has shifted to short fire return intervals with some areas burning six times in the past 60 years. Invasive annual grasses (e.g. Bromus tectorum) are freque...

Daily happiness and stock returns: Some international evidence

NASA Astrophysics Data System (ADS)

Zhang, Wei; Li, Xiao; Shen, Dehua; Teglio, Andrea

2016-10-01

In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles from the least to the happiest days, we first show that the contemporary correlation coefficients between happiness sentiment and index return in the 4 and most-happiness subgroups are higher than that in least, 2 and 3-happiness subgroups. Secondly, the happiness sentiment can provide additional explanatory power for index return in the most-happiness subgroup. Thirdly, the daily happiness can granger-cause the changes in index return for the majority of stock markets. Fourthly, we find that the index return and the range-based volatility of the most-happiness subgroup are larger than those of other subgroups. These results highlight the important role of social media in stock market.

Volatile and non-volatile compounds in green tea affected in harvesting time and their correlation to consumer preference.

PubMed

Kim, Youngmok; Lee, Kwang-Geun; Kim, Mina K

2016-10-01

Current study was designed to find out how tea harvesting time affects the volatile and non-volatile compounds profiles of green tea. In addition, correlation of instrumental volatile and non-volatile compounds analyses to consumer perception were analyzed. Overall, earlier harvested green tea had stronger antioxidant capacity (~61.0%) due to the polyphenolic compounds from catechin (23,164 mg/L), in comparison to later harvested green teas (11,961 mg/L). However, high catechin content in green tea influenced negatively the consumer likings of green tea, due to high bitterness (27.6%) and astringency (13.4%). Volatile compounds drive consumer liking of green tea products were also identified, that included linalool, 2,3-methyl butanal, 2-heptanone, (E,E)-3,5-Octadien-2-one. Finding from current study are useful for green tea industry as it provide the difference in physiochemical properties of green tea harvested at different intervals.

Long-range correlations in an online betting exchange for a football tournament

NASA Astrophysics Data System (ADS)

Hardiman, Stephen J.; Richmond, Peter; Hutzler, Stefan

2010-10-01

We analyze the changes in the market odds of football matches in an online betting exchange, Betfair.com. We identify the statistical differences between the returns that occur when the game play is under way, which we argue are driven by match events, and the returns that occur during half-time, which we ascribe to a trader-driven noise. Furthermore, using detrended fluctuation analysis we identify anti-persistence (Hurst exponent H<0.5) in odds returns and long memory (H>0.5) in the volatilities, which we attribute to the trader-driven noise. The time series of trading volume are found to be short-memory processes.

Low encounter speed comet COMA sample return missions

NASA Technical Reports Server (NTRS)

Tsou, P.; Yen, C. W.; Albee, A. L.

1994-01-01

Comets, being considered the most primitive bodies in the solar system, command the highest priority among solar-system objects for studying solar nebula evolution and the evolution of life through biogenic elements and compounds. The study of comets, and more especially, of material from them, provides an understanding of the physical, chemical, and mineralogical processes operative in the formation and earliest development of the solar systems. These return samples will provide valuable information on comets and serve as a rosetta stone for the analytical studies conducted on interplanetary dust particles over the past two decades, and will provide much needed extraterrestrial samples for the planetary materials community since the Apollo program. Lander sample return missions require rather complex spacecraft, intricate operations, and costly propulsion systems. By contrast, it is possible to take a highly simplified approach for sample capture and return in the case of a comet. In the past, we have considered Earth free-return trajectory to the comet, in which passive collectors intercept dust and volatiles from the cometary coma. However, standard short period cometary free-return trajectories results in the comet to the spacecraft encounter speeds in the range of 10 km/s. At these speeds the kinetic energy of the capture process can render significant modification of dust structure, change of solid phase as well as the lost of volatiles components. This paper presents a class of new missions with trajectories with significant reduction of encounter speeds by incorporating gravity assists and deep space maneuvering. Low encounter speed cometary flyby sample return will enable a marked increase in the value of the return science. Acquiring thousands of samples from a known comet and thousands of images of a comet nucleus would be space firsts. Applying new approach in flight mechanics to generate a new class of low encounter speed cometary sample return trajectories opens new possibilities in science. A systematic search of trajectories for the first decade of the twenty-first century will be made. The target encounter speed is for less than 7 km/s to short period comets.

Possible Sources of Polar Volatiles

NASA Astrophysics Data System (ADS)

Schultz, P. H.

2011-12-01

Extensive analyses of returned Apollo samples demonstrated that the Moon is extremely volatile poor. While this conclusion remains true, various measurements since the late 90's implicated the presence of water: e.g., enhanced reflection of circularly polarized radar signals and suppression of epithermal neutrons near the poles. More recently, traces of H2O have been discovered inside volcanic glass, along with more significant amounts residing in hydrous minerals (apatite) returned from both highland and mare landing sites. Three recent lunar missions (DIXI, M3, Cassini) identified hydrous phases on/near the lunar surface, whereas the LCROSS probe detected significant quantities of volatiles (OH, H2O and other volatiles) excavated by the Centaur impact. These new mission results and sample studies, however, now allow testing different hypotheses for the generation, trapping, and replenishment of these volatiles. Solar-proton implantation must contribute to the hydrous phases in the lunar regolith in order to account for the observed time-varying abundances and occurrence near the lunar equator. This also cannot be the entire story. The relatively low speed LCROSS-Centaur impact (2.5km/s) could not vaporize such hydrous minerals, yet emissions lines of OH (from the thermal disassociation of H2O), along with other compounds (CO2, NH2) were detected within the first second, before ejecta could reach sunlight. Telescopic observations by Potter and Morgan (1985) discovered a tenuous lunar atmosphere of Na, but the LCROSS UV/Vis spectrometer did not detect the Na-D line until after the ejecta reached sunlight (along with a line pair attributed to Ag). With time, other volatile species emerged (OH, CO). The LAMP instrument on the Lunar Reconnaissance Orbiter had a different viewpoint from the side (rather than from above) and detected many other atomic species release by the LCROSS-Centaur impact. Consequently, it appears that there is a stratigraphy for trapped species: surface layer of atomic/molecules over a regolith containing an assortment of cold-trapped elements (Na/Ca/Mg/K/Ag/Hg) and compounds (OH, CO, H2). In addition to the solar flux, cometary dust dominates the impact flux for particles less than 1g and dominates impact flashes observed telescopically (Cooke, pers. comm.). While large, volatile-rich impactors may be less frequent, they have the potential for injecting significant quantities (10-15%) into impact melts (Harris and Schultz, 2011). In addition, laboratory impact experiments at the NASA Ames Vertical Gun Range used high-speed spectroscopy to illustrate the capture of volatile fractions below the surface during hypervelocity impacts. On the Moon, melt-trapped volatiles comprising the regolith would be gradually recycled during each lunation during impact gardening, thereby titrating the supply of volatiles to the polar deep freeze. Consequently, diverse sources likely contributed this potpourri of trapped cold-trapped volatile

Seasonal fluxes of native grass bud banks in response to season and return interval of fire in the Northern Great Plains

USDA-ARS?s Scientific Manuscript database

Axillary buds play a fundamental role in perennial population persistence through regeneration of bud banks. However, fire could affect bud bank dynamics by altering the size and cycles of dormant and active periods. We examined impacts of fire return interval (1.5, 3, or 6 yr) and season of fire ...

Complexity analysis based on generalized deviation for financial markets

NASA Astrophysics Data System (ADS)

Li, Chao; Shang, Pengjian

2018-03-01

In this paper, a new modified method is proposed as a measure to investigate the correlation between past price and future volatility for financial time series, known as the complexity analysis based on generalized deviation. In comparison with the former retarded volatility model, the new approach is both simple and computationally efficient. The method based on the generalized deviation function presents us an exhaustive way showing the quantization of the financial market rules. Robustness of this method is verified by numerical experiments with both artificial and financial time series. Results show that the generalized deviation complexity analysis method not only identifies the volatility of financial time series, but provides a comprehensive way distinguishing the different characteristics between stock indices and individual stocks. Exponential functions can be used to successfully fit the volatility curves and quantify the changes of complexity for stock market data. Then we study the influence for negative domain of deviation coefficient and differences during the volatile periods and calm periods. after the data analysis of the experimental model, we found that the generalized deviation model has definite advantages in exploring the relationship between the historical returns and future volatility.

Chilling-induced tomato flavor loss is associated with altered volatile synthesis and transient changes in DNA methylation.

PubMed

Zhang, Bo; Tieman, Denise M; Jiao, Chen; Xu, Yimin; Chen, Kunsong; Fei, Zhangjun; Giovannoni, James J; Klee, Harry J

2016-11-01

Commercial tomatoes are widely perceived by consumers as lacking flavor. A major part of that problem is a postharvest handling system that chills fruit. Low-temperature storage is widely used to slow ripening and reduce decay. However, chilling results in loss of flavor. Flavor-associated volatiles are sensitive to temperatures below 12 °C, and their loss greatly reduces flavor quality. Here, we provide a comprehensive view of the effects of chilling on flavor and volatiles associated with consumer liking. Reduced levels of specific volatiles are associated with significant reductions in transcripts encoding key volatile synthesis enzymes. Although expression of some genes critical to volatile synthesis recovers after a return to 20 °C, some genes do not. RNAs encoding transcription factors essential for ripening, including RIPENING INHIBITOR (RIN), NONRIPENING, and COLORLESS NONRIPENING are reduced in response to chilling and may be responsible for reduced transcript levels in many downstream genes during chilling. Those reductions are accompanied by major changes in the methylation status of promoters, including RIN Methylation changes are transient and may contribute to the fidelity of gene expression required to provide maximal beneficial environmental response with minimal tangential influence on broader fruit developmental biology.

Modeling and forecasting of KLCI weekly return using WT-ANN integrated model

NASA Astrophysics Data System (ADS)

Liew, Wei-Thong; Liong, Choong-Yeun; Hussain, Saiful Izzuan; Isa, Zaidi

2013-04-01

The forecasting of weekly return is one of the most challenging tasks in investment since the time series are volatile and non-stationary. In this study, an integrated model of wavelet transform and artificial neural network, WT-ANN is studied for modeling and forecasting of KLCI weekly return. First, the WT is applied to decompose the weekly return time series in order to eliminate noise. Then, a mathematical model of the time series is constructed using the ANN. The performance of the suggested model will be evaluated by root mean squared error (RMSE), mean absolute error (MAE), mean absolute percentage error (MAPE). The result shows that the WT-ANN model can be considered as a feasible and powerful model for time series modeling and prediction.

Stochastic arbitrage return and its implication for option pricing

NASA Astrophysics Data System (ADS)

Fedotov, Sergei; Panayides, Stephanos

2005-01-01

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns change on different time scales which allows us to develop an asymptotic pricing theory involving the central limit theorem for random processes. We restrict ourselves to finding pricing bands for options rather than exact prices. The resulting pricing bands are shown to be independent of the detailed statistical characteristics of the arbitrage return. We find that the volatility “smile” can also be explained in terms of random arbitrage opportunities.

Fearless versus fearful speculative financial bubbles

NASA Astrophysics Data System (ADS)

Andersen, J. V.; Sornette, D.

2004-06-01

Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies nine time series that have been previously considered as bubbles ending in crashes. The model predicts the existence of two anomalous behaviors occurring simultaneously: (i) super-exponential price growth and (ii) volatility growth, that we refer to as the “fearful singular bubble” regime. Out of the nine time series, we find that five pass our tests and can be characterized as “fearful singular bubbles”. The four other cases are the information technology Nasdaq bubble and three bubbles of the Hang Seng index ending in crashes in 1987, 1994 and 1997. According to our analysis, these four bubbles have developed with essentially no significant increase of their volatility. This paper thus proposes that speculative bubbles ending in crashes form two groups hitherto unrecognized, namely those accompanied by increasing volatility (reflecting increasing risk perception) and those without change of volatility (reflecting an absence of risk perception).

Long-term effects of fire and fire-return interval on population structure and growth of longleaf pine (Pinus palustris)

Treesearch

Chelcy R. Ford; Emily S. Minor; Gordon A. Fox

2010-01-01

We investigated the effect of fire and fire frequency on stand structure and longleaf pine (Pinus palustris P. Mill.) growth and population demography in an experimental research area in a southwest Florida sandhill community. Data were collected from replicated plots that had prescribed fire-return intervals of 1, 2, 5, or 7 years or were left...

Predictability and Market Efficiency in Agricultural Futures Markets: a Perspective from Price-Volume Correlation Based on Wavelet Coherency Analysis

NASA Astrophysics Data System (ADS)

He, Ling-Yun; Wen, Xing-Chun

2015-12-01

In this paper, we use a time-frequency domain technique, namely, wavelet squared coherency, to examine the associations between the trading volumes of three agricultural futures and three different forms of these futures' daily closing prices, i.e. prices, returns and volatilities, over the past several years. These agricultural futures markets are selected from China as a typical case of the emerging countries, and from the US as a representative of the developed economies. We investigate correlations and lead-lag relationships between the trading volumes and the prices to detect the predictability and efficiency of these futures markets. The results suggest that the information contained in the trading volumes of the three agricultural futures markets in China can be applied to predict the prices or returns, while that in US has extremely weak predictive power for prices or returns. We also conduct the wavelet analysis on the relationships between the volumes and returns or volatilities to examine the existence of the two "stylized facts" proposed by Karpoff [J. M. Karpoff, The relation between price changes and trading volume: A survey, J. Financ. Quant. Anal.22(1) (1987) 109-126]. Different markets in the two countries perform differently in reproducing the two stylized facts. As the wavelet tools can decode nonlinear regularities and hidden patterns behind price-volume relationship in time-frequency space, different from the conventional econometric framework, this paper offers a new perspective into the market predictability and efficiency.

A population model of chaparral vegetation response to frequent wildfires.

PubMed

Lucas, Timothy A; Johns, Garrett; Jiang, Wancen; Yang, Lucie

2013-12-01

The recent increase in wildfire frequency in the Santa Monica Mountains (SMM) may substantially impact plant community structure. Species of Chaparral shrubs represent the dominant vegetation type in the SMM. These species can be divided into three life history types according to their response to wildfires. Nonsprouting species are completely killed by fire and reproduce by seeds that germinate in response to a fire cue, obligate sprouting species survive by resprouting from dormant buds in a root crown because their seeds are destroyed by fire, and facultative sprouting species recover after fire both by seeds and resprouts. Based on these assumptions, we developed a set of nonlinear difference equations to model each life history type. These models can be used to predict species survivorship under varying fire return intervals. For example, frequent fires can lead to localized extinction of nonsprouting species such as Ceanothus megacarpus while several facultative sprouting species such as Ceanothus spinosus and Malosma (Rhus) laurina will persist as documented by a longitudinal study in a biological preserve in the SMM. We estimated appropriate parameter values for several chaparral species using 25 years of data and explored parameter relationships that lead to equilibrium populations. We conclude by looking at the survival strategies of these three species of chaparral shrubs under varying fire return intervals and predict changes in plant community structure under fire intervals of short return. In particular, our model predicts that an average fire return interval of greater than 12 years is required for 50 % of the initial Ceanothus megacarpus population and 25 % of the initial Ceanothus spinosus population to survive. In contrast, we predict that the Malosma laurina population will have 90 % survivorship for an average fire return interval of at least 6 years.

Beagle to the Moon: An Experiment Package to Measure Polar Ice and Volatiles in Permanently Shadowed Areas or Beneath the Lunar Surface

NASA Technical Reports Server (NTRS)

Gibson, E. K.; McKay, D. S.; Pillinger, C. T.; Wright, I. P.; Sims, M. R.; Richter, L.

2007-01-01

Near the beginning of the next decade we will see the launch of scientific payloads to the lunar surface to begin laying the foundations for the return to the moon in the Vision for Space Exploration. Shortly thereafter, astronauts will return to the lunar surface and have the ability to place scientific packages on the surface that will provide information about lunar resources and compositions of materials in permanently shadowed regions of the moon (1). One of the important questions which must be answered early in the program is whether there are lunar resources which would facilitate "living off the land" and not require the transport of resources and consumables from Earth (2). The Beagle science package is the ideal payload (3) to use on the lunar surface for determining the nature of hydrogen, water and lunar volatiles found in the polar regions which could support the Vision for Space Exploration

Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts

NASA Astrophysics Data System (ADS)

Cavalli, F.; Naimzada, A.; Pecora, N.

2017-10-01

In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.

Real and financial market interactions in a multiplier-accelerator model: Nonlinear dynamics, multistability and stylized facts.

PubMed

Cavalli, F; Naimzada, A; Pecora, N

2017-10-01

In the present paper, we investigate the dynamics of a model in which the real part of the economy, described within a multiplier-accelerator framework, interacts with a financial market with heterogeneous speculators, in order to study the channels through which the two sectors influence each other. Employing analytical and numerical tools, we investigate stability conditions as well as bifurcations and possible periodic, quasi-periodic, and chaotic dynamics, enlightening how the degree of market interaction, together with the accelerator parameter and the intervention of the fiscal authority, may affect the business cycle and the course of the financial market. In particular, we show that even if the steady state is locally stable, multistability phenomena can occur, with several and complex dynamic structures coexisting with the steady state. Finally, simulations reveal that the proposed model is able to explain several statistical properties and stylized facts observed in real financial markets, including persistent high volatility, fat-tailed return distributions, volatility clustering, and positive autocorrelation of absolute returns.

Testing option pricing with the Edgeworth expansion

NASA Astrophysics Data System (ADS)

Balieiro Filho, Ruy Gabriel; Rosenfeld, Rogerio

2004-12-01

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments.

Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market.

PubMed

Chao, Youcong; Liu, Xiaoqun; Guo, Shijun

2017-01-01

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk.

Cross-correlation analysis between Chinese TF contracts and treasury ETF based on high-frequency data

NASA Astrophysics Data System (ADS)

Zhou, Yu; Chen, Shi

2016-02-01

In this paper, we investigate the high-frequency cross-correlation relationship between Chinese treasury futures contracts and treasury ETF. We analyze the logarithmic return of these two price series, from which we can conclude that both return series are not normally distributed and the futures markets have greater volatility. We find significant cross-correlation between these two series. We further confirm the relationship using the DCCA coefficient and the DMCA coefficient. We quantify the long-range cross-correlation with DCCA method, and we further show that the relationship is multifractal. An arbitrage algorithm based on DFA regression with stable return is proposed in the last part.

Graphic analysis and multifractal on percolation-based return interval series

NASA Astrophysics Data System (ADS)

Pei, A. Q.; Wang, J.

2015-05-01

A financial time series model is developed and investigated by the oriented percolation system (one of the statistical physics systems). The nonlinear and statistical behaviors of the return interval time series are studied for the proposed model and the real stock market by applying visibility graph (VG) and multifractal detrended fluctuation analysis (MF-DFA). We investigate the fluctuation behaviors of return intervals of the model for different parameter settings, and also comparatively study these fluctuation patterns with those of the real financial data for different threshold values. The empirical research of this work exhibits the multifractal features for the corresponding financial time series. Further, the VGs deviated from both of the simulated data and the real data show the behaviors of small-world, hierarchy, high clustering and power-law tail for the degree distributions.

Organic Chemical Characterization and Mass Balance of a Hydraulically Fractured Well: From Fracturing Fluid to Produced Water over 405 Days.

PubMed

Rosenblum, James; Thurman, E Michael; Ferrer, Imma; Aiken, George; Linden, Karl G

2017-12-05

A long-term field study (405 days) of a hydraulically fractured well from the Niobrara Formation in the Denver-Julesburg Basin was completed. Characterization of organic chemicals used in hydraulic fracturing and their changes through time, from the preinjected fracturing fluid to the produced water, was conducted. The characterization consisted of a mass balance by dissolved organic carbon (DOC), volatile organic analysis by gas chromatography/mass spectrometry, and nonvolatile organic analysis by liquid chromatography/mass spectrometry. DOC decreased from 1500 mg/L in initial flowback to 200 mg/L in the final produced water. Only ∼11% of the injected DOC returned by the end of the study, with this 11% representing a maximum fraction returned since the formation itself contributes DOC. Furthermore, the majority of returning DOC was of the hydrophilic fraction (60-85%). Volatile organic compound analysis revealed substantial concentrations of individual BTEX compounds (0.1-11 mg/L) over the 405-day study. Nonvolatile organic compounds identified were polyethylene glycols (PEGs), polypropylene glycols (PPG), linear alkyl-ethoxylates, and triisopropanolamine (TIPA). The distribution of PEGs, PPGs, and TIPA and their ubiquitous presence in our samples and the literature illustrate their potential as organic tracers for treatment operations or in the event of an environmental spill.

Organic chemical characterization and mass balance of a hydraulically fractured well: From fracturing fluid to produced water over 405 days

USGS Publications Warehouse

Rosenblum, James; Thurman, E. Michael; Ferrer, Imma; Aiken, George R.; Linden, Karl G.

2017-01-01

A long-term field study (405 days) of a hydraulically fractured well from the Niobrara Formation in the Denver-Julesburg Basin was completed. Characterization of organic chemicals used in hydraulic fracturing and their changes through time, from the preinjected fracturing fluid to the produced water, was conducted. The characterization consisted of a mass balance by dissolved organic carbon (DOC), volatile organic analysis by gas chromatography/mass spectrometry, and nonvolatile organic analysis by liquid chromatography/mass spectrometry. DOC decreased from 1500 mg/L in initial flowback to 200 mg/L in the final produced water. Only ∼11% of the injected DOC returned by the end of the study, with this 11% representing a maximum fraction returned since the formation itself contributes DOC. Furthermore, the majority of returning DOC was of the hydrophilic fraction (60–85%). Volatile organic compound analysis revealed substantial concentrations of individual BTEX compounds (0.1–11 mg/L) over the 405-day study. Nonvolatile organic compounds identified were polyethylene glycols (PEGs), polypropylene glycols (PPG), linear alkyl-ethoxylates, and triisopropanolamine (TIPA). The distribution of PEGs, PPGs, and TIPA and their ubiquitous presence in our samples and the literature illustrate their potential as organic tracers for treatment operations or in the event of an environmental spill.

Correlated observations of three triggered lightning flashes

NASA Technical Reports Server (NTRS)

Idone, V. P.; Orville, R. E.; Hubert, P.; Barret, L.; Eybert-Berard, A.

1984-01-01

Three triggered lightning flashes, initiated during the Thunderstorm Research International Program (1981) at Langmuir Laboratory, New Mexico, are examined on the basis of three-dimensional return stroke propagation speeds and peak currents. Nonlinear relationships result between return stroke propagation speed and stroke peak current for 56 strokes, and between return stroke propagation speed and dart leader propagation speed for 32 strokes. Calculated linear correlation coefficients include dart leader propagation speed and ensuing return stroke peak current (32 strokes; r = 0.84); and stroke peak current and interstroke interval (69 strokes; r = 0.57). Earlier natural lightning data do not concur with the weak positive correlation between dart leader propagation speed and interstroke interval. Therefore, application of triggered lightning results to natural lightning phenomena must be made with certain caveats. Mean values are included for the three-dimensional return stroke propagation speed and for the three-dimensional dart leader propagation speed.

The Accessory Olfactory System Facilitates the Recovery of the Attraction to Familiar Volatile Female Odors in Male Mice.

PubMed

Muroi, Yoshikage; Nishimura, Masakazu; Ishii, Toshiaki

2017-10-31

Odors in female mice induce sexual arousal in male mice. Repeated exposure to female odors attenuates male attraction, which recovers when the odors are removed. The neuronal mechanisms for the recovery of male attraction have not been clarified. In this study, we examined how olfactory systems are involved in the recovery of male attraction to female odors following habituation in mice. Presentation with volatile female odors for 5 min induced habituation in males. To evaluate male attraction to familiar volatile female odors, we measured the duration for investigating volatile female odors from the same female mouse, which was presented twice for 5 min with 1-, 3-, or 5-min interval. Intranasal irrigation with ZnSO4 solution almost completely suppressed investigating behavior, indicating that the main olfactory system is indispensable for inducing the attraction to volatile female odors. In contrast, removal of the vomeronasal organ, bilateral lesions of the accessory olfactory bulb (AOB), or pharmacological blockage of neurotransmission in the AOB did not affect the investigation time at the first odor presentation. However, each one of the treatments decreased the investigation time in the second presentation, compared to that in the first presentation, at longer intervals than control treatment, indicating that the disturbance of neurotransmission in the accessory olfactory system delayed the recovery of the attraction attenuated by the first presentation. These results suggest that the accessory olfactory system facilitates the recovery of the attraction to familiar volatile female odors in male mice. © The Author 2017. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oup.com.

The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil.

PubMed

Yu, Honghai; Fang, Libing; Sun, Boyang

2018-01-01

We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns.

The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil

PubMed Central

Yu, Honghai; Sun, Boyang

2018-01-01

We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic conditional correlation mixed data sampling (DCC-MIDAS) specifications, we find that GEPU is positively related to the long-run volatility of Financials and Consumer Discretionary industries; however, it is negatively related to Information Technology, Materials, Telecommunication Services and Energy. Unlike the mixed role of GEPU in the long-run volatilities, the long-run correlations are all positively related to GEPU across the industries. Additionally, the rankings of the correlations of Energy and Materials are time-invariant and classified as high, with the little exception of the latter. The Consumer Staples industry is time-invariant in the low-ranking group. Our results are helpful to policy makers and investors with long-term concerns. PMID:29420645

Leverage effect in financial markets: the retarded volatility model.

PubMed

Bouchaud, J P; Matacz, A; Potters, M

2001-11-26

We investigate quantitatively the so-called "leverage effect," which corresponds to a negative correlation between past returns and future volatility. For individual stocks this correlation is moderate and decays over 50 days, while for stock indices it is much stronger but decays faster. For individual stocks the magnitude of this correlation has a universal value that can be rationalized in terms of a new "retarded" model which interpolates between a purely additive and a purely multiplicative stochastic process. For stock indices a specific amplification phenomenon seems to be necessary to account for the observed amplitude of the effect.

Rational GARCH model: An empirical test for stock returns

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2017-05-01

We propose a new ARCH-type model that uses a rational function to capture the asymmetric response of volatility to returns, known as the "leverage effect". Using 10 individual stocks on the Tokyo Stock Exchange and two stock indices, we compare the new model with several other asymmetric ARCH-type models. We find that according to the deviance information criterion, the new model ranks first for several stocks. Results show that the proposed new model can be used as an alternative asymmetric ARCH-type model in empirical applications.

Initial Sample Analyses inside a Capsule: A Strategy of Life Detection and Planetary Protection for Ocean World Sample Return Missions

NASA Astrophysics Data System (ADS)

Yano, Hajime; Takano, Yoshinori; Sekine, Yasuhito; Takai, Ken; Funase, Ryu; Fujishima, Kosuke; Shibuya, Takazo

2016-07-01

Planetary protection is considered to be one of the most crucial challenges to enable sample return missions from "Ocean Worlds", internal oceans of icy satellites as potential deep habitat such as Enceladus and Europa, due to the risk of backward contamination of bringing back potential biology-related matters or at most, possible extraterrestrial living signatures to the Earth. Here we propose an innovative technological solution for both life detection and planetary protection of such returned samples, namely by conducting all major life signature searches, which are also a critical path of quarantine processes of planetary protection, inside the Earth return capsule, prior to open the canister and expose to the terrestrial environment. We plan to test the latest sample capture and recovery methods of preparing multiple aliquot chambers in the sample return capsule. Each aliquot chamber will trap, for instance, plume particles and ambient volatiles during the spacecraft flying through Enceladus plumes so that respective analyses can be performed focusing on volatiles and minerals (i.e., habitability for life), organics (i.e., ingredients for life), biosignatures (i.e., activity of life) and for archiving the samples for future investigations at the same time. In-situ analysis will be conducted under complete containment through an optical interface port that allows pre-installed fiber optic cables to perform non-contact measurements and capillary tubing for extraction/injection of gas and liquids through metal barriers to be punctuated inside a controlled environment. Once primary investigations are completed, the interior of the capsule will be sterilized by gamma rays and UV irradiation. Post-sterilized aliquot chambers will be further analyzed under enclosed and ultraclean environment at BAL 2-3 facilities, rather than BSL4. We consider that this is an unique solution that can cope with severe requirements set for the Category-V sample returns for astrobiology-driven missions.

Chilling-induced tomato flavor loss is associated with altered volatile synthesis and transient changes in DNA methylation

PubMed Central

Zhang, Bo; Tieman, Denise M.; Jiao, Chen; Xu, Yimin; Chen, Kunsong; Fei, Zhangjun; Giovannoni, James J.; Klee, Harry J.

2016-01-01

Commercial tomatoes are widely perceived by consumers as lacking flavor. A major part of that problem is a postharvest handling system that chills fruit. Low-temperature storage is widely used to slow ripening and reduce decay. However, chilling results in loss of flavor. Flavor-associated volatiles are sensitive to temperatures below 12 °C, and their loss greatly reduces flavor quality. Here, we provide a comprehensive view of the effects of chilling on flavor and volatiles associated with consumer liking. Reduced levels of specific volatiles are associated with significant reductions in transcripts encoding key volatile synthesis enzymes. Although expression of some genes critical to volatile synthesis recovers after a return to 20 °C, some genes do not. RNAs encoding transcription factors essential for ripening, including RIPENING INHIBITOR (RIN), NONRIPENING, and COLORLESS NONRIPENING are reduced in response to chilling and may be responsible for reduced transcript levels in many downstream genes during chilling. Those reductions are accompanied by major changes in the methylation status of promoters, including RIN. Methylation changes are transient and may contribute to the fidelity of gene expression required to provide maximal beneficial environmental response with minimal tangential influence on broader fruit developmental biology. PMID:27791156

Volatile Analyzer for Lunar Polar Missions

NASA Technical Reports Server (NTRS)

Gibons, Everett K.; Pillinger, Colin T.; McKay, David S.; Waugh, Lester J.

2011-01-01

One of the major questions remaining for the future exploration of the Moon by humans concerns the presence of volatiles on our nearest neighbor in space. Observational studies, and investigations involving returned lunar samples and using robotic spacecraft infer the existence of volatile compounds particularly water [1]. It seems very likely that a volatile component will be concentrated at the poles in circumstances where low-temperatures exist to provide cryogenic traps. However, the full inventory of species, their concentration and their origin and sources are unknown. Of particular importance is whether abundances are sufficient to act as a resource of consumables for future lunar expeditions especially if a long-term base involving humans is to be established. To address some of these issues requires a lander designed specifically for operation at a high-lunar latitude. A vital part of the payload needs to be a volatile analyzer such as the Gas Analysis Package specifically designed for identification quantification of volatile substances and collecting information which will allow the origin of these volatiles to be identified [1]. The equipment included, particularly the gas analyzer, must be capable of operation in the extreme environmental conditions to be encountered. No accurate information yet exists regarding volatile concentration even for sites closer to the lunar equator (because of contamination). In this respect it will be important to understand (and thus limit) contamination of the lunar surface by extraneous material contributed from a variety of sources. The only data for the concentrations of volatiles at the poles comes from orbiting spacecraft and whilst the levels at high latitudes may be greater than at the equator, the volatile analyzer package under consideration will be designed to operate at the highest specifications possible and in a way that does not compromise the data.

The Cosmochemistry of Pluto: A Primordial Origin of Volatiles?

NASA Astrophysics Data System (ADS)

Glein, C. R.; Waite, J. H., Jr.

2017-12-01

Pluto is a wonderland of volatiles. Nitrogen, methane, and carbon monoxide are the principal volatiles that maintain its tenuous atmosphere, and they have also created a mesmerizing landscape of icy geological features, including Pluto's iconic "heart". Recent data, particularly those returned by the New Horizons mission [1-3], allow us to begin testing hypotheses for the cosmochemical origins of these world-shaping species on Pluto. Here, we investigate if Pluto's volatiles could have been accreted in its building blocks. We take both bottom-up and top-down approaches in testing this hypothesis in terms of mass balance. We estimate Pluto's primordial inventory of volatiles by scaling a range of cometary abundances up to the ice mass fraction of Pluto. We also make estimates of the present and lost inventories of volatiles based on surface observations and interpretations, as well as different scenarios of atmospheric photochemistry and escape. We find that, if primordial Pluto resembled a giant comet with respect to volatile abundances, then the initial volatile inventory would have been sufficient to account for the estimated present and lost inventories. This consistency supports a primordial origin for Pluto's volatiles. However, the observed ratio of CO/N2 in Pluto's atmosphere [4] is several orders of magnitude lower than the nominal cometary value. We are currently using phase equilibrium and rate models to explore if volatile layering in Sputnik Planitia, or the destruction of CO in a past or present subsurface ocean of liquid water could explain the apparent depletion of CO on Pluto. References: [1] Moore et al. (2016) Science 351, 1284. [2] Grundy et al. (2016) Science 351, aad9189. [3] Gladstone et al. (2016) Science 351, aad8866. [4] Lellouch et al. (2017) Icarus 286, 289.

Characteristics of the April 2007 Flood at 10 Streamflow-Gaging Stations in Massachusetts

USGS Publications Warehouse

Zarriello, Phillip J.; Carlson, Carl S.

2009-01-01

A large 'nor'easter' storm on April 15-18, 2007, brought heavy rains to the southern New England region that, coupled with normal seasonal high flows and associated wet soil-moisture conditions, caused extensive flooding in many parts of Massachusetts and neighboring states. To characterize the magnitude of the April 2007 flood, a peak-flow frequency analysis was undertaken at 10 selected streamflow-gaging stations in Massachusetts to determine the magnitude of flood flows at 5-, 10-, 25-, 50-, 100-, 200-, and 500-year return intervals. The magnitude of flood flows at various return intervals were determined from the logarithms of the annual peaks fit to a Pearson Type III probability distribution. Analysis included augmenting the station record with longer-term records from one or more nearby stations to provide a common period of comparison that includes notable floods in 1936, 1938, and 1955. The April 2007 peak flow was among the highest recorded or estimated since 1936, often ranking between the 3d and 5th highest peak for that period. In general, the peak-flow frequency analysis indicates the April 2007 peak flow has an estimated return interval between 25 and 50 years; at stations in the northeastern and central areas of the state, the storm was less severe resulting in flows with return intervals of about 5 and 10 years, respectively. At Merrimack River at Lowell, the April 2007 peak flow approached a 100-year return interval that was computed from post-flood control records and the 1936 and 1938 peak flows adjusted for flood control. In general, the magnitude of flood flow for a given return interval computed from the streamflow-gaging station period-of-record was greater than those used to calculate flood profiles in various community flood-insurance studies. In addition, the magnitude of the updated flood flow and current (2008) stage-discharge relation at a given streamflow-gaging station often produced a flood stage that was considerably different than the flood stage indicated in the flood-insurance study flood profile at that station. Equations for estimating the flow magnitudes for 5-, 10-, 25-, 50-, 100-, 200-, and 500-year floods were developed from the relation of the magnitude of flood flows to drainage area calculated from the six streamflow-gaging stations with the longest unaltered record. These equations produced a more conservative estimate of flood flows (higher discharges) than the existing regional equations for estimating flood flows at ungaged rivers in Massachusetts. Large differences in the magnitude of flood flows for various return intervals determined in this study compared to results from existing regional equations and flood insurance studies indicate a need for updating regional analyses and equations for estimating the expected magnitude of flood flows in Massachusetts.

40 CFR Appendix A to Subpart D of... - Determination of Volatile Matter Content of Methacrylate Multicomponent Coatings Used as Traffic...

Code of Federal Regulations, 2010 CFR

2010-07-01

... the film of the coating using the metal paper clip. Weigh dish to within 1 mg. Return to forced draft... analyses in pairs (duplicate sets for each coating mixture until the criterion in section 4.3 of Method 24...

Exploring International Investment through a Classroom Portfolio Simulation Project

ERIC Educational Resources Information Center

Chen, Xiaoying; Yur-Austin, Jasmine

2013-01-01

A rapid integration of financial markets has prevailed during the last three decades. Investors are able to diversify investment beyond national markets to mitigate return volatility of a "pure domestic portfolio." This article discusses a simulation project through which students learn the role of international investment by managing…

The effects of behavioral and structural assumptions in artificial stock market

NASA Astrophysics Data System (ADS)

Liu, Xinghua; Gregor, Shirley; Yang, Jianmei

2008-04-01

Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior with respect to high-frequency returns and daily returns. We developed two simple models to investigate this issue. The first one is a stochastic model with a clearing house microstructure and a population of zero-intelligence agents. The second one has more behavioral assumptions based on Minority Game and also has a clearing house microstructure. With the first model we found that a characteristic of the clearing house microstructure, namely the clearing frequency, can explain fat tail, excess volatility and autocorrelation phenomena of high-frequency returns. However, this feature does not cause the same phenomena in daily returns. So the Stylized Facts of daily returns depend mainly on the agents’ behavior. With the second model we investigated the effects of behavioral assumptions on daily returns. Our study implicates that the aspects which are responsible for generating the stylized facts of high-frequency returns and daily returns are different.

Nine months in space: effects on human autonomic cardiovascular regulation.

PubMed

Cooke, W H; Ames JE, I V; Crossman, A A; Cox, J F; Kuusela, T A; Tahvanainen, K U; Moon, L B; Drescher, J; Baisch, F J; Mano, T; Levine, B D; Blomqvist, C G; Eckberg, D L

2000-09-01

We studied three Russian cosmonauts to better understand how long-term exposure to microgravity affects autonomic cardiovascular control. We recorded the electrocardiogram, finger photoplethysmographic pressure, and respiratory flow before, during, and after two 9-mo missions to the Russian space station Mir. Measurements were made during four modes of breathing: 1) uncontrolled spontaneous breathing; 2) stepwise breathing at six different frequencies; 3) fixed-frequency breathing; and 4) random-frequency breathing. R wave-to-R wave (R-R) interval standard deviations decreased in all and respiratory frequency R-R interval spectral power decreased in two cosmonauts in space. Two weeks after the cosmonauts returned to Earth, R-R interval spectral power was decreased, and systolic pressure spectral power was increased in all. The transfer function between systolic pressures and R-R intervals was reduced in-flight, was reduced further the day after landing, and had not returned to preflight levels by 14 days after landing. Our results suggest that long-duration spaceflight reduces vagal-cardiac nerve traffic and decreases vagal baroreflex gain and that these changes may persist as long as 2 wk after return to Earth.

Time-independent models of asset returns revisited

NASA Astrophysics Data System (ADS)

Gillemot, L.; Töyli, J.; Kertesz, J.; Kaski, K.

2000-07-01

In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable distribution, mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500 index data of the New York Stock Exchange, Helsinki Stock Exchange index data describing a small volatile market, and artificial data. The results indicate that all models, excluding the simple normal distribution, are, at least, quite reasonable descriptions of the data. Furthermore, the use of differences instead of logarithmic returns tends to make the data looking visually more Lévy-type distributed than it is. This phenomenon is especially evident in the artificial data that has been generated by an inflated random walk process.

Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market

PubMed Central

Chao, Youcong; Liu, Xiaoqun; Guo, Shijun

2017-01-01

Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-MacBeth regression results show that not only have the realized jump components and the continuous volatility been compensated with risk premium, but also that the negative jump risk, the positive jump risk and the sign jump risk, to some extent, could explain the return of the stock portfolios. Therefore, we should pay high attention to the downside tail risk and the upside tail risk. PMID:28771514

Financial Stylized Facts in the Word of Mouth Model

NASA Astrophysics Data System (ADS)

Misawa, Tadanobu; Watanabe, Kyoko; Shimokawa, Tetsuya

Recently, we proposed an agent-based model called the word of mouth model to analyze the influence of an information transmission process to price formation in financial markets. Especially, the short-term predictability of asset return was focused on and an explanation in the view of information transmission was provided to the question why the predictability was much clearly observed in the small-sized stocks. This paper, to extend the previous study, demonstrates that the word of mouth model also has a consistency with other important financial stylized facts. This strengthens the possibility that the information transmission among investors plays a crucial role in price formation. Concretely, this paper addresses two famous statistical features of returns; the leptokurtic distribution of return and the autocorrelation of return volatility. The reasons why these statistical facts receive especial attentions of researchers among financial stylized facts are their statistical robustness and practical importance, such as the applications to the derivative pricing problems.

Impact of uncertainty in expected return estimation on stock price volatility

NASA Astrophysics Data System (ADS)

Kostanjcar, Zvonko; Jeren, Branko; Juretic, Zeljan

2012-11-01

We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of traders and the number of stock shares approaches infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

[Methemoglobinemia after inhalation of poppers].

PubMed

Janssens, U; Hillen, S; Janssens, T; Grafe, J

2018-04-17

This case report presents a case of symptomatic methemoglobinemia (MetHb 31.6%) after inhalation of volatile nitrites (poppers). The patient's medical history and symptoms are discussed together with pathophysiology of methemoglobinemia, diagnostics, and antidote therapy. Pulse oxymetry, arterial blood gas analysis, and CO-oximetry receive particular attention as well as antidote therapy with methylene blue. The patient was treated successfully with intravenous methylene blue. Within 60 min methemoglobinemia returned to normal values (MetHb 0.6%). Stimulating compounds such as volatile nitrites (poppers) may lead to potentially fatal methemoglobinemia. Swift and accurate diagnosis and targeted therapy with methylene blue can lead to rapid recovery.

Jump spillover between oil prices and exchange rates

NASA Astrophysics Data System (ADS)

Li, Xiao-Ping; Zhou, Chun-Yang; Wu, Chong-Feng

2017-11-01

In this paper, we investigate the jump spillover effects between oil prices and exchange rates. To identify the latent historical jumps for exchange rates and oil prices, we use a Bayesian MCMC approach to estimate the stochastic volatility model with correlated jumps in both returns and volatilities for each. We examine the simultaneous jump intensities and the conditional jump spillover probabilities between oil prices and exchange rates, finding strong evidence of jump spillover effects. Further analysis shows that the jump spillovers are mainly due to exogenous events such as financial crises and geopolitical events. Thus, the findings have important implications for financial risk management.

Down-flow moving-bed gasifier with catalyst recycle

DOEpatents

Halow, John S.

1999-01-01

The gasification of coal and other carbonaceous materials by an endothermic gasification reaction is achieved in the presence of a catalyst in a down-flow, moving-bed gasifier. Catalyst is removed along with ash from the gasifier and is then sufficiently heated in a riser/burner by the combustion of residual carbon in the ash to volatilize the catalyst. This volatilized catalyst is returned to the gasifier where it uniformly contacts and condenses on the carbonaceous material. Also, the hot gaseous combustion products resulting from the combustion of the carbon in the ash along with excess air are introduced into the gasifier for providing heat energy used in the endothermic reaction.

A Model-Based Approach to Infer Shifts in Regional Fire Regimes Over Time Using Sediment Charcoal Records

NASA Astrophysics Data System (ADS)

Itter, M.; Finley, A. O.; Hooten, M.; Higuera, P. E.; Marlon, J. R.; McLachlan, J. S.; Kelly, R.

2016-12-01

Sediment charcoal records are used in paleoecological analyses to identify individual local fire events and to estimate fire frequency and regional biomass burned at centennial to millenial time scales. Methods to identify local fire events based on sediment charcoal records have been well developed over the past 30 years, however, an integrated statistical framework for fire identification is still lacking. We build upon existing paleoecological methods to develop a hierarchical Bayesian point process model for local fire identification and estimation of fire return intervals. The model is unique in that it combines sediment charcoal records from multiple lakes across a region in a spatially-explicit fashion leading to estimation of a joint, regional fire return interval in addition to lake-specific local fire frequencies. Further, the model estimates a joint regional charcoal deposition rate free from the effects of local fires that can be used as a measure of regional biomass burned over time. Finally, the hierarchical Bayesian approach allows for tractable error propagation such that estimates of fire return intervals reflect the full range of uncertainty in sediment charcoal records. Specific sources of uncertainty addressed include sediment age models, the separation of local versus regional charcoal sources, and generation of a composite charcoal record The model is applied to sediment charcoal records from a dense network of lakes in the Yukon Flats region of Alaska. The multivariate joint modeling approach results in improved estimates of regional charcoal deposition with reduced uncertainty in the identification of individual fire events and local fire return intervals compared to individual lake approaches. Modeled individual-lake fire return intervals range from 100 to 500 years with a regional interval of roughly 200 years. Regional charcoal deposition to the network of lakes is correlated up to 50 kilometers. Finally, the joint regional charcoal deposition rate exhibits changes over time coincident with major climatic and vegetation shifts over the past 10,000 years. Ongoing work will use the regional charcoal deposition rate to estimate changes in biomass burned as a function of climate variability and regional vegetation pattern.

Effects of Agar Gel Strength and Fat on Oral Breakdown, Volatile Release, and Sensory Perception Using in Vivo and in Vitro Systems.

PubMed

Frank, Damian; Eyres, Graham T; Piyasiri, Udayasika; Cochet-Broch, Maeva; Delahunty, Conor M; Lundin, Leif; Appelqvist, Ingrid M

2015-10-21

The density and composition of a food matrix affect the rates of oral breakdown and in-mouth flavor release as well as the overall sensory experience. Agar gels of increasing concentration (1.0, 1.7, 2.9, and 5% agarose) with and without added fat (0, 2, 5, and 10%) were spiked with seven aroma volatiles. Differences in oral processing and sensory perception were systematically measured by a trained panel using a discrete interval time intensity method. Volatile release was measured in vivo and in vitro by proton transfer reaction mass spectrometry. Greater oral processing was required as agar gel strength increased, and the intensity of flavor-related sensory attributes decreased. Volatile release was inversely related to gel strength, showing that physicochemical phenomena were the main mechanisms underlying the perceived sensory changes. Fat addition reduced the amount of oral processing and had differential effects on release, depending on the fat solubility or lipophilicity of the volatiles.

Volatile organic compounds released by blowfly larvae and pupae: new perspectives in forensic entomology.

PubMed

Frederickx, C; Dekeirsschieter, J; Brostaux, Y; Wathelet, J-P; Verheggen, F J; Haubruge, E

2012-06-10

To evaluate postmortem intervals (PMIs), one should take into account the determined age of necrophagous flies present on the cadaver. However, PMI determination needs further improvement, and rapid and accurate approaches have therefore to be developed. While previous studies have focussed on insect cuticular hydrocarbons, here we explore the volatile profile released by larvae and pupae of Calliphora vicina Robineau-Desvoidy (Diptera: Calliphoridae). We monitored changes in volatile compounds daily, by headspace solid-phase microextraction, followed by gas chromatography-mass spectrometry. Branched and unbranched hydrocarbons, alcohols, esters and acids were identified, and the volatile profile was shown to vary, in both composition and quantity, with the age of the larva/pupa under investigation. We concluded, based on the analysis of the released volatile organic compounds, that it is possible to increase the accuracy of the estimated PMI, through improved estimation of the age of blowflies present on the cadaver. Copyright © 2012 Elsevier Ireland Ltd. All rights reserved.

Volatile transfer and recycling at convergent margins: Mass-balance and insights from high-P/T metamorphic rocks

NASA Astrophysics Data System (ADS)

Bebout, Gray E.

The efficiency with which volatiles are deeply subducted is governed by devolatilization histories and the geometries and mechanisms of fluid transport deep in subduction zones. Metamorphism along the forearc slab-mantle interface may prevent the deep subduction of many volatile components (e.g., H2O, Cs, B, N, perhaps As, Sb, and U) and result in their transport in fluids toward shallower reservoirs. The release, by devolatilization, and transport of such components toward the seafloor or into the forearc mantle wedge, could in part explain the imbalances between the estimated amounts of subducted volatiles and the amounts returned to Earth's surface. The proportion of the initially subducted volatile component that is retained in rocks subducted to depths greater than those beneath magmatic arcs (>100 km) is largely unknown, complicating assessments of deep mantle volatile budgets. Isotopic and trace element data and volatile contents for the Catalina Schist, the Franciscan Complex, and eclogite-facies complexes in the Alps (and elsewhere) provide insight into the nature and magnitude of fluid production and transport deep in subduction zones and into the possible effects of metamorphism on the compositions of subducting rocks. Compatibilities of the compositions of the subduction-related rocks and fluids with the isotopic and trace element compositions of various mantle-derived materials (igneous rocks, xenoliths, serpentinite seamounts) indicate the potential to trace the recycling of rock and fluid reservoirs chemically and isotopically fractionated during subduction-zone metamorphism.

76 FR 72483 - Self-Regulatory Organizations; Options Clearing Corporation; Order Approving Proposed Rule Change...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-11-23

... existing interpretation, which relates to the treatment and clearing of options on the CBOE Gold ETF... jurisdictional status CBOE Gold ETF Volatility Index and clarifies that OCC will clear and treat as securities... relative performance index is an ETF designed to measure the return of gold [[Page 72484

The Board's Role in Financial Oversight. AGB Board Essentials Series

ERIC Educational Resources Information Center

Krawitz, Natalie

2015-01-01

An often-volatile economy, changing demographics, and technological innovations in educational delivery are among the dramatic changes across higher education that have forced boards and institutions to question the viability of the existing business model. Flat or declining state support in real terms, lower investment returns in some years,…

Detrending the realized volatility in the global FX market

NASA Astrophysics Data System (ADS)

Schmidt, Anatoly B.

2009-05-01

There has been growing interest in realized volatility (RV) of financial assets that is calculated using intra-day returns. The choice of optimal time grid for these calculations is not trivial and generally requires analysis of RV dependence on the grid spacing (so-called RV signature). Typical RV signatures have a maximum at the finest time grid spacing available, which is attributed to the microstructure effects. This maximum decays into a plateau at lower frequencies, which implies (almost) stationary return variance. We found that the RV signatures in the modern global FX market may have no plateau or even have a maximum at lower frequencies. Simple averaging methods used to address the microstructure effects in equities have no practical effect on the FX RV signatures. We show that local detrending of the high-frequency FX rate samples yields RV signatures with a pronounced plateau. This implies that FX rates can be described with a Brownian motion having non-stationary trend and stationary variance. We point at a role of algorithmic trading as a possible cause of micro-trends in FX rates.

Linking market interaction intensity of 3D Ising type financial model with market volatility

NASA Astrophysics Data System (ADS)

Fang, Wen; Ke, Jinchuan; Wang, Jun; Feng, Ling

2016-11-01

Microscopic interaction models in physics have been used to investigate the complex phenomena of economic systems. The simple interactions involved can lead to complex behaviors and help the understanding of mechanisms in the financial market at a systemic level. This article aims to develop a financial time series model through 3D (three-dimensional) Ising dynamic system which is widely used as an interacting spins model to explain the ferromagnetism in physics. Through Monte Carlo simulations of the financial model and numerical analysis for both the simulation return time series and historical return data of Hushen 300 (HS300) index in Chinese stock market, we show that despite its simplicity, this model displays stylized facts similar to that seen in real financial market. We demonstrate a possible underlying link between volatility fluctuations of real stock market and the change in interaction strengths of market participants in the financial model. In particular, our stochastic interaction strength in our model demonstrates that the real market may be consistently operating near the critical point of the system.

Some statistical investigations on the nature and dynamics of electricity prices

NASA Astrophysics Data System (ADS)

Bottazzi, G.; Sapio, S.; Secchi, A.

2005-09-01

This work analyzes the log-returns of daily electricity prices from the NordPool day-ahead market. We study both the unconditional growth rates distribution and the distribution of residual shocks obtained with a non-parametric filtering procedure based on the Cholesky factor algorithm. We show that, even if the Subbotin family of distributions is able to describe the empirical observations in both cases, the Subbotin fit obtained for the unconditional growth rates and for the residual shocks reveal significant differences. Indeed, the sequence of log-returns can be described as the outcome of an aggregation of Laplace-distributed shocks with time-dependent volatility. We find that the standard deviation of shocks scales as a power law of the initial price level, with scaling exponent around -1. Moreover, the analysis of the empirical density of shocks, conditional on the price level, shows a strong relationship of the Subbotin fit with the latter. We conclude that the unconditional growth rates distribution is the superposition of shocks distributions characterized by decreasing volatility and fat-tailedness with respect to the price level.

Cross-correlations between crude oil and agricultural commodity markets

NASA Astrophysics Data System (ADS)

Liu, Li

2014-02-01

In this paper, we investigate cross-correlations between crude oil and agricultural commodity markets. Based on a popular statistical test proposed by Podobnik et al. (2009), we find that the linear return cross-correlations are significant at larger lag lengths and the volatility cross-correlations are highly significant at all of the lag lengths under consideration. Using a detrended cross-correlation analysis (DCCA), we find that the return cross-correlations are persistent for corn and soybean and anti-persistent for oat and soybean. The volatility cross-correlations are strongly persistent. Using a nonlinear cross-correlation measure, our results show that cross-correlations are relatively weak but they are significant for smaller time scales. For larger time scales, the cross-correlations are not significant. The reason may be that information transmission from crude oil market to agriculture markets can complete within a certain period of time. Finally, based on multifractal extension of DCCA, we find that the cross-correlations are multifractal and high oil prices partly contribute to food crisis during the period of 2006-mid-2008.

Measuring Value-at-Risk and Expected Shortfall of crude oil portfolio using extreme value theory and vine copula

NASA Astrophysics Data System (ADS)

Yu, Wenhua; Yang, Kun; Wei, Yu; Lei, Likun

2018-01-01

Volatilities of crude oil price have important impacts on the steady and sustainable development of world real economy. Thus it is of great academic and practical significance to model and measure the volatility and risk of crude oil markets accurately. This paper aims to measure the Value-at-Risk (VaR) and Expected Shortfall (ES) of a portfolio consists of four crude oil assets by using GARCH-type models, extreme value theory (EVT) and vine copulas. The backtesting results show that the combination of GARCH-type-EVT models and vine copula methods can produce accurate risk measures of the oil portfolio. Mixed R-vine copula is more flexible and superior to other vine copulas. Different GARCH-type models, which can depict the long-memory and/or leverage effect of oil price volatilities, however offer similar marginal distributions of the oil returns.

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

NASA Astrophysics Data System (ADS)

Takaishi, Tetsuya

2016-08-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile.

Multiscale volatility duration characteristics on financial multi-continuum percolation dynamics

NASA Astrophysics Data System (ADS)

Wang, Min; Wang, Jun

A random stock price model based on the multi-continuum percolation system is developed to investigate the nonlinear dynamics of stock price volatility duration, in an attempt to explain various statistical facts found in financial data, and have a deeper understanding of mechanisms in the financial market. The continuum percolation system is usually referred to be a random coverage process or a Boolean model, it is a member of a class of statistical physics systems. In this paper, the multi-continuum percolation (with different values of radius) is employed to model and reproduce the dispersal of information among the investors. To testify the rationality of the proposed model, the nonlinear analyses of return volatility duration series are preformed by multifractal detrending moving average analysis and Zipf analysis. The comparison empirical results indicate the similar nonlinear behaviors for the proposed model and the actual Chinese stock market.

A self-adapting herding model: The agent judge-abilities influence the dynamic behaviors

NASA Astrophysics Data System (ADS)

Dong, Linrong

2008-10-01

We propose a self-adapting herding model, in which the financial markets consist of agent clusters with different sizes and market desires. The ratio of successful exchange and merger depends on the volatility of the market and the market desires of the agent clusters. The desires are assigned in term of the wealth of the agent clusters when they merge. After an exchange, the beneficial cluster’s desire keeps on the same, the losing one’s desire is altered which is correlative with the agent judge-ability. A parameter R is given to all agents to denote the judge-ability. The numerical calculation shows that the dynamic behaviors of the market are influenced distinctly by R, which includes the exponential magnitudes of the probability distribution of sizes of the agent clusters and the volatility autocorrelation of the returns, the intensity and frequency of the volatility.

Variety and volatility in financial markets

NASA Astrophysics Data System (ADS)

Lillo, Fabrizio; Mantegna, Rosario N.

2000-11-01

We study the price dynamics of stocks traded in a financial market by considering the statistical properties of both a single time series and an ensemble of stocks traded simultaneously. We use the n stocks traded on the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days following these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments fluctuate in time and are stochastic processes, themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Last, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model cannot explain the statistical properties of the second moment of the ensemble return distribution.

New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system.

PubMed

Wang, Guochao; Wang, Jun

2017-01-01

We make an approach on investigating the fluctuation behaviors of financial volatility duration dynamics. A new concept of volatility two-component range intensity (VTRI) is developed, which constitutes the maximal variation range of volatility intensity and shortest passage time of duration, and can quantify the investment risk in financial markets. In an attempt to study and describe the nonlinear complex properties of VTRI, a random agent-based financial price model is developed by the finite-range interacting biased voter system. The autocorrelation behaviors and the power-law scaling behaviors of return time series and VTRI series are investigated. Then, the complexity of VTRI series of the real markets and the proposed model is analyzed by Fuzzy entropy (FuzzyEn) and Lempel-Ziv complexity. In this process, we apply the cross-Fuzzy entropy (C-FuzzyEn) to study the asynchrony of pairs of VTRI series. The empirical results reveal that the proposed model has the similar complex behaviors with the actual markets and indicate that the proposed stock VTRI series analysis and the financial model are meaningful and feasible to some extent.

New approach of financial volatility duration dynamics by stochastic finite-range interacting voter system

NASA Astrophysics Data System (ADS)

Wang, Guochao; Wang, Jun

2017-01-01

We make an approach on investigating the fluctuation behaviors of financial volatility duration dynamics. A new concept of volatility two-component range intensity (VTRI) is developed, which constitutes the maximal variation range of volatility intensity and shortest passage time of duration, and can quantify the investment risk in financial markets. In an attempt to study and describe the nonlinear complex properties of VTRI, a random agent-based financial price model is developed by the finite-range interacting biased voter system. The autocorrelation behaviors and the power-law scaling behaviors of return time series and VTRI series are investigated. Then, the complexity of VTRI series of the real markets and the proposed model is analyzed by Fuzzy entropy (FuzzyEn) and Lempel-Ziv complexity. In this process, we apply the cross-Fuzzy entropy (C-FuzzyEn) to study the asynchrony of pairs of VTRI series. The empirical results reveal that the proposed model has the similar complex behaviors with the actual markets and indicate that the proposed stock VTRI series analysis and the financial model are meaningful and feasible to some extent.

Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems

PubMed Central

Chen, Jun-Jie; Zheng, Bo; Tan, Lei

2013-01-01

Background For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. Methods To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors’ asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. Results With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. Conclusions We reveal that for the leverage and anti-leverage effects, both the investors’ asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors’ trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex systems with similar asymmetries. PMID:24278146

Agent-based model with asymmetric trading and herding for complex financial systems.

PubMed

Chen, Jun-Jie; Zheng, Bo; Tan, Lei

2013-01-01

For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage effects is still not understood, and how to produce these effects in agent-based modeling remains open. On the other hand, in constructing microscopic models, it is a promising conception to determine model parameters from empirical data rather than from statistical fitting of the results. To study the microscopic origination of the return-volatility correlation in financial systems, we take into account the individual and collective behaviors of investors in real markets, and construct an agent-based model. The agents are linked with each other and trade in groups, and particularly, two novel microscopic mechanisms, i.e., investors' asymmetric trading and herding in bull and bear markets, are introduced. Further, we propose effective methods to determine the key parameters in our model from historical market data. With the model parameters determined for six representative stock-market indices in the world, respectively, we obtain the corresponding leverage or anti-leverage effect from the simulation, and the effect is in agreement with the empirical one on amplitude and duration. At the same time, our model produces other features of the real markets, such as the fat-tail distribution of returns and the long-term correlation of volatilities. We reveal that for the leverage and anti-leverage effects, both the investors' asymmetric trading and herding are essential generation mechanisms. Among the six markets, however, the investors' trading is approximately symmetric for the five markets which exhibit the leverage effect, thus contributing very little. These two microscopic mechanisms and the methods for the determination of the key parameters can be applied to other complex systems with similar asymmetries.

A quantile-based Time at Risk: A new approach for assessing risk in financial markets

NASA Astrophysics Data System (ADS)

Bolgorian, Meysam; Raei, Reza

2013-11-01

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value such that the likelihood of loss on the asset over the time horizon exceeds this value is equal to the given probability level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical time such that the probability that the return interval of a critical event exceeds this time equals the given probability level. As an empirical application, we applied our model to data from the Tehran Stock Exchange Price Index (TEPIX) as a financial asset (market portfolio) and reported the results.

Diffuse degassing through magmatic arc crust (Invited)

NASA Astrophysics Data System (ADS)

Manning, C. E.; Ingebritsen, S.

2013-12-01

The crust of magmatic arcs plays an important role in the volatile cycle at convergent margins. The fluxes of subduction- and arc-related volatiles such as H2O, C, Cl, S are poorly known. It is commonly believed that gases emitted from volcanoes account nearly quantitatively for the volatiles that cross the Moho beneath the volcanic front. This volcanic degassing may occur during eruption, emission from summit fumaroles and hot springs, or more 'diffuse' delivery to volcano flanks. However, several observations suggest that volatiles also transit arc crust by even more diffuse pathways, which could account for significant volatile loss on long time and length scales. Active metamorphism of arc crust produces crustal-scale permeability that is sufficient to transport a large volume of subducted volatiles (Ingebritsen and Manning, 2002, PNAS, 99, 9113). Arc magmas may reach volatile saturation deeper than the maximum depths recorded by melt inclusions (e.g., Blundy et al., 2010, EPSL, 290, 289), and exhumed sections of magmatic arc crust typically record voluminous plutons reflecting magma crystallization and volatile loss at depths well below the volcanic edifice. At shallower depths, topographically driven meteoric groundwater systems can absorb magmatic volatiles and transport them laterally by tens of km (e.g., James et al., 1999, Geology, 27, 823; Evans et al., 2002, JVGR, 114, 291). Hydrothermal ore deposits formed at subvolcanic depths sequester vast amounts of volatiles, especially sulfur, that are only returned to the surface on the time scale of exhumation and/or erosion. Water-rich metamorphic fluids throughout the crust can readily carry exsolved volcanic gases because the solubilities of volatile bearing minerals such as calcite, anhydrite, and fluorite are quite high at elevated pressure and temperature (e.g., Newton and Manning, 2002, Am Min, 87, 1401; 2005, J Pet, 46, 701; Tropper and Manning, 2007, Chem Geol, 242, 299). Taken together, these considerations dictate that volatile entrainment in the metamorphic/meteoric fluid-flow system represents a highly diffuse pathway for degassing through arc crust which must be taken into account in models of volatile cycling at convergent margins.

Down-flow moving-bed gasifier with catalyst recycle

DOEpatents

Halow, J.S.

1999-04-20

The gasification of coal and other carbonaceous materials by an endothermic gasification reaction is achieved in the presence of a catalyst in a down-flow, moving-bed gasifier. Catalyst is removed along with ash from the gasifier and is then sufficiently heated in a riser/burner by the combustion of residual carbon in the ash to volatilize the catalyst. This volatilized catalyst is returned to the gasifier where it uniformly contacts and condenses on the carbonaceous material. Also, the hot gaseous combustion products resulting from the combustion of the carbon in the ash along with excess air are introduced into the gasifier for providing heat energy used in the endothermic reaction. 1 fig.

Who wins? Study of long-run trader survival in an artificial stock market

NASA Astrophysics Data System (ADS)

Cincotti, Silvano; M. Focardi, Sergio; Marchesi, Michele; Raberto, Marco

2003-06-01

We introduce a multi-asset artificial financial market with finite amount of cash and number of stocks. The background trading is characterized by a random trading strategy constrained by the finiteness of resources and by market volatility. Stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Three active trading strategies have been introduced and studied in two different market conditions: steady market and growing market with asset inflation. We show that the profitability of each strategy depends both on the periodicity of portfolio reallocation and on the market condition. The best performing strategy is the one that exploits the mean reversion characteristic of asset price processes.

Stylized facts from a threshold-based heterogeneous agent model

NASA Astrophysics Data System (ADS)

Cross, R.; Grinfeld, M.; Lamba, H.; Seaman, T.

2007-05-01

A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by the efficient market hypothesis (EMH). By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isolate their effects upon the market dynamics. The simulation results indicate that the introduction of a herding propensity results in excess kurtosis and power-law decay consistent with those observed in actual return distributions, but not in significant long-term volatility correlations. Possible alternatives for introducing such long-term volatility correlations are then identified and discussed.

Evolution and anti-evolution in a minimal stock market model

NASA Astrophysics Data System (ADS)

Rothenstein, R.; Pawelzik, K.

2003-08-01

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive returns. The future price is determined according to the offer and the demand of all agents. The system evolves by redistributing the capital among the agents in each trading cycle. Without noise the dynamics of this system is nearly regular and thereby fails to reproduce the stochastic return fluctuations observed in real markets. However, when in each cycle a small amount of noise is introduced we find the typical features of real financial time series like fat-tails of the return distribution and large temporal correlations in the volatility without significant correlations in the price returns. Introducing the noise by an evolutionary process leads to different scalings of the return distributions that depend on the definition of fitness. Because our realistic model has only very few parameters, and the results appear to be robust with respect to the noise level and the number of agents we expect that our framework may serve as new paradigm for modeling self-generated return fluctuations in markets.

Multivariate multiscale entropy of financial markets

NASA Astrophysics Data System (ADS)

Lu, Yunfan; Wang, Jun

2017-11-01

In current process of quantifying the dynamical properties of the complex phenomena in financial market system, the multivariate financial time series are widely concerned. In this work, considering the shortcomings and limitations of univariate multiscale entropy in analyzing the multivariate time series, the multivariate multiscale sample entropy (MMSE), which can evaluate the complexity in multiple data channels over different timescales, is applied to quantify the complexity of financial markets. Its effectiveness and advantages have been detected with numerical simulations with two well-known synthetic noise signals. For the first time, the complexity of four generated trivariate return series for each stock trading hour in China stock markets is quantified thanks to the interdisciplinary application of this method. We find that the complexity of trivariate return series in each hour show a significant decreasing trend with the stock trading time progressing. Further, the shuffled multivariate return series and the absolute multivariate return series are also analyzed. As another new attempt, quantifying the complexity of global stock markets (Asia, Europe and America) is carried out by analyzing the multivariate returns from them. Finally we utilize the multivariate multiscale entropy to assess the relative complexity of normalized multivariate return volatility series with different degrees.

FORTRAN Programs for Aerodynamic Analyses on the Microvax/2000 CAD CAE Workstation

DTIC Science & Technology

1988-09-01

file exists, you must compile the program by typing, FOR DUBLET [Returni The next step is to link the program by entering, LINK DUBLET [Return] The...files DUBLET.EXE and DUBLET.OBJ will now exist and you will be able to run the program. Running the Program To run the program, type DUBLET [Return...by entering 0.1 [Return] Now enter the number of intervals you desire the doublet distribution to have by enter- ing 10 [Return] The screen should now

The Effect of Subjective Risk Attitudes and Overconfidence on Risk Taking Behaviors: A Experimental Study Based on Traders of the Chinese Stock Market

NASA Astrophysics Data System (ADS)

Chen, Qi-An; Xiao, Yinghong; Chen, Hui; Chen, Liang

Our research analyzes the effect of the traders’ subjective risk attitude, optimism and overconfidence on their risk taking behaviors on the Chinese Stock Market by experimental study method. We find that investors’ risk taking behavior is significantly affected by their subjective risk attitude, optimism and overconfidence. Our results also argue that the objective return and volatility of stock are not as good predictors of risk taking behavior as subjective risk and return measures. Moreover, we illustrate that overconfidence and optimism have an significant impact on risk taking behavior In line with theoretical models.

RESOLVE Projects: Lunar Water Resource Demonstration and Regolith Volatile Characterization

NASA Technical Reports Server (NTRS)

2008-01-01

To sustain affordable human and robotic space exploration, the ability to live off the land at the exploration site will be essential. NASA calls this ability in situ resource utilization (ISRU) and is focusing on finding ways to sustain missions first on the Moon and then on Mars. The ISRU project aims to develop capabilities to technology readiness level 6 for the Robotic Lunar Exploration Program and early human missions returning to the Moon. NASA is concentrating on three primary areas of ISRU: (1) excavating, handling, and moving lunar regolith, (2) extracting oxygen from lunar regolith, and (3) finding, characterizing, extracting, separating, and storing volatile lunar resources, especially in the permanently shadowed polar craters. To meet the challenges related to technology development for these three primary focus areas, the Regolith and Environment Science and Oxygen and Lunar Volatile Extraction (RESOLVE) project was initiated in February 2005, through funding by the Exploration Systems Mission Directorate. RESOLVE's objectives are to develop requirements and conceptual designs and to perform breadboard concept verification testing of each experiment module. The final goal is to deliver a flight prototype unit that has been tested in a relevant lunar polar environment. Here we report progress toward the third primary area creating ways to find, characterize, extract, separate, and store volatile lunar resources. The tasks include studying thermal, chemical, and electrical ways to collect such volatile resources as hydrogen, water, nitrogen, methane, and ammonia. We approached this effort through two subtasks: lunar water resource demonstration (LWRD) and regolith volatile characterization (RVC).

On the Departure from Isothermality of Pluto's Volatile Ice due to Local Insolation and Topography

NASA Astrophysics Data System (ADS)

Trafton, Laurence M.; Stansberry, John A.

2015-11-01

Pluto’s atmosphere is known to be supported by the vapor pressure of ices that are volatile at low temperature, primarily N2 and secondarily CH4 and CO. The atmospheric bulk is regulated by the globally average temperature of the ice, which is determined by a radiative balance between the diurnally average insolation absorbed globally by the volatile ice and the global volatile ice thermal radiation. This bulk is sufficient that Pluto’s atmosphere is close to hydrostatic equilibrium, though this may not remain so as Pluto continues to move towards aphelion. With the weight of the atmosphere currently distributed evenly around the body, the ice temperature is expected to be globally isothermal in absence of topographic variations, due to the transport of latent heat from regions of high insolation to low insolation through sublimation and condensation. Images returned from the New Horizons spacecraft show topographical features, including mountain ranges that extend above 3.5 km, with albedo variations that suggest a topographical dimension or dependence of the volatile ice deposits. In general, the conditions often applied to a volatile atmosphere of hydrostatic equilibrium and vapor-solid phase equilibrium are approximations that may not always both be appropriate. This is particularly the case in the presence of topography when the atmospheric lapse rate differs from the wet adiabat. We present our results of an investigation of the effect of variable insolation and topography on Pluto’s local ice temperature assuming an atmosphere close to hydrostatic equilibrium.

A spreadsheet template compatible with Microsoft Excel and iWork Numbers that returns the simultaneous confidence intervals for all pairwise differences between multiple sample means.

PubMed

Brown, Angus M

2010-04-01

The objective of the method described in this paper is to develop a spreadsheet template for the purpose of comparing multiple sample means. An initial analysis of variance (ANOVA) test on the data returns F--the test statistic. If F is larger than the critical F value drawn from the F distribution at the appropriate degrees of freedom, convention dictates rejection of the null hypothesis and allows subsequent multiple comparison testing to determine where the inequalities between the sample means lie. A variety of multiple comparison methods are described that return the 95% confidence intervals for differences between means using an inclusive pairwise comparison of the sample means. 2009 Elsevier Ireland Ltd. All rights reserved.

Efficient bootstrap estimates for tail statistics

NASA Astrophysics Data System (ADS)

Breivik, Øyvind; Aarnes, Ole Johan

2017-03-01

Bootstrap resamples can be used to investigate the tail of empirical distributions as well as return value estimates from the extremal behaviour of the sample. Specifically, the confidence intervals on return value estimates or bounds on in-sample tail statistics can be obtained using bootstrap techniques. However, non-parametric bootstrapping from the entire sample is expensive. It is shown here that it suffices to bootstrap from a small subset consisting of the highest entries in the sequence to make estimates that are essentially identical to bootstraps from the entire sample. Similarly, bootstrap estimates of confidence intervals of threshold return estimates are found to be well approximated by using a subset consisting of the highest entries. This has practical consequences in fields such as meteorology, oceanography and hydrology where return values are calculated from very large gridded model integrations spanning decades at high temporal resolution or from large ensembles of independent and identically distributed model fields. In such cases the computational savings are substantial.

Allan deviation analysis of financial return series

NASA Astrophysics Data System (ADS)

Hernández-Pérez, R.

2012-05-01

We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.

Variation in highbush blueberry floral volatile profiles as a function of pollination status, cultivar, time of day and flower part: implications for flower visitation by bees

PubMed Central

Rodriguez-Saona, Cesar; Parra, Leonardo; Quiroz, Andrés; Isaacs, Rufus

2011-01-01

Background and Aims Studies of the effects of pollination on floral scent and bee visitation remain rare, particularly in agricultural crops. To fill this gap, the hypothesis that bee visitation to flowers decreases after pollination through reduced floral volatile emissions in highbush blueberries, Vaccinium corymbosum, was tested. Other sources of variation in floral emissions and the role of floral volatiles in bee attraction were also examined. Methods Pollinator visitation to blueberry flowers was manipulated by bagging all flowers within a bush (pollinator excluded) or leaving them unbagged (open pollinated), and then the effect on floral volatile emissions and future bee visitation were measured. Floral volatiles were also measured from different blueberry cultivars, times of the day and flower parts, and a study was conducted to test the attraction of bees to floral volatiles. Key Results Open-pollinated blueberry flowers had 32 % lower volatile emissions than pollinator-excluded flowers. In particular, cinnamyl alcohol, a major component of the floral blend that is emitted exclusively from petals, was emitted in lower quantities from open-pollinated flowers. Although, no differences in cinnamyl alcohol emissions were detected among three blueberry cultivars or at different times of day, some components of the blueberry floral blend were emitted in higher amounts from certain cultivars and at mid-day. Field observations showed that more bees visited bushes with pollinator-excluded flowers. Also, more honey bees were caught in traps baited with a synthetic blueberry floral blend than in unbaited traps. Conclusions Greater volatile emissions may help guide bees to unpollinated flowers, and thus increase plant fitness and bee energetic return when foraging in blueberries. Furthermore, the variation in volatile emissions from blueberry flowers depending on pollination status, plant cultivar and time of day suggests an adaptive role of floral signals in increasing pollination of flowers. PMID:21498566

Variation in highbush blueberry floral volatile profiles as a function of pollination status, cultivar, time of day and flower part: implications for flower visitation by bees.

PubMed

Rodriguez-Saona, Cesar; Parra, Leonardo; Quiroz, Andrés; Isaacs, Rufus

2011-06-01

Studies of the effects of pollination on floral scent and bee visitation remain rare, particularly in agricultural crops. To fill this gap, the hypothesis that bee visitation to flowers decreases after pollination through reduced floral volatile emissions in highbush blueberries, Vaccinium corymbosum, was tested. Other sources of variation in floral emissions and the role of floral volatiles in bee attraction were also examined. Pollinator visitation to blueberry flowers was manipulated by bagging all flowers within a bush (pollinator excluded) or leaving them unbagged (open pollinated), and then the effect on floral volatile emissions and future bee visitation were measured. Floral volatiles were also measured from different blueberry cultivars, times of the day and flower parts, and a study was conducted to test the attraction of bees to floral volatiles. Open-pollinated blueberry flowers had 32 % lower volatile emissions than pollinator-excluded flowers. In particular, cinnamyl alcohol, a major component of the floral blend that is emitted exclusively from petals, was emitted in lower quantities from open-pollinated flowers. Although, no differences in cinnamyl alcohol emissions were detected among three blueberry cultivars or at different times of day, some components of the blueberry floral blend were emitted in higher amounts from certain cultivars and at mid-day. Field observations showed that more bees visited bushes with pollinator-excluded flowers. Also, more honey bees were caught in traps baited with a synthetic blueberry floral blend than in unbaited traps. Greater volatile emissions may help guide bees to unpollinated flowers, and thus increase plant fitness and bee energetic return when foraging in blueberries. Furthermore, the variation in volatile emissions from blueberry flowers depending on pollination status, plant cultivar and time of day suggests an adaptive role of floral signals in increasing pollination of flowers.

Beagle 2 the Moon: An Experimental Package to Measure Polar Ice and Volatiles in Permanently Shadowed Areas or Beneath the Lunar Surface

NASA Technical Reports Server (NTRS)

Gibson, E. K.; McKay, D. S.; Pillinger, C. T.; Wright, I. P.; Sims, M. R.; Richter, L.

2008-01-01

NASA has announced the selection of several Lunar Science Sortie Concept Studies for potential scientific payloads with future Lunar Missions. The Beagle 2 scientific package was one of those chosen for study. Near the beginning of the next decade will see the launch of scientific payloads to the lunar surface to begin laying the foundations for the return to the moon in the Vision for Space Exploration. Shortly thereafter, astronauts will return to the lunar surface with the ability to place scientific packages on the surface that will provide information about lunar resources and compositions of materials in permanently shadowed regions of the moon (1). One of the important questions which must be answered early in the program is whether there are lunar resources which would facilitate "living off the land" and not require the transport of resources and consumables from Earth (2). The Beagle science package developed to seek the signatures of life on Mars is the ideal payload (3) to use on the lunar surface for determining the nature of hydrogen, water and lunar volatiles found in the polar regions which could support the Vision for Space Exploration.

A multi-assets artificial stock market with zero-intelligence traders

NASA Astrophysics Data System (ADS)

Ponta, L.; Raberto, M.; Cincotti, S.

2011-01-01

In this paper, a multi-assets artificial financial market populated by zero-intelligence traders with finite financial resources is presented. The market is characterized by different types of stocks representing firms operating in different sectors of the economy. Zero-intelligence traders follow a random allocation strategy which is constrained by finite resources, past market volatility and allocation universe. Within this framework, stock price processes exhibit volatility clustering, fat-tailed distribution of returns and reversion to the mean. Moreover, the cross-correlations between returns of different stocks are studied using methods of random matrix theory. The probability distribution of eigenvalues of the cross-correlation matrix shows the presence of outliers, similar to those recently observed on real data for business sectors. It is worth noting that business sectors have been recovered in our framework without dividends as only consequence of random restrictions on the allocation universe of zero-intelligence traders. Furthermore, in the presence of dividend-paying stocks and in the case of cash inflow added to the market, the artificial stock market points out the same structural results obtained in the simulation without dividends. These results suggest a significative structural influence on statistical properties of multi-assets stock market.

Long memory volatility of gold price returns: How strong is the evidence from distinct economic cycles?

NASA Astrophysics Data System (ADS)

Bentes, Sonia R.

2016-02-01

This paper examines the long memory behavior in the volatility of gold returns using daily data for the period 1985-2009. We divided the whole sample into eight sub-samples in order to analyze the robustness and consistency of our results during different crisis periods. This constitutes our main contribution. We cover four major world crises, namely, (i) the US stock market crash of 1987; (ii) the Asian financial crisis of 1997; (iii) the World Trade Center terrorist attack of 2001 and finally, (iv) the sub-prime crisis of 2007, in order to investigate how the fractional integrated parameter of the FIGARCH(1, d,1) model evolves over time. Our findings are twofold: (i) there is evidence of long memory in the conditional variance over the whole sample period; (ii) when we consider the sub-sample analysis, the results show mixed evidence. Thus, for the 1985-2003 period the long memory parameter is positive and statistically significant in the pre-crisis sub-samples, and there is no evidence of long memory in the crisis sub-sample periods; however the reverse pattern occurs for the 2005-2009 period. This highlights the unique characteristics of the 2007 sub-prime crisis.

Volatile changes in Hawaiian noni fruit, Morinda citrifolia L., during ripening and fermentation.

PubMed

Wall, Marisa M; Miller, Samuel; Siderhurst, Matthew S

2018-07-01

Noni fruit (Morinda citrifolia L., Rubiaceae) has been used in traditional medicine throughout the tropics and subtropics and is now attracting interest in western medicine. Fermented noni juice is of particular interest for its promising antitumor activity. The present study collected and analyzed volatiles released at nine time intervals by noni fruit during ripening and fermentation using headspace autosampling coupled to gas chromatography-mass spectrometry. Twenty-three noni volatiles were identified and relatively quantified. In addition to volatiles previously identified in noni, four novel volatile 3-methyl-2/3-butenyl esters were identified via the synthesis of reference compounds. Principle component analysis (PCA) and canonical discriminant analysis (CDA) were used to facilitate multidimensional pattern recognition. PCA showed that ripening noni fruit cluster into three groups, pre-ripe, fully ripe (translucent) and fermented, based on released volatiles. CDA could 83.8% correctly classify noni samples when all ripeness stages were analyzed and 100% when samples were classified into the three PCA groupings. The results of the present study confirm the identities of 3-methyl-2/3-butenyl esters, both novel and previously identified, through the synthesis of reference compounds. These esters constitute a large percentage of the volatiles released by fully ripe and fermented noni and likely produced from the decomposition of noniosides, a group of unique glucosides present in the fruit. © 2017 Society of Chemical Industry. © 2017 Society of Chemical Industry.

Model risk for European-style stock index options.

PubMed

Gençay, Ramazan; Gibson, Rajna

2007-01-01

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as the Black-Scholes (BS) model with constant volatility. In this paper, we study the stochastic volatility (SV) and stochastic volatility random jump (SVJ) models as parametric benchmarks against feedforward neural network (FNN) models, a class of neural network models. Our choice for FNN models is due to their well-studied universal approximation properties of an unknown function and its partial derivatives. Since the partial derivatives of an option pricing formula are risk pricing tools, an accurate estimation of the unknown option pricing function is essential for pricing and hedging. Our findings indicate that FNN models offer themselves as robust option pricing tools, over their sophisticated parametric counterparts in predictive settings. There are two routes to explain the superiority of FNN models over the parametric models in forecast settings. These are nonnormality of return distributions and adaptive learning.

Variations in return value estimate of ocean surface waves - a study based on measured buoy data and ERA-Interim reanalysis data

NASA Astrophysics Data System (ADS)

Muhammed Naseef, T.; Sanil Kumar, V.

2017-10-01

An assessment of extreme wave characteristics during the design of marine facilities not only helps to ensure their safety but also assess the economic aspects. In this study, return levels of significant wave height (Hs) for different periods are estimated using the generalized extreme value distribution (GEV) and generalized Pareto distribution (GPD) based on the Waverider buoy data spanning 8 years and the ERA-Interim reanalysis data spanning 38 years. The analysis is carried out for wind-sea, swell and total Hs separately for buoy data. Seasonality of the prevailing wave climate is also considered in the analysis to provide return levels for short-term activities in the location. The study shows that the initial distribution method (IDM) underestimates return levels compared to GPD. The maximum return levels estimated by the GPD corresponding to 100 years are 5.10 m for the monsoon season (JJAS), 2.66 m for the pre-monsoon season (FMAM) and 4.28 m for the post-monsoon season (ONDJ). The intercomparison of return levels by block maxima (annual, seasonal and monthly maxima) and the r-largest method for GEV theory shows that the maximum return level for 100 years is 7.20 m in the r-largest series followed by monthly maxima (6.02 m) and annual maxima (AM) (5.66 m) series. The analysis is also carried out to understand the sensitivity of the number of observations for the GEV annual maxima estimates. It indicates that the variations in the standard deviation of the series caused by changes in the number of observations are positively correlated with the return level estimates. The 100-year return level results of Hs using the GEV method are comparable for short-term (2008 to 2016) buoy data (4.18 m) and long-term (1979 to 2016) ERA-Interim shallow data (4.39 m). The 6 h interval data tend to miss high values of Hs, and hence there is a significant difference in the 100-year return level Hs obtained using 6 h interval data compared to data at 0.5 h interval. The study shows that a single storm can cause a large difference in the 100-year Hs value.

Variety of Behavior of Equity Returns in Financial Markets

NASA Astrophysics Data System (ADS)

Bonanno, Giovanni; Lillo, Fabrizio; Mantegna, Rosario N.

2001-03-01

The price dynamics of a set of equities traded in an efficient market is pretty complex. It consists of almost not redundant time series which have (i) long-range correlated volatility and (ii) cross-correlation between each pair of equities. We perform a study of the statistical properties of an ensemble of equities returns which is fruitful to elucidate the nature and role of time and ensemble correlation. Specifically, we investigate a statistical ensemble of daily returns of n equities traded in United States financial markets. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days [1] with the exception of crash and rally days and of the days following to these extreme events [2]. We analyze each ensemble return distribution by extracting its first two central moments. We call the second moment of the ensemble return distribution the variety of the market. We choose this term because high variety implies a variated behavior of the equities returns in the considered day. We observe that the mean return and the variety are fluctuating in time and are stochastic processes themselves. The variety is a long-range correlated stochastic process. Customary time-averaged statistical properties of time series of stock returns are also considered. In general, time-averaged and portfolio-averaged returns have different statistical properties [1]. We infer from these differences information about the relative strength of correlation between equities and between different trading days. We also compare our empirical results with those predicted by the single-index model and we conclude that this simple model is unable to explain the statistical properties of the second moment of the ensemble return distribution. Correlation between pairs of equities are continuously present in the dynamics of a stock portfolio. Hence, it is relevant to investigate pair correlation in a efficient and original way. We propose to investigate these correlations at a daily and intra daily time horizon with a method based on concepts of random frustrated systems. Specifically, a hierarchical organization of the investigated equities is obtained by determining a metric distance between stocks and by investigating the properties of the subdominant ultrametric associated with it [3]. The high-frequency cross-correlation existing between pairs of equities are investigated in a set of 100 stocks traded in US equity markets. The decrease of the cross-correlation between the equity returns observed for diminishing time horizons progressively changes the nature of the hierarchical structure associated to each different time horizon [4]. The nature of the correlation present between pairs of time series of equity returns collected in a portfolio has a strong influence on the variety of the market. We finally discuss the relation between pair correlation and variety of an ensemble return distribution. References [1] Fabrizio Lillo and Rosario N. Mantegna, Variety and volatility in financial markets, Phys. Rev. E 62, 6126-6134 (2000). [2] Fabrizio Lillo and Rosario N. Mantegna, Symmetry alteration of ensemble return distribution in crash and rally days of financial market, Eur. Phys. J. B 15, 603-606 (2000). [3] Rosario N. Mantegna, Hierarchical structure in financial markets, Eur. Phys. J. B 11, 193-197 (1999). [4] Giovanni Bonanno, Fabrizio Lillo, and Rosario N. Mantegna, High-frequency cross-correlation in a set of stocks, Quantitative Finance (in press).

False Labor at Term in Singleton Pregnancies: Discharge After a Standardized Assessment and Perinatal Outcomes.

PubMed

Nelson, David B; McIntire, Donald D; Leveno, Kenneth J

2017-07-01

To evaluate perinatal outcomes in women sent home with a diagnosis of false labor at term and assess the time interval to return for delivery. This was a prospective observational cohort study of women at 37 0/7 to 41 6/7 weeks of gestation without pre-existing medical complications who presented to our hospital-based triage unit with symptoms of labor and underwent a standardized evaluation. Women diagnosed as having false labor with a live singleton fetus in cephalic presentation without a prior cesarean delivery and sent home were compared with a group of similar women diagnosed to be in spontaneous labor. Women with hypertension, diabetes, and known fetal malformations were excluded. Using a perinatal composite outcome of respiratory insufficiency, intraventricular hemorrhage, culture-proven sepsis, Apgar score 3 or less at 5 minutes, phototherapy, and perinatal death, we tested the noninferiority of being sent home compared with being admitted for labor. The relationship of cervical dilatation to the time interval from discharge home to delivery was also analyzed. Between October 2012 and March 2016, a total of 3,949 women met inclusion criteria and were diagnosed with false labor, discharged, and returned to deliver, whereas 2,592 similar women were admitted in early labor. The mean interval from discharge to return was 4.9 days. Cesarean delivery rates were not different between the study groups-11% for both (P=.69), and the perinatal composite outcome rates were not significantly different between those sent home and those admitted-3.2% compared with 3.1% (P=.79). Women with more advanced cervical dilatation at discharge returned and delivered significantly earlier than those with less dilatation regardless of parity. Discharge with false labor at term after a standardized assessment in a triage unit was not associated with increased rates of adverse perinatal composite outcomes or cesarean delivery. The time interval to return for delivery was significantly associated with the cervical dilatation at discharge.

Modeling volatility using state space models.

PubMed

Timmer, J; Weigend, A S

1997-08-01

In time series problems, noise can be divided into two categories: dynamic noise which drives the process, and observational noise which is added in the measurement process, but does not influence future values of the system. In this framework, we show that empirical volatilities (the squared relative returns of prices) exhibit a significant amount of observational noise. To model and predict their time evolution adequately, we estimate state space models that explicitly include observational noise. We obtain relaxation times for shocks in the logarithm of volatility ranging from three weeks (for foreign exchange) to three to five months (for stock indices). In most cases, a two-dimensional hidden state is required to yield residuals that are consistent with white noise. We compare these results with ordinary autoregressive models (without a hidden state) and find that autoregressive models underestimate the relaxation times by about two orders of magnitude since they do not distinguish between observational and dynamic noise. This new interpretation of the dynamics of volatility in terms of relaxators in a state space model carries over to stochastic volatility models and to GARCH models, and is useful for several problems in finance, including risk management and the pricing of derivative securities. Data sets used: Olsen & Associates high frequency DEM/USD foreign exchange rates (8 years). Nikkei 225 index (40 years). Dow Jones Industrial Average (25 years).

Volatile Organic Analyzer (VOA) in 2006: Repair, Revalidation, and Restart of Elektron Even

NASA Technical Reports Server (NTRS)

Limero, Thomas

2007-01-01

The Volatile Organic Analyzer (VOA) had been providing valuable data on trace contaminants in the atmosphere of the International Space Station (ISS) from January 2002 through May 2003. Component temperature errors, detected by the VOA s software, shut down the unit in May 2003, but in early 2005 on orbit diagnostics verified fuse failures had disabled both VOA channels. An in-flight maintenance (IFM) session in December 2005 returned the VOA to an operational mode by January 2006. This paper will present the on-orbit data from 2006 that were used to revalidate the VOA, and provide an overview of the VOA s contributions during the Elecktron contingency event that occurred on ISS in September 2006.

Comparison of passive diffusion bag samplers and submersible pump sampling methods for monitoring volatile organic compounds in ground water at Area 6, Naval Air Station, Whidbey Island, Washington

USGS Publications Warehouse

Huffman, Raegan L.

2002-01-01

Ground-water samples were collected in April 1999 at Naval Air Station Whidbey Island, Washington, with passive diffusion samplers and a submersible pump to compare concentrations of volatile organic compounds (VOCs) in water samples collected using the two sampling methods. Single diffusion samplers were installed in wells with 10-foot screened intervals, and multiple diffusion samplers were installed in wells with 20- to 40-foot screened intervals. The diffusion samplers were recovered after 20 days and the wells were then sampled using a submersible pump. VOC concentrations in the 10-foot screened wells in water samples collected with diffusion samplers closely matched concentrations in samples collected with the submersible pump. Analysis of VOC concentrations in samples collected from the 20- to 40-foot screened wells with multiple diffusion samplers indicated vertical concentration variation within the screened interval, whereas the analysis of VOC concentrations in samples collected with the submersible pump indicated mixing during pumping. The results obtained using the two sampling methods indicate that the samples collected with the diffusion samplers were comparable with and can be considerably less expensive than samples collected using a submersible pump.

76 FR 25390 - Self-Regulatory Organizations; International Securities Exchange, LLC; Notice of Filing and...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-05-04

... calculates the CBOE Gold ETF Volatility Index (``GVZ''), which is based on the VIX methodology applied to options on the SPDR Gold Trust (``GLD''). The current filing would permit $0.50 strike price intervals for...

A subharmonic dynamical bifurcation during in vitro epileptiform activity

NASA Astrophysics Data System (ADS)

Perez Velazquez, Jose L.; Khosravani, Houman

2004-06-01

Epileptic seizures are considered to result from a sudden change in the synchronization of firing neurons in brain neural networks. We have used an in vitro model of status epilepticus (SE) to characterize dynamical regimes underlying the observed seizure-like activity. Time intervals between spikes or bursts were used as the variable to construct first-return interpeak or interburst interval plots, for studying neuronal population activity during the transition to seizure, as well as within seizures. Return maps constructed for a brief epoch before seizures were used for approximating the local system dynamics during that time window. Analysis of the first-return maps suggests that intermittency is a dynamical regime underlying the observed epileptic activity. This type of analysis may be useful for understanding the collective dynamics of neuronal populations in the normal and pathological brain.

Recovery of Carbonate Ecosystems Following the End-Triassic Mass Extinction: Insights from Mercury Anomalies and Their Relationship to the Central Atlantic Magmatic Province

NASA Astrophysics Data System (ADS)

Corsetti, F. A.; Thibodeau, A. M.; Ritterbush, K. A.; West, A. J.; Yager, J. A.; Ibarra, Y.; Bottjer, D. J.; Berelson, W.; Bergquist, B. A.

2015-12-01

Recent high-resolution age dating demonstrates that the end-Triassic mass extinction overlapped with the eruption of the Central Atlantic Magmatic Province (CAMP), and the release of CO2 and other volatiles to the atmosphere has been implicated in the extinction. Given the potentially massive release of CO2, ocean acidification is commonly considered a factor in the extinction and the collapse of shallow marine carbonate ecosystems. However, the timing of global marine biotic recovery versus the CAMP eruptions is more uncertain. Here, we use Hg concentrations and Hg/TOC ratios as indicators of CAMP volcanism in continental shelf sediments, the primary archive of faunal data. In Triassic-Jurassic strata, Muller Canyon, Nevada, Hg and Hg/TOC levels are low prior to the extinction, rise sharply in the extinction interval, peak just prior to the appearance of the first Jurassic ammonite, and remain above background in association with a depauperate (low diversity) earliest Jurassic fauna. The return of Hg to pre-extinction levels is associated with a significant pelagic and benthic faunal recovery. We conclude that significant biotic recovery did not begin until CAMP eruptions ceased. Furthermore, the initial benthic recovery in the Muller Canyon section involves the expansion of a siliceous sponge-dominated ecosystem across shallow marine environments, a feature now known from other sections around the world (e.g., Peru, Morocco, Austria, etc.). Carbonate dominated benthic ecosystems (heralded by the return of abundant corals and other skeletal carbonates) did not recover for ~1 million years following the last eruption of CAMP, longer than the typical duration considered for ocean acidification events, implying other factors may have played a role in carbonate ecosystem dynamics after the extinction.

Invariance in the recurrence of large returns and the validation of models of price dynamics

NASA Astrophysics Data System (ADS)

Chang, Lo-Bin; Geman, Stuart; Hsieh, Fushing; Hwang, Chii-Ruey

2013-08-01

Starting from a robust, nonparametric definition of large returns (“excursions”), we study the statistics of their occurrences, focusing on the recurrence process. The empirical waiting-time distribution between excursions is remarkably invariant to year, stock, and scale (return interval). This invariance is related to self-similarity of the marginal distributions of returns, but the excursion waiting-time distribution is a function of the entire return process and not just its univariate probabilities. Generalized autoregressive conditional heteroskedasticity (GARCH) models, market-time transformations based on volume or trades, and generalized (Lévy) random-walk models all fail to fit the statistical structure of excursions.

Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

NASA Astrophysics Data System (ADS)

Vercher, Enriqueta

2008-08-01

This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

Complexity multiscale asynchrony measure and behavior for interacting financial dynamics

NASA Astrophysics Data System (ADS)

Yang, Ge; Wang, Jun; Niu, Hongli

2016-08-01

A stochastic financial price process is proposed and investigated by the finite-range multitype contact dynamical system, in an attempt to study the nonlinear behaviors of real asset markets. The viruses spreading process in a finite-range multitype system is used to imitate the interacting behaviors of diverse investment attitudes in a financial market, and the empirical research on descriptive statistics and autocorrelation behaviors of return time series is performed for different values of propagation rates. Then the multiscale entropy analysis is adopted to study several different shuffled return series, including the original return series, the corresponding reversal series, the random shuffled series, the volatility shuffled series and the Zipf-type shuffled series. Furthermore, we propose and compare the multiscale cross-sample entropy and its modification algorithm called composite multiscale cross-sample entropy. We apply them to study the asynchrony of pairs of time series under different time scales.

Transition from lognormal to χ2-superstatistics for financial time series

NASA Astrophysics Data System (ADS)

Xu, Dan; Beck, Christian

2016-07-01

Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time scales. It is shown that while χ2-superstatistics works well on a time scale of days, on a much smaller time scale of minutes the price changes are better described by lognormal superstatistics. The system dynamics thus exhibits a transition from lognormal to χ2 superstatistics as a function of time scale. We discuss a more general model interpolating between both statistics which fits the observed data very well. We also present results on correlation functions of the extracted superstatistical volatility parameter, which exhibits exponential decay for returns on large time scales, whereas for returns on small time scales there are long-range correlations and power-law decay.

Microscopic Spin Model for the STOCK Market with Attractor Bubbling on Regular and Small-World Lattices

NASA Astrophysics Data System (ADS)

Krawiecki, A.

A multi-agent spin model for changes of prices in the stock market based on the Ising-like cellular automaton with interactions between traders randomly varying in time is investigated by means of Monte Carlo simulations. The structure of interactions has topology of a small-world network obtained from regular two-dimensional square lattices with various coordination numbers by randomly cutting and rewiring edges. Simulations of the model on regular lattices do not yield time series of logarithmic price returns with statistical properties comparable with the empirical ones. In contrast, in the case of networks with a certain degree of randomness for a wide range of parameters the time series of the logarithmic price returns exhibit intermittent bursting typical of volatility clustering. Also the tails of distributions of returns obey a power scaling law with exponents comparable to those obtained from the empirical data.

The value of information in a multi-agent market model. The luck of the uninformed

NASA Astrophysics Data System (ADS)

Tóth, B.; Scalas, E.; Huber, J.; Kirchler, M.

2007-01-01

We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of information levels, both in the experiments and in the simulations. Particularly, averagely informed traders perform worse than the non informed and only traders with high levels of information (insiders) are able to beat the market. The simulations and the experiments reproduce many stylized facts of tick-by-tick stock-exchange data, such as fast decay of autocorrelation of returns, volatility clustering and fat-tailed distribution of returns. These results have an important message for everyday life. They can give a possible explanation why, on average, professional fund managers perform worse than the market index.

The influences of delay time on the stability of a market model with stochastic volatility

NASA Astrophysics Data System (ADS)

Li, Jiang-Cheng; Mei, Dong-Cheng

2013-02-01

The effects of the delay time on the stability of a market model are investigated, by using a modified Heston model with a cubic nonlinearity and cross-correlated noise sources. These results indicate that: (i) There is an optimal delay time τo which maximally enhances the stability of the stock price under strong demand elasticity of stock price, and maximally reduces the stability of the stock price under weak demand elasticity of stock price; (ii) The cross correlation coefficient of noises and the delay time play an opposite role on the stability for the case of the delay time <τo and the same role for the case of the delay time >τo. Moreover, the probability density function of the escape time of stock price returns, the probability density function of the returns and the correlation function of the returns are compared with other literatures.

The Time Course of the Probability of Transition Into and Out of REM Sleep

PubMed Central

Bassi, Alejandro; Vivaldi, Ennio A.; Ocampo-Garcés, Adrián

2009-01-01

Study Objectives: A model of rapid eye movement (REM) sleep expression is proposed that assumes underlying regulatory mechanisms operating as inhomogenous Poisson processes, the overt results of which are the transitions into and out of REM sleep. Design: Based on spontaneously occurring REM sleep episodes (“Episode”) and intervals without REM sleep (“Interval”), 3 variables are defined and evaluated over discrete 15-second epochs using a nonlinear logistic regression method: “Propensity” is the instantaneous rate of into-REM transition occurrence throughout an Interval, “Volatility” is the instantaneous rate of out-of-REM transition occurrence throughout an Episode, and “Opportunity” is the probability of being in non-REM (NREM) sleep at a given time throughout an Interval, a requisite for transition. Setting: 12:12 light:dark cycle, isolated boxes. Participants: Sixteen male Sprague-Dawley rats Interventions: None. Spontaneous sleep cycles. Measurements and Results: The highest levels of volatility and propensity occur, respectively, at the very beginning of Episodes and Intervals. The new condition stabilizes rapidly, and variables reach nadirs at minute 1.25 and 2.50, respectively. Afterward, volatility increases markedly, reaching values close to the initial level. Propensity increases moderately, the increment being stronger through NREM sleep bouts occurring at the end of long Intervals. Short-term homeostasis is evidenced by longer REM sleep episodes lowering propensity in the following Interval. Conclusions: The stabilization after transitions into Episodes or Intervals and the destabilization after remaining for some time in either condition may be described as resulting from continuous processes building up during Episodes and Intervals. These processes underlie the overt occurrence of transitions. Citation: Bassi A; Vivaldi EA; Ocampo-Garcées A. The time course of the probability of transition into and out of REM sleep. SLEEP 2009;32(5):655-669 PMID:19480233

Skewness, long-time memory, and non-stationarity: Application to leverage effect in financial time series

NASA Astrophysics Data System (ADS)

Roman, H. E.; Porto, M.; Dose, C.

2008-10-01

We analyze daily log-returns data for a set of 1200 stocks, taken from US stock markets, over a period of 2481 trading days (January 1996-November 2005). We estimate the degree of non-stationarity in daily market volatility employing a polynomial fit, used as a detrending function. We find that the autocorrelation function of absolute detrended log-returns departs strongly from the corresponding original data autocorrelation function, while the observed leverage effect depends only weakly on trends. Such effect is shown to occur when both skewness and long-time memory are simultaneously present. A fractional derivative random walk model is discussed yielding a quantitative agreement with the empirical results.

Extreme-value dependence: An application to exchange rate markets

NASA Astrophysics Data System (ADS)

Fernandez, Viviana

2007-04-01

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That is, whether an extremely large appreciation or depreciation in the nominal exchange rate of one country might transmit to another. In general, after controlling for volatility clustering and inertia in returns, we do not find evidence of extreme-value dependence between paired exchange rates. However, for asymptotic-independent paired returns, we find that tail dependency of exchange rates is stronger under large appreciations than under large depreciations.

Pain Volatility and Prescription Opioid Addiction Treatment Outcomes in Patients with Chronic Pain

PubMed Central

Worley, Matthew J.; Heinzerling, Keith G.; Shoptaw, Steven; Ling, Walter

2015-01-01

The combination of prescription opioid dependence and chronic pain is increasingly prevalent and hazardous to public health. Variability in pain may explain poor prescription opioid addiction treatment outcomes in persons with chronic pain. This study examined pain trajectories and pain volatility in patients with chronic pain receiving treatment for prescription opioid addiction. We conducted secondary analyses of adults with chronic pain (N = 149) who received buprenorphine-naloxone (BUP-NLX) and counseling for 12 weeks in an outpatient, multi-site clinical trial. Good treatment outcome was defined as urine-verified abstinence from opioids at treatment endpoint (Week 12) and during at least two of the previous three weeks. Pain severity significantly declined over time during treatment (b = − 0.36, p < .001). Patients with greater pain volatility were less likely to have a good treatment outcome (OR = 0.55, p < .05), controlling for baseline pain severity and rate of change in pain over time. A one standard deviation increase in pain volatility was associated with a 44% reduction in the probability of endpoint abstinence. The significant reduction in subjective pain during treatment provides observational support for the analgesic effects of BUP-NLX in patients with chronic pain and opioid dependence. Patients with greater volatility in subjective pain during treatment have increased risk for returning to opioid use by the conclusion of an intensive treatment with BUP-NLX and counseling. Future research should examine underlying mechanisms of pain volatility and identify related therapeutic targets to optimize interventions for prescription opioid addiction and co-occurring chronic pain. PMID:26302337

Pain volatility and prescription opioid addiction treatment outcomes in patients with chronic pain.

PubMed

Worley, Matthew J; Heinzerling, Keith G; Shoptaw, Steven; Ling, Walter

2015-12-01

The combination of prescription opioid dependence and chronic pain is increasingly prevalent and hazardous to public health. Variability in pain may explain poor prescription opioid addiction treatment outcomes in persons with chronic pain. This study examined pain trajectories and pain volatility in patients with chronic pain receiving treatment for prescription opioid addiction. We conducted secondary analyses of adults with chronic pain (n = 149) who received buprenorphine/naloxone (BUP/NLX) and counseling for 12 weeks in an outpatient, multisite clinical trial. Good treatment outcome was defined as urine-verified abstinence from opioids at treatment endpoint (Week 12) and during at least 2 of the previous 3 weeks. Pain severity significantly declined over time during treatment (b = -0.36, p < .001). Patients with greater pain volatility were less likely to have a good treatment outcome (odds ratio = 0.55, p < .05), controlling for baseline pain severity and rate of change in pain over time. A 1 standard deviation increase in pain volatility was associated with a 44% reduction in the probability of endpoint abstinence. The significant reduction in subjective pain during treatment provides observational support for the analgesic effects of BUP/NLX in patients with chronic pain and opioid dependence. Patients with greater volatility in subjective pain during treatment have increased risk of returning to opioid use by the conclusion of an intensive treatment with BUP/NLX and counseling. Future research should examine underlying mechanisms of pain volatility and identify related therapeutic targets to optimize interventions for prescription opioid addiction and co-occurring chronic pain. (PsycINFO Database Record (c) 2015 APA, all rights reserved).

Alternative strategies: a better alternative.

PubMed

Doody, Dennis

2010-05-01

Alternatives can be defined as being any financial asset other than traditional stocks and bonds. They include marketable alternatives, private capital, and equity real estate. There are two primary reasons for investing in alternatives: the potential for greater return and the opportunity to diversify a portfolio. Although alternatives were challenged in the highly volatile environment that existed in 2008 and early 2009, they generally lived up to expectations.

Modeling the distribution of extreme share return in Malaysia using Generalized Extreme Value (GEV) distribution

NASA Astrophysics Data System (ADS)

Hasan, Husna; Radi, Noor Fadhilah Ahmad; Kassim, Suraiya

2012-05-01

Extreme share return in Malaysia is studied. The monthly, quarterly, half yearly and yearly maximum returns are fitted to the Generalized Extreme Value (GEV) distribution. The Augmented Dickey Fuller (ADF) and Phillips Perron (PP) tests are performed to test for stationarity, while Mann-Kendall (MK) test is for the presence of monotonic trend. Maximum Likelihood Estimation (MLE) is used to estimate the parameter while L-moments estimate (LMOM) is used to initialize the MLE optimization routine for the stationary model. Likelihood ratio test is performed to determine the best model. Sherman's goodness of fit test is used to assess the quality of convergence of the GEV distribution by these monthly, quarterly, half yearly and yearly maximum. Returns levels are then estimated for prediction and planning purposes. The results show all maximum returns for all selection periods are stationary. The Mann-Kendall test indicates the existence of trend. Thus, we ought to model for non-stationary model too. Model 2, where the location parameter is increasing with time is the best for all selection intervals. Sherman's goodness of fit test shows that monthly, quarterly, half yearly and yearly maximum converge to the GEV distribution. From the results, it seems reasonable to conclude that yearly maximum is better for the convergence to the GEV distribution especially if longer records are available. Return level estimates, which is the return level (in this study return amount) that is expected to be exceeded, an average, once every t time periods starts to appear in the confidence interval of T = 50 for quarterly, half yearly and yearly maximum.

Parental Language and Return Visits to the Emergency Department After Discharge.

PubMed

Samuels-Kalow, Margaret E; Stack, Anne M; Amico, Kendra; Porter, Stephen C

2017-06-01

Return visits to the emergency department (ED) are used as a marker of quality of care. Limited English proficiency, along with other demographic and disease-specific factors, has been associated with increased risk of return visit, but the relationship between language, short-term return visits, and overall ED use has not been well characterized. This is a planned secondary analysis of a prospective cohort examining the ED discharge process for English- or Spanish-speaking parents of children aged 2 months to 2 years with fever and/or respiratory illness. At 1 year after the index visit, a standardized chart review was performed. The primary outcome was the number of ED visits within 72 hours of the index visit. Multivariable logistic regression was used to examine the relative importance of predictor variables and adjust for confounders. There were 202 parents eligible for inclusion, of whom 23% were Spanish speaking. In addition, 6.9% of the sample had a return visit within 72 hours. After adjustment for confounders, Spanish language was associated with return visit within 72 hours (odds ratio, 3.49; 95% confidence interval, 1.02-11.90) but decreased risk of a second visit within the year (odds ratio, 0.28; 95% confidence interval, 0.12-0.66). Spanish-speaking parents are at an increased risk of 72-hour return ED visit but do not seem to be at increased risk of ED use during the year after their ED visit.

$1.8 Million and counting: how volatile agent education has decreased our spending $1000 per day.

PubMed

Miller, Scott A; Aschenbrenner, Carol A; Traunero, Justin R; Bauman, Loren A; Lobell, Samuel S; Kelly, Jeffrey S; Reynolds, John E

2016-12-01

Volatile anesthetic agents comprise a substantial portion of every hospital's pharmacy budget. Challenged with an initiative to lower anesthetic drug expenditures, we developed an education-based intervention focused on reducing volatile anesthetic costs while preserving access to all available volatile anesthetics. When postintervention evaluation demonstrated a dramatic year-over-year reduction in volatile agent acquisition costs, we undertook a retrospective analysis of volatile anesthetic purchasing data using time series analysis to determine the impact of our educational initiative. We obtained detailed volatile anesthetic purchasing data from the Central Supply of Wake Forest Baptist Health from 2007 to 2014 and integrated these data with the time course of our educational intervention. Aggregate volatile anesthetic purchasing data were analyzed for 7 consecutive fiscal years. The educational initiative emphasized tissue partition coefficients of volatile anesthetics in adipose tissue and muscle and their impact on case management. We used an interrupted time series analysis of monthly cost per unit data using autoregressive integrated moving average modeling, with the monthly cost per unit being the amount spent per bottle of anesthetic agent per month. The cost per unit decreased significantly after the intervention (t=-6.73, P<.001). The autoregressive integrated moving average model predicted that the average cost per unit decreased $48 after the intervention, with 95% confidence interval of $34 to $62. As evident from the data, the purchasing of desflurane and sevoflurane decreased, whereas that of isoflurane increased. An educational initiative focused solely on the selection of volatile anesthetic agent per case significantly reduced volatile anesthetic expense at a tertiary medical center. This approach appears promising for application in other hospitals in the rapidly evolving, value-added health care environment. We were able to accomplish this with instruction on tissue partition coefficients and each agent's individual cost per MAC-hour delivered. Copyright © 2016 Elsevier Inc. All rights reserved.

VACUUM DISTILLATION COUPLED WITH GAS CHROMATOGRAPHY/MASS SPECTROMETRY FOR THE ANALYSIS OF ENVIRONMENTAL SAMPLES

EPA Science Inventory

A procedure is presented that uses a vacuum distillation/gas chromatography/mass spectrometry system for analysis of problematic matrices of volatile organic compounds. The procedure compensates for matrix effects and provides both analytical results and confidence intervals from...

Launching lunar missions from Space Station Freedom

NASA Technical Reports Server (NTRS)

Friedlander, Alan; Young, Archie

1990-01-01

The relative orbital motion of Space Station Freedom and the moon places practical constraints on the timing of launch/return transfer trajectories. This paper describes the timing characteristics as well as the Delta-V variations over a representative cycle of launch/return opportunities. On average, the minimum-Delta-V transfer opportunities occur at intervals of 9 days. However, there is a significant nonuniform variation in this timing interval, as well as the minimum stay time at the moon, over the short cycle (51 days) and the long cycle (18.6 years). The advantage of three-impulse transfers for extending the launch window is also described.

A model-based approach to wildland fire reconstruction using sediment charcoal records

USGS Publications Warehouse

Itter, Malcolm S.; Finley, Andrew O.; Hooten, Mevin B.; Higuera, Philip E.; Marlon, Jennifer R.; Kelly, Ryan; McLachlan, Jason S.

2017-01-01

Lake sediment charcoal records are used in paleoecological analyses to reconstruct fire history, including the identification of past wildland fires. One challenge of applying sediment charcoal records to infer fire history is the separation of charcoal associated with local fire occurrence and charcoal originating from regional fire activity. Despite a variety of methods to identify local fires from sediment charcoal records, an integrated statistical framework for fire reconstruction is lacking. We develop a Bayesian point process model to estimate the probability of fire associated with charcoal counts from individual-lake sediments and estimate mean fire return intervals. A multivariate extension of the model combines records from multiple lakes to reduce uncertainty in local fire identification and estimate a regional mean fire return interval. The univariate and multivariate models are applied to 13 lakes in the Yukon Flats region of Alaska. Both models resulted in similar mean fire return intervals (100–350 years) with reduced uncertainty under the multivariate model due to improved estimation of regional charcoal deposition. The point process model offers an integrated statistical framework for paleofire reconstruction and extends existing methods to infer regional fire history from multiple lake records with uncertainty following directly from posterior distributions.

Tick size and stock returns

NASA Astrophysics Data System (ADS)

Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo

2009-02-01

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.

Changes in cortisol release and heart rate variability in sport horses during long-distance road transport.

PubMed

Schmidt, A; Biau, S; Möstl, E; Becker-Birck, M; Morillon, B; Aurich, J; Faure, J-M; Aurich, C

2010-04-01

It is widely accepted that transport is stressful for horses, but only a few studies are available involving horses that are transported regularly and are accustomed to transport. We determined salivary cortisol immunoreactivity (IR), fecal cortisol metabolites, beat-to-beat (RR) interval, and heart rate variability (HRV) in transport-experienced horses (N=7) in response to a 2-d outbound road transport over 1370 km and 2-d return transport 8 d later. Salivary cortisol IR was low until 60 min before transport but had increased (P<0.05) 30 min before loading. Transport caused a further marked increase (P<0.001), but the response tended to decrease with each day of transport. Concentrations of fecal cortisol metabolites increased on the second day of both outbound and return transports and reached a maximum the following day (P<0.001). During the first 90 min on Day 1 of outbound transport, mean RR interval decreased (P<0.001). Standard deviations of RR interval (SDRR) decreased transiently (P<0.01). The root mean square of successive RR differences (RMSSD) decreased at the beginning of the outbound and return transports (P<0.01), reflecting reduced parasympathetic tone. On the first day of both outbound and return transports, a transient rise in geometric HRV variable standard deviation 2 (SD2) occurred (P<0.01), indicating increased sympathetic activity. In conclusion, transport of experienced horses leads to increased cortisol release and changes in heart rate and HRV, which is indicative of stress. The degree of these changes tended to be most pronounced on the first day of both outbound and return transport. Copyright 2009 Elsevier Inc. All rights reserved.

Characterization of Crew Refuse Returned from Shuttle Missions with Permanent Gas, Volatile Organic Compound, and Microbial Analyses

NASA Astrophysics Data System (ADS)

Peterson, B.; Hummerick, M.; Roberts, M.; Krummins, V.; Kish, A.; Garland, J.; Maxwell, S.; Mills, A.

In addition to the mass and energy costs associated with bioregenerative systems for advanced life support, the storage and processing of waste on spacecraft requires both atmospheric and biological management. Risks to crew health may arise from the presence of potential human pathogens in waste or from decay processes during waste storage and/or processing. This study reports on the permanent gas, trace volatile organic and microbiological analyses of crew refuse returned from shuttle missions STS-105, 109 and 110. The research objective is to characterize the biological stability of the waste stream, to assess the risks associated with its storage, and to provide baseline measures for the evaluation of waste processing technologies. Microbiological samples were collected from packaging material, food waste, bathroom waste, and bulk liquid collected from the volume F waste container. The number of culturable bacteria and total bacteria were determined by plating on R2A media and by Acridine Orange direct count, respectively. Samples of the trash were analyzed for the presence of fecal and total coliforms and other human-associated bacteria. Dry and ash weights were determined to estimate both water and organic content of the materials. The aerobic and anaerobic bio-stability of stored waste was determined by on-line monitoring of CO2 and by laboratory analysis of off-gas samples for hydrogen sulfide and methane. Volatile organic compounds and permanent gases were analyzed using EPA method TO15 with gas chromatography/mass spectrometry and by gas chromatography with selective detectors . This study establishes a baseline measure of waste composition, labile organics, and microbial load for this material.

Impedance matching of a coaxial antenna for microwave in-situ processing of polluted soils.

PubMed

Pauli, Mario; Kayser, Thorsten; Wiesbeck, Werner; Komarov, Vyacheslav

2011-01-01

The present paper is focused on the minimization of return loss of a slotted coaxial radiator proposed for a decontamination system for soils contaminated by volatile or semi-volatile organic compounds such as oils or fuels. The antenna upgrade is achieved by coating it with a 5 mm thick Teflon layer. The electromagnetic characteristics reflection coefficient and power density distribution around the antenna surrounded by soils with different moisture levels are analyzed numerically. Simplified analytical approaches are employed to accelerate the optimization of the given antenna for microwave heating systems. The improved antenna design shows a good matching of the antenna to the surrounding soil with varying moisture levels. This ensures a high efficiency of the proposed in-situ soil decontamination system.

Agent-based simulation of a financial market

NASA Astrophysics Data System (ADS)

Raberto, Marco; Cincotti, Silvano; Focardi, Sergio M.; Marchesi, Michele

2001-10-01

This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time. In each period, agents make random buy and sell decisions that are constrained by available resources, subject to clustering, and dependent on the volatility of previous periods. The model proposed herein is able to reproduce the leptokurtic shape of the probability density of log price returns and the clustering of volatility. Implemented using extreme programming and object-oriented technology, the simulator is a flexible computational experimental facility that can find applications in both academic and industrial research projects.

The Uncertainty of Biomass Estimates from Modeled ICESat-2 Returns Across a Boreal Forest Gradient

NASA Technical Reports Server (NTRS)

Montesano, P. M.; Rosette, J.; Sun, G.; North, P.; Nelson, R. F.; Dubayah, R. O.; Ranson, K. J.; Kharuk, V.

2014-01-01

The Forest Light (FLIGHT) radiative transfer model was used to examine the uncertainty of vegetation structure measurements from NASA's planned ICESat-2 photon counting light detection and ranging (LiDAR) instrument across a synthetic Larix forest gradient in the taiga-tundra ecotone. The simulations demonstrate how measurements from the planned spaceborne mission, which differ from those of previous LiDAR systems, may perform across a boreal forest to non-forest structure gradient in globally important ecological region of northern Siberia. We used a modified version of FLIGHT to simulate the acquisition parameters of ICESat-2. Modeled returns were analyzed from collections of sequential footprints along LiDAR tracks (link-scales) of lengths ranging from 20 m-90 m. These link-scales traversed synthetic forest stands that were initialized with parameters drawn from field surveys in Siberian Larix forests. LiDAR returns from vegetation were compiled for 100 simulated LiDAR collections for each 10 Mg · ha(exp -1) interval in the 0-100 Mg · ha(exp -1) above-ground biomass density (AGB) forest gradient. Canopy height metrics were computed and AGB was inferred from empirical models. The root mean square error (RMSE) and RMSE uncertainty associated with the distribution of inferred AGB within each AGB interval across the gradient was examined. Simulation results of the bright daylight and low vegetation reflectivity conditions for collecting photon counting LiDAR with no topographic relief show that 1-2 photons are returned for 79%-88% of LiDAR shots. Signal photons account for approximately 67% of all LiDAR returns, while approximately 50% of shots result in 1 signal photon returned. The proportion of these signal photon returns do not differ significantly (p greater than 0.05) for AGB intervals greater than 20 Mg · ha(exp -1). The 50m link-scale approximates the finest horizontal resolution (length) at which photon counting LiDAR collection provides strong model fits and minimizes forest structure uncertainty in the synthetic Larix stands. At this link-scale AGB greater than 20 Mg · ha(exp -1) has AGB error from 20-50% at the 95% confidence level. These results suggest that the theoretical sensitivity of ICESat-2 photon counting LiDAR measurements alone lack the ability to consistently discern differences in inferred AGB at 10 Mg · ha(exp -1) intervals in sparse forests characteristic of the taiga-tundra ecotone.

Stock optimizing in choice when a token deposit is the operant.

PubMed

Widholm, J J; Silberberg, A; Hursh, S R; Imam, A A; Warren-Boulton, F R

2001-11-01

Each of 2 monkeys typically earned their daily food ration by depositing tokens in one of two slots. Tokens deposited in one slot dropped into a bin where they were kept (token kept). Deposits to a second slot dropped into a bin where they could be obtained again (token returned). In Experiment 1, a fixed-ratio (FR) 5 schedule that provided two food pellets was associated with each slot. Both monkeys preferred the token-returned slot. In Experiment 2, both subjects chose between unequal FR schedules with the token-returned slot always associated with the leaner schedule. When the FRs were 2 versus 3 and 2 versus 6, preferences were maintained for the token-returned slot; however, when the ratios were 2 versus 12, preference shifted to the token-kept slot. In Experiment 3, both monkeys chose between equal-valued concurrent variable-interval variable-interval schedules. Both monkeys preferred the slot that returned tokens. In Experiment 4, both monkeys chose between FRs that typically differed in size by a factor of 10. Both monkeys preferred the FR schedule that provided more food per trial. These data show that monkeys will choose so as to increase the number of reinforcers earned (stock optimizing) even when this preference reduces the rate of reinforcement (all reinforcers divided by session time).

Derivative pricing with non-linear Fokker-Planck dynamics

NASA Astrophysics Data System (ADS)

Michael, Fredrick; Johnson, M. D.

2003-06-01

We examine how the Black-Scholes derivative pricing formula is modified when the underlying security obeys non-extensive statistics and Fokker-Planck dynamics. An unusual feature of such securities is that the volatility in the underlying Ito-Langevin equation depends implicitly on the actual market rate of return. This complicates most approaches to valuation. Here we show that progress is possible using variations of the Cox-Ross valuation technique.

High-precision timeline for Earth’s most severe extinction

PubMed Central

Burgess, Seth D.; Bowring, Samuel; Shen, Shu-zhong

2014-01-01

The end-Permian mass extinction was the most severe loss of marine and terrestrial biota in the last 542 My. Understanding its cause and the controls on extinction/recovery dynamics depends on an accurate and precise age model. U-Pb zircon dates for five volcanic ash beds from the Global Stratotype Section and Point for the Permian-Triassic boundary at Meishan, China, define an age model for the extinction and allow exploration of the links between global environmental perturbation, carbon cycle disruption, mass extinction, and recovery at millennial timescales. The extinction occurred between 251.941 ± 0.037 and 251.880 ± 0.031 Mya, an interval of 60 ± 48 ka. Onset of a major reorganization of the carbon cycle immediately precedes the initiation of extinction and is punctuated by a sharp (3‰), short-lived negative spike in the isotopic composition of carbonate carbon. Carbon cycle volatility persists for ∼500 ka before a return to near preextinction values. Decamillenial to millennial level resolution of the mass extinction and its aftermath will permit a refined evaluation of the relative roles of rate-dependent processes contributing to the extinction, allowing insight into postextinction ecosystem expansion, and establish an accurate time point for evaluating the plausibility of trigger and kill mechanisms. PMID:24516148

High-precision timeline for Earth's most severe extinction.

PubMed

Burgess, Seth D; Bowring, Samuel; Shen, Shu-zhong

2014-03-04

The end-Permian mass extinction was the most severe loss of marine and terrestrial biota in the last 542 My. Understanding its cause and the controls on extinction/recovery dynamics depends on an accurate and precise age model. U-Pb zircon dates for five volcanic ash beds from the Global Stratotype Section and Point for the Permian-Triassic boundary at Meishan, China, define an age model for the extinction and allow exploration of the links between global environmental perturbation, carbon cycle disruption, mass extinction, and recovery at millennial timescales. The extinction occurred between 251.941 ± 0.037 and 251.880 ± 0.031 Mya, an interval of 60 ± 48 ka. Onset of a major reorganization of the carbon cycle immediately precedes the initiation of extinction and is punctuated by a sharp (3‰), short-lived negative spike in the isotopic composition of carbonate carbon. Carbon cycle volatility persists for ∼500 ka before a return to near preextinction values. Decamillenial to millennial level resolution of the mass extinction and its aftermath will permit a refined evaluation of the relative roles of rate-dependent processes contributing to the extinction, allowing insight into postextinction ecosystem expansion, and establish an accurate time point for evaluating the plausibility of trigger and kill mechanisms.

Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns

NASA Astrophysics Data System (ADS)

Manahov, Viktor; Hudson, Robert

2013-10-01

Many scholars express concerns that herding behaviour causes excess volatility, destabilises financial markets, and increases the likelihood of systemic risk. We use a special form of the Strongly Typed Genetic Programming (STGP) technique to evolve a stock market divided into two groups-a small subset of artificial agents called ‘Best Agents’ and a main cohort of agents named ‘All Agents’. The ‘Best Agents’ perform best in term of the trailing return of a wealth moving average. We then investigate whether herding behaviour can arise when agents trade Dow Jones, General Electric, and IBM financial instruments in four different artificial stock markets. This paper uses real historical quotes of the three financial instruments to analyse the behavioural foundations of stylised facts such as leptokurtosis, non-IIDness, and volatility clustering. We found evidence of more herding in a group of stocks than in individual stocks, but the magnitude of herding does not contribute to the mispricing of assets in the long run. Our findings suggest that the price formation process caused by the collective behaviour of the entire market exhibit less herding and is more efficient than the segmented market populated by a small subset of agents. Hence, greater genetic diversity leads to greater consistency with fundamental values and market efficiency.

Correlation between agricultural markets in dynamic perspective-Evidence from China and the US futures markets

NASA Astrophysics Data System (ADS)

Jia, Rui-Lin; Wang, Dong-Hua; Tu, Jing-Qing; Li, Sai-Ping

2016-12-01

Emerging as the earliest futures markets, agricultural futures markets play an important role in risk aversion and price discovery. With the integration of global economy, the linkage between domestic and international futures markets becomes closer than ever. By using the thermal optimal path (TOP) method, this paper selects soybean, corn and wheat as the representatives to study the dynamic lead-lag relationship between the Chinese and American markets in both returns and volatility. The results indicate that: (1) For the futures return, different kinds of agricultural futures lead-lag relationship between China and the US varied before 2014 both in direction and order in different time periods. However, China leads the US for all the three kinds we study after 2014. (2) Agricultural commodities subject to less import restrictions and government regulations in China such as soybean are more susceptible to the fluctuations from the international markets. On the other hand, lower foreign trade openness and more government regulation species such as wheat are less affected by fluctuations from outside. (3) The volatility transmission from the US to China wheat futures market takes longer time than soybean, which suggests that China's soybean futures market is more closely linked to the international agricultural futures market than wheat.

Ehrenfest model with large jumps in finance

NASA Astrophysics Data System (ADS)

Takahashi, Hisanao

2004-02-01

Changes (returns) in stock index prices and exchange rates for currencies are argued, based on empirical data, to obey a stable distribution with characteristic exponent α<2 for short sampling intervals and a Gaussian distribution for long sampling intervals. In order to explain this phenomenon, an Ehrenfest model with large jumps (ELJ) is introduced to explain the empirical density function of price changes for both short and long sampling intervals.

The Applicability of Confidence Intervals of Quantiles for the Generalized Logistic Distribution

NASA Astrophysics Data System (ADS)

Shin, H.; Heo, J.; Kim, T.; Jung, Y.

2007-12-01

The generalized logistic (GL) distribution has been widely used for frequency analysis. However, there is a little study related to the confidence intervals that indicate the prediction accuracy of distribution for the GL distribution. In this paper, the estimation of the confidence intervals of quantiles for the GL distribution is presented based on the method of moments (MOM), maximum likelihood (ML), and probability weighted moments (PWM) and the asymptotic variances of each quantile estimator are derived as functions of the sample sizes, return periods, and parameters. Monte Carlo simulation experiments are also performed to verify the applicability of the derived confidence intervals of quantile. As the results, the relative bias (RBIAS) and relative root mean square error (RRMSE) of the confidence intervals generally increase as return period increases and reverse as sample size increases. And PWM for estimating the confidence intervals performs better than the other methods in terms of RRMSE when the data is almost symmetric while ML shows the smallest RBIAS and RRMSE when the data is more skewed and sample size is moderately large. The GL model was applied to fit the distribution of annual maximum rainfall data. The results show that there are little differences in the estimated quantiles between ML and PWM while distinct differences in MOM.

The Effects of Acute High-Intensity Interval Training on Hematological Parameters in Sedentary Subjects.

PubMed

Belviranli, Muaz; Okudan, Nilsel; Kabak, Banu

2017-07-19

The objective of the study was to determine the effects of acute high-intensity interval training (HIIT) on hematological parameters in sedentary men. Ten healthy, non-smoker, and sedentary men aged between 18 and 24 years participated in the study. All subjects performed four Wingate tests with 4 min intervals between the tests. Blood samples were collected at pre-exercise, immediately after, 3 and 6 h after the fourth Wingate test. Hematological parameters were analyzed in these samples. The results showed that hematocrit percentage, hemoglobin values, red cell count, mean cell volume, platelet count, total white cell count, and counts of the white cell subgroups increased immediately after the acute HIIT and their values began to return to resting levels 3 h after exercise, and completely returned to resting levels 6 h after exercise. In conclusion, acute HIIT causes an inflammatory response in blood.

Return on Investment of a Work-Family Intervention: Evidence From the Work, Family, and Health Network.

PubMed

Barbosa, Carolina; Bray, Jeremy W; Dowd, William N; Mills, Michael J; Moen, Phyllis; Wipfli, Brad; Olson, Ryan; Kelly, Erin L

2015-09-01

To estimate the return on investment (ROI) of a workplace initiative to reduce work-family conflict in a group-randomized 18-month field experiment in an information technology firm in the United States. Intervention resources were micro-costed; benefits included medical costs, productivity (presenteeism), and turnover. Regression models were used to estimate the ROI, and cluster-robust bootstrap was used to calculate its confidence interval. For each participant, model-adjusted costs of the intervention were $690 and company savings were $1850 (2011 prices). The ROI was 1.68 (95% confidence interval, -8.85 to 9.47) and was robust in sensitivity analyses. The positive ROI indicates that employers' investment in an intervention to reduce work-family conflict can enhance their business. Although this was the first study to present a confidence interval for the ROI, results are comparable with the literature.

The effect of diagnosis-specific computerized discharge instructions on 72-hour return visits to the pediatric emergency department.

PubMed

Lawrence, Laurie M; Jenkins, Cathy A; Zhou, Chuan; Givens, Timothy G

2009-11-01

The number of patients returning to the pediatric emergency department (PED) within 72 hours of discharge is frequently cited as a benchmark for quality patient care. The purpose of this study was to determine whether the introduction of diagnosis-specific computer-generated discharge instructions would decrease the number of medically unnecessary return visits to the PED. A retrospective chart review of patients who returned to the PED within 72 hours of discharge was performed. Charts were reviewed from 2 comparable periods: September 2004 to February 2005, when handwritten discharge instructions were issued to each patient, and September 2005 to February 2006, when each patient received computer-generated diagnosis-specific discharge instructions. The patient's age, primary care provider, insurance status, chief complaint, vital signs, history, physical examination, plan of care, and diagnosis at each visit were recorded. Cases were excluded if the patient left against medical advice or without being seen, was admitted to the hospital on the first visit, or had incomplete or missing records. The medical necessity of the return visit was rated as "yes," "no," or "indeterminate" based on review of the visit noting reason for return, history and physical examination, diagnosis, and interventions or changes in the initial care plan. Of all return visits to the PED within 72 hours of discharge, 13% were deemed unnecessary for patients receiving handwritten instructions compared with 15% for patients receiving computer-generated instructions (P = 0.5, not significant). For each additional year of age, the return visit was 1.07 times as likely to be medically appropriate (95% confidence interval, 1.03-1.12; P = 0.002). Patients who returned to the PED more than once were 2.69 times more likely to have a medically appropriate visit as were those with only 1 return visit (95% confidence interval, 0.95-7.58; P = 0.062). Computer-generated diagnosis-specific discharge instructions do not decrease the number of medically unnecessary repeat visits to the PED.

An interval kicking progression for return to soccer following lower extremity injury.

PubMed

Arundale, Amelia; Silvers, Holly; Logerstedt, David; Rojas, Jaime; Snyder-Mackler, Lynn

2015-02-01

The majority of all soccer injuries affect the lower extremities. Regardless of whether the injured limb is an athlete's preferred kicking or stance leg, a lower extremity injury may affect their ability to impact the ball. Sport-specific biomechanical progressions to augment loading and gradually reintroduce a player to the demands of sport have been developed for upper extremity sports such as baseball, softball, tennis, and golf. Generalized return to soccer progressions have also been published in order to assist clinicians in safely returning athletes to sport; however, there are no specific progressions for the early stages of kicking designed to introduce stance leg loading and kicking leg impact. Thus, the purpose of this clinical commentary was to review the existing literature elucidating the biomechanics of kicking a soccer ball and propose a progressive kicking program to support clinicians in safely returning their soccer athletes to the demands of sport. The interval kicking program (IKP) describes clinical guidelines for readiness to begin a kicking program as well as possible readiness to return to sport measures. The program is performed on alternate days integrating therapeutic exercise and cardiovascular fitness. The IKP gradually introduces a player to the loading and impact of kicking. The progression increases kicking distance (using the markings of a soccer field as a guide), volume, and intensity and uses proposed soreness rules, effusion guidelines, and player feedback in order to assist clinicians in determining readiness for advancement though the stages. The IKP also recommends utility of specific tests and measures to determine readiness for return to sport. Gradual reintroduction to sport specific demands is essential for a safe return to soccer. This return to sport progression provides a framework integrating injury specific therapeutic exercise, cardiovascular fitness, and the return to kicking progression, to assist clinicians in initiating an athletes' return to soccer. Level 5.

STOCK Market Differences in Correlation-Based Weighted Network

NASA Astrophysics Data System (ADS)

Youn, Janghyuk; Lee, Junghoon; Chang, Woojin

We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.

Release of volatile and semi-volatile toxicants during house fires.

PubMed

Hewitt, Fiona; Christou, Antonis; Dickens, Kathryn; Walker, Richard; Stec, Anna A

2017-04-01

Qualitative results are presented from analysis of volatile and semi-volatile organic compounds (VOCs/SVOCs) obtained through sampling of gaseous effluent and condensed particulates during a series of experimental house fires conducted in a real house. Particular emphasis is given to the 16 polycyclic aromatic hydrocarbons (PAHs) listed by the Environmental Protection Agency due to their potentially carcinogenic effects. The initial fuel packages were either cooking oil or a single sofa; these were burned both alone, and in furnished surroundings. Experiments were performed at different ventilation conditions. Qualitative Gas Chromatography-Mass Spectrometry (GC-MS) analysis found VOC/SVOC releases in the developing stages of the fires, and benzo(a)pyrene - the most carcinogenic PAH - was found in at least one sampling interval in the majority of fires. A number of phosphorus fire retardants were detected, in both the gaseous effluent and particulates, from fires where the initial fuel source was a sofa. Their release during the fire is significant as they pose toxicological concerns separate from those presented by the PAHs. Copyright © 2016. Published by Elsevier Ltd.

Tracking Data Acquisition System (TDAS) for the 1990's. Volume 6: TDAS navigation system architecture

NASA Technical Reports Server (NTRS)

Elrod, B. D.; Jacobsen, A.; Cook, R. A.; Singh, R. N. P.

1983-01-01

One-way range and Doppler methods for providing user orbit and time determination are examined. Forward link beacon tracking, with on-board processing of independent navigation signals broadcast continuously by TDAS spacecraft; forward link scheduled tracking; with on-board processing of navigation data received during scheduled TDAS forward link service intervals; and return link scheduled tracking; with ground-based processing of user generated navigation data during scheduled TDAS return link service intervals are discussed. A system level definition and requirements assessment for each alternative, an evaluation of potential navigation performance and comparison with TDAS mission model requirements is included. TDAS satellite tracking is also addressed for two alternatives: BRTS and VLBI tracking.

Effect of the revisit interval on the accuracy of remote sensing-based estimates of evapotranspiration at field scales

USDA-ARS?s Scientific Manuscript database

Accurate spatially distributed estimates of evapotranspiration (ET) derived from remotely sensed data are critical to a broad range of practical and operational applications. However, due to lengthy return intervals and cloud cover, data acquisition is not continuous over time. To fill the data gaps...

Degassing and microlite crystallization during pre-climactic events of the 1991 eruption of Mt. Pinatubo, Philippines

USGS Publications Warehouse

Hammer, J.E.; Cashman, K.V.; Hoblitt, R.P.; Newman, S.

1999-01-01

Dacite tephras produced by the 1991 pre-climactic eruptive sequence at Mt. Pinatubo display extreme heterogeneity in vesicularity, ranging in clast density from 700 to 2580 kg m-3. Observations of the 13 surge-producing blasts that preceded the climactic plinian event include radar-defined estimates of column heights and seismically defined eruptive and intra-eruptive durations. A comparison of the characteristics of erupted material, including microlite textures, chemical compositions, and H2O contents, with eruptive parameters suggests that devolatilization-induced crystallization of the magma occurred to a varying extent prior to at least nine of the explosive events. Although volatile loss progressed to the same approximate level in all of the clasts analyzed (weight percent H2O=1.26-1.73), microlite crystallization was extremely variable (0-22%). We infer that syn-eruptive volatile exsolution from magma in the conduit and intra-eruptive separation of the gas phase was facilitated by the development of permeability within magma residing in the conduit. Correlation of maximum microlite crystallinity with repose interval duration (28-262 min) suggests that crystallization occurred primarily intra-eruptively, in response to the reduction in dissolved H2O content that occurred during the preceding event. Detailed textural characterization, including determination of three-dimensional shapes and crystal size distributions (CSD), was conducted on a subset of clasts in order to determine rates of crystal nucleation and growth using repose interval as the time available for crystallization. Shape and size analysis suggests that crystallization proceeded in response to lessening degrees of feldspar supersaturation as repose interval durations increased. We thus propose that during repose intervals, a plug of highly viscous magma formed due to the collapse of vesicular magma that had exsolved volatiles during the previous explosive event. If plug thickness grew proportionally to the square root of time, and if magma pressurization increased during the eruptive sequence, the frequency of eruptive pulses may have been modulated by degassing of magma within the conduit. Dense clasts in surge deposits probably represent plug material entrained by each subsequent explosive event.

Plume Collection Strategies for Icy World Sample Return

NASA Technical Reports Server (NTRS)

Neveu, M.; Glavin, D. P.; Tsou, P.; Anbar, A. D.; Williams, P.

2015-01-01

Three icy worlds in the solar system display evidence of pluming activity. Water vapor and ice particles emanate from cracks near the south pole of Saturn's moon Enceladus. The plume gas contains simple hydrocarbons that could be fragments of larger, more complex organics. More recently, observations using the Hubble and Herschel space telescopes have hinted at transient water vapor plumes at Jupiter's moon Europa and the dwarf planet Ceres. Plume materials may be ejected directly from possible sub-surface oceans, at least on Enceladus. In such oceans, liquid water, organics, and energy may co-exist, making these environments habitable. The venting of habitable ocean material into space provides a unique opportunity to capture this material during a relatively simple flyby mission and return it to Earth. Plume collection strategies should enable investigations of evidence for life in the returned samples via laboratory analyses of the structure, distribution, isotopic composition, and chirality of the chemical components (including biomolecules) of plume materials. Here, we discuss approaches for the collection of dust and volatiles during flybys through Enceladus' plume, based on Cassini results and lessons learned from the Stardust comet sample return mission. We also highlight areas where sample collector and containment technology development and testing may be needed for future plume sample return missions.

Origin of the Martian Moons and Their Volatile Abundances

NASA Astrophysics Data System (ADS)

Nakajima, M.; Canup, R. M.

2017-12-01

The origin of the Martian moons, Phobos and Deimos, has been actively debated. These moons were initially thought to have been gravitationally captured asteroids given that their spectra appeared to be similar to those of D-type asteroids. However, intact capture is difficult to reconcile with their nearly circular, co-planar orbits. Their orbits may be better explained by recent dynamical studies that suggest that the moons may have instead formed from a disk generated by a large impact, as was likely the case for Earth's Moon. Phobos and Deimos' bulk volatile contents, which are currently very uncertain, would also provide key constraints on their origin. If the moons were captured, their bulk compositions may be similar to those of asteroids, and their sub-surfaces could be volatile-rich. We are here exploring the implications of the alternative impact origin on the moon volatile abundances. We perform numerical simulations to estimate the extent of volatile loss from the moon-forming ejecta produced by a large impact with Mars. We find that hydrogen and water vapor escape hydrodynamically from the disk, leading to moons with dry, hydrogen-depleted bulk compositions. It is thus possible that the moons' mode of origin may be determined by knowledge of their volatile contents, because detection of a substantial (non-exogenically delivered) water content would argue strongly against formation by impact. JAXA's Martian Moons eXploration Mission (MMX) will conduct detailed remote sensing of the moons, including a gamma ray and neutron spectrometer that will for the first time probe their sub-surface elemental compositions, and will return samples from Phobos for laboratory analysis. This should allow for characterization of the moon volatile abundances. We also discuss that the inferred high porosities of these moons could be explained if they are rubble piles formed during accretion from impact-produced ejecta.

Robust portfolio selection based on asymmetric measures of variability of stock returns

NASA Astrophysics Data System (ADS)

Chen, Wei; Tan, Shaohua

2009-10-01

This paper addresses a new uncertainty set--interval random uncertainty set for robust optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust mean-variance portfolio selection under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

Is Inhibition of Return Due to Attentional Disengagement or to a Detection Cost? The Detection Cost Theory of IOR

ERIC Educational Resources Information Center

Lupianez, Juan; Martin-Arevalo, Elisa; Chica, Ana B.

2013-01-01

When the time interval between two peripheral stimuli is long enough, reaction times (RTs) to targets presented at previously stimulated locations are longer than RTs to targets presented at new locations. This effect is widely known as "Inhibition of Return" (IOR). The effect is usually explained as an inhibitory bias against…

Analysis of Molecular Contamination on Genesis Collectors Through Spectroscopic Ellipsometry

NASA Technical Reports Server (NTRS)

McNamara, K. M.; Stansbery, Eileen K.

2005-01-01

Before the spacecraft returned to Earth in September, the Genesis mission had a preliminary assessment plan in place for the purpose of providing information on the condition and availability of collector materials to the science community as a basis for allocation requests. One important component of that plan was the evaluation of collector surfaces for molecular contamination. Sources of molecular contamination might be the on-orbit outgassing of spacecraft and science canister components, the condensation of thruster by-products during spacecraft maneuvers, or the condensation of volatile species associated with reentry. Although the non-nominal return of the Genesis spacecraft introduced particulate contamination to the collectors, such as dust and heatshield carbon-carbon, it is unlikely to have caused any molecular deposition. The contingency team's quick action in returning the damaged payload the UTTR cleanroom by 6 PM the evening of recovery help to ensure that exposure to weather conditions and the environment were kept to a minimum.

Selecting A Landing Site Of Astrobiological Interest For Mars Landers And Sample Return Missions

NASA Astrophysics Data System (ADS)

Wills, Danielle; Monaghan, E.; Foing, B.

2008-09-01

The landscape of Mars, despite its apparent hostility to life, is riddled with geological and mineralogical signs of past or present hydrological activity. As such, it is a key target for astrobiological exploration. The aim of this work is to combine data and studies to select top priority landing locations for in-situ landers and sample return missions to Mars. We report in particular on science and technical criteria and our data analysis for sites of astrobiological interest. This includes information from previous missions (such as Mars Express, MGS, Odyssey, MRO and MER rovers) on mineralogical composition, geomorphology, evidence from past water history from imaging and spectroscopic data, and existence of in-situ prior information from landers and rovers (concerning evidence for volatiles, organics and habitability conditions). We discuss key mission objectives, and consider the accessibility of chosen locations. We describe what additional measurements are needed, and outline the technical and scientific operations requirements of in-situ landers and sample return missions to Mars.

Wildfires Dynamics in Siberian Larch Forests

NASA Technical Reports Server (NTRS)

Ponomarev, Evgenii I.; Kharuk, Viacheslav I.; Ranson, Kenneth J.

2016-01-01

Wildfire number and burned area temporal dynamics within all of Siberia and along a south-north transect in central Siberia (45deg-73degN) were studied based on NOAA/AVHRR (National Oceanic and Atmospheric Administration/ Advanced Very High Resolution Radiometer) and Terra/MODIS (Moderate Resolution Imaging Spectroradiometer) data and field measurements for the period 1996-2015. In addition, fire return interval (FRI) along the south-north transect was analyzed. Both the number of forest fires and the size of the burned area increased during recent decades (p < 0.05). Significant correlations were found between forest fires, burned areas and air temperature (r = 0.5) and drought index (The Standardized Precipitation Evapotranspiration Index, SPEI) (r = 0.43). Within larch stands along the transect, wildfire frequency was strongly correlated with incoming solar radiation (r = 0.91). Fire danger period length decreased linearly from south to north along the transect. Fire return interval increased from 80 years at 62 N to 200 years at the Arctic Circle (6633' N), and to about 300 years near the northern limit of closed forest stands (about 71+ N). That increase was negatively correlated with incoming solar radiation (r = 0.95). Keywords: wildfires; drought index; larch stands; fire return interval; fire frequency; burned area; climate-induced trends in Siberian wildfires

Climate change and long-term fire management impacts on Australian savannas.

PubMed

Scheiter, Simon; Higgins, Steven I; Beringer, Jason; Hutley, Lindsay B

2015-02-01

Tropical savannas cover a large proportion of the Earth's land surface and many people are dependent on the ecosystem services that savannas supply. Their sustainable management is crucial. Owing to the complexity of savanna vegetation dynamics, climate change and land use impacts on savannas are highly uncertain. We used a dynamic vegetation model, the adaptive dynamic global vegetation model (aDGVM), to project how climate change and fire management might influence future vegetation in northern Australian savannas. Under future climate conditions, vegetation can store more carbon than under ambient conditions. Changes in rainfall seasonality influence future carbon storage but do not turn vegetation into a carbon source, suggesting that CO₂ fertilization is the main driver of vegetation change. The application of prescribed fires with varying return intervals and burning season influences vegetation and fire impacts. Carbon sequestration is maximized with early dry season fires and long fire return intervals, while grass productivity is maximized with late dry season fires and intermediate fire return intervals. The study has implications for management policy across Australian savannas because it identifies how fire management strategies may influence grazing yield, carbon sequestration and greenhouse gas emissions. This knowledge is crucial to maintaining important ecosystem services of Australian savannas. © 2014 The Authors. New Phytologist © 2014 New Phytologist Trust.

First-passage and risk evaluation under stochastic volatility

NASA Astrophysics Data System (ADS)

Masoliver, Jaume; Perelló, Josep

2009-07-01

We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and the hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain approximate forms of these probabilities which prove, among other interesting properties, the nonexistence of a mean-first-passage time. One significant result is the evidence of extreme deviations—which implies a high risk of default—when certain dimensionless parameter, related to the strength of the volatility fluctuations, increases. We confront the model with empirical daily data and we observe that it is able to capture a very broad domain of the hitting probability. We believe that this may provide an effective tool for risk control which can be readily applicable to real markets both for portfolio management and trading strategies.

Confidence and the stock market: an agent-based approach.

PubMed

Bertella, Mario A; Pires, Felipe R; Feng, Ling; Stanley, Harry Eugene

2014-01-01

Using a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations--indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior.

Salient features of dependence in daily US stock market indices

NASA Astrophysics Data System (ADS)

Gil-Alana, Luis A.; Cunado, Juncal; de Gracia, Fernando Perez

2013-08-01

This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the “day of the week” effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context.

Confidence and the Stock Market: An Agent-Based Approach

PubMed Central

Bertella, Mario A.; Pires, Felipe R.; Feng, Ling; Stanley, Harry Eugene

2014-01-01

Using a behavioral finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various agents. The agents differ in their strategies for evaluating stock prices, and exhibit differing memory lengths and confidence levels. When we increase the heterogeneity of the strategies used by the agents, in particular the memory lengths, we observe excess volatility and kurtosis, in agreement with real market fluctuations—indicating that agents in real-world financial markets exhibit widely differing memory lengths. We incorporate the behavioral traits of adaptive confidence and observe a positive correlation between average confidence and return rate, indicating that market sentiment is an important driver in price fluctuations. The introduction of market confidence increases price volatility, reflecting the negative effect of irrationality in market behavior. PMID:24421888

Volatility behavior of visibility graph EMD financial time series from Ising interacting system

NASA Astrophysics Data System (ADS)

Zhang, Bo; Wang, Jun; Fang, Wen

2015-08-01

A financial market dynamics model is developed and investigated by stochastic Ising system, where the Ising model is the most popular ferromagnetic model in statistical physics systems. Applying two graph based analysis and multiscale entropy method, we investigate and compare the statistical volatility behavior of return time series and the corresponding IMF series derived from the empirical mode decomposition (EMD) method. And the real stock market indices are considered to be comparatively studied with the simulation data of the proposed model. Further, we find that the degree distribution of visibility graph for the simulation series has the power law tails, and the assortative network exhibits the mixing pattern property. All these features are in agreement with the real market data, the research confirms that the financial model established by the Ising system is reasonable.

The role of breast-feeding beyond postpartum amenorrhoea on the return of fertility in India: a life table and hazards model analysis.

PubMed

Nath, D C; Land, K C; Singh, K K

1994-04-01

This paper investigates the effects of continued breast-feeding after resumption of menses on fertility, using data from two retrospective surveys in India and single decrement life table and multivariate time-dependent hazards analyses. Breast-feeding even after the return of menses is found to be associated with longer birth intervals. The interaction of breast-feeding duration after resumption of menses and postpartum amenorrhoea has a significant effect on the risk of conception after return of menses.

Recycling of volatiles at subduction zones: Noble gas evidence from the Tabar-Lihir-Tanga-Feni arc of papua New Guinea

NASA Technical Reports Server (NTRS)

Farley, Kenneth; Mcinnes, Brent; Patterson, Desmond

1994-01-01

Convergent margin processes play an important but poorly understood role in the distribution of terrestrial volatile species. For example, subduction processes filter volatiles from the subducting package, thereby restricting their return to the mantle. In addition, once extracted from the downgoing slab, volatiles become an essential component in the petrogenesis of island arc magmas. The noble gases, with their systematic variation in physical properties and diversity of radiogenic isotopes, should carry a uniquely valuable record of these processes. However, thus far studies of noble gases in arc volcanics have achieved only limited success in this regard. Subduction-related lavas and geothermal fluids carry (3)He/(4)He ratios equal to or slightly lower than those found in the depleted upper mantle source of mid-ocean ridge basalts. Apparently slab-derived helium (which should have (3)He/(4)He much less than MORB) is extensively diluted by MORB-like helium from the mantle wedge, making it difficult to use helium as a tracer of convergent margin processes. Interpretation of the heavier noble gases (Ne-Ar-Kr-Xe) in arc lavas has also proven difficult, because the lavas carry low noble gas concentrations and hence are subject to pervasive atmospheric contamination. The low noble gas concentrations may be a consequence of degassing in the high level magma chambers characteristic of arc stratovolcanos. We have recently initiated a project to better constrain the behavior of volatiles in subduction zones through geochemical studies of the tectonically unusual volcanoes of the Tabar-Lihir-Tanga-Feni (TLTF) arc in the Bismarck Archipelago, Papua New Guinea.

Volatiles in the Earth and Moon: Constraints on planetary formation and evolution

NASA Astrophysics Data System (ADS)

Parai, Rita

The volatile inventories of the Earth and Moon reflect unique histories of volatile acquisition and loss in the early Solar System. The terrestrial volatile inventory was established after the giant impact phase of accretion, and the planet subsequently settled into a regime of long-term volatile exchange between the mantle and surface reservoirs in association with plate tectonics. Therefore, volatiles in the Earth and Moon shed light on a diverse array of processes that shaped planetary bodies in the Solar System as they evolved to their present-day states. Here we investigate new constraints on volatile depletion in the early Solar System, early outgassing of the terrestrial mantle, and the long-term evolution of the deep Earth volatile budget. We develop a Monte Carlo model of long-term water exchange between the mantle and surface reservoirs. Previous estimates of the deep Earth return flux of water are up to an order of magnitude too large, and incorporation of recycled slabs on average rehydrates the upper mantle but dehydrates the plume source. We find evidence for heterogeneous recycling of atmospheric argon and xenon into the upper mantle from noble gases in Southwest Indian Ridge basalts. Xenon isotope systematics indicate that xenon budgets of mid-ocean ridge and plume-related mantle sources are dominated by recycled atmospheric xenon, though the two sources have experienced different degrees of degassing. Differences between the mid-ocean ridge and plume sources were initiated within the first 100 million years of Earth history, and the two sources have never subsequently been homogenized. New high-precision xenon isotopic data contribute to an emerging portrait of two mantle reservoirs with distinct histories of outgassing and incorporation of recycled material in association with plate tectonics. Xenon isotopes indicate that the Moon likely formed within ˜70 million years of the start of the Solar System. To further investigate early Solar System chronology, we determined strontium isotopic compositions in a suite of planetary materials. If the Moon is derived from proto-Earth material, then rubidium-strontium systematics in the lunar anorthosite 60025 and Moore County plagioclase indicate that Moon formation occurred within ~62 million years of the start of the Solar System.

OSIRIS-REx Asteroid Sample-Return Mission

NASA Astrophysics Data System (ADS)

DellaGiustina, D. N.; Lauretta, D. S.

2016-12-01

Launching in September 2016, the primary objective of the Origins, Spectral Interpretation, Resource Identification, and Security-Regolith Explorer (OSIRIS-REx) mission is to return a pristine sample of asteroid (101955) Bennu to Earth for sample analysis. Bennu is a carbonaceous primitive near-Earth object, and is expected to be rich in volatile and organic material leftover from the formation of the Solar System. OSIRIS-REx will return a minimum of 60 g of bulk surface material from this body using a novel "touch-and-go" sample acquisition mechanism. Analyses of these samples will provide unprecedented knowledge about presolar history, from the initial stages of planet formation to the origin of life. Before sample acquisition, OSIRIS-REx will perform global mapping of Bennu, detailing the asteroid's composition and texture, resolving surface features, revealing its geologic and dynamic history, and providing context for the returned samples. The mission will also document the sampling site in situ at sub-centimeter scales, as well as the asteroid sampling event. In addition, OSIRIS-REx will measure the Yarkovsky effect, a non-Keplerian force affecting the orbit of this potentially hazardous asteroid, and provide a ground truth data for the interpretation of telescopic observations of carbonaceous asteroids.

49 CFR 195.428 - Overpressure safety devices and overfill protection systems.

Code of Federal Regulations, 2010 CFR

2010-10-01

... months, but at least twice each calendar year, inspect and test each pressure limiting device, relief... reliability of operation for the service in which it is used. (b) In the case of relief valves on pressure breakout tanks containing highly volatile liquids, each operator shall test each valve at intervals not...

Delayed Majority Game with Heterogeneous Learning Speeds for Financial Markets

NASA Astrophysics Data System (ADS)

Yoshimura, Yushi; Yamada, Kenta

There are two famous statistical laws, so-called stylized facts, in financial markets. One is fat tail where the tail of price returns obeys a power law. The other is volatility clustering in which the autocorrelation function of absolute price returns decays with a power law. In order to understand relationships between the stylized facts and dealers' behaviors, we constructed a new agent-based model based on the grand canonical minority game (GCMG) and the Giardina-Bouchaud (GB) model. The recovery of stylized facts by GCMG and GB lacks of robustness. Therefore, based on the GCMG and GB model, we develop a new model that can reproduce stylized facts robustly. Furthermore, we find that heterogeneity of learning speeds of agents is important to reproduce the stylized facts.

Inefficiency in Latin-American market indices

NASA Astrophysics Data System (ADS)

Zunino, L.; Tabak, B. M.; Pérez, D. G.; Garavaglia, M.; Rosso, O. A.

2007-11-01

We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.

Strategies to Maximize Data Collection Response Rates in a Randomized Control Trial Focused on Children with Medical Complexity.

PubMed

Finkelstein, Stanley M; Celebrezze, Margaret; Cady, Rhonda; Lunos, Scott; Looman, Wendy S

2016-04-01

Obtaining complete and timely subject data is key to the success of clinical trials, particularly for studies requiring data collected from subjects at home or other remote sites. A multifaceted strategy for data collection in a randomized controlled trial (RCT) focused on care coordination for children with medical complexity is described. The influences of data collection mode, incentives, and study group membership on subject response patterns are analyzed. Data collection included monthly healthcare service utilization (HCSU) calendars and annual surveys focused on care coordination outcomes. One hundred sixty-three families were enrolled in the 30-month TeleFamilies RCT. Subjects were 2-15 years of age at enrollment. HCSU data were collected by parent/guardian self-report using mail, e-mail, telephone, or texting. Surveys were collected by mail. Incentives were provided for completed surveys after 8 months to improve collection returns. Outcome measures were the number of HCSU calendars and surveys returned, the return interval, data collection mode, and incentive impact. Return rates of 90% for HCSU calendars and 82% for annual surveys were achieved. Mean return intervals were 72 and 65 days for HCSU and surveys, respectively. Survey response increased from 55% to 95% after introduction of a gift card and added research staff. High return rates for HCSU calendars and health-related surveys are attainable but required a flexible and personnel-intensive approach to collection methods. Family preference for data collection approach should be obtained at enrollment, should be modified as needed, and requires flexible options, training, intensive staff/family interaction, and patience.

Differential Binding between Volatile Ligands and Major Urinary Proteins Due to Genetic Variation in Mice

DTIC Science & Technology

2012-06-20

a collection of information if it does not display a currently valid OMB control number. PLEASE DO NOT RETURN YOUR FORM TO THE ABOVE ADDRESS. a ...previous studies have examined only one of the classes at a time. No study has analyzed these two sets simultaneously, and consequently binding...previous studies have examined only one of the classes at a time. No study has analyzed these two sets simultaneously, and consequently binding

Multifractal characterization of energy stocks in China: A multifractal detrended fluctuation analysis

NASA Astrophysics Data System (ADS)

Yang, Liansheng; Zhu, Yingming; Wang, Yudong

2016-06-01

In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality. We find that both returns and volatilities of energy industry index display apparent multifractal behavior. Oil market activity is an important source of multifractality in energy stocks index in addition to long-range correlations and fat-tail distributions.

Study on system dynamics of evolutionary mix-game models

NASA Astrophysics Data System (ADS)

Gou, Chengling; Guo, Xiaoqian; Chen, Fang

2008-11-01

Mix-game model is ameliorated from an agent-based MG model, which is used to simulate the real financial market. Different from MG, there are two groups of agents in Mix-game: Group 1 plays a majority game and Group 2 plays a minority game. These two groups of agents have different bounded abilities to deal with historical information and to count their own performance. In this paper, we modify Mix-game model by assigning the evolution abilities to agents: if the winning rates of agents are smaller than a threshold, they will copy the best strategies the other agent has; and agents will repeat such evolution at certain time intervals. Through simulations this paper finds: (1) the average winning rates of agents in Group 1 and the mean volatilities increase with the increases of the thresholds of Group 1; (2) the average winning rates of both groups decrease but the mean volatilities of system increase with the increase of the thresholds of Group 2; (3) the thresholds of Group 2 have greater impact on system dynamics than the thresholds of Group 1; (4) the characteristics of system dynamics under different time intervals of strategy change are similar to each other qualitatively, but they are different quantitatively; (5) As the time interval of strategy change increases from 1 to 20, the system behaves more and more stable and the performances of agents in both groups become better also.

Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

NASA Astrophysics Data System (ADS)

Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; Scalas, Enrico

2008-05-01

A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The power-law distribution of inter-out-of-equilibrium state intervals is shown and we present an analogy with discrete-time heat bath dynamics, similar to random Ising systems. In the mean-field approximation, this model reduces to a one-dimensional multiplicative process. By varying global and local model parameters, the relevance between volatilities in financial markets and the interaction strengths between agents in the Ising model are investigated and discussed.

Electric field controlled strain induced reversible switching of magnetization in Galfenol nanomagnets delineated on PMN-PT substrate

NASA Astrophysics Data System (ADS)

Ahmad, Hasnain; Atulasimha, Jayasimha; Bandyopadhyay, Supriyo

We report a non-volatile converse magneto-electric effect in elliptical Galfenol (FeGa) nanomagnets of ~300 nm lateral dimensions and ~10nm thickness delineated on a PMN-PT substrate. This effect can be harnessed for energy-efficient non-volatile memory. The nanomagnets are fabricated with e-beam lithography and sputtering. Their major axes are aligned parallel to the direction in which the substrate is poled and they are magnetized in this direction with a magnetic field. An electric field in the opposite direction generates compressive strain in the piezoelectric substrate which is partially transferred to the nanomagnets and rotates their magnetization away from the major axes to metastable orientations. There they remain after the field is removed, resulting in non-volatility. Reversing the electric field generates tensile strain which returns the magnetization to the original state. The two states can encode two binary bits which can be written using the correct voltage polarity, resulting in non-toggle behavior. Scaled memory fashioned on this effect can exhibit write energy dissipation of only ~2 aJ. Work is supported by NSF under ECCS-1124714 and CCF-1216614. Sputtering was carried out at NIST Gaithersburg.

Albedo matters: Understanding runaway albedo variations on Pluto

NASA Astrophysics Data System (ADS)

Earle, Alissa M.; Binzel, Richard P.; Young, Leslie A.; Stern, S. A.; Ennico, K.; Grundy, W.; Olkin, C. B.; Weaver, H. A.; New Horizons Surface Composition Theme

2018-03-01

The data returned from NASA's New Horizons reconnaissance of the Pluto system show striking albedo variations from polar to equatorial latitudes as well as sharp longitudinal boundaries. Pluto has a high obliquity (currently 119°) that varies by 23° over a period of less than 3 million years. This variation, combined with its regressing longitude of perihelion (360° over 3.7 million years), creates epochs of "Super Seasons" where one pole is pointed at the Sun at perihelion, thereby experiencing a short, relatively warm summer followed by its longest possible period of winter darkness. In contrast, the other pole experiences a much longer, less intense summer and a short winter season. We use a simple volatile sublimation and deposition model to explore the relationship between albedo variations, latitude, and volatile sublimation and deposition for the current epoch as well as historical epochs during which Pluto experienced these "Super Seasons." Our investigation quantitatively shows that Pluto's geometry creates the potential for runaway albedo and volatile variations, particularly in the equatorial region, which can sustain stark longitudinal contrasts like the ones we see between Tombaugh Regio and the informally named Cthulhu Regio.

Reversible chronic acquired complete atrioventricular block.

PubMed

Rakovec, P; Milcinski, G; Voga, G; Korsic, L

1982-01-01

The return of atrioventricular conduction is reported in a case after nearly four years of complete acquired heart block. After recovery from atrioventricular block, right bundle branch block persisted, but P-R interval and H-V interval were normal. Three months later a relapse of second degree infranodal atrioventricular block was noted. A short review of similar cases from the literature is given.

Monte Carlo simulation of parameter confidence intervals for non-linear regression analysis of biological data using Microsoft Excel.

PubMed

Lambert, Ronald J W; Mytilinaios, Ioannis; Maitland, Luke; Brown, Angus M

2012-08-01

This study describes a method to obtain parameter confidence intervals from the fitting of non-linear functions to experimental data, using the SOLVER and Analysis ToolPaK Add-In of the Microsoft Excel spreadsheet. Previously we have shown that Excel can fit complex multiple functions to biological data, obtaining values equivalent to those returned by more specialized statistical or mathematical software. However, a disadvantage of using the Excel method was the inability to return confidence intervals for the computed parameters or the correlations between them. Using a simple Monte-Carlo procedure within the Excel spreadsheet (without recourse to programming), SOLVER can provide parameter estimates (up to 200 at a time) for multiple 'virtual' data sets, from which the required confidence intervals and correlation coefficients can be obtained. The general utility of the method is exemplified by applying it to the analysis of the growth of Listeria monocytogenes, the growth inhibition of Pseudomonas aeruginosa by chlorhexidine and the further analysis of the electrophysiological data from the compound action potential of the rodent optic nerve. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

The economics of mining the Martian moons

NASA Technical Reports Server (NTRS)

Leonard, Raymond S.; Blacic, James D.; Vaniman, David T.

1987-01-01

The costs for extracting and shipping volatiles such as water, carbon, and nitrogen that might be found on Phobos and Deimos are estimated. The costs are compared to the cost of shipping the same volatiles from earth, assuming the use of nuclear powered mining facilities and freighters. Mineral resources and possible products from the Martian moons, possible markets for these products, and the costs of transporting these resources to LEO or GEO or to transportation nodal points are examined. Most of the technology needed to mine the moons has already been developed. The need for extraterrestrial sources of propellants for ion propulsion systems and ways in which the mining of the moons would reduce the cost of space operations near earth are discussed. It is concluded that it would be commercially viable to mine the Martian moons, making a profit of at least a 10 percent return on capital.

Baldovin-Stella stochastic volatility process and Wiener process mixtures

NASA Astrophysics Data System (ADS)

Peirano, P. P.; Challet, D.

2012-08-01

Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a powerful and consistent way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Lévy distributions and show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions; more generally, we show that the stochastic processes arising in this framework are representable as mixtures of Wiener processes. The basic Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately.

Preliminary analysis on hybrid Box-Jenkins - GARCH modeling in forecasting gold price

NASA Astrophysics Data System (ADS)

Yaziz, Siti Roslindar; Azizan, Noor Azlinna; Ahmad, Maizah Hura; Zakaria, Roslinazairimah; Agrawal, Manju; Boland, John

2015-02-01

Gold has been regarded as a valuable precious metal and the most popular commodity as a healthy return investment. Hence, the analysis and prediction of gold price become very significant to investors. This study is a preliminary analysis on gold price and its volatility that focuses on the performance of hybrid Box-Jenkins models together with GARCH in analyzing and forecasting gold price. The Box-Cox formula is used as the data transformation method due to its potential best practice in normalizing data, stabilizing variance and reduces heteroscedasticity using 41-year daily gold price data series starting 2nd January 1973. Our study indicates that the proposed hybrid model ARIMA-GARCH with t-innovation can be a new potential approach in forecasting gold price. This finding proves the strength of GARCH in handling volatility in the gold price as well as overcomes the non-linear limitation in the Box-Jenkins modeling.

Metamorphic Perspectives of Subduction Zone Volatiles Cycling

NASA Astrophysics Data System (ADS)

Bebout, G. E.

2008-12-01

Field study of HP/UHP metamorphic rocks provides "ground-truthing" for experimental and theoretical petrologic studies estimating extents of deep volatiles subduction, and provides information regarding devolatilization and deep subduction-zone fluid flow that can be used to reconcile estimates of subduction inputs and arc volcanic outputs for volatiles such as H2O, N, and C. Considerable attention has been paid to H2O subduction in various bulk compositions, and, based on calculated phase assemblages, it is thought that a large fraction of the initially structurally bound H2O is subducted to, and beyond, subarc regions in most modern subduction zones (Hacker, 2008, G-cubed). Field studies of HP/UHP mafic and sedimentary rocks demonstrate the impressive retention of volatiles (and fluid-mobile elements) to depths approaching those beneath arcs. At the slab-mantle interface, high-variance lithologies containing hydrous phases such as mica, amphibole, talc, and chlorite could further stabilize H2O to great depth. Trench hydration in sub-crustal parts of oceanic lithosphere could profoundly increase subduction inputs of particularly H2O, and massive flux of H2O-rich fluids from these regions into the slab-mantle interface could lead to extensive metasomatism. Consideration of sedimentary N concentrations and δ15N at ODP Site 1039 (Li and Bebout, 2005, JGR), together with estimates of the N concentration of subducting altered oceanic crust (AOC), indicates that ~42% of the N subducting beneath Nicaragua is returned in the corresponding volcanic arc (Elkins et al., 2006, GCA). Study of N in HP/UHP sedimentary and basaltic rocks indicates that much of the N initially subducted in these lithologies would be retained to depths approaching 100 km and thus available for addition to arcs. The more altered upper part of subducting oceanic crust most likely to contribute to arcs has sediment-like δ15NAir (0 to +10 per mil; Li et al., 2007, GCA), and study of HP/UHP eclogites indicates retention of seafloor N signatures and, in some cases, enrichments in sedimentary N due to forearc metamorphic fluid-rock interactions (Halama et al., this session). A global estimate of C cycling, using seafloor inputs (carbonate and organic matter) and estimates of volcanic CO2 outputs, indicates ~40% return (with large uncertainty) of the subducting C in volcanic gases. This imbalance appears plausible, given the evidence for deep carbonate subduction, in UHP marbles, and the preservation of graphite in UHP metasediments, together seemingly indicating that large fractions of subducting C survive forearc-to-subarc metamorphism. Estimates of return efficiency in the Central America arc, based on data for volcanic gases, are lower and variable along strike (12-29%), quite reasonably explained by de Leeuw et al. (2007, EPSL) as resulting from incomplete decarbonation of subducting sediment and AOC, fluid flow patterns expected given sediment section thickness, and varying degrees of forearc underplating. The attempts to mass-balance C and N across individual arc-trench systems demonstrate valuable integration of information from geophysical, field, petrologic, and geochemical observations. Studies of subduction-zone metamorphic suites can yield constraints on the evolution of deeply subducting rocks and the physicochemical characteristics of fluids released in forearcs and contributing to return flux in arc volcanic gases.

Minimizing pre- and post-defibrillation pauses increases the likelihood of return of spontaneous circulation (ROSC).

PubMed

Sell, Rebecca E; Sarno, Renee; Lawrence, Brenna; Castillo, Edward M; Fisher, Roger; Brainard, Criss; Dunford, James V; Davis, Daniel P

2010-07-01

The three-phase model of ventricular fibrillation (VF) arrest suggests a period of compressions to "prime" the heart prior to defibrillation attempts. In addition, post-shock compressions may increase the likelihood of return of spontaneous circulation (ROSC). The optimal intervals for shock delivery following cessation of compressions (pre-shock interval) and resumption of compressions following a shock (post-shock interval) remain unclear. To define optimal pre- and post-defibrillation compression pauses for out-of-hospital cardiac arrest (OOHCA). All patients suffering OOHCA from VF were identified over a 1-month period. Defibrillator data were abstracted and analyzed using the combination of ECG, impedance, and audio recording. Receiver-operator curve (ROC) analysis was used to define the optimal pre- and post-shock compression intervals. Multiple logistic regression analysis was used to quantify the relationship between these intervals and ROSC. Covariates included cumulative number of defibrillation attempts, intubation status, and administration of epinephrine in the immediate pre-shock compression cycle. Cluster adjustment was performed due to the possibility of multiple defibrillation attempts for each patient. A total of 36 patients with 96 defibrillation attempts were included. The ROC analysis identified an optimal pre-shock interval of <3s and an optimal post-shock interval of <6s. Increased likelihood of ROSC was observed with a pre-shock interval <3s (adjusted OR 6.7, 95% CI 2.0-22.3, p=0.002) and a post-shock interval of <6s (adjusted OR 10.7, 95% CI 2.8-41.4, p=0.001). Likelihood of ROSC was substantially increased with the optimization of both pre- and post-shock intervals (adjusted OR 13.1, 95% CI 3.4-49.9, p<0.001). Decreasing pre- and post-shock compression intervals increases the likelihood of ROSC in OOHCA from VF.

Characterization of the volatile profile of Antarctic bacteria by using solid-phase microextraction-gas chromatography-mass spectrometry.

PubMed

Romoli, Riccardo; Papaleo, Maria Cristiana; de Pascale, Donatella; Tutino, Maria Luisa; Michaud, Luigi; LoGiudice, Angelina; Fani, Renato; Bartolucci, Gianluca

2011-10-01

Bacteria belonging to the Burkholderia cepacia complex (Bcc) are significant pathogens in Cystic Fibrosis (CF) patients and are resistant to a plethora of antibiotics. In this context, microorganisms from Antarctica are interesting because they produce antimicrobial compounds inhibiting the growth of other bacteria. This is particularly true for bacteria isolated from Antarctic sponges. The aim of this work was to characterize a set of Antarctic bacteria for their ability to produce new natural drugs that could be exploited in the control of infections in CF patients by Bcc bacteria. Hence, 11 bacterial strains allocated to different genera (e.g., Pseudoalteromonas, Arthrobacter and Psychrobacter) were tested for their ability to inhibit the growth of 21 Bcc strains and some other human pathogens. All these bacteria completely inhibited the growth of most, if not all, Bcc strains, suggesting a highly specific activity toward Bcc strains. Experimental evidences showed that the antimicrobial compounds are small volatile organic compounds, and are constitutively produced via an unknown pathway. The microbial volatile profile was obtained by SPME-GC-MS within the m/z interval of 40-450. Solid phase micro extraction technique affords the possibility to extract the volatile compounds in head space with a minimal sample perturbation. Principal component analysis and successive cluster discriminant analysis was applied to evaluate the relationships among the volatile organic compounds with the aim of classifying the microorganisms by their volatile profile. These data highlight the potentiality of Antarctic bacteria as novel sources of antibacterial substances to face Bcc infections in CF patients. Copyright © 2011 John Wiley & Sons, Ltd.

Returning fire to the mountains: can we successfully restore the ecological role of pre-Euroamerican fire regimes to the Sierra Nevada?

Treesearch

Anthony C. Caprio; David M. Graber

2000-01-01

This paper examines the resultant conditions of Sequoia and Kings Canyon National Park’s burn program relative to knowledge about past fire regimes in this ecosystem. Estimates of past fire-return intervals provide management direction and were used to develop approximations of area burned prior to Euroamerican settlement. This information was used to develop simple...

An easy-to-use technique to characterize cardiodynamics from first-return maps on ΔRR-intervals

NASA Astrophysics Data System (ADS)

Fresnel, Emeline; Yacoub, Emad; Freitas, Ubiratan; Kerfourn, Adrien; Messager, Valérie; Mallet, Eric; Muir, Jean-François; Letellier, Christophe

2015-08-01

Heart rate variability analysis using 24-h Holter monitoring is frequently performed to assess the cardiovascular status of a patient. The present retrospective study is based on the beat-to-beat interval variations or ΔRR, which offer a better view of the underlying structures governing the cardiodynamics than the common RR-intervals. By investigating data for three groups of adults (with normal sinus rhythm, congestive heart failure, and atrial fibrillation, respectively), we showed that the first-return maps built on ΔRR can be classified according to three structures: (i) a moderate central disk, (ii) a reduced central disk with well-defined segments, and (iii) a large triangular shape. These three very different structures can be distinguished by computing a Shannon entropy based on a symbolic dynamics and an asymmetry coefficient, here introduced to quantify the balance between accelerations and decelerations in the cardiac rhythm. The probability P111111 of successive heart beats without large beat-to-beat fluctuations allows to assess the regularity of the cardiodynamics. A characteristic time scale, corresponding to the partition inducing the largest Shannon entropy, was also introduced to quantify the ability of the heart to modulate its rhythm: it was significantly different for the three structures of first-return maps. A blind validation was performed to validate the technique.

A phase 1, multicentre, open-label study to evaluate ovarian follicular activity and hormone levels with an extended-regimen combined oral contraceptive with low-dose ethinyl estradiol supplementation.

PubMed

Kroll, Robin; Seidman, Larry; Ricciotti, Nancy; Howard, Brandon; Weiss, Herman

2015-01-01

To evaluate the effect on ovarian follicular activity of the 91-day extended-regimen combined oral contraceptive (COC), consisting of 84 days of levonorgestrel (LNG)/ethinylestradiol (EE) 150 μg/30 μg tablets plus seven days of EE 10 μg tablets in place of placebo. This was a phase 1, open-label study. Ovarian follicular activity was classified via the Hoogland and Skouby method. Safety and tolerability as well as return to ovulation were assessed. Of the 35 subjects included in the efficacy analysis, luteinized, unruptured follicles, or ovulation were detected in 0 of 35 cycles during the first 28-day interval; 1 of 35 cycles (2.9%) in the second 28-day interval; and 2 of 35 cycles (5.7%) in the final 35-day interval. The ovarian activity rate over the entire 91-day treatment period was 2.9%. There was a low incidence of treatment-emergent adverse events. Ovulation returned in most subjects (77.1%, 27/35) within 32 days following the last dose of COC. The 91-day extended-regimen COC with low-dose EE supplementation was found to be effective in suppressing ovarian activity and inhibiting ovulation and was well tolerated. Return to ovulation was rapid, occurring within approximately one month after discontinuation of COC.

Preventing the return of fear memories with postretrieval extinction: A human study using a burst of white noise as an aversive stimulus.

PubMed

Fernandez-Rey, Jose; Gonzalez-Gonzalez, Daniel; Redondo, Jaime

2018-06-07

Standard extinction procedures seem to imply an inhibition of the fear response, but not a modification of the original fear-memory trace, which remains intact (Bouton, 2002, 2004). Typically, the behavioral procedure used to modify this trace is the so-called postretrieval extinction, consisting of fear-memory reactivation followed by extinction applied within the reconsolidation window. However, the application of this technique yields mixed results, probably due to a series of boundary conditions that limit the effectiveness of postretrieval-extinction effects. In this study a number of potential, and hitherto unexplored, moderators of such effects are considered. Using an interval of 48 hr between extinction and re-extinction, the findings show a spontaneous recovery similar to that found in studies that use a 24-hr interval. Also, the use of intervals of 10 and 20 min between reactivation and extinction led to a similar fear return. Finally, the burst of white noise used as an unconditioned stimulus (US) here was shown to be as effective as the electric shock normally used in the study of fear-memory reconsolidation. These findings suggest that postretrieval extinction is an effective behavioral technique for modifying the original fear memory and for the elimination of the fear return. (PsycINFO Database Record (c) 2018 APA, all rights reserved).

Measurements of Wave Power in Wave Energy Converter Effectiveness Evaluation

NASA Astrophysics Data System (ADS)

Berins, J.; Berins, J.; Kalnacs, A.

2017-08-01

The article is devoted to the technical solution of alternative budget measuring equipment of the water surface gravity wave oscillation and the theoretical justification of the calculated oscillation power. This solution combines technologies such as lasers, WEB-camera image digital processing, interpolation of defined function at irregular intervals, volatility of discrete Fourier transformation for calculating the spectrum.

Effects of fire frequency and season on resprouting of woody plants in southeastern US pine-grassland communities.

PubMed

Robertson, Kevin M; Hmielowski, Tracy L

2014-03-01

Past studies suggest that rates of woody plant resprouting following a "topkilling" disturbance relate to timing of disturbance because of temporal patterns of below-ground carbohydrate storage. Accordingly, we hypothesized that fire-return interval (1 or 2 years) and season of burn (late dormant or early growing season) would influence the change in resprout growth rate from one fire-free interval to the next (Δ growth rate) for broadleaf woody plants in a pine-grassland in Georgia, USA. Resprout growth rate during one fire-free interval strongly predicted growth rate during the following fire-free interval, presumably reflecting root biomass. Length of fire-free interval did not have a significant effect on mean Δ growth rate. Plants burned in the late dormant season (February-March) had a greater positive Δ growth rate than those burned in the early growing season (April-June), consistent with the presumption that root carbohydrates are depleted and thus limiting during spring growth. Plants with resprout growth rates above a certain level had zero or negative Δ growth rates, indicating an equilibrium of maximum resprout size under a given fire-return interval. This equilibrium, as well as relatively reduced resprout growth rate following growing season fires, provide insight into how historic lightning-initiated fires in the early growing season limited woody plant dominance and maintained the herb-dominated structure of pine-grassland communities. Results also indicate tradeoffs between applying prescribed fire at 1- versus 2-year intervals and in the dormant versus growing seasons with the goal of limiting woody vegetation.

Legacy effects of anaerobic soil disinfestation on soil bacterial community composition and production of pathogen-suppressing volatiles

PubMed Central

van Agtmaal, Maaike; van Os, Gera J.; Hol, W.H. Gera; Hundscheid, Maria P.J.; Runia, Willemien T.; Hordijk, Cornelis A.; de Boer, Wietse

2015-01-01

There is increasing evidence that microbial volatiles (VOCs) play an important role in natural suppression of soil-borne diseases, but little is known on the factors that influence production of suppressing VOCs. In the current study we examined whether a stress-induced change in soil microbial community composition would affect the production by soils of VOCs suppressing the plant-pathogenic oomycete Pythium. Using pyrosequencing of 16S ribosomal gene fragments we compared the composition of bacterial communities in sandy soils that had been exposed to anaerobic disinfestation (AD), a treatment used to kill harmful soil organisms, with the composition in untreated soils. Three months after the AD treatment had been finished, there was still a clear legacy effect of the former anaerobic stress on bacterial community composition with a strong increase in relative abundance of the phylum Bacteroidetes and a significant decrease of the phyla Acidobacteria, Planctomycetes, Nitrospirae, Chloroflexi, and Chlorobi. This change in bacterial community composition coincided with loss of production of Pythium suppressing soil volatiles (VOCs) and of suppression of Pythium impacts on Hyacinth root development. One year later, the composition of the bacterial community in the AD soils was reflecting that of the untreated soils. In addition, both production of Pythium-suppressing VOCs and suppression of Pythium in Hyacinth bioassays had returned to the levels of the untreated soil. GC/MS analysis identified several VOCs, among which compounds known to be antifungal, that were produced in the untreated soils but not in the AD soils. These compounds were again produced 15 months after the AD treatment. Our data indicate that soils exposed to a drastic stress can temporarily lose pathogen suppressive characteristics and that both loss and return of these suppressive characteristics coincides with shifts in the soil bacterial community composition. Our data are supporting the suggested importance of microbial VOCs in the natural buffer of soils against diseases caused by soil-borne pathogens. PMID:26217330

Variable step random walks, self-similar distributions, and pricing of options (Invited Paper)

NASA Astrophysics Data System (ADS)

Gunaratne, Gemunu H.; McCauley, Joseph L.

2005-05-01

A new theory for pricing of options is presented. It is based on the assumption that successive movements depend on the value of the return. The solution to the Fokker-Planck equation is shown to be an asymmetric exponential distribution, similar to those observed in intra-day currency markets. The "volatility smile", used by traders to correct the Black-Scholes pricing is shown to be a heuristic mechanism to implement options pricing formulae derived from our theory.

Price Formation Based on Particle-Cluster Aggregation

NASA Astrophysics Data System (ADS)

Wang, Shijun; Zhang, Changshui

In the present work, we propose a microscopic model of financial markets based on particle-cluster aggregation on a two-dimensional small-world information network in order to simulate the dynamics of the stock markets. "Stylized facts" of the financial market time series, such as fat-tail distribution of returns, volatility clustering and multifractality, are observed in the model. The results of the model agree with empirical data taken from historical records of the daily closures of the NYSE composite index.

Low-Hazardous Air Pollutant (HAP)/Volatile Organic Compound (VOC) - Compliant Resins for Military Applications

DTIC Science & Technology

2012-07-01

transmissions are return-shipped from theatre on base wood pallets, which further exposes them to significant damage. RRAD has explored the use of metal...drop test is as follows: The packed container (with appropriate HMMWV transmission) shall be supported at one end of its base on a wood sill or...length to prevent any interference or binding. A flat, vertical, stationary masonry or metal barrier, with a thickness of not more than 5 cm of wood

Elements of decisional dynamics: An agent-based approach applied to artificial financial market

NASA Astrophysics Data System (ADS)

Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

2018-02-01

This paper introduces an original mathematical description for describing agents' decision-making process in the case of problems affected by both individual and collective behaviors in systems characterized by nonlinear, path dependent, and self-organizing interactions. An application to artificial financial markets is proposed by designing a multi-agent system based on the proposed formalization. In this application, agents' decision-making process is based on fuzzy logic rules and the price dynamics is purely deterministic according to the basic matching rules of a central order book. Finally, while putting most parameters under evolutionary control, the computational agent-based system is able to replicate several stylized facts of financial time series (distributions of stock returns showing a heavy tail with positive excess kurtosis, absence of autocorrelations in stock returns, and volatility clustering phenomenon).

Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market

NASA Astrophysics Data System (ADS)

Batten, Jonathan A.; Ellis, Craig A.; Hogan, Warren P.

2005-07-01

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in the local Hurst exponent may be due to either a time-varying range, or standard deviation, or both of these simultaneously, values for the range, standard deviation and local Hurst exponent are recorded and analyzed separately. To illustrate this approach, a high-frequency data set of the spot Australian dollar/US dollar provides evidence of the returns distribution across the 24-hour trading ‘day’, with time-varying dependence and volatility clearly aligning with the opening and closing of markets. This variation is attributed to the effects of liquidity and the price-discovery actions of dealers.

Elements of decisional dynamics: An agent-based approach applied to artificial financial market.

PubMed

Lucas, Iris; Cotsaftis, Michel; Bertelle, Cyrille

2018-02-01

This paper introduces an original mathematical description for describing agents' decision-making process in the case of problems affected by both individual and collective behaviors in systems characterized by nonlinear, path dependent, and self-organizing interactions. An application to artificial financial markets is proposed by designing a multi-agent system based on the proposed formalization. In this application, agents' decision-making process is based on fuzzy logic rules and the price dynamics is purely deterministic according to the basic matching rules of a central order book. Finally, while putting most parameters under evolutionary control, the computational agent-based system is able to replicate several stylized facts of financial time series (distributions of stock returns showing a heavy tail with positive excess kurtosis, absence of autocorrelations in stock returns, and volatility clustering phenomenon).

Nonlinear complexity behaviors of agent-based 3D Potts financial dynamics with random environments

NASA Astrophysics Data System (ADS)

Xing, Yani; Wang, Jun

2018-02-01

A new microscopic 3D Potts interaction financial price model is established in this work, to investigate the nonlinear complexity behaviors of stock markets. 3D Potts model, which extends the 2D Potts model to three-dimensional, is a cubic lattice model to explain the interaction behavior among the agents. In order to explore the complexity of real financial markets and the 3D Potts financial model, a new random coarse-grained Lempel-Ziv complexity is proposed to certain series, such as the price returns, the price volatilities, and the random time d-returns. Then the composite multiscale entropy (CMSE) method is applied to the intrinsic mode functions (IMFs) and the corresponding shuffled data to study the complexity behaviors. The empirical results indicate that the 3D financial model is feasible.

The History of Exosphere Carbon Storage and Consequences for Mantle-Exosphere Volatile Fluxes

NASA Astrophysics Data System (ADS)

Hirschmann, M. M.

2009-05-01

The storage of volatiles in the mantle and their fluxes between the mantle and the near surface environment (exosphere) are constrained in part from the history of volatile storage in the exosphere. Evidence for the early formation of the oceans indicates extensive initial degassing of the mantle, but raises the question as to the fate of the carbon that must have been degassed with the H2O. Long-term storage of carbon in the exosphere is thought to require large continental areas, as carbon in the oceanic domain is rapidly returned to the mantle. Consequently, early degassing of the mantle may have been followed by rapid massive return of carbon to the mantle via subduction, leading to very high H/C ratios in the early exosphere. Alternatively, the C may have been lost to space by impact ablation of a Venus-like CO2-rich atmosphere. Less plausibly, the C could have remained in the exosphere stored in the oceanic domain but somehow escaping recyling to the mantle. Assuming that exosphere carbon storage was in fact limited by continental area, gradual regrowth of the carbon exosphere budget would then parallel that of growth of the continents. Interestingly, this suggests that the relatively high H/C ratio of the modern exosphere compared to the mantle (Hirschmann and Dasgupta, 2009), is a remnant of very early Earth processes which have not been erased by subsequent volatile fluxes. A key problem with this scenario, however, is that the gradual regrowth of the exosphere carbon budget cannot have occurred with parallel growth of the exosphere H2O budget. Otherwise, there would have been substantial growth of the oceans coinciding with continental growth, which violates constraints from continental freeboard. This requires either that outgassing of carbon exceeded that of H2O, or that H2O subduction has been more efficient than CO2 subduction. The former is unlikely unless typical degrees of melting are very small. On the other hand, petrologic constraints generally suggest that carbon subduction is more efficient than H2O subduction. One possible explanation is that hotter Archean subduction zones effectively stripped carbon from subducting slabs, thereby facilitating growth of the exosphere carbon budget.

Peaks Over Threshold (POT): A methodology for automatic threshold estimation using goodness of fit p-value

NASA Astrophysics Data System (ADS)

Solari, Sebastián.; Egüen, Marta; Polo, María. José; Losada, Miguel A.

2017-04-01

Threshold estimation in the Peaks Over Threshold (POT) method and the impact of the estimation method on the calculation of high return period quantiles and their uncertainty (or confidence intervals) are issues that are still unresolved. In the past, methods based on goodness of fit tests and EDF-statistics have yielded satisfactory results, but their use has not yet been systematized. This paper proposes a methodology for automatic threshold estimation, based on the Anderson-Darling EDF-statistic and goodness of fit test. When combined with bootstrapping techniques, this methodology can be used to quantify both the uncertainty of threshold estimation and its impact on the uncertainty of high return period quantiles. This methodology was applied to several simulated series and to four precipitation/river flow data series. The results obtained confirmed its robustness. For the measured series, the estimated thresholds corresponded to those obtained by nonautomatic methods. Moreover, even though the uncertainty of the threshold estimation was high, this did not have a significant effect on the width of the confidence intervals of high return period quantiles.

High-priority lunar landing sites for in situ and sample return studies of polar volatiles

NASA Astrophysics Data System (ADS)

Lemelin, Myriam; Blair, David M.; Roberts, Carolyn E.; Runyon, Kirby D.; Nowka, Daniela; Kring, David A.

2014-10-01

Our understanding of the Moon has advanced greatly over the last several decades thanks to analyses of Apollo samples and lunar meteorites, and recent lunar orbital missions. Notably, it is now thought that the lunar poles may be much more enriched in H2O and other volatile chemical species than the equatorial regions sampled during the Apollo missions. The equatorial regions sampled, themselves, contain more H2O than previously thought. A new lunar mission to a polar region is therefore of great interest; it could provide a measure of the sources and processes that deliver volatiles while also evaluating the potential in situ resource utilization value they may have for human exploration. In this study, we determine the optimal sites for studying lunar volatiles by conducting a quantitative GIS-based spatial analysis of multiple relevant datasets. The datasets include the locations of permanently shadowed regions, thermal analyses of the lunar surface, and hydrogen abundances. We provide maps of the lunar surface showing areas of high scientific interest, including five regions near the lunar north pole and seven regions near the lunar south pole that have the highest scientific potential according to rational search criteria. At two of these sites-a region we call the “Intercrater Polar Highlands” (IPH) near the north pole, and Amundsen crater near the south pole-we provide a more detailed assessment of landing sites, sample locations, and exploration strategies best suited for future human or robotic exploration missions.

Virtual Volatility, an Elementary New Concept with Surprising Stock Market Consequences

NASA Astrophysics Data System (ADS)

Prange, Richard; Silva, A. Christian

2006-03-01

Textbook investors start by predicting the future price distribution, PDF, of a candidate stock (or portfolio) at horizon T, e.g. a year hence. A (log)normal PDF with center (=drift =expected return) μT and width (=volatility) σT is often assumed on Central Limit Theorem grounds, i.e. by a random walk of daily (log)price increments δs. The standard deviation, stdev, of historical (ex post) δs `s is usually a fair predictor of the coming year's (ex ante) stdev(δs) = σdaily, but the historical mean E(δs) at best roughly limits the true, to be predicted, drift by μtrueT˜ μhistT ± σhistT. Textbooks take a PDF with σ ˜ σdaily and μ as somehow known, as if accurate predictions of μ were possible. It is elementary and presumably new to argue that an average of PDF's over a range of μ values should be taken, e.g. an average over forecasts by different analysts. We estimate that this leads to a PDF with a `virtual' volatility σ ˜ 1.3σdaily. It is indeed clear that uncertainty in the value of the expected gain parameter increases the risk of investment in that security by most measures, e. g. Sharpe's ratio μT/σT will be 30% smaller because of this effect. It is significant and surprising that there are investments which benefit from this 30% virtual increase in the volatility

The influence of jumping risk and volatility risk on TAIEX option return

NASA Astrophysics Data System (ADS)

Lee, Wei-Long; Hsieh, Ching-Tang; Huang, Jui-Chan; Wu, Tzu-Jung

2017-06-01

Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading Volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.

Sampling strategies on Mars: Remote and not-so-remote observations from a surface rover

NASA Technical Reports Server (NTRS)

Singer, R. B.

1988-01-01

The mobility and speed of a semi-autonomous Mars rover are of necessity limited by the need to think and stay out of trouble. This consideration makes it essential that the rover's travels be carefully directed to likely targets of interest for sampling and in situ study. Short range remote sensing conducted from the rover, based on existing technology, can provide significant information about the chemistry and mineralogy of surrounding rocks and soils in support of sampling efforts. These observations are of course of direct scientific importance as well. Because of the small number of samples actually to be returned to Earth, it is also important that candidate samples be analyzed aboard the rover so that diversity can be maximized. It is essential to perform certain types of analyses, such as those involving volatiles, prior to the thermal and physical shocks of the return trip to Earth. In addition, whatever measurements can be made of nonreturned samples will be important to enlarge the context of the detailed analyses to be performed later on the few returned samples. Some considerations related to these objectives are discussed.

Future Lunar Sampling Missions: Big Returns on Small Samples

NASA Astrophysics Data System (ADS)

Shearer, C. K.; Borg, L.

2002-01-01

The next sampling missions to the Moon will result in the return of sample mass (100g to 1 kg) substantially smaller than those returned by the Apollo missions (380 kg). Lunar samples to be returned by these missions are vital for: (1) calibrating the late impact history of the inner solar system that can then be extended to other planetary surfaces; (2) deciphering the effects of catastrophic impacts on a planetary body (i.e. Aitken crater); (3) understanding the very late-stage thermal and magmatic evolution of a cooling planet; (4) exploring the interior of a planet; and (5) examining volatile reservoirs and transport on an airless planetary body. Can small lunar samples be used to answer these and other pressing questions concerning important solar system processes? Two potential problems with small, robotically collected samples are placing them in a geologic context and extracting robust planetary information. Although geologic context will always be a potential problem with any planetary sample, new lunar samples can be placed within the context of the important Apollo - Luna collections and the burgeoning planet-scale data sets for the lunar surface and interior. Here we illustrate the usefulness of applying both new or refined analytical approaches in deciphering information locked in small lunar samples.

STOCK MARKET CRASH AND EXPECTATIONS OF AMERICAN HOUSEHOLDS*

PubMed Central

HUDOMIET, PÉTER; KÉZDI, GÁBOR; WILLIS, ROBERT J.

2011-01-01

SUMMARY This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households’ expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the population average of expected returns, the population average of the uncertainty about returns (subjective standard deviation), and the cross-sectional heterogeneity in expected returns (disagreement). We show estimates from simple reduced-form regressions on probability answers as well as from a more structural model that focuses on the parameters of interest and separates survey noise from relevant heterogeneity. We find a temporary increase in the population average of expectations and uncertainty right after the crash. The effect on cross-sectional heterogeneity is more significant and longer lasting, which implies substantial long-term increase in disagreement. The increase in disagreement is larger among the stockholders, the more informed, and those with higher cognitive capacity, and disagreement co-moves with trading volume and volatility in the market. PMID:21547244

Delusions of expertise: the high standard of proof needed to demonstrate skills at horserace handicapping.

PubMed

Browne, Matthew; Rockloff, Matthew J; Blaszcynski, Alex; Allcock, Clive; Windross, Allen

2015-03-01

Gamblers who participate in skill-oriented games (such as poker and sports-betting) are motivated to win over the long-term, and some monitor their betting outcomes to evaluate their performance and proficiency. In this study of Australian off-track horserace betting, we investigated which levels of sustained returns would be required to establish evidence of skill/expertise. We modelled a random strategy to simulate 'naïve' play, in which equal bets were placed on randomly selected horses using a representative sample of 211 weekend races. Results from a Monte Carlo simulation yielded a distribution of return-on-investments for varying number of bets (N), showing surprising volatility, even after a large number of repeated bets. After adjusting for the house advantage, a gambler would have to place over 10,000 bets in individual races with net returns exceeding 9 % to be reasonably considered an expert punter (α = .05). Moreover, a record of fewer bets would require even greater returns for demonstrating expertise. As such, validated expertise is likely to be rare among race bettors. We argue that the counter-intuitively high threshold for demonstrating expertise by tracking historical performance is likely to exacerbate known cognitive biases in self-evaluation of expertise.

Modeling disturbance-based native invasive species control and its implications for management.

PubMed

Shackelford, Nancy; Renton, Michael; Perring, Michael P; Hobbs, Richard J

2013-09-01

Shifts in disturbance regime have often been linked to invasion in systems by native and nonnative species. This process can have negative effects on biodiversity and ecosystem function. Degradation may be ameliorated by the reinstatement of the disturbance regimes, such as the reintroduction of fire in pyrogenic systems. Modeling is one method through which potential outcomes of different regimes can be investigated. We created a population model to examine the control of a native invasive that is expanding and increasing in abundance due to suppressed fire. Our model, parameterized with field data from a case study of the tree Allocasuarina huegeliana in Australian sandplain heath, simulated different fire return intervals with and without the additional management effort of mechanical removal of the native invader. Population behavior under the different management options was assessed, and general estimates of potential biodiversity impacts were compared. We found that changes in fire return intervals made no significant difference in the increase and spread of the population. However, decreased fire return intervals did lower densities reached in the simulated heath patch as well as the estimated maximum biodiversity impacts. When simulating both mechanical removal and fire, we found that the effects of removal depended on the return intervals and the strategy used. Increase rates were not significantly affected by any removal strategy. However, we found that removal, particularly over the whole patch rather than focusing on satellite populations, could decrease average and maximum densities reached and thus decrease the predicted biodiversity impacts. Our simulation model shows that disturbance-based management has the potential to control native invasion in cases where shifted disturbance is the likely driver of the invasion. The increased knowledge gained through the modeling methods outlined can inform management decisions in fire regime planning that takes into consideration control of an invasive species. Although particularly applicable to native invasives, when properly informed by empirical knowledge these techniques can be expanded to management of invasion by nonnative species, either by restoring historic disturbance regimes or by instating novel regimes in innovative ways.

Probabilities of Possible Future Prices (Short-Term Energy Outlook Supplement April 2010)

EIA Publications

2010-01-01

The Energy Information Administration introduced a monthly analysis of energy price volatility and forecast uncertainty in the October 2009 Short-Term Energy Outlook (STEO). Included in the analysis were charts portraying confidence intervals around the New York Mercantile Exchange (NYMEX) futures prices of West Texas Intermediate (equivalent to light sweet crude oil) and Henry Hub natural gas contracts.

Receiver Operating Characteristic Analysis for Classification Based on Various Prior Probabilities of Groups with an Application to Breath Analysis

NASA Astrophysics Data System (ADS)

Cimermanová, K.

2009-01-01

In this paper we illustrate the influence of prior probabilities of diseases on diagnostic reasoning. For various prior probabilities of classified groups characterized by volatile organic compounds of breath profile, smokers and non-smokers, we constructed the ROC curve and the Youden index with related asymptotic pointwise confidence intervals.

76 FR 33387 - Self-Regulatory Organizations; Notice of Filing and Immediate Effectiveness of Proposed Rule...

Federal Register 2010, 2011, 2012, 2013, 2014

2011-06-08

... calculates the CBOE Gold ETF Volatility Index (``GVZ''), which is based on the VIX methodology applied to options on the SPDR Gold Trust (``GLD''). The current filing would permit $0.50 strike price intervals for... exchange-traded fund (``ETF'') options. See Rule 1012, Commentary .05(a)(iv). To the extent that the CBOE...

Socioeconomic indicators for sustainable design and commercial development of algal biofuel systems

DOE Office of Scientific and Technical Information (OSTI.GOV)

Efroymson, Rebecca Ann; Dale, Virginia H.; Langholtz, Matthew H.

Socio-economic sustainability indicators that have been proposed previously for terrestrial bioenergy were evaluated for applicability to algal biofuels. Indicators developed for terrestrial bioenergy were found to be appropriate and sufficient for algae biofuels, meeting the selection criteria of practicality, wide applicability, predictability in response to management, anticipation of future changes, adaptability to multiple scales where possible, ability to integrate multiple dimensions, and non-redundancy. The 16 indicators fall into the categories of social well-being, energy security, external trade, profitability, resource conservation, and social acceptability. None of the indicators have yet been measured in published sustainability assessments for commercial facilities. Indicators estimatedmore » for various scenarios in the scientific literature include the profitability indicators return on investment and net present value, and the resource conservation indicator, fossil energy return on investment. The food security indicator, percent change in food price volatility, is easy to estimate at zero if agricultural lands are not used. Some indicators, such as the energy security indicators energy security premium and fuel price volatility and the external trade indicators terms of trade and trade volume cannot be projected into the future with accuracy, so they will not be measured prior to significant commercialization of algal biofuels. Furthermore, the list of proposed sustainability indicators may be adjusted to particular purposes and contexts. Together with environmental sustainability indicators, these socioeconomic sustainability indicators should contribute to sustainability assessments for algal biofuels.« less

Socioeconomic indicators for sustainable design and commercial development of algal biofuel systems

DOE PAGES

Efroymson, Rebecca Ann; Dale, Virginia H.; Langholtz, Matthew H.

2016-05-10

Socio-economic sustainability indicators that have been proposed previously for terrestrial bioenergy were evaluated for applicability to algal biofuels. Indicators developed for terrestrial bioenergy were found to be appropriate and sufficient for algae biofuels, meeting the selection criteria of practicality, wide applicability, predictability in response to management, anticipation of future changes, adaptability to multiple scales where possible, ability to integrate multiple dimensions, and non-redundancy. The 16 indicators fall into the categories of social well-being, energy security, external trade, profitability, resource conservation, and social acceptability. None of the indicators have yet been measured in published sustainability assessments for commercial facilities. Indicators estimatedmore » for various scenarios in the scientific literature include the profitability indicators return on investment and net present value, and the resource conservation indicator, fossil energy return on investment. The food security indicator, percent change in food price volatility, is easy to estimate at zero if agricultural lands are not used. Some indicators, such as the energy security indicators energy security premium and fuel price volatility and the external trade indicators terms of trade and trade volume cannot be projected into the future with accuracy, so they will not be measured prior to significant commercialization of algal biofuels. Furthermore, the list of proposed sustainability indicators may be adjusted to particular purposes and contexts. Together with environmental sustainability indicators, these socioeconomic sustainability indicators should contribute to sustainability assessments for algal biofuels.« less

Enhancements of nonpoint source monitoring of volatile organic compounds in ground water

USGS Publications Warehouse

Lapham, W.W.; Moran, M.J.; Zogorski, J.S.

2000-01-01

The U.S. Geological Survey (USGS) has compiled a national retrospective data set of analyses of volatile organic compounds (VOCs) in ground water of the United States. The data are from Federal, State, and local nonpoint-source monitoring programs, collected between 1985–95. This data set is being used to augment data collected by the USGS National Water-Quality Assessment (NAWQA) Program to ascertain the occurrence of VOCs in ground water nationwide. Eleven attributes of the retrospective data set were evaluated to determine the suitability of the data to augment NAWQA data in answering occurrence questions of varying complexity. These 11 attributes are the VOC analyte list and the associated reporting levels for each VOC, well type, well-casing material, type of openings in the interval (screened interval or open hole), well depth, depth to the top and bottom of the open interval(s), depth to water level in the well, aquifer type (confined or unconfined), and aquifer lithology. VOCs frequently analyzed included solvents, industrial reagents, and refrigerants, but other VOCs of current interest were not frequently analyzed. About 70 percent of the sampled wells have the type of well documented in the data set, and about 74 percent have well depth documented. However, the data set generally lacks documentation of other characteristics, such as well-casing material, information about the screened or open interval(s), depth to water level in the well, and aquifer type and lithology. For example, only about 20 percent of the wells include information on depth to water level in the well and only about 14 percent of the wells include information about aquifer type. The three most important enhancements to VOC data collected in nonpoint-source monitoring programs for use in a national assessment of VOC occurrence in ground water would be an expanded VOC analyte list, recording the reporting level for each analyte for every analysis, and recording key ancillary information about each well. These enhancements would greatly increase the usefulness of VOC data in addressing complex occurrence questions, such as those that seek to explain the reasons for VOC occurrence and nonoccurrence in ground water of the United States.

Long-Range Memory in Literary Texts: On the Universal Clustering of the Rare Words.

PubMed

Tanaka-Ishii, Kumiko; Bunde, Armin

2016-01-01

A fundamental problem in linguistics is how literary texts can be quantified mathematically. It is well known that the frequency of a (rare) word in a text is roughly inverse proportional to its rank (Zipf's law). Here we address the complementary question, if also the rhythm of the text, characterized by the arrangement of the rare words in the text, can be quantified mathematically in a similar basic way. To this end, we consider representative classic single-authored texts from England/Ireland, France, Germany, China, and Japan. In each text, we classify each word by its rank. We focus on the rare words with ranks above some threshold Q and study the lengths of the (return) intervals between them. We find that for all texts considered, the probability SQ(r) that the length of an interval exceeds r, follows a perfect Weibull-function, SQ(r) = exp(-b(β)rβ), with β around 0.7. The return intervals themselves are arranged in a long-range correlated self-similar fashion, where the autocorrelation function CQ(s) of the intervals follows a power law, CQ(s) ∼ s-γ, with an exponent γ between 0.14 and 0.48. We show that these features lead to a pronounced clustering of the rare words in the text.

The natural history of untreated Chlamydia trachomatis infection in the interval between screening and returning for treatment.

PubMed

Geisler, William M; Wang, Chengbin; Morrison, Sandra G; Black, Carolyn M; Bandea, Claudiu I; Hook, Edward W

2008-02-01

Studies of the natural history of genital chlamydial infections in humans are sparse and have had study design limitations. An improved understanding of chlamydial natural history may influence recommendations for elements of control efforts such as chlamydia screening frequency or time parameters for partner notification. Addressing limitations of prior studies in part, we are prospectively studying chlamydial natural history in sexually transmitted diseases clinic patients in the interval between screening and returning for treatment of positive chlamydial tests. Results of repeat chlamydial testing and clinical outcomes and their associated predictors are being evaluated. In the initial 129 subjects, 89% were female, 88% were black, median age was 21 years, and the median interval between screening and treatment was 13 days. Based on nucleic acid amplification testing at treatment, spontaneous resolution of chlamydia occurred in 18%. Resolution was somewhat more common in subjects with longer intervals between screening and treatment. Persisting infections more often progressed to develop clinical signs at the time of treatment (e.g., urethritis or cervicitis). Two women and one man developed chlamydial complications between screening and treatment. Our findings demonstrate that although spontaneous resolution of chlamydia is common, many persons with persisting chlamydia progress to develop signs of infection and some develop complications.

Changes in Influenza Vaccination Rates After Withdrawal of Live Vaccine.

PubMed

Robison, Steve G; Dunn, Aaron G; Richards, Deborah L; Leman, Richard F

2017-11-01

Before the start of the 2016-2017 influenza season, the Advisory Committee on Immunization Practices withdrew its recommendation promoting the use of live attenuated influenza vaccines (LAIVs). There was concern that this might lessen the likelihood that those with a previous LAIV would return for an injectable influenza vaccine (IIV) and that child influenza immunization rates would decrease overall. Using Oregon's statewide immunization registry, the ALERT Immunization Information System, child influenza immunization rates were compared across the 2012-2013 through 2016-2017 seasons. Additionally, matched cohorts of children were selected based on receipt of either an LAIV or an IIV during the 2015-2016 season. Differences between the IIV and LAIV cohorts in returning for the IIV in the 2016-2017 season were assessed. Overall, influenza immunization rates for children aged 2 to 17 years were unchanged between the 2015-2016 and 2016-2017 seasons. Children aged 3 to 10 with a previous IIV were 1.03 (95% confidence interval, 1.02 to 1.04) times more likely to return for an IIV in 2016-2017 than those with a previous LAIV, whereas children aged 11 to 17 years with a previous IIV were 1.08 (95% confidence interval, 1.05 to -1.09) times more likely to return. Withdrawal of the LAIV recommendation was not associated with an overall change in child influenza immunization rates across seasons. Children with a previous (2015-2016) IIV were slightly more likely to return during the 2016-2017 season for influenza immunization than those with a previous LAIV. Copyright © 2017 by the American Academy of Pediatrics.

Wave Extremes in the Northeast Atlantic from Ensemble Forecasts

NASA Astrophysics Data System (ADS)

Breivik, Øyvind; Aarnes, Ole Johan; Bidlot, Jean-Raymond; Carrasco, Ana; Saetra, Øyvind

2013-10-01

A method for estimating return values from ensembles of forecasts at advanced lead times is presented. Return values of significant wave height in the North-East Atlantic, the Norwegian Sea and the North Sea are computed from archived +240-h forecasts of the ECMWF ensemble prediction system (EPS) from 1999 to 2009. We make three assumptions: First, each forecast is representative of a six-hour interval and collectively the data set is then comparable to a time period of 226 years. Second, the model climate matches the observed distribution, which we confirm by comparing with buoy data. Third, the ensemble members are sufficiently uncorrelated to be considered independent realizations of the model climate. We find anomaly correlations of 0.20, but peak events (>P97) are entirely uncorrelated. By comparing return values from individual members with return values of subsamples of the data set we also find that the estimates follow the same distribution and appear unaffected by correlations in the ensemble. The annual mean and variance over the 11-year archived period exhibit no significant departures from stationarity compared with a recent reforecast, i.e., there is no spurious trend due to model upgrades. EPS yields significantly higher return values than ERA-40 and ERA-Interim and is in good agreement with the high-resolution hindcast NORA10, except in the lee of unresolved islands where EPS overestimates and in enclosed seas where it is biased low. Confidence intervals are half the width of those found for ERA-Interim due to the magnitude of the data set.

Interactive Planning for Capability Driven Air & Space Operations

DTIC Science & Technology

2008-04-30

Time, Routledge and Kegan , London, UK, 1980. [5] A. Bochman, Concerted instant–interval temporal semantics I: Temporal ontologies, Notre Dame Journal...then return true else deleteStatement (X, rj , Y ) end if end for return false Figure 8 shows the search space for instance in Table 2. The green ...nodes are those for which the set of relations cor- responding to the path from the root form a consistent set. A path from root to a green leaf node

Human's choices in situations of time-based diminishing returns.

PubMed Central

Hackenberg, T D; Axtell, S A

1993-01-01

Three experiments examined adult humans' choices in situations with contrasting short-term and long-term consequences. Subjects were given repeated choices between two time-based schedules of points exchangeable for money: a fixed schedule and a progressive schedule that began at 0 s and increased by 5 s with each point delivered by that schedule. Under "reset" conditions, choosing the fixed schedule not only produced a point but it also reset the requirements of the progressive schedule to 0 s. In the first two experiments, reset conditions alternated with "no-reset" conditions, in which progressive-schedule requirements were independent of fixed-schedule choices. Experiment 1 entailed choices between a progressive-interval schedule and a fixed-interval schedule, the duration of which varied across conditions. Switching from the progressive- to the fixed-interval schedule was systematically related to fixed-interval size in 4 of 8 subjects, and in all subjects occurred consistently sooner in the progressive-schedule sequence under reset than under no-reset procedures. The latter result was replicated in a second experiment, in which choices between progressive- and fixed-interval schedules were compared with choices between progressive- and fixed-time schedules. In Experiment 3, switching patterns under reset conditions were unrelated to variations in intertrial interval. In none of the experiments did orderly choice patterns depend on verbal descriptions of the contingencies or on schedule-controlled response patterns in the presence of the chosen schedules. The overall pattern of results indicates control of choices by temporarily remote consequences, and is consistent with versions of optimality theory that address performance in situations of diminishing returns. PMID:8315364

Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty.

PubMed

Casnici, Niccolò; Dondio, Pierpaolo; Casarin, Roberto; Squazzoni, Flaminio

2015-01-01

This paper looks at 800,000 messages on the Unicredit stock, exchanged by 7,500 investors in the Finanzaonline.com forum, between 2005 and 2012 and measured collective interpretations of stock market trends. We examined the correlation patterns between market uncertainty, bad news and investors' network structure by measuring the investors' communication patterns. Our results showed that the investors' network reacted to market trends in different ways: While less turbulent market phases implied less communication, higher market volatility generated more complex communication patterns. While the information content of messages was less technical in situations of uncertainty, bad news caused more informative messages only when market volatility was lower. This meant that bad news had a different impact on network behaviour, depending on market uncertainty. By measuring the investors' expertise, we found that their behaviour could help predict changes in daily stock returns. We also found that expert investors were more influential in communication processes during high volatility market phases, whereas they had less influence on the real-time forum's reaction after bad news. Our findings confirm the crucial role of e-communication platforms. However, they also show the need to reconsider the fragility of these collective intelligence systems when under external shocks.

Decrypting Financial Markets through E-Joint Attention Efforts: On-Line Adaptive Networks of Investors in Periods of Market Uncertainty

PubMed Central

Casnici, Niccolò; Dondio, Pierpaolo; Casarin, Roberto; Squazzoni, Flaminio

2015-01-01

This paper looks at 800,000 messages on the Unicredit stock, exchanged by 7,500 investors in the Finanzaonline.com forum, between 2005 and 2012 and measured collective interpretations of stock market trends. We examined the correlation patterns between market uncertainty, bad news and investors' network structure by measuring the investors' communication patterns. Our results showed that the investors' network reacted to market trends in different ways: While less turbulent market phases implied less communication, higher market volatility generated more complex communication patterns. While the information content of messages was less technical in situations of uncertainty, bad news caused more informative messages only when market volatility was lower. This meant that bad news had a different impact on network behaviour, depending on market uncertainty. By measuring the investors' expertise, we found that their behaviour could help predict changes in daily stock returns. We also found that expert investors were more influential in communication processes during high volatility market phases, whereas they had less influence on the real-time forum's reaction after bad news. Our findings confirm the crucial role of e-communication platforms. However, they also show the need to reconsider the fragility of these collective intelligence systems when under external shocks. PMID:26244550

Robotic fish tracking method based on suboptimal interval Kalman filter

NASA Astrophysics Data System (ADS)

Tong, Xiaohong; Tang, Chao

2017-11-01

Autonomous Underwater Vehicle (AUV) research focused on tracking and positioning, precise guidance and return to dock and other fields. The robotic fish of AUV has become a hot application in intelligent education, civil and military etc. In nonlinear tracking analysis of robotic fish, which was found that the interval Kalman filter algorithm contains all possible filter results, but the range is wide, relatively conservative, and the interval data vector is uncertain before implementation. This paper proposes a ptimization algorithm of suboptimal interval Kalman filter. Suboptimal interval Kalman filter scheme used the interval inverse matrix with its worst inverse instead, is more approximate nonlinear state equation and measurement equation than the standard interval Kalman filter, increases the accuracy of the nominal dynamic system model, improves the speed and precision of tracking system. Monte-Carlo simulation results show that the optimal trajectory of sub optimal interval Kalman filter algorithm is better than that of the interval Kalman filter method and the standard method of the filter.

Parameters of triggered-lightning flashes in Florida and Alabama

NASA Astrophysics Data System (ADS)

Fisher, R. J.; Schnetzer, G. H.; Thottappillil, R.; Rakov, V. A.; Uman, M. A.; Goldberg, J. D.

1993-12-01

Channel base currents from triggered lightning were measured at the NASA Kennedy Space Center, Florida, during summer 1990 and at Fort McClellan, Alabama, during summer 1991. Additionally, 16-mm cinematic records with 3- or 5-ms resolution were obtained for all flashes, and streak camera records were obtained for three of the Florida flashes. The 17 flashes analyzed here contained 69 strokes, all lowering negative charge from cloud to ground. Statistics on interstroke interval, no-current interstroke interval, total stroke duration, total stroke charge, total stroke action integral (∫ i2dt), return stroke current wave front characteristics, time to half peak value, and return stroke peak current are presented. Return stroke current pulses, characterized by rise times of the order of a few microseconds or less and peak values in the range of 4 to 38 kA, were found not to occur until after any preceding current at the bottom of the lightning channel fell below the noise level of less than 2 A. Current pulses associated with M components, characterized by slower rise times (typically tens to hundreds of microseconds) and peak values generally smaller than those of the return stroke pulses, occurred during established channel current flow of some tens to some hundreds of amperes. A relatively strong positive correlation was found between return stroke current average rate of rise and current peak. There was essentially no correlation between return stroke current peak and 10-90% rise time or between return stroke peak and the width of the current waveform at half of its peak value. Parameters of the lightning flashes triggered in Florida and Alabama are similar to each other but are different from those of triggered lightning recorded in New Mexico during the 1981 Thunderstorm Research International Program. Continuing currents that follow return stroke current peaks and last for more than 10 ms exhibit a variety of wave shapes that we have subdivided into four categories. All such continuing currents appear to start with a current pulse presumably associated with an M component. A brief summary of lightning parameters important for lightning protection, in a form convenient for practical use, is presented in an appendix.

Factoring attitudes towards armed conflict risk into selection of protected areas for conservation

PubMed Central

Hammill, E.; Tulloch, A. I. T.; Possingham, H. P.; Strange, N.; Wilson, K. A.

2016-01-01

The high incidence of armed conflicts in biodiverse regions poses significant challenges in achieving international conservation targets. Because attitudes towards risk vary, we assessed different strategies for protected area planning that reflected alternative attitudes towards the risk of armed conflicts. We find that ignoring conflict risk will deliver the lowest return on investment. Opting to completely avoid conflict-prone areas offers limited improvements and could lead to species receiving no protection. Accounting for conflict by protecting additional areas to offset the impacts of armed conflicts would not only increase the return on investment (an effect that is enhanced when high-risk areas are excluded) but also increase upfront conservation costs. Our results also demonstrate that fine-scale estimations of conflict risk could enhance the cost-effectiveness of investments. We conclude that achieving biodiversity targets in volatile regions will require greater initial investment and benefit from fine-resolution estimates of conflict risk. PMID:27025894

Extreme values and fat tails of multifractal fluctuations

NASA Astrophysics Data System (ADS)

Muzy, J. F.; Bacry, E.; Kozhemyak, A.

2006-06-01

In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with such data. We show that because of strong correlations, the standard extreme value approach is not valid and classical tail exponent estimators should be interpreted cautiously. Extreme statistics associated with multifractal random processes turn out to be characterized by non-self-averaging properties. Our considerations rely upon some analogy between random multiplicative cascades and the physics of disordered systems and also on recent mathematical results about the so-called multifractal formalism. Applied to financial time series, our findings allow us to propose an unified framework that accounts for the observed multiscaling properties of return fluctuations, the volatility clustering phenomenon and the observed “inverse cubic law” of the return pdf tails.

Multi-scaling modelling in financial markets

NASA Astrophysics Data System (ADS)

Liu, Ruipeng; Aste, Tomaso; Di Matteo, T.

2007-12-01

In the recent years, a new wave of interest spurred the involvement of complexity in finance which might provide a guideline to understand the mechanism of financial markets, and researchers with different backgrounds have made increasing contributions introducing new techniques and methodologies. In this paper, Markov-switching multifractal models (MSM) are briefly reviewed and the multi-scaling properties of different financial data are analyzed by computing the scaling exponents by means of the generalized Hurst exponent H(q). In particular we have considered H(q) for price data, absolute returns and squared returns of different empirical financial time series. We have computed H(q) for the simulated data based on the MSM models with Binomial and Lognormal distributions of the volatility components. The results demonstrate the capacity of the multifractal (MF) models to capture the stylized facts in finance, and the ability of the generalized Hurst exponents approach to detect the scaling feature of financial time series.

Factoring attitudes towards armed conflict risk into selection of protected areas for conservation.

PubMed

Hammill, E; Tulloch, A I T; Possingham, H P; Strange, N; Wilson, K A

2016-03-30

The high incidence of armed conflicts in biodiverse regions poses significant challenges in achieving international conservation targets. Because attitudes towards risk vary, we assessed different strategies for protected area planning that reflected alternative attitudes towards the risk of armed conflicts. We find that ignoring conflict risk will deliver the lowest return on investment. Opting to completely avoid conflict-prone areas offers limited improvements and could lead to species receiving no protection. Accounting for conflict by protecting additional areas to offset the impacts of armed conflicts would not only increase the return on investment (an effect that is enhanced when high-risk areas are excluded) but also increase upfront conservation costs. Our results also demonstrate that fine-scale estimations of conflict risk could enhance the cost-effectiveness of investments. We conclude that achieving biodiversity targets in volatile regions will require greater initial investment and benefit from fine-resolution estimates of conflict risk.

Herding, minority game, market clearing and efficient markets in a simple spin model framework

NASA Astrophysics Data System (ADS)

Kristoufek, Ladislav; Vosvrda, Miloslav

2018-01-01

We present a novel approach towards the financial Ising model. Most studies utilize the model to find settings which generate returns closely mimicking the financial stylized facts such as fat tails, volatility clustering and persistence, and others. We tackle the model utility from the other side and look for the combination of parameters which yields return dynamics of the efficient market in the view of the efficient market hypothesis. Working with the Ising model, we are able to present nicely interpretable results as the model is based on only two parameters. Apart from showing the results of our simulation study, we offer a new interpretation of the Ising model parameters via inverse temperature and entropy. We show that in fact market frictions (to a certain level) and herding behavior of the market participants do not go against market efficiency but what is more, they are needed for the markets to be efficient.

A methodology for stochastic analysis of share prices as Markov chains with finite states.

PubMed

Mettle, Felix Okoe; Quaye, Enoch Nii Boi; Laryea, Ravenhill Adjetey

2014-01-01

Price volatilities make stock investments risky, leaving investors in critical position when uncertain decision is made. To improve investor evaluation confidence on exchange markets, while not using time series methodology, we specify equity price change as a stochastic process assumed to possess Markov dependency with respective state transition probabilities matrices following the identified state pace (i.e. decrease, stable or increase). We established that identified states communicate, and that the chains are aperiodic and ergodic thus possessing limiting distributions. We developed a methodology for determining expected mean return time for stock price increases and also establish criteria for improving investment decision based on highest transition probabilities, lowest mean return time and highest limiting distributions. We further developed an R algorithm for running the methodology introduced. The established methodology is applied to selected equities from Ghana Stock Exchange weekly trading data.

The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient

NASA Astrophysics Data System (ADS)

Cajueiro, Daniel O.; Tabak, Benjamin M.

2004-05-01

This paper is concerned with the assertion found in the financial literature that emerging markets are becoming more efficient over time. To verify whether this assertion is true or not, we propose the calculation of the Hurst exponent over time using a time window with 4 years of data. The data used here comprises the bulk of emerging markets for Latin America and Asia. Our empirical results show that this assertion seems to be true for most countries, but it does not hold for countries such as Brazil, The Philippines and Thailand. Moreover, in order to check whether or not these results depend on the short term memory and the volatility of returns common in such financial asset return data, we filter the data by an AR-GARCH procedure and present the Hurst exponents for this filtered data.

Stock volatility and stroke mortality in a Chinese population.

PubMed

Zhang, Yuhao; Wang, Xin; Xu, Xiaohui; Chen, Renjie; Kan, Haidong

2013-09-01

This work was done to study the relationship between stock volatility and stroke mortality in Shanghai, China. Daily stroke death numbers and stock performance data from 1 January 2006 to 31 December 2008 in Shanghai were collected from the Shanghai Center for Disease Control and Prevention and Shanghai Stock Exchange (SSE), respectively. Data were analysed with overdispersed generalized linear Poisson models, controlling for long-term and seasonal trends of stroke mortality and weather conditions with natural smooth functions, as well as Index closing value, air pollution levels and day of the week. We observed a U-shaped relationship between the Index change and stroke deaths: both rising and falling of the Index were associated with more deaths, and the fewest deaths coincided with little or no change of the Index. We also examined the absolute daily change of the Index in relation to stroke deaths: each 100-point Index change corresponded to 3.22% [95% confidence interval (CI) 0.45-5.49] increase of stroke deaths. We found that stroke deaths fluctuated with daily stock changes in Shanghai, suggesting that stock volatility may adversely affect cerebrovascular health.

Comet Odyssey: Comet Surface Sample Return

NASA Astrophysics Data System (ADS)

Weissman, Paul R.; Bradley, J.; Smythe, W. D.; Brophy, J. R.; Lisano, M. E.; Syvertson, M. L.; Cangahuala, L. A.; Liu, J.; Carlisle, G. L.

2010-10-01

Comet Odyssey is a proposed New Frontiers mission that would return the first samples from the surface of a cometary nucleus. Stardust demonstrated the tremendous power of analysis of returned samples in terrestrial laboratories versus what can be accomplished in situ with robotic missions. But Stardust collected only 1 milligram of coma dust, and the 6.1 km/s flyby speed heated samples up to 2000 K. Comet Odyssey would collect two independent 800 cc samples directly from the surface in a far more benign manner, preserving the primitive composition. Given a minimum surface density of 0.2 g/cm3, this would return two 160 g surface samples to Earth. Comet Odyssey employs solar-electric propulsion to rendezvous with the target comet. After 180 days of reconnaissance and site selection, the spacecraft performs a "touch-and-go” maneuver with surface contact lasting 3 seconds. A brush-wheel sampler on a remote arm collects up to 800 cc of sample. A duplicate second arm and sampler collects the second sample. The samples are placed in a return capsule and maintained at colder than -70 C during the return flight and at colder than -30 C during re-entry and for up to six hours after landing. The entire capsule is then refrigerated and transported to the Astromaterials Curatorial Facility at NASA/JSC for initial inspection and sample analysis by the Comet Odyssey team. Comet Odyssey's planned target was comet 9P/Tempel 1, with launch in December 2017 and comet arrival in June 2022. After a stay of 300 days at the comet, the spacecraft departs and arrives at Earth in May 2027. Comet Odyssey is a forerunner to a flagship Cryogenic Comet Sample Return mission that would return samples from deep below the nucleus surface, including volatile ices. This work was supported by internal funds from the Jet Propulsion Laboratory.

Generation of sub-part-per-billion gaseous volatile organic compounds at ambient temperature by headspace diffusion of aqueous standards through decoupling between ideal and nonideal Henry's law behavior.

PubMed

Kim, Yong-Hyun; Kim, Ki-Hyun

2013-05-21

In the analysis of volatile organic compounds in air, the preparation of their gaseous standards at low (sub-ppb) concentration levels with high reliability is quite difficult. In this study, a simple dynamic headspace-based approach was evaluated as a means of generating vapor-phase volatile organic compounds from a liquid standard in an impinger at ambient temperature (25 °C). For a given sampling time, volatile organic compound vapor formed in the headspace was swept by bypassing the sweep gas through the impinger and collected four times in quick succession in separate sorbent tubes. In each experiment, a fresh liquid sample was used for each of the four sampling times (5, 10, 20, and 30 min) at a steady flow rate of 50 mL min(-1). The air-water partitioning at the most dynamic (earliest) sweeping stage was established initially in accord with ideal Henry's law, which was then followed by considerably reduced partitioning in a steady-state equilibrium (non-ideal Henry's law). The concentrations of gaseous volatile organic compounds, collected after the steady-state equilibrium, reached fairly constant values: for instance, the mole fraction of toluene measured at a sweeping interval of 10 and 30 min averaged 1.10 and 0.99 nmol mol(-1), respectively (after the initial 10 min sampling). In the second stage of our experiment, the effect of increasing the concentrations of liquid spiking standard was also examined by collecting sweep gas samples from two consecutive 10 min runs. The volatile organic compounds, collected in the first and second 10 min sweep gas samples, exhibited ideal and nonideal Henry's law behavior, respectively. From this observation, we established numerical relationships to predict the mole fraction (or mixing ratio) of each volatile organic compound in steady-state equilibrium in relation to the concentration of standard spiked into the system. This experimental approach can thus be used to produce sub-ppb levels of gaseous volatile organic compounds in a constant and predictable manner.

The Mars Organic Molecule Analyzer (MOMA) Instrument: Characterization of Organic Material in Martian Sediments

PubMed Central

Goesmann, Fred; Brinckerhoff, William B.; Raulin, François; Danell, Ryan M.; Getty, Stephanie A.; Siljeström, Sandra; Mißbach, Helge; Steininger, Harald; Arevalo, Ricardo D.; Buch, Arnaud; Freissinet, Caroline; Grubisic, Andrej; Meierhenrich, Uwe J.; Pinnick, Veronica T.; Stalport, Fabien; Szopa, Cyril; Vago, Jorge L.; Lindner, Robert; Schulte, Mitchell D.; Brucato, John Robert; Glavin, Daniel P.; Grand, Noel; Li, Xiang; van Amerom, Friso H. W.

2017-01-01

Abstract The Mars Organic Molecule Analyzer (MOMA) instrument onboard the ESA/Roscosmos ExoMars rover (to launch in July, 2020) will analyze volatile and refractory organic compounds in martian surface and subsurface sediments. In this study, we describe the design, current status of development, and analytical capabilities of the instrument. Data acquired on preliminary MOMA flight-like hardware and experimental setups are also presented, illustrating their contribution to the overall science return of the mission. Key Words: Mars—Mass spectrometry—Life detection—Planetary instrumentation. Astrobiology 17, 655–685.

What should we look for when we return to Mars?. [possibility of extraterrestrial life

NASA Technical Reports Server (NTRS)

Soffen, G. A.

1988-01-01

The current state of knowledge about Mars is examined, and the details of current planned missions (Phobos and the Mars Orbiter) are considered. Speculations on some of the major future avenues of Mars research are presented; particular attention is given to questions relating to the early geological processes that resulted in Martian surface features, the effect liquid water has had on the planet, the volatile dynamics and chemistry, the chemistry of the iron-rich clays, the organic-compound mystery, and the biological issue.

Ising model of financial markets with many assets

NASA Astrophysics Data System (ADS)

Eckrot, A.; Jurczyk, J.; Morgenstern, I.

2016-11-01

Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

Properties of M components from currents measured at triggered lightning channel base

NASA Astrophysics Data System (ADS)

Thottappillil, Rajeev; Goldberg, Jon D.; Rakov, Vladimir A.; Uman, Martin A.; Fisher, Richard J.; Schnetzer, George H.

1995-12-01

Channel base currents from triggered lightning were measured at the NASA Kennedy Space Center, Florida, during summer 1990 and at Fort McClellan, Alabama, during summer 1991. An analysis of the return stroke data and overall continuing current data has been published by Fisher et al. [1993]. Here an analysis is given of the impulsive processes, called M components, that occur during the continuing current following return strokes. The 14 flashes analyzed contain 37 leader-return stroke sequences and 158 M components, both processes lowering negative charge from cloud to ground. Statistics are presented for the following M current pulse parameters: magnitude, rise time, duration, half-peak width, preceding continuing current level, M interval, elapsed time since the return stroke, and charge transferred by the M current pulse. A typical M component in triggered lightning is characterized by a more or less symmetrical current pulse having an amplitude of 100-200 A (2 orders of magnitude lower than that for a typical return stroke [Fisher et al., 1993]), a 10-90% rise time of 300-500 μs (3 orders of magnitude larger than that for a typical return stroke [Fisher et al., 1993]), and a charge transfer to ground of the order of 0.1 to 0.2 C (1 order of magnitude smaller than that for a typical subsequent return stroke pulse [Berger et al., 1975]). About one third of M components transferred charge greater than the minimum charge reported by Berger et al. [1975] for subsequent leader-return stroke sequences. No correlation was found between either the M charge or the magnitude of the M component current (the two are moderately correlated) and any other parameter considered. M current pulses occurring soon after the return stroke tend to have shorter rise times, shorter durations, and shorter M intervals than those which occur later. M current pulses were observed to be superimposed on continuing currents greater than 30 A or so, with one exception out of 140 cases, wherein the continuing current level was measured to be about 20 A. The first M component virtually always (one exception out of 34 cases) occurred within 4 ms of the return stroke. This relatively short separation time between return stroke and the first M component, coupled with the observation of Fisher et al. [1993] that continuing currents lasting longer than 10 ms never occur without M current pulses, implies that the M component is a necessary feature of the continuing current mode of charge transfer to ground.

The Biosynthesis of Unusual Floral Volatiles and Blends Involved in Orchid Pollination by Deception: Current Progress and Future Prospects.

PubMed

Wong, Darren C J; Pichersky, Eran; Peakall, Rod

2017-01-01

Flowers have evolved diverse strategies to attract animal pollinators, with visual and olfactory floral cues often crucial for pollinator attraction. While most plants provide reward (e.g., nectar, pollen) in return for the service of pollination, 1000s of plant species, particularly in the orchid family, offer no apparent reward. Instead, they exploit their often specific pollinators (one or few) by mimicking signals of female insects, food source, and oviposition sites, among others. A full understanding of how these deceptive pollination strategies evolve and persist remains an open question. Nonetheless, there is growing evidence that unique blends that often contain unusual compounds in floral volatile constituents are often employed to secure pollination by deception. Thus, the ability of plants to rapidly evolve new pathways for synthesizing floral volatiles may hold the key to the widespread evolution of deceptive pollination. Yet, until now the biosynthesis of these volatile compounds has been largely neglected. While elucidating the biosynthesis in non-model systems is challenging, nonetheless, these cases may also offer untapped potential for biosynthetic breakthroughs given that some of the compounds can be exclusive or dominant components of the floral scent and production is often tissue-specific. In this perspective article, we first highlight the chemical diversity underpinning some of the more widespread deceptive orchid pollination strategies. Next, we explore the potential metabolic pathways and biosynthetic steps that might be involved. Finally, we offer recommendations to accelerate the discovery of the biochemical pathways in these challenging but intriguing systems.

The Biosynthesis of Unusual Floral Volatiles and Blends Involved in Orchid Pollination by Deception: Current Progress and Future Prospects

PubMed Central

Wong, Darren C. J.; Pichersky, Eran; Peakall, Rod

2017-01-01

Flowers have evolved diverse strategies to attract animal pollinators, with visual and olfactory floral cues often crucial for pollinator attraction. While most plants provide reward (e.g., nectar, pollen) in return for the service of pollination, 1000s of plant species, particularly in the orchid family, offer no apparent reward. Instead, they exploit their often specific pollinators (one or few) by mimicking signals of female insects, food source, and oviposition sites, among others. A full understanding of how these deceptive pollination strategies evolve and persist remains an open question. Nonetheless, there is growing evidence that unique blends that often contain unusual compounds in floral volatile constituents are often employed to secure pollination by deception. Thus, the ability of plants to rapidly evolve new pathways for synthesizing floral volatiles may hold the key to the widespread evolution of deceptive pollination. Yet, until now the biosynthesis of these volatile compounds has been largely neglected. While elucidating the biosynthesis in non-model systems is challenging, nonetheless, these cases may also offer untapped potential for biosynthetic breakthroughs given that some of the compounds can be exclusive or dominant components of the floral scent and production is often tissue-specific. In this perspective article, we first highlight the chemical diversity underpinning some of the more widespread deceptive orchid pollination strategies. Next, we explore the potential metabolic pathways and biosynthetic steps that might be involved. Finally, we offer recommendations to accelerate the discovery of the biochemical pathways in these challenging but intriguing systems. PMID:29181016

Valuation effects of health cost containment measures.

PubMed

Strange, M L; Ezzell, J R

2000-01-01

This study reports the findings of research into the valuation effects of health cost containment activities by publicly traded corporations. The motivation for this study was employers' increasing cost of providing health care insurance to their employees and employers' efforts to contain those costs. A 1990 survey of corporate health benefits indicated that these costs represented 25 percent of employers' net earnings and this would rise by the year 2000 if no actions were taken to reduce cost. Health cost containment programs that are implemented by firms should be seen by shareholders as a wealth maximizing effort. As such, this should be reflected in share price. This study employed standard event study methodology where the event is a media announcement or report regarding an attempt by a firm to contain the costs of providing health insurance and other health related benefits to employees. It examined abnormal returns on a number of event days and for a number of event intervals. Of the daily and interval returns that are least significant at the 10 percent level, virtually all are negative. Cross-sectional analysis shows that the abnormal returns are related negatively to a unionization variable.

Ergodicity of financial indices

NASA Astrophysics Data System (ADS)

Kolesnikov, A. V.; Rühl, T.

2010-05-01

We introduce the concept of the ensemble averaging for financial markets. We address the question of equality of ensemble and time averaging in their sequence and investigate if these averagings are equivalent for large amount of equity indices and branches. We start with the model of Gaussian-distributed returns, equal-weighted stocks in each index and absence of correlations within a single day and show that even this oversimplified model captures already the run of the corresponding index reasonably well due to its self-averaging properties. We introduce the concept of the instant cross-sectional volatility and discuss its relation to the ordinary time-resolved counterpart. The role of the cross-sectional volatility for the description of the corresponding index as well as the role of correlations between the single stocks and the role of non-Gaussianity of stock distributions is briefly discussed. Our model reveals quickly and efficiently some anomalies or bubbles in a particular financial market and gives an estimate of how large these effects can be and how quickly they disappear.

Robust Bayesian Analysis of Heavy-tailed Stochastic Volatility Models using Scale Mixtures of Normal Distributions

PubMed Central

Abanto-Valle, C. A.; Bandyopadhyay, D.; Lachos, V. H.; Enriquez, I.

2009-01-01

A Bayesian analysis of stochastic volatility (SV) models using the class of symmetric scale mixtures of normal (SMN) distributions is considered. In the face of non-normality, this provides an appealing robust alternative to the routine use of the normal distribution. Specific distributions examined include the normal, student-t, slash and the variance gamma distributions. Using a Bayesian paradigm, an efficient Markov chain Monte Carlo (MCMC) algorithm is introduced for parameter estimation. Moreover, the mixing parameters obtained as a by-product of the scale mixture representation can be used to identify outliers. The methods developed are applied to analyze daily stock returns data on S&P500 index. Bayesian model selection criteria as well as out-of- sample forecasting results reveal that the SV models based on heavy-tailed SMN distributions provide significant improvement in model fit as well as prediction to the S&P500 index data over the usual normal model. PMID:20730043

Volatility and correlation-based systemic risk measures in the US market

NASA Astrophysics Data System (ADS)

Civitarese, Jamil

2016-10-01

This paper deals with the problem of how to use simple systemic risk measures to assess portfolio risk characteristics. Using three simple examples taken from previous literature, one based on raw and partial correlations, another based on the eigenvalue decomposition of the covariance matrix and the last one based on an eigenvalue entropy, a Granger-causation analysis revealed some of them are not always a good measure of risk in the S&P 500 and in the VIX. The measures selected do not Granger-cause the VIX index in all windows selected; therefore, in the sense of risk as volatility, the indicators are not always suitable. Nevertheless, their results towards returns are similar to previous works that accept them. A deeper analysis has shown that any symmetric measure based on eigenvalue decomposition of correlation matrices, however, is not useful as a measure of "correlation" risk. The empirical counterpart analysis of this proposition stated that negative correlations are usually small and, therefore, do not heavily distort the behavior of the indicator.

Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory

NASA Astrophysics Data System (ADS)

Liu, Guangqiang; Wei, Yu; Chen, Yongfei; Yu, Jiang; Hu, Yang

2018-06-01

Using intraday data of the CSI300 index, this paper discusses value-at-risk (VaR) forecasting of the Chinese stock market from the perspective of high-frequency volatility models. First, we measure the realized volatility (RV) with 5-minute high-frequency returns of the CSI300 index and then model it with the newly introduced heterogeneous autoregressive quarticity (HARQ) model, which can handle the time-varying coefficients of the HAR model. Second, we forecast the out-of-sample VaR of the CSI300 index by combining the HARQ model and extreme value theory (EVT). Finally, using several popular backtesting methods, we compare the VaR forecasting accuracy of HARQ model with other traditional HAR-type models, such as HAR, HAR-J, CHAR, and SHAR. The empirical results show that the novel HARQ model can beat other HAR-type models in forecasting the VaR of the Chinese stock market at various risk levels.

Interval stability for complex systems

NASA Astrophysics Data System (ADS)

Klinshov, Vladimir V.; Kirillov, Sergey; Kurths, Jürgen; Nekorkin, Vladimir I.

2018-04-01

Stability of dynamical systems against strong perturbations is an important problem of nonlinear dynamics relevant to many applications in various areas. Here, we develop a novel concept of interval stability, referring to the behavior of the perturbed system during a finite time interval. Based on this concept, we suggest new measures of stability, namely interval basin stability (IBS) and interval stability threshold (IST). IBS characterizes the likelihood that the perturbed system returns to the stable regime (attractor) in a given time. IST provides the minimal magnitude of the perturbation capable to disrupt the stable regime for a given interval of time. The suggested measures provide important information about the system susceptibility to external perturbations which may be useful for practical applications. Moreover, from a theoretical viewpoint the interval stability measures are shown to bridge the gap between linear and asymptotic stability. We also suggest numerical algorithms for quantification of the interval stability characteristics and demonstrate their potential for several dynamical systems of various nature, such as power grids and neural networks.

Integrating forest ecosystem services into the farming landscape: A stochastic economic assessment.

PubMed

Monge, Juan J; Parker, Warren J; Richardson, James W

2016-06-01

The objective of this study was to assess how payments for ecosystem services could assist plantation forestry's integration into pastoral dairy farming in order to improve environmental outcomes and increase business resilience to both price uncertainty and production limits imposed by environmental policies. Stochastic Dominance (SD) criteria and portfolio analysis, accounting for farmers' risk aversion levels, were used to rank different land-use alternatives and landscapes with different levels of plantation forestry integration. The study was focused on a modal 200-ha dairy farm in the Lake Rotorua Catchment of the Central North Island region of New Zealand, where national environmental policies are being implemented to improve water quality and reduce greenhouse gas emissions. Nitrogen and carbon payments would help farmers improve early cash flows for forestry, provide financial leverage to undertake afforestation projects and contribute to improved environmental outcomes for the catchment. The SD criteria demonstrated that although dairy farming generates the highest returns, plantation forestry with nitrogen and carbon payments would be a preferred alternative for landowners with relatively low risk aversion levels who consider return volatility and environmental limits within their land-use change criteria. Using the confidence premium concept, environmental payments to encourage plantation forestry into the landscape were shown to be lower when the majority of landowners are risk averse. The certainty equivalence approach helped to identify the optimal dairy-forestry portfolio arrangements for landowners of different levels of risk aversion, intensities of dairy farming (status quo and intensified) and nitrogen prices. At low nitrogen prices, risk neutral farmers would choose to afforest less than half of the farm and operate at the maximum nitrogen allowance, because dairy farming at both intensities provides the highest return among the different land uses available. However, at relatively low risk aversion levels, farmers would operate at levels below the maximum nitrogen allowance by including plantation forestry to a greater extent, compared to risk neutral farmers, due to its more certain returns. At a high nitrogen price of $400/kg, plantation forestry would completely subsume dairying, across risk aversion and intensity levels. These results confirm that plantation forestry as well as being an environmentally sound land-use alternative, also reduces uncertainty for landowners that are exposed to volatile international markets for dairy commodities. Copyright © 2016 Elsevier Ltd. All rights reserved.

Larch Forests of Middle Siberia: Long-Term Trends in Fire Return Intervals

NASA Technical Reports Server (NTRS)

Kharuk, Viacheslav I.; Dvinskaya, Mariya L.; Petrov, Ilya A.; Im, Sergei T.; Ranson, Kenneth J.

2016-01-01

Fire history within the northern larch forests of Central Siberia was studied (65 + deg N). Fires within this area are predominantly caused by lightning strikes rather than human activity. Mean fire return intervals (FRIs) were found to be 112 ± 49 years (based on fire scars) and 106 ± 36 years (based on fire scars and tree natality dates). FRI were increased with latitude increase and observed to be about 80 years at 64 deg N, about 200 years near the Arctic Circle and about 300 years nearby the northern range limit of larch stands (approximately 71 deg + N). Northward FRI increase correlated with incoming solar radiation (r = -0.95). Post Little Ice Age (LIA) warming (after 1850) caused approximately a doubling of fire events (in comparison with a similar period during LIA). The data obtained support a hypothesis of climate-induced fire frequency increase.

Larch Forests of Middle Siberia: Long-Term Trends in Fire Return Intervals

NASA Technical Reports Server (NTRS)

Kharuk, Viacheslav I.; Dvinskaya, Mariya L.; Petrov, Ilya A.; Im, Sergei T.; Ranson, Kenneth J.

2016-01-01

Fire history within the northern larch forests of Central Siberia was studied (65+degN). Fires within this area are predominantly caused by lightning strikes rather than human activity. Mean fire return intervals (FRIs) were found to be 112 +/- 49 years (based on firescars) and 106 +/- 36 years (based on firescars and tree natality dates). FRIs were increased with latitude increase and observed to be about 80 years at 64N, about 200 years near the Arctic Circle and about 300 years nearby the northern range limit of larch stands (approx.71+degN). Northward FRIs increase correlated with incoming solar radiation (r = -0.95). Post- Little Ice Age (LIA) warming (after 1850) caused approximately a doubling of fire events (in comparison with a similar period during LIA). The data obtained support a hypothesis of climate-induced fire frequency increase. Keywords Fire ecology Fire history Fire frequency Siberian wildfires Larch forests Climate change

Larch Forests of Middle Siberia: Long-Term Trends in Fire Return Intervals

PubMed Central

Kharuk, Viacheslav I.; Dvinskaya, Mariya L.; Petrov, Ilya A.; Im, Sergei T.; Ranson, Kenneth J.

2017-01-01

Fire history within the northern larch forests of Central Siberia was studied (65+°N). Fires within this area are predominantly caused by lightning strikes rather than human activity. Mean fire return intervals (FRI) were found to be 112 ± 49 years (based on fire scars) and 106 ± 36 years (based on fire scars and tree natality dates). FRI were increased with latitude increase, and observed to be about 80 years at 64°N, about 200 years near the Arctic Circle, and about 300 years nearby the northern range limit of larch stands (~71°+N). Northward FRI increase correlated with incoming solar radiation (r = − 0.95). Post Little Ice Age (LIA) warming (after 1850) caused approximately a doubling of fire events (in comparison with a similar period during LIA). The data obtained support a hypothesis of climate-induced fire frequency increase. PMID:28966554

Return to work predictors of stroke survivors and their spousal caregivers.

PubMed

Schulz, Celia H; Godwin, Kyler M; Hersch, Gayle I; Hyde, Leslie K; Irabor, Jocelyn J; Ostwald, Sharon K

2017-01-01

Return to work is an issue of concern for stroke survivors and their spouses. Ramifications may include loss of income and self-efficacy. This study describes the return to work patterns of stroke survivors and their spousal caregivers post stroke. One hundred fifty-nine dyads were examined for their return to work patterns at baseline (post hospital discharge) and then at 3 month intervals for one year. Relationships were determined between work and gender, age, ethnicity, education, type of insurance, type of stroke, location of stroke, motor and cognitive functional status, depression, mutuality, and life satisfaction. Low levels of return to work by stroke survivors (7.5%) and a small decrease in the amount of working caregivers (from 45.3% to 40.35%) were found one year post baseline. Variables that predicted return to work changed over the five data points except for younger age for the caregiver, which was consistently significant across all data points. Three case scenarios representative of working patterns are offered. Further research is needed regarding the return to work needs of stroke survivors and their spousal caregivers, particularly what role the occupational therapist may play in facilitating that process.

Nonparametric Stochastic Model for Uncertainty Quantifi cation of Short-term Wind Speed Forecasts

NASA Astrophysics Data System (ADS)

AL-Shehhi, A. M.; Chaouch, M.; Ouarda, T.

2014-12-01

Wind energy is increasing in importance as a renewable energy source due to its potential role in reducing carbon emissions. It is a safe, clean, and inexhaustible source of energy. The amount of wind energy generated by wind turbines is closely related to the wind speed. Wind speed forecasting plays a vital role in the wind energy sector in terms of wind turbine optimal operation, wind energy dispatch and scheduling, efficient energy harvesting etc. It is also considered during planning, design, and assessment of any proposed wind project. Therefore, accurate prediction of wind speed carries a particular importance and plays significant roles in the wind industry. Many methods have been proposed in the literature for short-term wind speed forecasting. These methods are usually based on modeling historical fixed time intervals of the wind speed data and using it for future prediction. The methods mainly include statistical models such as ARMA, ARIMA model, physical models for instance numerical weather prediction and artificial Intelligence techniques for example support vector machine and neural networks. In this paper, we are interested in estimating hourly wind speed measures in United Arab Emirates (UAE). More precisely, we predict hourly wind speed using a nonparametric kernel estimation of the regression and volatility functions pertaining to nonlinear autoregressive model with ARCH model, which includes unknown nonlinear regression function and volatility function already discussed in the literature. The unknown nonlinear regression function describe the dependence between the value of the wind speed at time t and its historical data at time t -1, t - 2, … , t - d. This function plays a key role to predict hourly wind speed process. The volatility function, i.e., the conditional variance given the past, measures the risk associated to this prediction. Since the regression and the volatility functions are supposed to be unknown, they are estimated using nonparametric kernel methods. In addition, to the pointwise hourly wind speed forecasts, a confidence interval is also provided which allows to quantify the uncertainty around the forecasts.

Probability distribution of financial returns in a model of multiplicative Brownian motion with stochastic diffusion coefficient

NASA Astrophysics Data System (ADS)

Silva, Antonio

2005-03-01

It is well-known that the mathematical theory of Brownian motion was first developed in the Ph. D. thesis of Louis Bachelier for the French stock market before Einstein [1]. In Ref. [2] we studied the so-called Heston model, where the stock-price dynamics is governed by multiplicative Brownian motion with stochastic diffusion coefficient. We solved the corresponding Fokker-Planck equation exactly and found an analytic formula for the time-dependent probability distribution of stock price changes (returns). The formula interpolates between the exponential (tent-shaped) distribution for short time lags and the Gaussian (parabolic) distribution for long time lags. The theoretical formula agrees very well with the actual stock-market data ranging from the Dow-Jones index [2] to individual companies [3], such as Microsoft, Intel, etc. [] [1] Louis Bachelier, ``Th'eorie de la sp'eculation,'' Annales Scientifiques de l''Ecole Normale Sup'erieure, III-17:21-86 (1900).[] [2] A. A. Dragulescu and V. M. Yakovenko, ``Probability distribution of returns in the Heston model with stochastic volatility,'' Quantitative Finance 2, 443--453 (2002); Erratum 3, C15 (2003). [cond-mat/0203046] [] [3] A. C. Silva, R. E. Prange, and V. M. Yakovenko, ``Exponential distribution of financial returns at mesoscopic time lags: a new stylized fact,'' Physica A 344, 227--235 (2004). [cond-mat/0401225

Automated Studies of Continuing Current in Lightning Flashes

NASA Astrophysics Data System (ADS)

Martinez-Claros, Jose

Continuing current (CC) is a continuous luminosity in the lightning channel that lasts longer than 10 ms following a lightning return stroke to ground. Lightning flashes following CC are associated with direct damage to power lines and are thought to be responsible for causing lightning-induced forest fires. The development of an algorithm that automates continuing current detection by combining NLDN (National Lightning Detection Network) and LEFA (Langmuir Electric Field Array) datasets for CG flashes will be discussed. The algorithm was applied to thousands of cloud-to-ground (CG) flashes within 40 km of Langmuir Lab, New Mexico measured during the 2013 monsoon season. It counts the number of flashes in a single minute of data and the number of return strokes of an individual lightning flash; records the time and location of each return stroke; performs peak analysis on E-field data, and uses the slope of interstroke interval (ISI) E-field data fits to recognize whether continuing current (CC) exists within the interval. Following CC detection, duration and magnitude are measured. The longest observed C in 5588 flashes was 631 ms. The performance of the algorithm (vs. human judgement) was checked on 100 flashes. At best, the reported algorithm is "correct" 80% of the time, where correct means that multiple stations agree with each other and with a human on both the presence and duration of CC. Of the 100 flashes that were validated against human judgement, 62% were hybrid. Automated analysis detects the first but misses the second return stroke in many cases where the second return stroke is followed by long CC. This problem is also present in human interpretation of field change records.

Utility of biochemical verification of tobacco cessation in the Department of Veterans Affairs.

PubMed

Noonan, Devon; Jiang, Yunyun; Duffy, Sonia A

2013-03-01

Research on the validity of self-report tobacco use has varied by the population studied and has yet to be examined among smokers serviced by the Department of Veterans Affairs (VA). The purpose of this study was to determine the predictors of returning a biochemical urine test and the specificity and sensitivity of self-reported tobacco use status compared to biochemical verification. This was a sub-analysis of the larger Tobacco Tactics research study, a pre-/post-non-randomized control design study to implement and evaluate a smoking cessation intervention in three large VA hospitals. Inpatient smokers completed baseline demographic, health history and tobacco use measures. Patients were sent a follow-up survey at six-months to assess tobacco use and urine cotinine levels. A total of 645 patients returned six-month surveys of which 578 also returned a urinary cotinine strip at six-months. Multivariate analysis of the predictors of return rate revealed those more likely to return biochemical verification of their smoking status were younger, more likely to be thinking about quitting smoking, have arthritis, and less likely to have heart disease. The sensitivity and specificity of self-report tobacco use were 97% (95% confidence interval=0.95-0.98) and 93% (95% confidence interval=0.84-0.98) respectively. The misclassification rate among self-reported quitters was 21%. The misclassification rate among self-reported tobacco users was 1%. The sensitivity and specificity of self-report tobacco use were high among veteran smokers, yet among self-report quitters that misclassification rate was high at 21% suggesting that validating self-report tobacco measures is warranted in future studies especially in populations that are prone to misclassification. Copyright © 2012 Elsevier Ltd. All rights reserved.

A case study of nurse practitioner care compared to general practitioner care for children with respiratory tract infections.

PubMed

van Vugt, Saskia F; van de Pol, Alma C; Cleveringa, Frits G W; Stellato, Rebecca K; Kappers, Marieke P; de Wit, Niek J; Damoiseaux, Roger A M J

2018-05-13

To compare quality of care provided by nurse practitioners with care provided by general practitioners for children with respiratory tract infections in the Netherlands. Nurse practitioners increasingly manage acute conditions in general practice, with opportunities for more protocolled care. Studies on quality of nurse practitioners' care for children with respiratory tract infections are limited to the US health care system and do not take into account baseline differences in illness severity. Retrospective observational cohort study. Data were extracted from electronic healthcare records of children 0-6 years presenting with respiratory tract infection between January-December 2013. Primary outcomes were antibiotic prescriptions and early return visits. Generalized estimating equations were used to correct for potential confounders. A total of 899 respiratory tract infection consultations were assessed (168 seen by nurse practitioner; 731 by general practitioners). Baseline characteristics differed between these groups. Overall antibiotic prescription and early return visit rates were 21% and 24%, respectively. Adjusted odds ratio for antibiotic prescription after nurse practitioner vs. general practitioner delivered care was 1.40 (95% confidence interval 0.89-2.22) and for early return visits 1.53 (95% confidence interval 1.01-2.31). Important confounder for antibiotic prescription was illness severity. Presence of wheezing was a confounder for return visits. Complication and referral rates did not differ. Antibiotic prescription, complication and referral rates for paediatric respiratory tract infection consultations did not differ significantly between nurse practitioner and general practitioner consultations, after correction for potential confounders. General practitioners, however, see more severely ill children and have a lower return visit rate. A randomised controlled study is needed to determine whether nurse practitioner care quality is truly non-inferior. This article is protected by copyright. All rights reserved. This article is protected by copyright. All rights reserved.

[Ultrasonic sludge treatment and its application on aerobic digestion].

PubMed

Li, Huan; Jin, Yi-ying; Nie, Yong-feng; Li, Lei; Yang, Hai-ying

2007-07-01

In order to enhance the degradation efficiency of waste activated sludge (WAS) in conventional aerobic digestion, various ultrasonic assisted treatment methods were investigated including ultrasonic disintegration of influent sludge, ultrasonic improvement of influent sludge activity and ultrasonic disintegration of return sludge. Firstly the effects of ultrasonic sludge treatment were studied to choose appropriate ultrasonic parameters, and then the experiments of aerobic digestion with different ultrasonic treatments were carried out. The results show that 1.0 W/mL, 10 minutes ultrasonic treatment can increase soluble chemical oxygen demand (SCOD) in the supernatant phase of sludge sample by 5.4 times and decrease total suspended solid (TSS) by 16%; 0.05 W/mL, 10 min ultrasonic treatment can increase the specific oxygen uptake rate (SOUR) of sludge sample by 29%. The two kinds of ultrasonic influent sludge pretreatment can't improve aerobic digestion effectively. Ultrasonic return sludge disintegration can enhance the volatile suspended solid (VSS) degradation ratio by 15%. Furthermore, the settlement performance of digested sludge is still good and the pollutant concentrations of supernatant phase increase slightly. So ultrasonic return sludge disintegration is considered as the most appropriate assisted treatment mode for aerobic digestion.

Marital Status and Return to Work After Living Kidney Donation.

PubMed

Frech, Adrianne; Natale, Ginny; Hayes, Don; Tumin, Dmitry

2018-01-01

Living kidney donation is safe and effective, but patients in need of a transplant continue to outnumber donors. Disincentives to living donation include lost income, risk of job loss, perioperative complications, and unreimbursed medical expenses. This study uses US registry and follow-up data on living kidney donors from 2013 to 2015 to identify social predictors of return to work across gender following living kidney donation. Using logistic regression, we find that predictors of return to work following living kidney donation differ for women and men. Among women, age, education, smoking status, and procedure type are associated with return to work. Among men, education, procedure type, and hospital readmission within 6 weeks postdonation are associated with return to work. Notably, single and divorced men are less likely to return to work compared to married men (odds ratio [OR] for single men 0.51, 95% confidence interval [CI], 0.37-0.69, P < .001; OR for divorced men 0.51, 95% CI, 0.34-0.75, P = .006). Marital status is not associated with return to work for women. Single and divorced men's greater odds of not returning to work are robust to controls for relevant pre- and postdonation characteristics. Single and divorced men's lack of social support may present an obstacle to work resumption following living kidney donation.

Comparison among the efficacy of interventions for the return rate to receive the pap test report: randomized controlled clinical trial 1

PubMed Central

Vasconcelos, Camila Teixeira Moreira; Pinheiro, Ana Karina Bezerra; Nicolau, Ana Izabel Oliveira; Lima, Thaís Marques; Barbosa, Denise de Fátima Fernandes

2017-01-01

ABSTRACT Objective: to test the effects of a behavioral, an educative and a comparative intervention on women's adherence to the return appointment to receive the pap test report. Methods: randomized controlled clinical trial at a Primary Health Care Service, involving three groups: EG (educative session and test demonstration), BG (recall ribbon) and standard intervention (card containing the return appointment - graphical reminder), called comparative group here (CG). To select the sample, the following was established: having started sexual activity and undergoing the pap smear during the study, resulting in 775 women. Results: among the 775 women, 585 (75.5%) returned to receive the test result within 65 days. The educative group presented the highest return rate (EG=82%/CG=77%/BG=66%), statistically significant only when compared to the behavioral group (p=0.000). The educative group obtained the smallest interval (p<0.05) concerning the mean number of days of return to receive the test result (EG:M=43days/BG:M=47.5days/CG:M=44.8 days). Conclusion: the educative group reached higher return rates and the women returned earlier, but the behavioral intervention showed to be the least effective. Brazilian Clinical Trial Register: RBR-93ykhs. PMID:28301035

Long-Range Memory in Literary Texts: On the Universal Clustering of the Rare Words

PubMed Central

2016-01-01

A fundamental problem in linguistics is how literary texts can be quantified mathematically. It is well known that the frequency of a (rare) word in a text is roughly inverse proportional to its rank (Zipf’s law). Here we address the complementary question, if also the rhythm of the text, characterized by the arrangement of the rare words in the text, can be quantified mathematically in a similar basic way. To this end, we consider representative classic single-authored texts from England/Ireland, France, Germany, China, and Japan. In each text, we classify each word by its rank. We focus on the rare words with ranks above some threshold Q and study the lengths of the (return) intervals between them. We find that for all texts considered, the probability SQ(r) that the length of an interval exceeds r, follows a perfect Weibull-function, SQ(r) = exp(−b(β)rβ), with β around 0.7. The return intervals themselves are arranged in a long-range correlated self-similar fashion, where the autocorrelation function CQ(s) of the intervals follows a power law, CQ(s) ∼ s−γ, with an exponent γ between 0.14 and 0.48. We show that these features lead to a pronounced clustering of the rare words in the text. PMID:27893737

Flying after diving: in-flight echocardiography after a scuba diving week.

PubMed

Cialoni, Danilo; Pieri, Massimo; Balestra, Costantino; Marroni, Alessandro

2014-10-01

Flying after diving may increase decompression sickness risk (DCS), but strong evidence indicating minimum preflight surface intervals (PFSI) is missing. On return flights after a diving week on a live-aboard, 32 divers were examined by in-flight echocardiography with the following protocol: 1) outgoing flight, no previous dive; 2) during the diving week; 3) before the return flight after a 24-h PFSI; and 4) during the return flight. All divers completed similar multiple repetitive dives during the diving week. All dives were equivalent as to inert gas load and gradient factor upon surfacing. No bubbles in the right heart were found in any diver during the outgoing flight or at the preflight control after a 24-h PFSI following the diving week. A significant increase in the number and grade of bubbles was observed during the return flight. However, bubbles were only observed in 6 of the 32 divers. These six divers were the same ones who developed bubbles after every dive. Having observed a 24-h preflight interval, the majority of divers did not develop bubbles during altitude exposure; however, it is intriguing to note that the same subjects who developed significant amounts of bubbles after every dive showed equally significant bubble grades during in-flight echocardiography notwithstanding a correct PFSI. This indicates a possible higher susceptibility to bubble formation in certain individuals, who may need longer PFSI before altitude exposure after scuba diving.

Frequency aspects of information transmission in a network of three western equity markets

NASA Astrophysics Data System (ADS)

Schmidbauer, Harald; Rösch, Angi; Uluceviz, Erhan

2017-11-01

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of economies. We consider three western equity markets, represented by their respective stock indices: DJIA (USA), FTSE 100 (UK), and Euro Stoxx 50 (euro area). Connecting these three markets together via vector autoregressive processes in index returns, we construct ;propagation values; to measure and trace, on a daily basis, the relative importance of a market as a volatility creator within the network, where volatility is due to a return shock in a market. A cross-wavelet analysis reveals the joint frequency structure of pairs of the propagation value series, in particular whether or not two series tend to move in the same direction at a given frequency. Our main findings are: (i) From 2001 onwards, the daily propagation values of markets have been fluctuating much less than before, and high frequencies have become less pronounced; (ii) the European markets are in phase at business cycle frequency, while the US market is not in phase with either European market; (iii) in 2008, the euro area has taken over the leading role. This approach not only provides new insight into the time-dependent interplay of equity markets, but it can also replicate certain findings of traditional business cycle research, and it has the advantage of using only readily available stock market data.

Exospheric Escape: A Parametrical Study

NASA Technical Reports Server (NTRS)

Killen, Rosemary M.; Burger, Matthew H.; Farrell, William M.

2017-01-01

The study of exospheres can help us understand the long-term loss of volatiles from planetary bodies due to interactions of planets, satellites, and small bodies with the interplanetary medium, solar radiation, and internal forces including diffusion and outgassing. Recent evidence for water and OH on the Moon has spurred interest in processes involving chemistry and sequestration of volatile species at the poles and in voids. In recent years, NASA has sent spacecraft to asteroids including Vesta and Ceres, and ESA sent Rosetta to comet 67P/Churyumov-Gerasimenko and the asteroids Lutetia and Steins. Japan's Hayabusa spacecraft returned a sample from asteroid Itakowa, and OSIRIS-REX will return a sample from a primitive asteroid, Bennu, to Earth. In a surface-bounded exosphere, the gases are derived from the surface and thus reflect the composition of the body's regolith, although not in a one-to-one ratio. Observation of an escaping exosphere, termed a corona, is challenging. We have therefore embarked on a parametrical study of exospheres as a function of mass of the exospheric species, mass of the primary body and source velocity distribution, specifically thermal (Maxwell-Boltzmann) and sputtering. The goal is to provide a quick look to determine under what conditions and for what mass of the primary body the species of interest are expected to be bound or escaping and to quickly estimate the observability of exospheric species. This work does not provide a comprehensive model but rather serves as a starting point for further study. These parameters will be useful for mission planning as well as for students beginning a study of planetary exospheres.

Why we need asteroid sample return mission?

NASA Astrophysics Data System (ADS)

Barucci, Maria Antonietta

2016-07-01

Small bodies retain evidence of the primordial solar nebula and the earliest solar system processes that shaped their evolution. They may also contain pre-solar material as well as complex organic molecules, which could have a major role to the development of life on Earth. For these reasons, asteroids and comets have been targets of interest for missions for over three decades. However, our knowledge of these bodies is still very limited, and each asteroid or comet visited by space mission has revealed unexpected scientific results, e.g. the structure and nature of comet 67P/Churyumov-Gerasimenko (67P/C-G) visited by the Rosetta mission. Only in the laboratory can instruments with the necessary precision and sensitivity be applied to individual components of the complex mixture of materials that forms a small body regolith, to determine their precise chemical and isotopic composition. Such measurements are vital for revealing the evidence of stellar, interstellar medium, pre-solar nebula and parent body processes that are retained in primitive material, unaltered by atmospheric entry or terrestrial contamination. For those reasons, sample return missions are considered a high priority by a number of the leading space agencies. Abundant within the inner Solar System and the main impactors on terrestrial planets, small bodies may have been the principal contributors of the water and organic material essential to create life on Earth. Small bodies can therefore be considered to be equivalent to DNA for unravelling our solar system's history, offering us a unique window to investigate both the formation of planets and the origin of life. A sample return mission to a primitive Near-Earth Asteroid (NEA) has been study at ESA from 2008 in the framework of ESA's Cosmic Vision (CV) programme, with the objective to answer to the fundamental CV questions "How does the Solar System work?" and "What are the conditions for life and planetary formations?". The returned material will allow us to study in terrestrial laboratories some of the most primitive materials available to investigate early solar system formation processes, to explore initial stages of habitable planet formation, to identify and characterize the organics and volatiles in a primitive asteroid. The ideal easy target body for such mission is a D type NEA. D types are the most abundant asteroids beyond the outer edge of the main belt. It is likely that they formed much further out in the Solar System, possibly as far as the transneptunian objects, and were subsequently captured in their present locations following the migration of the gas giants. Spectral features indicate that these bodies are organic rich, contain fine anhydrous minerals but also may be volatile rich and appear to be the most primitive rocky material present in the solar system. In addition to addressing the major science goals, sample return mission from a NEA also involved innovative European technologies. The key sample return capabilities, i.e. asteroid navigation, touch and go, sampling mechanism and the re-entry capsule have reached at ESA a validation status to enter implementation phase. The development of sample return technology represents in Europe a crucial element for planetary science and for the space technology development.

Return to Sport After Anterior Cruciate Ligament Reconstruction in the Skeletally Immature Athlete.

PubMed

Chicorelli, Anne M; Micheli, Lyle J; Kelly, Michael; Zurakowski, David; MacDougall, Robert

2016-07-01

Determine the percentage of skeletally immature athletes returning to sports after anterior cruciate ligament (ACL) injury and reconstruction. Retrospective case series. Boston Children's Hospital Division of Sports Medicine. Eligible participants were identified by chart review. Males and females aged ≤14 year old who were greater than 2 years after ACL reconstruction surgery seen between January 2001 and May 2009. A total of 250 patients completed the questionnaires. Age, sex, mechanism, and sport played at time of ACL injury. Response to the survey was 75% (250 of 333) which was analyzed using descriptive statistics to provide a summary of the study cohort. Kaplan-Meier survivorship analysis was applied to determine time to return to sports participation after ACL reconstruction with Greenwood formula used to calculate 95% confidence intervals around the estimated percentage returning at 6, 9, 12, 18, and 24-month follow-up. After undergoing ACL reconstruction, 96% of skeletally immature athletes are able to return to sports at the same skill level. Median time to return to sports was 9 months postoperative, with most athletes returning to sports (85%) by 12 months. After undergoing ACL reconstruction, most child athletes are able to return to sports and 50% of these athletes return within 9 months after surgery. After undergoing ACL reconstruction, 96% of athletes ≤14 year old are able to return to sports at the same skill level. Median time to return to sports was 9 months postoperative, with most athletes returning to sports (85%) by 12 months. In our study, patients cited physical limitation, loss of interest in sport, and fear of reinjury as reasons for not returning to previous level of sport. Return to sport may be improved by additional research into sports-specific training and rehabilitation in this cohort.

Wind and wave extremes over the world oceans from very large ensembles

NASA Astrophysics Data System (ADS)

Breivik, Øyvind; Aarnes, Ole Johan; Abdalla, Saleh; Bidlot, Jean-Raymond; Janssen, Peter A. E. M.

2014-07-01

Global return values of marine wind speed and significant wave height are estimated from very large aggregates of archived ensemble forecasts at +240 h lead time. Long lead time ensures that the forecasts represent independent draws from the model climate. Compared with ERA-Interim, a reanalysis, the ensemble yields higher return estimates for both wind speed and significant wave height. Confidence intervals are much tighter due to the large size of the data set. The period (9 years) is short enough to be considered stationary even with climate change. Furthermore, the ensemble is large enough for nonparametric 100 year return estimates to be made from order statistics. These direct return estimates compare well with extreme value estimates outside areas with tropical cyclones. Like any method employing modeled fields, it is sensitive to tail biases in the numerical model, but we find that the biases are moderate outside areas with tropical cyclones.

The role of fire-return interval and season of burn in snag dynamics in a south Florida slash pine forest

USGS Publications Warehouse

Lloyd, John D.; Slater, Gary L.; Snyder, James R.

2012-01-01

Standing dead trees, or snags, are an important habitat element for many animal species. In many ecosystems, fire is a primary driver of snag population dynamics because it can both create and consume snags. The objective of this study was to examine how variation in two key components of the fire regime—fire-return interval and season of burn—affected population dynamics of snags. Using a factorial design, we exposed 1 ha plots, located within larger burn units in a south Florida slash pine (Pinus elliottii var. densa Little and Dorman) forest, to prescribed fire applied at two intervals (approximately 3-year intervals vs. approximately 6-year intervals) and during two seasons (wet season vs. dry season) over a 12- to 13-year period. We found no consistent effect of fire season or frequency on the density of lightly to moderately decayed or heavily decayed snags, suggesting that variation in these elements of the fire regime at the scale we considered is relatively unimportant in the dynamics of snag populations. However, our confidence in these findings is limited by small sample sizes, potentially confounding effects of unmeasured variation in fire behavior and effects (e.g., intensity, severity, synergy with drought cycles) and wide variation in responses within a treatment level. The generalizing of our findings is also limited by the narrow range of treatment levels considered. Future experiments incorporating a wider range of fire regimes and directly quantifying fire intensity would prove useful in identifying more clearly the role of fire in shaping the dynamics of snag populations.

Automated, real-time fresh gas flow recommendations alter isoflurane consumption during the maintenance phase of anesthesia in a simulator-based study.

PubMed

Luria, Isaac; Lampotang, Samsun; Schwab, Wilhelm; Cooper, Lou Ann; Lizdas, David; Gravenstein, Nikolaus

2013-11-01

The Low Flow Wizard (LFW) provides real-time guidance for user optimization of fresh gas flow (FGF) settings during general inhaled anesthesia. The LFW can continuously inform users whether it determines their FGF to be too little, efficient, or too much, and its color-coded recommendations respond in real time to changes in FGF performed by users. Our study objective was to determine whether the LFW feature, as implemented in the Dräger Apollo workstation, alters FGF selection and thereby volatile anesthetic consumption without affecting patient care. To reduce potentially confounding variables, we used a human patient simulator that consumes and exhales volatile anesthetics. Standard monitoring was provided for the patient initially with invasive arterial blood pressure added after anesthetic induction. In this within-group study, each of 17 participants acted as his or her own control. Each participant was asked to anesthetize an identical simulated patient twice using a Dräger Apollo workstation, first with the LFW feature disabled and subsequently enabled. The volatile anesthetic was isoflurane. Both simulation runs were set up to have similar time durations for the different phases of anesthesia: induction, incision, and maintenance. Emergence was not simulated. The isoflurane vaporizer was weighed before and after each simulation run on a digital scale to verify total computed volatile liquid anesthetic consumption. In addition, the product of FGF (reported by the Apollo) times the isoflurane volumetric concentration (sampled by a multigas analyzer at the equivalent of the FGF hose for the Apollo) was integrated over time to obtain isoflurane consumption rate (on-the-fly anesthetic consumption rate measurement). The maintenance isoflurane consumption rate and FGF were significantly lower with the LFW display enabled than without (P = 0.005). The mean reduction in FGF was 53.6% (95% confidence interval, 39.2%-67.9%). There was no significant difference in alveolar isoflurane concentration (P = 0.13 for differences <0.1%). The isoflurane consumption measurement closely matched the consumption measured via the digital scale. Our data in a simulated anesthetic suggest that enabling the display of FGF efficiency data by the LFW results in a median percent reduction in volatile liquid anesthetic consumption rate of 53.2%. Since the lower limit of the 95% confidence interval for the median is 39.4%, this finding is likely to translate into cost savings and less waste anesthetic gas generated in the clinical setting and released into the atmosphere.

Influence of In-Well Convection on Well Sampling

USGS Publications Warehouse

Vroblesky, Don A.; Casey, Clifton C.; Lowery, Mark A.

2006-01-01

Convective transport of dissolved oxygen (DO) from shallow to deeper parts of wells was observed as the shallow water in wells in South Carolina became cooler than the deeper water in the wells due to seasonal changes. Wells having a relatively small depth to water were more susceptible to thermally induced convection than wells where the depth to water was greater because the shallower water levels were more influenced by air temperature. The potential for convective transport of DO to maintain oxygenated conditions in a well was diminished as ground-water exchange through the well screen increased and as oxygen demand increased. Convective flow did not transport oxygen to the screened interval when the screened interval was deeper than the range of the convective cell. The convective movement of water in wells has potential implications for passive, or no-purge, and low-flow sampling approaches. Transport of DO to the screened interval can adversely affect the ability of passive samplers to produce accurate concentrations of oxygen-sensitive solutes, such as iron. Other potential consequences include mixing the screened-interval water with casing water and potentially allowing volatilization loss at the water surface. A field test of diffusion samplers in a convecting well during the winter, however, showed good agreement of chlorinated solvent concentrations with pumped samples, indicating that there was no negative impact of the convection on the utility of the samplers to collect volatile organic compound concentrations in that well. In the cases of low-flow sampling, convective circulation can cause the pumped sample to be a mixture of casing water and aquifer water. This can substantially increase the equilibration time of oxygen as an indicator parameter and can give false indications of the redox state. Data from this investigation show that simple in-well devices can effectively mitigate convective transport of oxygen. The devices can range from inflatable packers to simple baffle systems.

How Cold are the Floors of Lunar Polar Shadowed Craters?

NASA Technical Reports Server (NTRS)

Mendell, Wendell W.

2010-01-01

Almost five decades ago Watson, et al, [1] speculated that molecules of volatile species might accumulate within the cryogenic environments of permanently shadowed polar craters. The subject was largely a scientific curiosity until recently. In the mid-1980's, people began to seriously discuss the feasibility of long-term or permanent human settlement of the Moon. Given that the Moon was known be missing the compounds need to support life and that importing volatiles from Earth is prohibitively expensive, lunar colonists were pictured as processing the putative polar volatiles. A bistatic radar experiment performed with the Clementine spacecraft was interpreted to suggest the presence of large quantities of ice at some polar locations. [2] The neutron spectrometer aboard the Lunar Prospector spacecraft reported high concentrations of hydrogen in the polar regolith, [3] and some interpretations of the data set pointed to very high concentrations in permanently shadowed craters. The reformulation of civilian space policy in 2004, known as the Vision for Space Exploration, emphasized lunar exploration with eye toward development of economic returns from cislunar space and long-tern human presence on the Moon. The theme of finding lunar resources was an impetus for the inclusion of the Diviner Lunar Radiometer Experiment on the Lunar Reconnaissance Orbiter. Preliminary results from Diviner report an unexpectedly low temperature down to 35K in the depths of some craters. [4

Comet Halley - The orbital motion

NASA Technical Reports Server (NTRS)

Yeomans, D. K.

1977-01-01

The orbital motion of Comet Halley is investigated over the interval from A.D. 837 to 2061. Using the observations from 1607 through 1911, least-squares differential orbit corrections were successfully computed using the existing model for the nongravitational forces. The nongravitational-force model was found to be consistent with the outgassing-rocket effect of a water-ice cometary nucleus and, prior to the 1910 return, these forces are time-independent for nearly a millennium. For the 1986 return, viewing conditions are outlined for the comet and the related Orionid and Eta Aquarid meteor showers.

Cervical cancer screening intervals and management for women living with HIV: a risk benchmarking approach.

PubMed

Robbins, Hilary A; Strickler, Howard D; Massad, L Stewart; Pierce, Christopher B; Darragh, Teresa M; Minkoff, Howard; Keller, Marla J; Fischl, Margaret; Palefsky, Joel; Flowers, Lisa; Rahangdale, Lisa; Milam, Joel; Shrestha, Sadeep; Colie, Christine; DʼSouza, Gypsyamber

2017-04-24

We suggested cervical cancer screening strategies for women living with HIV (WLHIV) by comparing their precancer risks to general population women, and then compared our suggestions with current Centers for Disease Control and Prevention (CDC) guidelines. We compared risks of biopsy-confirmed cervical high-grade squamous intraepithelial neoplasia or worse (bHSIL+), calculated among WLHIV in the Women's Interagency HIV Study, to 'risk benchmarks' for specific management strategies in the general population. We applied parametric survival models among 2423 WLHIV with negative or atypical squamous cell of undetermined significance (ASC-US) cytology during 2000-2015. Separately, we synthesized published general population bHSIL+ risks to generate 3-year risk benchmarks for a 3-year return (after negative cytology, i.e. 'rescreening threshold'), a 6-12-month return (after ASC-US), and immediate colposcopy [after low-grade squamous intraepithelial lesion (LSIL)]. Average 3-year bHSIL+ risks among general population women ('risk benchmarks') were 0.69% for a 3-year return (after negative cytology), 8.8% for a 6-12-month return (after ASC-US), and 14.4% for colposcopy (after LSIL). Most CDC guidelines for WLHIV were supported by comparing risks in WLHIV to these benchmarks, including a 3-year return with CD4 greater than 500 cells/μl and after either three negative cytology tests or a negative cytology/oncogenic human papillomavirus cotest (all 3-year risks≤1.3%); a 1-year return after negative cytology with either positive oncogenic human papillomavirus cotest (1-year risk = 1.0%) or CD4 cell count less than 500 cells/μl (1-year risk = 1.1%); and a 6-12-month return after ASC-US (3-year risk = 8.2% if CD4 cell count at least 500 cells/μl; 10.4% if CD4 cell count = 350-499 cells/μl). Other suggestions differed modestly from current guidelines, including colposcopy (vs. 6-12 month return) for WLHIV with ASC-US and CD4 cell count less than 350 cells/μl (3-year risk = 16.4%) and a lengthened 2-year (vs. 1-year) interval after negative cytology with CD4 cell count at least 500 cells/μl (2-year risk = 0.98%). Current cervical cancer screening guidelines for WLHIV are largely appropriate. CD4 cell count may inform risk-tailored strategies.

Evaluation of the electromechanical properties of the cardiovascular system after prolonged weightlessness

NASA Technical Reports Server (NTRS)

Bergman, S. A., Jr.; Johnson, R. L.; Hoffler, G. W.

1977-01-01

Devices and techniques for measuring and analyzing systolic time intervals and quantitative phonocardiograms were initiated during Apollo 17. The data show that the systolic time interval from Apollo 17 crewmen remained elevated longer postflight than the response criteria of heart rate, blood pressure, and percent change in leg volume all of which had returned to preflight levels by the second day postflight. Although the systolic time interval values were only slightly outside the preflight fiducial limits, this finding suggested that: the analysis of systolic time intervals may help to identify the mechanisms of postflight orthostatic intolerance by virtue of measuring ventricular function more directly and, the noninvasive technique may prove useful in determining the extent and duration of cardiovascular instability after long duration space flight. The systolic time intervals obtained on the Apollo 17 crewmen during lower body negative pressure were similar to those noted in patients with significant heart disease.

Deep Space Environmental Effects on Immune, Oxidative Stress and Damage, and Health and Behavioral Biomarkers in Humans

NASA Astrophysics Data System (ADS)

Crucian, B.; Zwart, S.; Smith, S. M.; Simonsen, L. C.; Williams, T.; Antonsen, E.

2018-02-01

Biomarkers will be assessed in biological samples (saliva, blood, urine, feces) collected from crewmembers and returned to Earth at various intervals, mirroring (where feasible) collection timepoints used on the International Space Station (ISS).

Quick returns and night work as predictors of sleep quality, fatigue, work-family balance and satisfaction with work hours.

PubMed

Dahlgren, Anna; Tucker, Philip; Gustavsson, Petter; Rudman, Ann

2016-01-01

Quick returns (intervals of <11 h between the end of one shift and the start of the next) are associated with short sleeps and fatigue on the subsequent shift. Recent evidence suggests that shift workers regard quick returns as being more problematic than night work. The current study explored quick returns and night work in terms of their impact on sleep, unwinding, recovery, exhaustion, satisfaction with work hours and work-family interference. Data from the 2006 cohort of Swedish nursing students within the national Longitudinal Analysis of Nursing Education (LANE) study were analysed (N = 1459). Respondents completed a questionnaire prior to graduation (response rate 69.2%) and 3 years after graduation (65.9%). The analyses examined associations between frequency of quick returns and night work and measures taken in year three, while adjusting for confounding factors (in year three and prior graduation). Frequency of quick returns was a significant predictor of poor sleep quality, short sleeps, unwinding, exhaustion, satisfaction with work hours and work-to-family interference, with higher frequency predicting more negative outcomes. Quick returns did not predict recovery after rest days. Frequency of night work did not predict any of the outcomes. In conclusion, quick returns were an important determinant of sleep, recovery and wellbeing, whereas night work did not show such an association.

Factors Associated with Returning At-Home Specimen Collection Kits for HIV Testing among Internet-Using Men Who Have Sex with Men.

PubMed

Ricca, Alexandra V; Hall, Eric W; Khosropour, Christine M; Sullivan, Patrick S

2016-11-01

In the United States, men who have sex with men (MSM) are known to disproportionately have HIV. The authors sought to describe the acceptability of providing at-home dried blood spot specimen collection kits for HIV testing among MSM. Between August 2010 and December 2010, the authors recruited Internet-using, HIV-negative or -unknown MSM to participate in a 12-month study of behavioral risks. Eligible participants were mailed an at-home HIV test. Of the 896 men who were sent a test kit, 735 (82%) returned the kit. Returning a test kit was significantly associated with race (P = .002), highest level of education (P = .012), and annual income (P = .026). The adjusted odds of black, non-Hispanic men returning a test kit were about half of the odds of white, non-Hispanic men returning a test kit (adjusted odds ratios: 0.49; 95% confidence intervals: 0.31-0.78). Men who have sex with men are willing to provide biological specimens as part of an Internet-based HIV prevention study. © The Author(s) 2016.

Alternate entropy measure for assessing volatility in financial markets.

PubMed

Bose, Ranjan; Hamacher, Kay

2012-11-01

We propose two alternate information theoretical approaches to assess non-Gaussian fluctuations in the return dynamics of financial markets. Specifically, we use superinformation, which is a measure of the disorder of the entropy of time series. We argue on theoretical grounds on its usefulness and show that it can be applied effectively for analyzing returns. A study of stock market data for over five years has been carried out using this approach. We show how superinformation helps to identify and classify important signals in the time series. The financial crisis of 2008 comes out very clearly in the superinformation plots. In addition, we introduce the super mutual information. Distinct super mutual information signatures are observed that might be used to mitigate idiosyncratic risk. The universality of our approach has been tested by carrying out the analysis for the 100 stocks listed in S&P100 index. The average superinformation values for the S&P100 stocks correlates very well with the VIX.

Assessment of Air Quality in the International Space Station (ISS) and Space Shuttle Based on Samples Returned Aboard STS-110 (ISS-8A) in April 2002

NASA Technical Reports Server (NTRS)

James, John T.

2002-01-01

The toxicological assessment of grab sample canisters (GSCs) returned aboard STS-110 is reported. Analytical methods have not changed from earlier reports, and surrogate standard recoveries from the GSCs were 77-121%, with one exception. Pressure tracking indicated no leaks in the canisters. Recoveries from lab and trip controls for formaldehyde analyses ranged from 87 to 96%. The two general criteria used to assess air quality are the total-non-methane-volatile organic hydrocarbons (NMVOCs) and the total T-value (minus the CO2 and formaldehyde contributions). Because of the inertness of Freon 218 (octafluoropropane, OFP), its contribution to the NMVOC is subtracted and tabulated separately. Control of atmospheric alcohols is important to the water recovery system engineers, hence total alcohols are also shown for each sample. Because formaldehyde is quantified from sorbent badges, its concentration is listed separately. These five indices of air quality are summarized.

Just how good an investment is the biopharmaceutical sector?

PubMed

Thakor, Richard T; Anaya, Nicholas; Zhang, Yuwei; Vilanilam, Christian; Siah, Kien Wei; Wong, Chi Heem; Lo, Andrew W

2017-12-01

Uncertainty surrounding the risk and reward of investments in biopharmaceutical companies poses a challenge to those interested in funding such enterprises. Using data on publicly traded stocks, we track the performance of 1,066 biopharmaceutical companies from 1930 to 2015-the most comprehensive financial analysis of this sector to date. Our systematic exploration of methods for distinguishing biotech and pharmaceutical companies yields a dynamic, more accurate classification method. We find that the performance of the biotech sector is highly sensitive to the presence of a few outlier companies, and confirm that nearly all biotech companies are loss-making enterprises, exhibiting high stock volatility. In contrast, since 2000, pharmaceutical companies have become increasingly profitable, with risk-adjusted returns consistently outperforming the market. The performance of all biopharmaceutical companies is subject not only to factors arising from their drug pipelines (idiosyncratic risk), but also from general economic conditions (systematic risk). The risk associated with returns has profound implications both for patterns of investment and for funding innovation in biomedical R&D.

Alternate entropy measure for assessing volatility in financial markets

NASA Astrophysics Data System (ADS)

Bose, Ranjan; Hamacher, Kay

2012-11-01

We propose two alternate information theoretical approaches to assess non-Gaussian fluctuations in the return dynamics of financial markets. Specifically, we use superinformation, which is a measure of the disorder of the entropy of time series. We argue on theoretical grounds on its usefulness and show that it can be applied effectively for analyzing returns. A study of stock market data for over five years has been carried out using this approach. We show how superinformation helps to identify and classify important signals in the time series. The financial crisis of 2008 comes out very clearly in the superinformation plots. In addition, we introduce the super mutual information. Distinct super mutual information signatures are observed that might be used to mitigate idiosyncratic risk. The universality of our approach has been tested by carrying out the analysis for the 100 stocks listed in S&P100 index. The average superinformation values for the S&P100 stocks correlates very well with the VIX.

Confidence and self-attribution bias in an artificial stock market.

PubMed

Bertella, Mario A; Pires, Felipe R; Rego, Henio H A; Silva, Jonathas N; Vodenska, Irena; Stanley, H Eugene

2017-01-01

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index-both generated by our model-are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant.

A causality between fund performance and stock market

NASA Astrophysics Data System (ADS)

Kim, Ho-Yong; Kwon, Okyu; Oh, Gabjin

2016-02-01

We investigate whether the characteristic fund performance indicators (FPI), such as the fund return, the Net asset value (NAV) and the cash flow, are correlated with the asset price movement using information flows estimated by the Granger causality test. First, we find that the information flow of FPI is most sensitive to extreme events of the Korean stock market, which include negative events such as the sub-prime crisis and the impact of QE (quantitative easing) by the US subprime and Europe financial crisis as well as the positive events of the golden period of Korean Composite Stock Price Index (KOSPI), except for the fund cash flow. Second, both the fund return and the NAV exhibit significant correlations with the KOSPI, whereas the cash flow is not correlated with the stock market. This result suggests that the information resulting from the ability of the fund manager should influence stock market. Finally, during market crisis period, information flows between FPI and the Korean stock market are significantly positively correlated with the market volatility.

Impact of global financial crisis on stylized facts between energy markets and stock markets

NASA Astrophysics Data System (ADS)

Leng, Tan Kim; Cheong, Chin Wen; Hooi, Tan Siow

2014-06-01

Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.

Confidence and self-attribution bias in an artificial stock market

PubMed Central

Bertella, Mario A.; Pires, Felipe R.; Rego, Henio H. A.; Vodenska, Irena; Stanley, H. Eugene

2017-01-01

Using an agent-based model we examine the dynamics of stock price fluctuations and their rates of return in an artificial financial market composed of fundamentalist and chartist agents with and without confidence. We find that chartist agents who are confident generate higher price and rate of return volatilities than those who are not. We also find that kurtosis and skewness are lower in our simulation study of agents who are not confident. We show that the stock price and confidence index—both generated by our model—are cointegrated and that stock price affects confidence index but confidence index does not affect stock price. We next compare the results of our model with the S&P 500 index and its respective stock market confidence index using cointegration and Granger tests. As in our model, we find that stock prices drive their respective confidence indices, but that the opposite relationship, i.e., the assumption that confidence indices drive stock prices, is not significant. PMID:28231255

Assessment of Air Quality in the Shuttle and International Space Station (ISS) Based on Samples Returned by STS-102 at the Conclusion of 5A.1

NASA Technical Reports Server (NTRS)

James, John T.

2001-01-01

The toxicological assessment of air samples returned at the end of the STS-102 (5A.1) flight to the ISS is reported. ISS air samples were taken in late February 2001 from the Service Module, FGB, and U.S. Laboratory using grab sample canisters (GSCs) and/or formaldehyde badges . A "first-entry" sample of the multipurpose logistics module (MPLM) atmosphere was taken with a GSC, and preflight and end-of-mission samples were obtained from Discovery using GSCs. Analytical methods have not changed from earlier reports, and all quality control measures were met for the data presented herein. The two general criteria used to assess air quality are the total-non-methane-volatile organic hydrocarbons (NMVOCs) and the total T-value (minus the CO2 contribution). Control of atmospheric alcohols is important to the water recovery system engineers, hence total alcohols were also assessed in each sample. Formaldehyde is quantified separately.

Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations

NASA Astrophysics Data System (ADS)

Coronel-Brizio, H. F.; Hernández-Montoya, A. R.; Huerta-Quintanilla, R.; Rodríguez-Achach, M.

2007-07-01

It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, and in order to find out if the efficiency of the Mexican Stock Market has been changing over time, we have performed and compared several analyses of the variations of the Mexican Stock Market index (IPC) and Dow Jones industrial average index (DJIA) for different periods of their historical daily data. We have analyzed the returns autocorrelation function (ACF) and used detrended fluctuation analysis (DFA) to study returns variations. We also analyze the volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of these studies, that they show compelling evidence of the increment of efficiency of the Mexican Stock Market over time. The data samples analyzed here, correspond to daily values of the IPC and DJIA for the period 10/30/1978-02/28/2006.

Detection of martian amino acids by chemical derivatization coupled to gas chromatography: in situ and laboratory analysis.

PubMed

Rodier, C; Vandenabeele-Trambouze, O; Sternberg, R; Coscia, D; Coll, P; Szopa, C; Raulin, F; Vidal-Madjar, C; Cabane, M; Israel, G; Grenier-Loustalot, M F; Dobrijevic, M; Despois, D

2001-01-01

If there is, or ever was, life in our solar system beyond the Earth, Mars is the most likely place to search for. Future space missions will have then to take into account the detection of prebiotic molecules or molecules of biological significance such as amino acids. Techniques of analysis used for returned samples have to be very sensitive and avoid any chemical or biological contamination whereas in situ techniques have to be automated, fast and low energy consuming. Several possible methods could be used for in situ amino acid analyses on Mars, but gas chromatography would likely be the most suitable. Returned samples could be analyzed by any method in routine laboratory use such as gas chromatography, already successfully performed for analyses of organic matter including amino acids from martian meteorites. The derivatization step, which volatilizes amino acids to perform both in situ and laboratory analysis by gas chromatography, is discussed here. c2001 COSPAR. Published by Elsevier Science Ltd. All rights reserved.

Long-Term Geomagnetically Induced Current Observations From New Zealand: Peak Current Estimates for Extreme Geomagnetic Storms

NASA Astrophysics Data System (ADS)

Rodger, Craig J.; Mac Manus, Daniel H.; Dalzell, Michael; Thomson, Alan W. P.; Clarke, Ellen; Petersen, Tanja; Clilverd, Mark A.; Divett, Tim

2017-11-01

Geomagnetically induced current (GIC) observations made in New Zealand over 14 years show induction effects associated with a rapidly varying horizontal magnetic field (dBH/dt) during geomagnetic storms. This study analyzes the GIC observations in order to estimate the impact of extreme storms as a hazard to the power system in New Zealand. Analysis is undertaken of GIC in transformer number six in Islington, Christchurch (ISL M6), which had the highest observed currents during the 6 November 2001 storm. Using previously published values of 3,000 nT/min as a representation of an extreme storm with 100 year return period, induced currents of 455 A were estimated for Islington (with the 95% confidence interval range being 155-605 A). For 200 year return periods using 5,000 nT/min, current estimates reach 755 A (confidence interval range 155-910 A). GIC measurements from the much shorter data set collected at transformer number 4 in Halfway Bush, Dunedin, (HWB T4), found induced currents to be consistently a factor of 3 higher than at Islington, suggesting equivalent extreme storm effects of 460-1,815 A (100 year return) and 460-2,720 A (200 year return). An estimate was undertaken of likely failure levels for single-phase transformers, such as HWB T4 when it failed during the 6 November 2001 geomagnetic storm, identifying that induced currents of 100 A can put such transformer types at risk of damage. Detailed modeling of the New Zealand power system is therefore required to put this regional analysis into a global context.

Stock volatility as a risk factor for coronary heart disease death.

PubMed

Ma, Wenjuan; Chen, Honglei; Jiang, Lili; Song, Guixiang; Kan, Haidong

2011-04-01

The volatility of financial markets may cause substantial emotional and physical stress among investors. We hypothesize that this may have adverse effects on cardiovascular health. The Chinese stock markets were extremely volatile between 2006 and 2008. We, therefore, examined the relationship between daily change of the Shanghai Stock Exchange (SSE) Composite Index (referred as the Index) and coronary heart disease (CHD) deaths from 1 January 2006 to 31 December 2008 in Shanghai, the financial capital of China. Daily death and stock performance data were collected from the Shanghai Center for Disease Control and Prevention and SSE, respectively. Data were analysed with over-dispersed generalized linear Poisson models, controlling for long-term and seasonal trends of CHD mortality, day of the week, Index closing value, weather conditions, and air pollution levels. We observed a U-shaped relationship between the Index change and CHD deaths: both rising and falling of the Index were associated with more deaths and the fewest deaths coincided with little or no change of the index. We also examined the absolute daily change of the Index in relation to CHD deaths: in a 1-day lag model, each 100-point change of the Index corresponded to 5.17% (95% confidence interval: 1.71, 8.63%) increase in CHD deaths. Further analysis showed that the association was stronger for out-of-hospital CHD death than for in-hospital death. We found that CHD deaths fluctuated with daily stock changes in Shanghai, suggesting that stock volatility may adversely affect cardiovascular health.

Random cascade model in the limit of infinite integral scale as the exponential of a nonstationary 1/f noise: Application to volatility fluctuations in stock markets

NASA Astrophysics Data System (ADS)

Muzy, Jean-François; Baïle, Rachel; Bacry, Emmanuel

2013-04-01

In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a nonstationary Gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval, are very close to continuous cascade models. These latter models are indeed well known to reproduce faithfully the main stylized facts of financial time series. However, it involves a large-scale parameter (the so-called “integral scale” where the cascade is initiated) that is hard to interpret in finance. Moreover, the empirical value of the integral scale is in general deeply correlated to the overall length of the sample. This feature is precisely predicted by our model, which, as illustrated by various examples from daily stock index data, quantitatively reproduces the empirical observations.

A model of return intervals between earthquake events

NASA Astrophysics Data System (ADS)

Zhou, Yu; Chechkin, Aleksei; Sokolov, Igor M.; Kantz, Holger

2016-06-01

Application of the diffusion entropy analysis and the standard deviation analysis to the time sequence of the southern California earthquake events from 1976 to 2002 uncovered scaling behavior typical for anomalous diffusion. However, the origin of such behavior is still under debate. Some studies attribute the scaling behavior to the correlations in the return intervals, or waiting times, between aftershocks or mainshocks. To elucidate a nature of the scaling, we applied specific reshulffling techniques to eliminate correlations between different types of events and then examined how it affects the scaling behavior. We demonstrate that the origin of the scaling behavior observed is the interplay between mainshock waiting time distribution and the structure of clusters of aftershocks, but not correlations in waiting times between the mainshocks and aftershocks themselves. Our findings are corroborated by numerical simulations of a simple model showing a very similar behavior. The mainshocks are modeled by a renewal process with a power-law waiting time distribution between events, and aftershocks follow a nonhomogeneous Poisson process with the rate governed by Omori's law.

Uncertainty of exploitation estimates made from tag returns

USGS Publications Warehouse

Miranda, L.E.; Brock, R.E.; Dorr, B.S.

2002-01-01

Over 6,000 crappies Pomoxis spp. were tagged in five water bodies to estimate exploitation rates by anglers. Exploitation rates were computed as the percentage of tags returned after adjustment for three sources of uncertainty: postrelease mortality due to the tagging process, tag loss, and the reporting rate of tagged fish. Confidence intervals around exploitation rates were estimated by resampling from the probability distributions of tagging mortality, tag loss, and reporting rate. Estimates of exploitation rates ranged from 17% to 54% among the five study systems. Uncertainty around estimates of tagging mortality, tag loss, and reporting resulted in 90% confidence intervals around the median exploitation rate as narrow as 15 percentage points and as broad as 46 percentage points. The greatest source of estimation error was uncertainty about tag reporting. Because the large investments required by tagging and reward operations produce imprecise estimates of the exploitation rate, it may be worth considering other approaches to estimating it or simply circumventing the exploitation question altogether.

Visitor and community survey results for Prime Hook National Wildlife Refuge: Completion report

USGS Publications Warehouse

Sexton, Natalie R.; Stewart, Susan C.; Koontz, Lynne; Ponds, Phadrea; Walters, Katherine D.

2007-01-01

Community residents’ perceptions and opinions Data for this study were collected using a survey administered to visitors to Prime Hook NWR and individuals living in the communities surrounding the Refuge. Surveys were randomly distributed to both consumptive and nonconsumptive use visitors over a one year period (September 2004 to September 2005) to account for seasonal variation in Refuge use. Three hundred thirty-two visitor surveys were returned for a response rate of 80 percent with a confidence interval of ± 5.4. Surveys were also distributed to a stratified random sample of community members in adjacent and surrounding areas (Slaughter Beach, Broadkill Beach, Prime Hook Beach, Milton, Lewes, Milford, and surrounding communities). Four hundred ninety-one surveys from the overall community sample were returned for a response rate of 39 percent with a ± 4.4 confidence interval. Community member results were weighted by U.S. Census Bureau data to correct for age and gender bias, and for community proportionality.

The Proposed Mars Astrobiology Explorer - Cacher [MAX-C] Rover: First Step in a Potential Sample Return Campaign

NASA Technical Reports Server (NTRS)

Allen, Carlton C.; Beaty, David W.

2010-01-01

Sample return from Mars has been advocated by numerous scientific advisory panels for over 30 years, most prominently beginning with the National Research Council s [1] strategy for the exploration of the inner solar system, and most recently by the Mars Exploration Program Analysis Group (MEPAG s) Next Decade Science Analysis Group [2]. Analysis of samples here on Earth would have enormous advantages over in situ analyses in producing the data quality needed to address many of the complex scientific questions the community has posed about Mars. Instead of a small, predetermined set of analytical techniques, state of the art preparative and instrumental resources of the entire scientific community could be applied to the samples. The analytical emphasis could shift as the meaning of each result becomes better appreciated. These arguments apply both to igneous rocks and to layered sedimentary materials, either of which could contain water and other volatile constituents. In 2009 MEPAG formed the Mid-Range Rover Science Analysis Group (MRR-SAG) to formulate a mission concept that would address two general objectives: (1) conduct high-priority in situ science and (2) make concrete steps towards the potential return of samples to Earth. This analysis resulted in a mission concept named the Mars Astrobiology Explorer-Cacher (MAX-C), which was envisioned for launch in the 2018 opportunity. After extensive discussion, this group concluded that by far the most definitive contribution to sample return by this mission would be to collect and cache, in an accessible location, a suite of compelling samples that could potentially be recovered and returned by a subsequent mission. This would have the effect of separating two of the essential functions of MSR, the acquisition of the sample collection and its delivery to martian orbit, into two missions.

Understanding the milk-to-feed price ratio as a proxy for dairy farm profitability.

PubMed

Wolf, C A

2010-10-01

This research examines the definition, historical pattern, and utility of the milk-to-feed price ratio (MF) as a measure of dairy farm profitability. The MF was generally an acceptable proxy of profitability in an annual sense from 1985 to 2006. The MF was steady at an average of 2.8 from 1985 to 2006 even as average annual milk price in nominal terms increased from $12 to $14/hundredweight. An alternative proxy for profitability is income over feed costs, which is measured in dollars per hundredweight. Comparison with an actual profit measure, rate of return on assets, is used to examine the appropriateness of the proxies. The volatility from 2007 to 2009 resulted in MF being a poor measure of profitability over that period. The implication is that MF is not the preferred measure of profitability when a significant change in the pattern of one or both price series occurs. Income over feed cost is a better measure of profitability in periods of volatility. Copyright © 2010 American Dairy Science Association. Published by Elsevier Inc. All rights reserved.

Not all that glitters is RMT in the forecasting of risk of portfolios in the Brazilian stock market

NASA Astrophysics Data System (ADS)

Sandoval, Leonidas; Bortoluzzo, Adriana Bruscato; Venezuela, Maria Kelly

2014-09-01

Using stocks of the Brazilian stock exchange (BM&F-Bovespa), we build portfolios of stocks based on Markowitz's theory and test the predicted and realized risks. This is done using the correlation matrices between stocks, and also using Random Matrix Theory in order to clean such correlation matrices from noise. We also calculate correlation matrices using a regression model in order to remove the effect of common market movements and their cleaned versions using Random Matrix Theory. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2012. The results show that the use of regression to subtract the market effect on returns greatly increases the accuracy of the prediction of risk, and that, although the cleaning of the correlation matrix often leads to portfolios that better predict risks, in periods of high volatility of the market this procedure may fail to do so. The results may be used in the assessment of the true risks when one builds a portfolio of stocks during periods of crisis.

Asteroid resources

NASA Technical Reports Server (NTRS)

Lewis, John S.

1992-01-01

There are three types of possible asteroidal materials that appear to be attractive for exploitation: (1) volatiles, (2) free metals, and (3) bulk dirt. Because some of the near-Earth asteroids are energetically more accessible than the Moon (require a round-trip total change in velocity less than 9 km/sec, though the trip time would be measured in years not days), such an asteroid might be chosen as the source of any useful material, even if that material was also available on the Moon. Provided that the asteroid was minable, it might therefore be chosen as the source of bulk dirt needed for shielding in low Earth orbit (LEO) or elsewhere in near-Earth space. And the near-Earth asteroids may offer materials that are rare or absent on the surface of the Moon. The relationship between asteroids and meteorites is discussed. A brief overview of the entire range of meteorite compositions, with emphasis on the occurrence of interesting resources is presented. Focus is on materials useful in space, especially volatiles, metals, and raw dirt. Those few materials that may have sufficiently high market value to be worth returning to Earth will be mentioned.

Separation of components from a scale mixture of Gaussian white noises

NASA Astrophysics Data System (ADS)

Vamoş, Călin; Crăciun, Maria

2010-05-01

The time evolution of a physical quantity associated with a thermodynamic system whose equilibrium fluctuations are modulated in amplitude by a slowly varying phenomenon can be modeled as the product of a Gaussian white noise {Zt} and a stochastic process with strictly positive values {Vt} referred to as volatility. The probability density function (pdf) of the process Xt=VtZt is a scale mixture of Gaussian white noises expressed as a time average of Gaussian distributions weighted by the pdf of the volatility. The separation of the two components of {Xt} can be achieved by imposing the condition that the absolute values of the estimated white noise be uncorrelated. We apply this method to the time series of the returns of the daily S&P500 index, which has also been analyzed by means of the superstatistics method that imposes the condition that the estimated white noise be Gaussian. The advantage of our method is that this financial time series is processed without partitioning or removal of the extreme events and the estimated white noise becomes almost Gaussian only as result of the uncorrelation condition.

A risk explicit interval linear programming model for uncertainty-based environmental economic optimization in the Lake Fuxian watershed, China.

PubMed

Zhang, Xiaoling; Huang, Kai; Zou, Rui; Liu, Yong; Yu, Yajuan

2013-01-01

The conflict of water environment protection and economic development has brought severe water pollution and restricted the sustainable development in the watershed. A risk explicit interval linear programming (REILP) method was used to solve integrated watershed environmental-economic optimization problem. Interval linear programming (ILP) and REILP models for uncertainty-based environmental economic optimization at the watershed scale were developed for the management of Lake Fuxian watershed, China. Scenario analysis was introduced into model solution process to ensure the practicality and operability of optimization schemes. Decision makers' preferences for risk levels can be expressed through inputting different discrete aspiration level values into the REILP model in three periods under two scenarios. Through balancing the optimal system returns and corresponding system risks, decision makers can develop an efficient industrial restructuring scheme based directly on the window of "low risk and high return efficiency" in the trade-off curve. The representative schemes at the turning points of two scenarios were interpreted and compared to identify a preferable planning alternative, which has the relatively low risks and nearly maximum benefits. This study provides new insights and proposes a tool, which was REILP, for decision makers to develop an effectively environmental economic optimization scheme in integrated watershed management.

A Risk Explicit Interval Linear Programming Model for Uncertainty-Based Environmental Economic Optimization in the Lake Fuxian Watershed, China

PubMed Central

Zou, Rui; Liu, Yong; Yu, Yajuan

2013-01-01

The conflict of water environment protection and economic development has brought severe water pollution and restricted the sustainable development in the watershed. A risk explicit interval linear programming (REILP) method was used to solve integrated watershed environmental-economic optimization problem. Interval linear programming (ILP) and REILP models for uncertainty-based environmental economic optimization at the watershed scale were developed for the management of Lake Fuxian watershed, China. Scenario analysis was introduced into model solution process to ensure the practicality and operability of optimization schemes. Decision makers' preferences for risk levels can be expressed through inputting different discrete aspiration level values into the REILP model in three periods under two scenarios. Through balancing the optimal system returns and corresponding system risks, decision makers can develop an efficient industrial restructuring scheme based directly on the window of “low risk and high return efficiency” in the trade-off curve. The representative schemes at the turning points of two scenarios were interpreted and compared to identify a preferable planning alternative, which has the relatively low risks and nearly maximum benefits. This study provides new insights and proposes a tool, which was REILP, for decision makers to develop an effectively environmental economic optimization scheme in integrated watershed management. PMID:24191144

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

NASA Astrophysics Data System (ADS)

Yuen, Ainslie; Ivanov, Plamen Ch.

2005-08-01

The NYSE and NASDAQ stock markets have very different structures and there is continuing controversy over whether differences in stock price behaviour are due to market structure or company characteristics. As the influence of market structure on stock prices may be obscured by exogenous factors such as demand and supply, we hypothesize that modulation of the flow of transactions due to market operations may carry a stronger imprint of the internal market mechanism. We analyse times between consecutive transactions (ITT) for NYSE and NASDAQ stocks, and we relate the dynamical properties of the ITT with those of the corresponding price fluctuations. We find a robust scale-invariant temporal organisation in the ITT of stocks which is independent of individual company characteristics and industry sector, but which depends on market structure. We find that stocks registered on the NASDAQ exhibit stronger correlations in their transaction timing within a trading day, compared with NYSE stocks. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing within a trading day, after the move, suggesting influences of market structure. Surprisingly, we also observe that stronger power-law correlations in the ITT are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of ITT and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ, we demonstrate that the higher correlations we find in ITT for NASDAQ stocks are matched by higher correlations in absolute price returns and by higher volatility, suggesting that market structure may affect price behaviour through information contained in transaction timing.

The prevalence of quality issues and adverse outcomes among 72-hour return admissions in the emergency department.

PubMed

Abualenain, Jameel; Frohna, William J; Smith, Mark; Pipkin, Michael; Webb, Cynthia; Milzman, David; Pines, Jesse M

2013-08-01

Records of patients discharged from the Emergency Department (ED) who return within 72 h and are admitted are often reviewed for potential quality issues. We explored 72-h return admissions and determined the prevalence and predictors for substandard management on the initial visit or any adverse outcome. Retrospective review of quality assurance data from 72-h return admissions in three hospitals from 2006-2010 was performed. Any substandard quality on the first visit or change in outcome on the return admission was considered "low quality." Multivariate logistic regression was used to assess the relationship between cases judged as low quality vs. not low quality. Of 741,132 ED visits across 5 years, 3682 (0.5%) were 72-h return admissions. Of those, 192 (5%) were low quality. In 158 (4%) and 8 (0.2%) there were moderate and severe deviations from care standards, respectively. Similarly, in 53 (1%) and 14 (0.4%) there were moderate and severe changes in outcome. In adjusted analysis, there were higher rates of low-quality 72-h return admissions in ambulance arrivals (odds ratio [OR] 1.5, 95% confidence interval (CI) 1.1-2.1); and lower rates in Medicaid patients (OR 0.3, 95% CI 0.2-0.7). There were higher rates in low-quality 72-h return admissions in hospital 1 (OR 3.6, 95% CI 2.2-6.1) and hospital 3 (OR 3.2, 95% CI 2.0-4.7) compared to hospital 2. Poor care on the initial visit or any poor outcome upon returning in 72-h return admissions is relatively rare in the ED. Reporting 72-h return admissions without chart review may not be a good way to measure clinical quality. Copyright © 2013 Elsevier Inc. All rights reserved.

Emergency cardiopulmonary bypass for cardiac arrest refractory to pediatric advanced life support.

PubMed

Cochran, J B; Tecklenburg, F W; Lau, Y R; Habib, D M

1999-02-01

We report the application of emergent cardiopulmonary bypass (CPB) for three pediatric patients in the cardiac catheterization laboratory with cardiac arrest who did not respond to conventional resuscitation efforts. All three patients had return of baseline prearrest rhythms within minutes of the initiation of artificial cardiopulmonary support and the return of spontaneous circulation upon weaning CPB. Two patients had normal neurologic outcomes despite an interval of over 30 minutes from arrest to CPB. The continued judicious application and study of this technology in a small subpopulation of pediatric cardiac arrest patients is warranted.

Isotope measurements of a comet by the Ptolemy instrument on Rosetta

NASA Astrophysics Data System (ADS)

Franchi, Ian; Morse, Andrew; Andrews, Dan; Sheridan, Simon; Barber, Simeon; Leese, Mark; Morgan, Geraint; Wright, Ian; Pillinger, Colin

Remote observations of comets (spacecraft fly-bys and telescopes) reveal a vast reservoir of volatile organic species, along with the water ice, other volatiles and silicate dust fractions that make up these very primitive bodies. Understanding the nature of cometary materials, in order to unravel their origin and history, is particularly challenging. Remote observation is only possible for the coma, the constituents of which are likely fractionated and modified compared to the primordial material within the comet. A number of opportunities exist for very detailed study of cometary material with ground-based laboratory instrumentation. How-ever, dissipation of energy during capture (e.g. NASA Stardust samples) or atmospheric entry (stratospheric interplanetary dust particles) has the potential to extensively modify, or even obliterate, detailed information about the nature and origin of the more volatile, biologically important organic species present. Collecting and returning pristine material from the surface of a comet remains very challenging and therefore direct study of the volatile portions can only readily be performed on the comet itself by remote instruments. The ESA Rosetta mission, that will make long-term measurements of a comet as it approaches the sun from 3.5 AU to 1.4 AU over a period of at least six months, includes the Philae lander as well as the orbiter spacecraft. Ptolemy, on board Philae, is a GC-MS instrument designed for the analysis of cometary volatiles, organic materials and silicates. The objectives of Ptolemy are to provide a complete description of the nature and distribution of light elements (H, C, N and O) present in the nucleus of the comet, as well as determining their stable isotopic compositions. Ptolemy also aims to provide ground-truth measurements of those volatiles that are subsequently detected further out from the nucleus in the coma. Samples from the surface and sub-surface, collected by the lander drilling system (SD2), are heated in an oven and can be injected into one of three gas chromatography columns (GC) for analysis by the mass spectrometer. Accurate isotopic analysis is achieved by chemical processing before and/or after the GC columns and by direct comparison with reference materials of known isotopic composition. Recent operations of the Ptolemy mass spectrometer during recent spacecraft checkouts have shown that the Ptolemy instrument is operational and should be capable of meeting its science aims.

Genomics and metabolomics of post-weaning return to estrus

USDA-ARS?s Scientific Manuscript database

The weaning-to-estrus interval is a multifaceted trait that has the potential to substantially improve production efficiency in today's global swine industry, if variation in this measure can be reduced. Systems-biology approaches should help close the knowledge gap and increase selection tools and ...

Social Support From the Athletic Trainer and Symptoms of Depression and Anxiety at Return to Play

PubMed Central

Yang, Jingzhen; Schaefer, Julie T.; Zhang, Ni; Covassin, Tracey; Ding, Kele; Heiden, Erin

2014-01-01

Context: Few empirical studies have examined social support from athletic trainers (ATs) and its buffering effect during injury recovery. Objective: To examine the effect of social support received from ATs during injury recovery on reported symptoms of depression and anxiety at return to play among a cohort of collegiate athletes. Design: Cohort study. Setting: Two Big 10 Conference universities. Patients or Other Participants: A total of 594 injuries sustained by 387 collegiate athletes (397 injuries by 256 males, 197 injuries by 131 females) on 9 sports teams. Main Outcome Measure(s): Data were collected during the 2007–2011 seasons. Social support was measured using the 6-item Social Support Questionnaire. Symptoms of depression were assessed using the Center for Epidemiological Studies Depression Scale. Anxiety was measured by the State-Trait Anxiety Inventory. We used generalized estimation equation regression models to examine the effect of the social support from ATs on the odds of symptoms of depression and anxiety at return to play. Results: In 84.3% (n = 501) of injury events, injured athletes received social support from ATs during their recovery. Of these, 264 (53.1%) athletes reported being very satisfied with this social support. Whether or not athletes received social support from ATs during recovery did not affect the symptoms of depression or anxiety experienced at return to play. However, compared with athletes who were dissatisfied with the social support received from ATs, athletes who were very satisfied or satisfied with this social support were 87% (95% confidence interval = 0.06, 0.30) and 70% (95% confidence interval = 0.13, 0.70) less likely to report symptoms of depression at return to play, respectively. Similar results were observed for anxiety. Conclusions: Our findings support the buffering effect of social support from ATs and have important implications for successful recovery in both the physical and psychological aspects for injured athletes. PMID:25329346

Social support from the athletic trainer and symptoms of depression and anxiety at return to play.

PubMed

Yang, Jingzhen; Schaefer, Julie T; Zhang, Ni; Covassin, Tracey; Ding, Kele; Heiden, Erin

2014-01-01

Few empirical studies have examined social support from athletic trainers (ATs) and its buffering effect during injury recovery. To examine the effect of social support received from ATs during injury recovery on reported symptoms of depression and anxiety at return to play among a cohort of collegiate athletes. Cohort study. Two Big 10 Conference universities. A total of 594 injuries sustained by 387 collegiate athletes (397 injuries by 256 males, 197 injuries by 131 females) on 9 sports teams. Data were collected during the 2007-2011 seasons. Social support was measured using the 6-item Social Support Questionnaire. Symptoms of depression were assessed using the Center for Epidemiological Studies Depression Scale. Anxiety was measured by the State-Trait Anxiety Inventory. We used generalized estimation equation regression models to examine the effect of the social support from ATs on the odds of symptoms of depression and anxiety at return to play. In 84.3% (n = 501) of injury events, injured athletes received social support from ATs during their recovery. Of these, 264 (53.1%) athletes reported being very satisfied with this social support. Whether or not athletes received social support from ATs during recovery did not affect the symptoms of depression or anxiety experienced at return to play. However, compared with athletes who were dissatisfied with the social support received from ATs, athletes who were very satisfied or satisfied with this social support were 87% (95% confidence interval = 0.06, 0.30) and 70% (95% confidence interval = 0.13, 0.70) less likely to report symptoms of depression at return to play, respectively. Similar results were observed for anxiety. Our findings support the buffering effect of social support from ATs and have important implications for successful recovery in both the physical and psychological aspects for injured athletes.

Return to work after renal transplantation: a study of the Brazilian Public Social Security System.

PubMed

Messias, Alexandre Augusto; Reichelt, Angela J; Dos Santos, Edson F; Albuquerque, Galton C; Kramer, José S P; Hirakata, Vania N; Garcia, Valter D

2014-12-15

Return to work is an objective parameter used worldwide to evaluate the success of organ transplantation and is especially feasible after renal transplantation. This study sought to describe the frequency of return to work after renal transplantation and related characteristics. Retrospective cohort of 511 isolated kidney transplant recipients was recruited from a Brazilian referral center from January 2005 to December 2009; all were matched to the public social security database to determine inclusion and benefit awards, as well as the rate of resumption of contributions to the public social security system, a surrogate marker of work rehabilitation. Characteristics associated with work return were analyzed. No social security records were found for 28 subjects. The remaining 483 subjects had a mean age of 45±13 years; 62% were male; 401 (83%) received some public social security benefit; 298 were paying dues and could, therefore, receive temporary or permanent disability benefits. Of these, 78 subjects made social security payments after transplantation, resulting in a work return rate of 26% (95% confidence interval, 21-32). Younger age, living donor graft, and chronic glomerulonephritis were significantly associated with return to work. In Brazil, most renal transplant recipients are on social security benefits, but only a small proportion return to work after surgery. Clinical characteristics may help define work resumption trends.

Impact of After Visit Summaries on Patient Return Rates at an Acupuncture and Oriental Medicine Clinic

PubMed Central

Carter, Sarah Uma; Watanabe, Mika

2014-01-01

Abstract Objective: To determine whether an after visit summary (AVS) provided to patients at the conclusion of their first acupuncture treatments affects the number of times patients return for follow-up treatments, a retrospective cohort study was performed. Materials and Methods: Two random samples of 100 new patient records (N=200) at the Oregon College of Oriental Medicine's (OCOM) outpatient clinics in Portland, OR, were reviewed over a 3-month period before and after the implementation of using the AVS. Patients who had been seen previously at any of the college clinics were excluded. The number of return visits recorded in the MediSoft™ database was hand counted for each patient. Results: The use of an AVS did not significantly change the mean number of return visits for acupuncture (2-sided p-value=0.91), but there was a trend toward more frequent returns by patients who received AVS, compared to those who did not (2-sided p-value=0.0827, relative risk [RR]: 1.51, confidence interval [CI] 0.95–2.41). Conclusions: These data support the concept that the AVS has a positive influence on patient return rates. In this study, patients who received an AVS were 51% more likely to return for 5 visits than patients who did not receive an AVS. PMID:25184014

Role of fluid in the mechanism of formation of volcaniclastic and coherent kimberlite facies: a diamond perspective

NASA Astrophysics Data System (ADS)

Fedortchouk, Yana; Chinn, Ingrid

2016-04-01

Dissolution features on diamonds recovered from kimberlites vary depending on the dissolution conditions and can be used as a reliable proxy for volatiles and their role in kimberlite emplacement. Volatiles determine the mechanism of magma emplacement; variation in volatile content and CO2/CO2+H2O ratio may affect the geology of kimberlite bodies and formation of coherent vs. volcaniclastic kimberlite facies. Here we examine the evolution of a kimberlite system during ascent using the resorption morphology of its diamond population. We use 655 macro-diamonds from a complex kimberlite pipe in the Orapa kimberlite field (Botswana) to examine the role of volatiles in the formation of the three facies comprising this pipe: two coherent kimberlite facies (CKA and CKB) and one massive volcaniclastic facies (MVK). The diamonds come from three drillholes through each of the studied kimberlite facies. Separate diamond samples derived from 2 - 13 m intervals were combined into 40 m depth intervals for statistical purposes. Four independent morphological methods allowed us to reliably discriminate products of resorption in kimberlite magma from resorption in the mantle, and use the former in our study. We found that the proportion of diamonds with kimberlitic resorption is the lowest in CKA - 22%, medium in MVK - 50%, and highest in CKB - 73%, and it increases with depth in each of the drillholes. Each kimberlite facies shows its own style of kimberlite-induced resorption on rounded tetrahexahedron (THH) diamonds: glossy surfaces in MVK, rough corroded surfaces in CKB, and combination of glossy surfaces with chains of circular pits in CKA, where these pits represent the initial stages of development of corrosive features observed on CKB diamonds. Based on the results of our previous experimental studies we propose that resorption of MVK diamonds is a product of interaction with COH fluid, resorption of CKB diamonds is a product of interaction with a volatile-undersaturated melt (possibly carbonatitic), and CKA diamonds show an overprint of melt-controlled resorption over a fluid-controlled resorption. We propose an early separation of the fluid phase during the ascent of this kimberlite magma, segregation of this fluid and rise towards the top of the magma column. Over-pressurisation caused by the expansion of this fluid worked as a driving force for the magma ascent acceleration. The magma column has separated into two parts: (1) the bubble-rich magma towards the top, explosive emplacement of which formed the MVK facies, followed by the "tailing" bubble-poor magma quietly arriving to form the CKA facies, and (2) magma that lost volatiles to the upwardly escaping bubbles, in which a slower ascent caused more intensive diamond resorption and delayed emplacement, forming the CKB facie. It is possible that formation, buoyancy, and growth of fluid bubbles controls the ascent of the kimberlite magma, where emplacement of bubble-rich magma forms volcaniclastic kimberlite facies, while fast rise of the bubbles through the magma column separates the fluid-rich phase that moves up preparing the conduit in the surrounding rocks and forms an explosive pipe at the surface, from a volatile-depleted magma, which slowly rises and fills the pipe with CK kimberlite facies.

Optimal investment horizons

NASA Astrophysics Data System (ADS)

Simonsen, I.; Jensen, M. H.; Johansen, A.

2002-06-01

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, i.e., the profit generated by that asset after some fixed time span Δt, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established that the distribution of returns exhibits ``fat tails'' indicating that large returns occur more frequently than what is expected from standard Gaussian stochastic processes [1-3]. Instead of estimating this ``fat tail'' distribution of returns, we propose here an alternative approach, which is outlined by addressing the following question: What is the smallest time interval needed for an asset to cross a fixed return level of say 10%? For a particular asset, we refer to this time as the investment horizon and the corresponding distribution as the investment horizon distribution. This latter distribution complements that of returns and provides new and possibly crucial information for portfolio design and risk-management, as well as for pricing of more exotic options. By considering historical financial data, exemplified by the Dow Jones Industrial Average, we obtain a novel set of probability distributions for the investment horizons which can be used to estimate the optimal investment horizon for a stock or a future contract.

Correlation and Return Interval Analysis of Tree Rings Based Temperature and Precipitation Reconstructions

NASA Astrophysics Data System (ADS)

Bunde, A.; Ludescher, J.; Luterbacher, J.; von Storch, H.

2012-04-01

We analyze tree rings based summer temperature and precipitation reconstructions from Central Europe covering the past 2500y [1], by (i) autocorrelation functions, (ii) detrended fluctuation analysis (DFA2) and (iii) the Haar wavelet technique (WT2). We also study (iv) the PDFs of the return intervals for return periods of 5y, 10y, 20y, and 40y. All results provide evidence that the data cannot be described by an AR1 process, but are long-term correlated with a Hurst exponent H close to 1 for summer temperature data and around 0.9 for summer precipitation. These results, however, are not in agreement with neither observational data of the past two centuries nor millennium simulations with contemporary climate models, which both suggest H close to 0.65 for the temperature data and H close to 0.5 for the precipitation data. In particular the strong contrast in precipitation (highly correlated for the reconstructed data, white noise for the observational and model data) rises concerns on tree rings based climate reconstructions, which will have to be taken into account in future investigations. [1] Büntgen, U., Tegel, W., Nicolussi, K., McCormick, M., Frank, D., Trouet, V., Kaplan, J.O., Herzig, F., Heussner, K.-U., Wanner, H., Luterbacher, J., and Esper, J., 2011: 2500 Years of European Climate Variability and Human Susceptibility. SCIENCE, 331, 578-582.

Hidden in the Neutrons: Physical Evidence for Lunar True Polar Wander

NASA Astrophysics Data System (ADS)

Keane, J. T.; Siegler, M. A.; Miller, R. S.; Laneuville, M.; Paige, D. A.; Matsuyama, I.; Lawrence, D. J.; Crotts, A.; Poston, M.

2015-12-01

Airless bodies like the Moon are time capsules of planetary and solar system evolution. Lunar polar ices, in particular, record a history of volatile delivery, orbital dynamics, and solar system chemistry. However, despite two decades of orbital geochemistry measurements, the observed abundances and spatial distribution of lunar polar volatiles (likely water ice, as inferred by epithermal neutron deficits) remain unexplained. The observed deposits do not correlate with measured surface temperatures or thermal models of ice stability and are notably asymmetric about the lunar poles, with the peak abundance offset from the present-day pole by 5°. Here we show, for the first time, that polar volatile deposits at the North and South pole are antipodal, displaced equally from each each pole along opposite longitudes. These off-polar volatiles likely represent fossilized cold-traps, formed when the moon had a different spin pole. Reorientation of the Moon from this paleopole to the present pole (i.e. true polar wander) altered the locations of cold-traps and resulted in the asymmetric, but antipodal, polar hydrogen distribution. Since true polar wander results from changes in the distribution of mass within a planet, the direction and magnitude of this wander can be used to constrain the evolution of the lunar interior. We find a causal link between this paleopole and the unique thermal evolution of the nearside Procellarum KREEP Terrane (PKT). Radiogenic heating within this province not only resulted major mare volcanism, but also altered the Moon's moments of inertia. We use a combination of analytical, and numerical 3-D thermochemical convection models to show that the evolution of the PKT naturally produces the correct direction and magnitude of polar wander (albeit early in lunar history, when the PKT was most active). This work provides a self-consistent explanation for the spatial distribution of lunar polar volatiles and opens a deeper connection to the evolution of the lunar interior. Our hypothesis will be readily testable with forthcoming lunar missions, including high-resolution orbital geochemistry instruments, in-situ and returned sample analysis, and geophysical networks.

Thermodynamic Parameterization of Subduction-Zone Devolatilization and Application to Quantify Carbon Fluxes from Slab

NASA Astrophysics Data System (ADS)

Tian, M.; Katz, R. F.; Rees Jones, D. W.; May, D.

2017-12-01

Compared with other plate-tectonic boundaries, subduction zones (SZ) host the most drastic mechanical, thermal, and chemical changes. The transport of carbon through this complex environment is crucial to mantle carbon budget but remains the subject of active debate. Synthesis of field studies suggests that carbon subducted with the incoming slab is almost completely returned to the surface environment [Kelemen and Manning, 2015], whereas thermodynamic modelling indicates that a significant portion of carbon is retained in the slab and descends into the deep mantle [Gorman et al., 2006]. To address this controversy and quantify the carbon fluxes within SZs, it is necessary to treat the chemistry of fluid/volatile-rock interaction and the mechanics of porous fluid/volatile migration in a consistent modelling framework. This requirement is met by coupling a thermodynamic parameterization of de/re-volatilization with a two-phase flow model of subduction zones. The two-phase system is assumed to comprise three chemical components: rock containing only non-volatile oxides, H2O and CO2; the fluid phase includes only the latter two. Perple_X is used to map out the binary subsystems rock+H2O and rock+CO2; the results are parameterised in terms of volatile partition coefficients as a function of pressure and temperature. In synthesising the binary subsystems to describe phase equilibria that incorporate all three components, a Margules coefficient is introduced to account for non-ideal mixing of CO2/H2O in the fluid, such that the partition coefficients depend further on bulk composition. This procedure is applied to representative compositions of sediment, MORB, and gabbro for the slab, and peridotite for the mantle. The derived parameterization of each rock type serves as a lightweight thermodynamic module interfaceable with two-phase flow models of SZs. We demonstrate the application of this thermodynamic module through a simple model of carbon flux with a prescribed flow direction through (and out of) the slab. This model allows us to evaluate the effects of flow path and lithology on carbon storage within the slab.

In the United States, a Mother's Plans for Infant Feeding Are Associated with Her Plans for Employment.

PubMed

Mirkovic, Kelsey R; Perrine, Cria G; Scanlon, Kelley S; Grummer-Strawn, Laurence M

2014-08-01

The American Academy of Pediatrics recommends 6 months of exclusive breastfeeding, however, only 16% of US infants meet this recommendation. Shorter exclusive/predominant breastfeeding durations have been observed from women who return to work early and/or full-time. We assessed the relationship between prenatal plans for maternity leave duration and return to full-time/part-time status and plans for exclusive breastfeeding. This study included 2348 prenatally employed women from the Infant Feeding Practices Study II (2005-2007) who planned to return to work in the first year postpartum. Bivariate analysis and logistic regression were used to describe the association of maternity leave duration and return status with plans for infant feeding. Overall, 59.5% of mothers planned to exclusively breastfeed in the first few weeks. Mothers planning to return to work within 6 weeks had 0.60 times the odds (95% confidence interval [CI], 0.46-0.77) and mothers planning to return between 7 and 12 weeks had 0.72 times the odds (95% CI, 0.56-0.92) of planning to exclusively breastfeed compared with mothers who were planning to return after 12 weeks. Prenatal plans to return full-time (≥ 30 hours/week vs part-time) were also associated with lower odds of planning to exclusively breastfeed (adjusted odds ratio = 0.61; 95% CI, 0.51-0.77). Mothers planning to return to work before 12 weeks and/or full-time were less likely to plan to exclusively breastfeed. Longer maternity leave and/or part-time return schedules may increase the proportion of mothers who plan to exclusively breastfeed. © International Lactation Consultant Association 2014.

Emergency department recidivism in adults older than 65 years treated for fractures.

PubMed

Southerland, Lauren T; Richardson, Daniel S; Caterino, Jeffrey M; Essenmacher, Alex C; Swor, Robert A

2014-09-01

Fractures in older adults are a commonly diagnosed injury in the emergency department (ED). We performed a retrospective medical record review to determine the rate of return to the same ED within 72 hours (returns) and the risk factors associated with returning. A retrospective medical record review of patients at least 65 years old discharged from a large, academic ED with a new diagnosis of upper extremity, lower extremity, or rib fractures was performed. Risk factors analyzed included demographic data, type of fracture, analgesic prescriptions, assistive devices provided, other concurrent injuries, and comorbidities (Charlson Comorbidity Index). Our primary outcome was return to the ED within 72 hours. Three hundred fifteen patients qualified. Most fractures were in the upper extremity (64% [95% confidence interval {CI}, 58%-69%]). Twenty patients (6.3% [95% CI, 3.9%-9.6%]) returned within 72 hours. Most returns (15/20, 75%) were for reasons associated with the fracture itself, such as cast problems and inadequate pain control. Only 3 (<1% of all patients) patients returned for cardiac etiologies. Patients with distal forearm fractures had higher return rates (10.7% vs 4.5%, P = .03), and most commonly returned for cast or splint problems. Age, sex, other injuries, assistive devices, and Charlson Comorbidity Index score (median, 1 [interquartile range, 1-2] for both groups) did not predict 72-hour returns. Older adults with distal forearm fractures may have more unscheduled health care usage in the first 3 days after fracture diagnosis than older adults with other fracture types. Overall, revisits for cardiac reasons or repeat falls were rare (<1%). Copyright © 2014 Elsevier Inc. All rights reserved.

Localized motion in random matrix decomposition of complex financial systems

NASA Astrophysics Data System (ADS)

Jiang, Xiong-Fei; Zheng, Bo; Ren, Fei; Qiu, Tian

2017-04-01

With the random matrix theory, we decompose the multi-dimensional time series of complex financial systems into a set of orthogonal eigenmode functions, which are classified into the market mode, sector mode, and random mode. In particular, the localized motion generated by the business sectors, plays an important role in financial systems. Both the business sectors and their impact on the stock market are identified from the localized motion. We clarify that the localized motion induces different characteristics of the time correlations for the stock-market index and individual stocks. With a variation of a two-factor model, we reproduce the return-volatility correlations of the eigenmodes.

Has microblogging changed stock market behavior? Evidence from China

NASA Astrophysics Data System (ADS)

Jin, Xi; Shen, Dehua; Zhang, Wei

2016-06-01

This paper examines the stock market behavior for a long-lived subset of firms in Shanghai and Shenzhen CSI 300 Index (CSI 300 Index) both before and after the establishment of firms' Microblogging in Sina Weibo. The empirical results show a significant increase in the relative trading volume as well as the decreases in the daily expected stock return and firm-level volatility in the post-Sina Weibo period. These findings suggest that Sina Weibo as an alternative information interaction channel has changed the information environment for individual stock, enhanced the speed of information diffusion and therefore changed the overall stock market behavior.