Volume, volatility, and leverage: A dynamic analysis

This paper uses dynamic impulse response analysis to investigate the interrelationships among stock price volatility, trading volume, and the leverage effect. Dynamic impulse response analysis is a technique for analyzing the multi-step-ahead characteristics of a nonparametric estimate of the one-step conditional density of a strictly stationary process. The technique is the generalization to a nonlinear process of Sims-style impulse response analysis for linear models. In this paper, we refine the technique and apply it to a long panel of daily observations on the price and trading volume of four stocks actively traded on the NYSE: Boeing, Coca-Cola, IBM, and MMM.

Simultaneous transcranial magnetic stimulation and single-neuron recording in alert non-human primates.

Transcranial magnetic stimulation (TMS) is a widely used, noninvasive method for stimulating nervous tissue, yet its mechanisms of effect are poorly understood. Here we report new methods for studying the influence of TMS on single neurons in the brain of alert non-human primates. We designed a TMS coil that focuses its effect near the tip of a recording electrode and recording electronics that enable direct acquisition of neuronal signals at the site of peak stimulus strength minimally perturbed by stimulation artifact in awake monkeys (Macaca mulatta). We recorded action potentials within ∼1 ms after 0.4-ms TMS pulses and observed changes in activity that differed significantly for active stimulation as compared with sham stimulation. This methodology is compatible with standard equipment in primate laboratories, allowing easy implementation. Application of these tools will facilitate the refinement of next generation TMS devices, experiments and treatment protocols.