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.

Intracardiac acoustic radiation force impulse (ARFI) and shear wave imaging in pigs with focal infarctions.

Four pigs, three with focal infarctions in the apical intraventricular septum (IVS) and/or left ventricular free wall (LVFW), were imaged with an intracardiac echocardiography (ICE) transducer. Custom beam sequences were used to excite the myocardium with focused acoustic radiation force (ARF) impulses and image the subsequent tissue response. Tissue displacement in response to the ARF excitation was calculated with a phase-based estimator, and transverse wave magnitude and velocity were each estimated at every depth. The excitation sequence was repeated rapidly, either in the same location to generate 40 Hz M-modes at a single steering angle, or with a modulated steering angle to synthesize 2-D displacement magnitude and shear wave velocity images at 17 points in the cardiac cycle. Both types of images were acquired from various views in the right and left ventricles, in and out of infarcted regions. In all animals, acoustic radiation force impulse (ARFI) and shear wave elasticity imaging (SWEI) estimates indicated diastolic relaxation and systolic contraction in noninfarcted tissues. The M-mode sequences showed high beat-to-beat spatio-temporal repeatability of the measurements for each imaging plane. In views of noninfarcted tissue in the diseased animals, no significant elastic remodeling was indicated when compared with the control. Where available, views of infarcted tissue were compared with similar views from the control animal. In views of the LVFW, the infarcted tissue presented as stiff and non-contractile compared with the control. In a view of the IVS, no significant difference was seen between infarcted and healthy tissue, whereas in another view, a heterogeneous infarction was seen to be presenting itself as non-contractile in systole.

Acoustic radiation force impulse imaging (ARFI) on an IVUS circular array.

Our long-term goal is the detection and characterization of vulnerable plaque in the coronary arteries of the heart using intravascular ultrasound (IVUS) catheters. Vulnerable plaque, characterized by a thin fibrous cap and a soft, lipid-rich necrotic core is a precursor to heart attack and stroke. Early detection of such plaques may potentially alter the course of treatment of the patient to prevent ischemic events. We have previously described the characterization of carotid plaques using external linear arrays operating at 9 MHz. In addition, we previously modified circular array IVUS catheters by short-circuiting several neighboring elements to produce fixed beamwidths for intravascular hyperthermia applications. In this paper, we modified Volcano Visions 8.2 French, 9 MHz catheters and Volcano Platinum 3.5 French, 20 MHz catheters by short-circuiting portions of the array for acoustic radiation force impulse imaging (ARFI) applications. The catheters had an effective transmit aperture size of 2 mm and 1.5 mm, respectively. The catheters were connected to a Verasonics scanner and driven with pushing pulses of 180 V p-p to acquire ARFI data from a soft gel phantom with a Young's modulus of 2.9 kPa. The dynamic response of the tissue-mimicking material demonstrates a typical ARFI motion of 1 to 2 microns as the gel phantom displaces away and recovers back to its normal position. The hardware modifications applied to our IVUS catheters mimic potential beamforming modifications that could be implemented on IVUS scanners. Our results demonstrate that the generation of radiation force from IVUS catheters and the development of intravascular ARFI may be feasible.