Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Phase conjugation and negative refraction using nonlinear active metamaterials.

We present an experimental demonstration of phase conjugation using nonlinear metamaterial elements. Active split-ring resonators loaded with varactor diodes are demonstrated theoretically to act as phase-conjugating or time-reversing discrete elements when parametrically pumped and illuminated with appropriate frequencies. The metamaterial elements were fabricated and shown experimentally to produce a time-reversed signal. Measurements confirm that a discrete array of phase-conjugating elements act as a negatively refracting time-reversal rf lens only 0.12λ thick.

Controlling the second harmonic in a phase-matched negative-index metamaterial.

Nonlinear metamaterials have been predicted to support new and exciting domains in the manipulation of light, including novel phase-matching schemes for wave mixing. Most notable is the so-called nonlinear-optical mirror, in which a nonlinear negative-index medium emits the generated frequency towards the source of the pump. In this Letter, we experimentally demonstrate the nonlinear-optical mirror effect in a bulk negative-index nonlinear metamaterial, along with two other novel phase-matching configurations, utilizing periodic poling to switch between the three phase-matching domains.

Lognormal and gamma mixed negative binomial regression

In regression analysis of counts, a lack of simple and efficient algorithms for posterior computation has made Bayesian approaches appear unattractive and thus underdeveloped. We propose a lognormal and gamma mixed negative binomial (NB) regression model for counts, and present efficient closed-form Bayesian inference; unlike conventional Poisson models, the proposed approach has two free parameters to include two different kinds of random effects, and allows the incorporation of prior information, such as sparsity in the regression coefficients. By placing a gamma distribution prior on the NB dispersion parameter r, and connecting a log-normal distribution prior with the logit of the NB probability parameter p, efficient Gibbs sampling and variational Bayes inference are both developed. The closed-form updates are obtained by exploiting conditional conjugacy via both a compound Poisson representation and a Polya-Gamma distribution based data augmentation approach. The proposed Bayesian inference can be implemented routinely, while being easily generalizable to more complex settings involving multivariate dependence structures. The algorithms are illustrated using real examples. Copyright 2012 by the author(s)/owner(s).

Measuring the Severity of Negative and Traumatic Events.

We devised three measures of the general severity of events, which raters applied to participants' narrative descriptions: 1) placing events on a standard normed scale of stressful events, 2) placing events into five bins based on their severity relative to all other events in the sample, and 3) an average of ratings of the events' effects on six distinct areas of the participants' lives. Protocols of negative events were obtained from two non-diagnosed undergraduate samples (n = 688 and 328), a clinically diagnosed undergraduate sample all of whom had traumas and half of whom met PTSD criteria (n = 30), and a clinically diagnosed community sample who met PTSD criteria (n = 75). The three measures of severity correlated highly in all four samples but failed to correlate with PTSD symptom severity in any sample. Theoretical implications for the role of trauma severity in PTSD are discussed.

Narrative centrality and negative affectivity: independent and interactive contributors to stress reactions.

Reactions to stressful negative events have long been studied using approaches based on either the narrative interpretation of the event or the traits of the individual. Here, we integrate these 2 approaches by using individual-differences measures of both the narrative interpretation of the stressful event as central to one's life and the personality characteristic of negative affectivity. We show that they each have independent contributions to stress reactions and that high levels on both produce greater than additive effects. The effects on posttraumatic stress symptoms are substantial for both undergraduates (Study 1, n = 2,296; Study 3, n = 488) and veterans (Study 2, n = 104), with mean levels for participants low on both measures near floor on posttraumatic stress symptoms and those high on both measures scoring at or above diagnostic thresholds. Study 3 included 3 measures of narrative centrality and 3 of negative affectivity to demonstrate that the effects were not limited to a single measure. In Study 4 (n = 987), measures associated with symptoms of posttraumatic stress correlated substantially with either measures of narrative centrality or measures of negative affectivity. The concepts of narrative centrality and negative affectivity and the results are consistent with findings from clinical populations using similar measures and with current approaches to therapy. In broad nonclinical populations, such as those used here, the results suggest that we might be able to substantially increase our ability to account for the severity of stress response by including both concepts.

Two versions of life: emotionally negative and positive life events have different roles in the organization of life story and identity.

Over 2,000 adults in their sixties completed the Centrality of Event Scale (CES) for the traumatic or negative event that now troubled them the most and for their most positive life event, as well as measures of current PTSD symptoms, depression, well-being, and personality. Consistent with the notion of a positivity bias in old age, the positive events were judged to be markedly more central to life story and identity than were the negative events. The centrality of positive events was unrelated to measures of PTSD symptoms and emotional distress, whereas the centrality of the negative event showed clear positive correlations with these measures. The centrality of the positive events increased with increasing time since the events, whereas the centrality of the negative events decreased. The life distribution of the positive events showed a marked peak in young adulthood whereas the life distribution for the negative events peaked at the participants' present age. The positive events were mostly events from the cultural life script-that is, culturally shared representations of the timing of major transitional events. Overall, our findings show that positive and negative autobiographical events relate markedly differently to life story and identity. Positive events become central to life story and identity primarily through their correspondence with cultural norms. Negative events become central through mechanisms associated with emotional distress.

Autobiographical Memories for Very Negative Events: The Effects of Thinking about and Rating Memories.

In three related experiments, 250 participants rated properties of their autobiographical memory of a very negative event before and after writing about either their deepest thoughts and emotions of the event or a control topic. Levels of emotional intensity of the event, distress associated with the event, intrusive symptoms, and other phenomenological memory properties decreased over the course of the experiment, but did not differ by writing condition. We argue that the act of answering our extensive questions about a very negative event led to the decrease, thereby masking the effects of expressive writing. To show that the changes could not be explained by the mere passage of time, we replicated our findings in a fourth experiment in which all 208 participants nominated a very negative event, but only half the participants rated properties of their memory in the first session. Implications for reducing the effects of negative autobiographical memories are discussed.

Life scripts help to maintain autobiographical memories of highly positive, but not highly negative, events.

A representative sample of 1,307 respondents between the ages of 20 and 94 was asked how old they were when they felt most afraid, most proud, most jealous, most in love, and most angry. They were also asked when they had experienced their most important event and whether this event was positive or negative. In general, there was a reminiscence "bump" for positive but not negative events. To provide data on life scripts, 87 psychology students answered the same questions for a hypothetical 70-year-old. The undergraduates were more confident in dating positive than in dating negative events, and when they were confident, the distribution of responses predicted the survey data. The results support the idea of culturally shared life scripts for positive but not negative events, which structure retrieval processes and spaced practice.

Release of outer membrane vesicles by Gram-negative bacteria is a novel envelope stress response.

Conditions that impair protein folding in the Gram-negative bacterial envelope cause stress. The destabilizing effects of stress in this compartment are recognized and countered by a number of signal transduction mechanisms. Data presented here reveal another facet of the complex bacterial stress response, release of outer membrane vesicles. Native vesicles are composed of outer membrane and periplasmic material, and they are released from the bacterial surface without loss of membrane integrity. Here we demonstrate that the quantity of vesicle release correlates directly with the level of protein accumulation in the cell envelope. Accumulation of material occurs under stress, and is exacerbated upon impairment of the normal housekeeping and stress-responsive mechanisms of the cell. Mutations that cause increased vesiculation enhance bacterial survival upon challenge with stressing agents or accumulation of toxic misfolded proteins. Preferential packaging of a misfolded protein mimic into vesicles for removal indicates that the vesiculation process can act to selectively eliminate unwanted material. Our results demonstrate that production of bacterial outer membrane vesicles is a fully independent, general envelope stress response. In addition to identifying a novel mechanism for alleviating stress, this work provides physiological relevance for vesicle production as a protective mechanism.

NAFTA and uneven development in the North American apparel industry

The various contributions to this book have documented how NAFTA-inspired firm strategies are changing the geography of apparel production in North America. The authors show in myriad ways how companies at different positions along the apparel commodity chain are responding to the new institutional and regulatory environment that NAFTA creates. By making it easier for U.S. companies to take advantage of Mexico as a nearby low-cost site for export-oriented apparel production, NAFTA is deepening the regional division of labor within North America, and this process has consequences for firms and workers in each of the signatory countries. In the introduction to this book we alluded to the obvious implications of shifting investment and trade patterns in the North American apparel industry for employment in the different countries. In this concluding chapter we focus on Mexico in the NAFTA era, specifically the extent to which Mexico's role in the North American economy facilitates or inhibits its economic development. W e begin with a discussion of the contemporary debate about Mexico's development, which turns on the question of how to assess the implications of Mexico's rapid and pro-found process of economic reform. Second, we focus on the textile and apparel industries as sectors that have been significantly affected by changes in regulatory environments at both the global and regional levels. Third, we examine the evidence regarding Mexico's NAFTA-era export dynamism, and in particular we emphasize the importance of interfirm networks, both for making sense of Mexico's meteoric rise among apparel exporters and for evaluating the implications of this dynamism for development. Fourth, we turn to a consideration of the national political-economic environment that shapes developmental outcomes for all Mexicans. Although regional disparities within Mexico are profound, aspects of government policy, such as management of the national currency, and characteristics of the institutional environment, such as industrial relations, have nationwide effects, and critics of NAFTA charge that these factors are contributing to a process of economic and social polarization that is ever more evident (Morales 1999; Dussel Peters 2000). Finally, we suggest that the mixed consequences of Mexico's NAFTA-era growth can be taken as emblematic of the contradictions that the process of globalization poses for economic and social development. The anti-sweatshop campaign in North America is one example of transnational or crossborder movements that are emerging to address the negative consequences of this process. In bringing attention to the problem of sweatshop production in North America, activists are developing strategies that rely on a network logic that is not dissimilar to the approaches reflected in the various chapters of this book. © 2009 by Temple University Press. All rights reserved.