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.

Control of the orientational order and nonlinear optical response of the "push-pull" chromophore RuPZn via specific incorporation into densely packed monolayer ensembles of an amphiphilic four-helix bundle peptide: characterization of the peptide-chromophore complexes.

"Push-pull" chromophores based on extended pi-electron systems have been designed to exhibit exceptionally large molecular hyperpolarizabilities. We have engineered an amphiphilic four-helix bundle peptide to vectorially incorporate such hyperpolarizable chromophores having a metalloporphyrin moiety, with high specificity into the interior core of the bundle. The amphiphilic exterior of the bundle facilitates the formation of densely packed monolayer ensembles of the vectorially oriented peptide-chromophore complexes at the liquid-gas interface. Chemical specificity designed into the ends of the bundle facilitates the subsequent covalent attachment of these monolayer ensembles onto the surface of an inorganic substrate. In this article, we describe the structural characterization of these monolayer ensembles at each stage of their fabrication for one such peptide-chromophore complex designated as AP0-RuPZn. In the accompanying article, we describe the characterization of their macroscopic nonlinear optical properties.

Effect of different jump distributions on the dynamics of jump processes

The paper investigates stochastic processes forced by independent and identically distributed jumps occurring according to a Poisson process. The impact of different distributions of the jump amplitudes are analyzed for processes with linear drift. Exact expressions of the probability density functions are derived when jump amplitudes are distributed as exponential, gamma, and mixture of exponential distributions for both natural and reflecting boundary conditions. The mean level-crossing properties are studied in relation to the different jump amplitudes. As an example of application of the previous theoretical derivations, the role of different rainfall-depth distributions on an existing stochastic soil water balance model is analyzed. It is shown how the shape of distribution of daily rainfall depths plays a more relevant role on the soil moisture probability distribution as the rainfall frequency decreases, as predicted by future climatic scenarios. © 2010 The American Physical Society.

Nonlinear parameter retrieval from three- and four-wave mixing in metamaterials

We present a generalized nonlinear susceptibility retrieval method for metamaterials based on transfer matrices and valid in the nondepleted pump approximation. We construct a general formalism to describe the transfer matrix method for nonlinear media and apply it to the processes of three- and four-wave mixing. The accuracy of this approach is verified via finite element simulations. The method is then reversed to give a set of equations for retrieving the nonlinear susceptibility. Finally, we apply the proposed retrieval operation to a three-wave mixing transmission experiment performed on a varactor loaded split ring resonator metamaterial sample and find quantitative agreement with an analytical effective medium theory model. © 2010 The American Physical Society.