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.

Excitation of highly conjugated (porphinato)palladium(II) and (porphinato)platinum(II) oligomers produces long-lived, triplet states at unit quantum yield that absorb strongly over broad spectral domains of the NIR.

Transient dynamical studies of bis[(5,5'-10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)palladium(II)]ethyne (PPd(2)), 5,15-bis{[(5'-10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)palladium(II)]ethynyl}(10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)palladium(II) (PPd(3)), bis[(5,5'-10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)platinum(II)]ethyne (PPt(2)), and 5,15-bis{[(5'-10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)platinum(II)]ethynyl}(10,20-bis(2,6-bis(3,3-dimethylbutoxy)phenyl)porphinato)platinum(II) (PPt(3)) show that the electronically excited triplet states of these highly conjugated supermolecular chromophores can be produced at unit quantum yield via fast S(1) → T(1) intersystem crossing dynamics (τ(isc): 5.2-49.4 ps). These species manifest high oscillator strength T(1) → T(n) transitions over broad NIR spectral windows. The facts that (i) the electronically excited triplet lifetimes of these PPd(n) and PPt(n) chromophores are long, ranging from 5 to 50 μs, and (ii) the ground and electronically excited absorptive manifolds of these multipigment ensembles can be extensively modulated over broad spectral domains indicate that these structures define a new precedent for conjugated materials featuring low-lying π-π* electronically excited states for NIR optical limiting and related long-wavelength nonlinear optical (NLO) applications.

Identification of fluorescent beads using a coded aperture snapshot spectral imager.

We apply a coded aperture snapshot spectral imager (CASSI) to fluorescence microscopy. CASSI records a two-dimensional (2D) spectrally filtered projection of a three-dimensional (3D) spectral data cube. We minimize a convex quadratic function with total variation (TV) constraints for data cube estimation from the 2D snapshot. We adapt the TV minimization algorithm for direct fluorescent bead identification from CASSI measurements by combining a priori knowledge of the spectra associated with each bead type. Our proposed method creates a 2D bead identity image. Simulated fluorescence CASSI measurements are used to evaluate the behavior of the algorithm. We also record real CASSI measurements of a ten bead type fluorescence scene and create a 2D bead identity map. A baseline image from filtered-array imaging system verifies CASSI's 2D bead identity map.

Intraoperative spectral domain optical coherence tomography for vitreoretinal surgery.

We demonstrate in vivo human retinal imaging using an intraoperative microscope-mounted optical coherence tomography system (MMOCT). Our optomechanical design adapts an Oculus Binocular Indirect Ophthalmo Microscope (BIOM3), suspended from a Leica ophthalmic surgical microscope, with spectral domain optical coherence tomography (SD-OCT) scanning and relay optics. The MMOCT enables wide-field noncontact real-time cross-sectional imaging of retinal structure, allowing for SD-OCT augmented intrasurgical microscopy for intraocular visualization. We experimentally quantify the axial and lateral resolution of the MMOCT and demonstrate fundus imaging at a 20Hz frame rate.

Performance metrics of an optical spectral imaging system for intra-operative assessment of breast tumor margins.

As many as 20-70% of patients undergoing breast conserving surgery require repeat surgeries due to a close or positive surgical margin diagnosed post-operatively [1]. Currently there are no widely accepted tools for intra-operative margin assessment which is a significant unmet clinical need. Our group has developed a first-generation optical visible spectral imaging platform to image the molecular composition of breast tumor margins and has tested it clinically in 48 patients in a previously published study [2]. The goal of this paper is to report on the performance metrics of the system and compare it to clinical criteria for intra-operative tumor margin assessment. The system was found to have an average signal to noise ratio (SNR) >100 and <15% error in the extraction of optical properties indicating that there is sufficient SNR to leverage the differences in optical properties between negative and close/positive margins. The probe had a sensing depth of 0.5-2.2 mm over the wavelength range of 450-600 nm which is consistent with the pathologic criterion for clear margins of 0-2 mm. There was <1% cross-talk between adjacent channels of the multi-channel probe which shows that multiple sites can be measured simultaneously with negligible cross-talk between adjacent sites. Lastly, the system and measurement procedure were found to be reproducible when evaluated with repeated measures, with a low coefficient of variation (<0.11). The only aspect of the system not optimized for intra-operative use was the imaging time. The manuscript includes a discussion of how the speed of the system can be improved to work within the time constraints of an intra-operative setting.

A low-cost, portable, and quantitative spectral imaging system for application to biological tissues.

The ability of diffuse reflectance spectroscopy to extract quantitative biological composition of tissues has been used to discern tissue types in both pre-clinical and clinical cancer studies. Typically, diffuse reflectance spectroscopy systems are designed for single-point measurements. Clinically, an imaging system would provide valuable spatial information on tissue composition. While it is feasible to build a multiplexed fiber-optic probe based spectral imaging system, these systems suffer from drawbacks with respect to cost and size. To address these we developed a compact and low cost system using a broadband light source with an 8-slot filter wheel for illumination and silicon photodiodes for detection. The spectral imaging system was tested on a set of tissue mimicking liquid phantoms which yielded an optical property extraction accuracy of 6.40 +/- 7.78% for the absorption coefficient (micro(a)) and 11.37 +/- 19.62% for the wavelength-averaged reduced scattering coefficient (micro(s)').

3D refraction correction and extraction of clinical parameters from spectral domain optical coherence tomography of the cornea.

Capable of three-dimensional imaging of the cornea with micrometer-scale resolution, spectral domain-optical coherence tomography (SDOCT) offers potential advantages over Placido ring and Scheimpflug photography based systems for accurate extraction of quantitative keratometric parameters. In this work, an SDOCT scanning protocol and motion correction algorithm were implemented to minimize the effects of patient motion during data acquisition. Procedures are described for correction of image data artifacts resulting from 3D refraction of SDOCT light in the cornea and from non-idealities of the scanning system geometry performed as a pre-requisite for accurate parameter extraction. Zernike polynomial 3D reconstruction and a recursive half searching algorithm (RHSA) were implemented to extract clinical keratometric parameters including anterior and posterior radii of curvature, central cornea optical power, central corneal thickness, and thickness maps of the cornea. Accuracy and repeatability of the extracted parameters obtained using a commercial 859nm SDOCT retinal imaging system with a corneal adapter were assessed using a rigid gas permeable (RGP) contact lens as a phantom target. Extraction of these parameters was performed in vivo in 3 patients and compared to commercial Placido topography and Scheimpflug photography systems. The repeatability of SDOCT central corneal power measured in vivo was 0.18 Diopters, and the difference observed between the systems averaged 0.1 Diopters between SDOCT and Scheimpflug photography, and 0.6 Diopters between SDOCT and Placido topography.

Using fractal downscaling of satellite precipitation products for hydrometeorological applications

The objective of spatial downscaling strategies is to increase the information content of coarse datasets at smaller scales. In the case of quantitative precipitation estimation (QPE) for hydrological applications, the goal is to close the scale gap between the spatial resolution of coarse datasets (e.g., gridded satellite precipitation products at resolution L × L) and the high resolution (l × l; L»l) necessary to capture the spatial features that determine spatial variability of water flows and water stores in the landscape. In essence, the downscaling process consists of weaving subgrid-scale heterogeneity over a desired range of wavelengths in the original field. The defining question is, which properties, statistical and otherwise, of the target field (the known observable at the desired spatial resolution) should be matched, with the caveat that downscaling methods be as a general as possible and therefore ideally without case-specific constraints and/or calibration requirements? Here, the attention is focused on two simple fractal downscaling methods using iterated functions systems (IFS) and fractal Brownian surfaces (FBS) that meet this requirement. The two methods were applied to disaggregate spatially 27 summertime convective storms in the central United States during 2007 at three consecutive times (1800, 2100, and 0000 UTC, thus 81 fields overall) from the Tropical Rainfall Measuring Mission (TRMM) version 6 (V6) 3B42 precipitation product (~25-km grid spacing) to the same resolution as the NCEP stage IV products (~4-km grid spacing). Results from bilinear interpolation are used as the control. A fundamental distinction between IFS and FBS is that the latter implies a distribution of downscaled fields and thus an ensemble solution, whereas the former provides a single solution. The downscaling effectiveness is assessed using fractal measures (the spectral exponent β, fractal dimension D, Hurst coefficient H, and roughness amplitude R) and traditional operational scores statistics scores [false alarm rate (FR), probability of detection (PD), threat score (TS), and Heidke skill score (HSS)], as well as bias and the root-mean-square error (RMSE). The results show that both IFS and FBS fractal interpolation perform well with regard to operational skill scores, and they meet the additional requirement of generating structurally consistent fields. Furthermore, confidence intervals can be directly generated from the FBS ensemble. The results were used to diagnose errors relevant for hydrometeorological applications, in particular a spatial displacement with characteristic length of at least 50 km (2500 km2) in the location of peak rainfall intensities for the cases studied. © 2010 American Meteorological Society.

Spectral structure of the pygmy dipole resonance.

High-sensitivity studies of E1 and M1 transitions observed in the reaction 138Ba(gamma,gamma{'}) at energies below the one-neutron separation energy have been performed using the nearly monoenergetic and 100% linearly polarized photon beams of the HIgammaS facility. The electric dipole character of the so-called "pygmy" dipole resonance was experimentally verified for excitations from 4.0 to 8.6 MeV. The fine structure of the M1 "spin-flip" mode was observed for the first time in N=82 nuclei.

R Markdown: Integrating A Reproducible Analysis Tool into Introductory Statistics

Nolan and Temple Lang argue that “the ability to express statistical computations is an es- sential skill.” A key related capacity is the ability to conduct and present data analysis in a way that another person can understand and replicate. The copy-and-paste workflow that is an artifact of antiquated user-interface design makes reproducibility of statistical analysis more difficult, especially as data become increasingly complex and statistical methods become increasingly sophisticated. R Markdown is a new technology that makes creating fully-reproducible statistical analysis simple and painless. It provides a solution suitable not only for cutting edge research, but also for use in an introductory statistics course. We present experiential and statistical evidence that R Markdown can be used effectively in introductory statistics courses, and discuss its role in the rapidly-changing world of statistical computation.

Universal Quake Statistics: From Compressed Nanocrystals to Earthquakes.

Slowly-compressed single crystals, bulk metallic glasses (BMGs), rocks, granular materials, and the earth all deform via intermittent slips or "quakes". We find that although these systems span 12 decades in length scale, they all show the same scaling behavior for their slip size distributions and other statistical properties. Remarkably, the size distributions follow the same power law multiplied with the same exponential cutoff. The cutoff grows with applied force for materials spanning length scales from nanometers to kilometers. The tuneability of the cutoff with stress reflects "tuned critical" behavior, rather than self-organized criticality (SOC), which would imply stress-independence. A simple mean field model for avalanches of slipping weak spots explains the agreement across scales. It predicts the observed slip-size distributions and the observed stress-dependent cutoff function. The results enable extrapolations from one scale to another, and from one force to another, across different materials and structures, from nanocrystals to earthquakes.