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.

Typical delay determines waiting time on periodic-food schedules: Static and dynamic tests.

Pigeons and other animals soon learn to wait (pause) after food delivery on periodic-food schedules before resuming the food-rewarded response. Under most conditions the steady-state duration of the average waiting time, t, is a linear function of the typical interfood interval. We describe three experiments designed to explore the limits of this process. In all experiments, t was associated with one key color and the subsequent food delay, T, with another. In the first experiment, we compared the relation between t (waiting time) and T (food delay) under two conditions: when T was held constant, and when T was an inverse function of t. The pigeons could maximize the rate of food delivery under the first condition by setting t to a consistently short value; optimal behavior under the second condition required a linear relation with unit slope between t and T. Despite this difference in optimal policy, the pigeons in both cases showed the same linear relation, with slope less than one, between t and T. This result was confirmed in a second parametric experiment that added a third condition, in which T + t was held constant. Linear waiting appears to be an obligatory rule for pigeons. In a third experiment we arranged for a multiplicative relation between t and T (positive feedback), and produced either very short or very long waiting times as predicted by a quasi-dynamic model in which waiting time is strongly determined by the just-preceding food delay.

Safety and efficacy of rivastigmine in adolescents with Down syndrome: long-term follow-up.

Following the completion of a 20-week, open-label study of the safety and efficacy of liquid rivastigmine for adolescents with Down syndrome, 5 of the 10 adolescents in the clinical trial continued long-term rivastigmine therapy and 5 did not. After an average period of 38 months, all 10 subjects returned for a follow-up assessment to determine the safety and efficacy of long-term rivastigmine use. Rivastigmine was well tolerated and overall health appeared to be unaffected by long-term rivastigmine use. Performance change on cognitive and language measures administered at the termination of the open-label clinical trial was compared between the two groups. No between-group difference in median performance change across the long-term period was found, suggesting that the long-term use of rivastigmine does not improve cognitive and language performance. However, two subjects demonstrated remarkable improvement in adaptive function over the long-term period. Both subjects had received long-term rivastigmine therapy. The discussion addresses the challenge of assessing cognitive change in clinical trials using adolescents with Down syndrome as subjects and the use of group versus individual data to evaluate the relevance of medication effects.

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.

Assessing variability and long-term trends in burned area by merging multiple satellite fire products

Long term, high quality estimates of burned area are needed for improving both prognostic and diagnostic fire emissions models and for assessing feedbacks between fire and the climate system. We developed global, monthly burned area estimates aggregated to 0.5° spatial resolution for the time period July 1996 through mid-2009 using four satellite data sets. From 2001ĝ€ "2009, our primary data source was 500-m burned area maps produced using Moderate Resolution Imaging Spectroradiometer (MODIS) surface reflectance imagery; more than 90% of the global area burned during this time period was mapped in this fashion. During times when the 500-m MODIS data were not available, we used a combination of local regression and regional regression trees developed over periods when burned area and Terra MODIS active fire data were available to indirectly estimate burned area. Cross-calibration with fire observations from the Tropical Rainfall Measuring Mission (TRMM) Visible and Infrared Scanner (VIRS) and the Along-Track Scanning Radiometer (ATSR) allowed the data set to be extended prior to the MODIS era. With our data set we estimated that the global annual area burned for the years 1997ĝ€ "2008 varied between 330 and 431 Mha, with the maximum occurring in 1998. We compared our data set to the recent GFED2, L3JRC, GLOBCARBON, and MODIS MCD45A1 global burned area products and found substantial differences in many regions. Lastly, we assessed the interannual variability and long-term trends in global burned area over the past 13 years. This burned area time series serves as the basis for the third version of the Global Fire Emissions Database (GFED3) estimates of trace gas and aerosol emissions.

The role of tectonic uplift, climate, and vegetation in the long-term terrestrial phosphorous cycle

Phosphorus (P) is a crucial element for life and therefore for maintaining ecosystem productivity. Its local availability to the terrestrial biosphere results from the interaction between climate, tectonic uplift, atmospheric transport, and biotic cycling. Here we present a mathematical model that describes the terrestrial P-cycle in a simple but comprehensive way. The resulting dynamical system can be solved analytically for steady-state conditions, allowing us to test the sensitivity of the P-availability to the key parameters and processes. Given constant inputs, we find that humid ecosystems exhibit lower P availability due to higher runoff and losses, and that tectonic uplift is a fundamental constraint. In particular, we find that in humid ecosystems the biotic cycling seem essential to maintain long-term P-availability. The time-dependent P dynamics for the Franz Josef and Hawaii chronosequences show how tectonic uplift is an important constraint on ecosystem productivity, while hydroclimatic conditions control the P-losses and speed towards steady-state. The model also helps describe how, with limited uplift and atmospheric input, as in the case of the Amazon Basin, ecosystems must rely on mechanisms that enhance P-availability and retention. Our novel model has a limited number of parameters and can be easily integrated into global climate models to provide a representation of the response of the terrestrial biosphere to global change. © 2010 Author(s).

Victims of infanticide and conspecific bite wounding in a female-dominant primate: a long-term study.

The aggression animals receive from conspecifics varies between individuals across their lifetime. As poignantly evidenced by infanticide, for example, aggression can have dramatic fitness consequences. Nevertheless, we understand little about the sources of variation in received aggression, particularly in females. Using a female-dominant species renowned for aggressivity in both sexes, we tested for potential social, demographic, and genetic patterns in the frequency with which animals were wounded by conspecifics. Our study included 243 captive, ring-tailed lemurs (Lemur catta), followed from infancy to adulthood over a 35-year time span. We extracted injury, social, and life-history information from colony records and calculated neutral heterozygosity for a subset of animals, as an estimate of genetic diversity. Focusing on victims rather than aggressors, we used General Linear Models to explain bite-wound patterns at different life stages. In infancy, maternal age best predicted wounds received, as infants born to young mothers were the most frequent infanticide victims. In adulthood, sex best predicted wounds received, as males were three times more likely than females to be seriously injured. No relation emerged between wounds received and the other variables studied. Beyond the generally expected costs of adult male intrasexual aggression, we suggest possible additive costs associated with female-dominant societies - those suffered by young mothers engaged in aggressive disputes and those suffered by adult males aggressively targeted by both sexes. We propose that infanticide in lemurs may be a costly by-product of aggressively mediated, female social dominance. Accordingly, the benefits of female behavioral 'masculinization' accrued to females through priority of access to resources, may be partially offset by early costs in reproductive success. Understanding the factors that influence lifetime patterns of conspecific wounding is critical to evaluating the fitness costs associated with social living; however, these costs may vary substantially between societies.

Long-term changes in physical activity following a one-year home-based physical activity counseling program in older adults with multiple morbidities.

This study assessed the sustained effect of a physical activity (PA) counseling intervention on PA one year after intervention, predictors of sustained PA participation, and three classes of post-intervention PA trajectories (improvers, maintainers, and decliners) in 238 older Veterans. Declines in minutes of PA from 12 to 24 months were observed for both the treatment and control arms of the study. PA at 12 months was the strongest predictor of post-intervention changes in PA. To our surprise, those who took up the intervention and increased PA levels the most, had significant declines in post-intervention PA. Analysis of the three post-intervention PA trajectories demonstrated that the maintenance group actually reflected a group of nonresponders to the intervention who had more comorbidities, lower self-efficacy, and worse physical function than the improvers or decliners. Results suggest that behavioral counseling/support must be ongoing to promote maintenance. Strategies to promote PA appropriately to subgroups of individuals are needed.

Long-term dynamics of death rates of emphysema, asthma, and pneumonia and improving air quality.

BACKGROUND: The respiratory tract is a major target of exposure to air pollutants, and respiratory diseases are associated with both short- and long-term exposures. We hypothesized that improved air quality in North Carolina was associated with reduced rates of death from respiratory diseases in local populations. MATERIALS AND METHODS: We analyzed the trends of emphysema, asthma, and pneumonia mortality and changes of the levels of ozone, sulfur dioxide (SO2), nitrogen dioxide (NO2), carbon monoxide (CO), and particulate matters (PM2.5 and PM10) using monthly data measurements from air-monitoring stations in North Carolina in 1993-2010. The log-linear model was used to evaluate associations between air-pollutant levels and age-adjusted death rates (per 100,000 of population) calculated for 5-year age-groups and for standard 2000 North Carolina population. The studied associations were adjusted by age group-specific smoking prevalence and seasonal fluctuations of disease-specific respiratory deaths. RESULTS: Decline in emphysema deaths was associated with decreasing levels of SO2 and CO in the air, decline in asthma deaths-with lower SO2, CO, and PM10 levels, and decline in pneumonia deaths-with lower levels of SO2. Sensitivity analyses were performed to study potential effects of the change from International Classification of Diseases (ICD)-9 to ICD-10 codes, the effects of air pollutants on mortality during summer and winter, the impact of approach when only the underlying causes of deaths were used, and when mortality and air-quality data were analyzed on the county level. In each case, the results of sensitivity analyses demonstrated stability. The importance of analysis of pneumonia as an underlying cause of death was also highlighted. CONCLUSION: Significant associations were observed between decreasing death rates of emphysema, asthma, and pneumonia and decreases in levels of ambient air pollutants in North Carolina.

The short and long of it: neural correlates of temporal-order memory for autobiographical events.

Previous functional neuroimaging studies of temporal-order memory have investigated memory for laboratory stimuli that are causally unrelated and poor in sensory detail. In contrast, the present functional magnetic resonance imaging (fMRI) study investigated temporal-order memory for autobiographical events that were causally interconnected and rich in sensory detail. Participants took photographs at many campus locations over a period of several hours, and the following day they were scanned while making temporal-order judgments to pairs of photographs from different locations. By manipulating the temporal lag between the two locations in each trial, we compared the neural correlates associated with reconstruction processes, which we hypothesized depended on recollection and contribute mainly to short lags, and distance processes, which we hypothesized to depend on familiarity and contribute mainly to longer lags. Consistent with our hypotheses, parametric fMRI analyses linked shorter lags to activations in regions previously associated with recollection (left prefrontal, parahippocampal, precuneus, and visual cortices), and longer lags with regions previously associated with familiarity (right prefrontal cortex). The hemispheric asymmetry in prefrontal cortex activity fits very well with evidence and theories regarding the contributions of the left versus right prefrontal cortex to memory (recollection vs. familiarity processes) and cognition (systematic vs. heuristic processes). In sum, using a novel photo-paradigm, this study provided the first evidence regarding the neural correlates of temporal-order for autobiographical events.

Memorabeatlia: a naturalistic study of long-term memory.

Seventy-six undergraduates were given the titles and first lines of Beatles' songs and asked to recall the songs. Seven hundred and four different undergraduates were cued with one line from each of 25 Beatles' songs and asked to recall the title. The probability of recalling a line was best predicted by the number of times a line was repeated in the song and how early the line first appeared in the song. The probability of cuing to the title was best predicted by whether the line shared words with the title. Although the subjects recalled only 21% of the lines, there were very few errors in recall, and the errors rarely violated the rhythmic, poetic, or thematic constraints of the songs. Acting together, these constraints can account for the near verbatim recall observed. Fourteen subjects, who transcribed one song, made fewer and different errors than the subjects who had recalled the song, indicating that the errors in recall were not primarily the result of errors in encoding.

Long-duration animal tracking in difficult lighting conditions.

High-throughput analysis of animal behavior requires software to analyze videos. Such software typically depends on the experiments' being performed in good lighting conditions, but this ideal is difficult or impossible to achieve for certain classes of experiments. Here, we describe techniques that allow long-duration positional tracking in difficult lighting conditions with strong shadows or recurring "on"/"off" changes in lighting. The latter condition will likely become increasingly common, e.g., for Drosophila due to the advent of red-shifted channel rhodopsins. The techniques enabled tracking with good accuracy in three types of experiments with difficult lighting conditions in our lab. Our technique handling shadows relies on single-animal tracking and on shadows' and flies' being accurately distinguishable by distance to the center of the arena (or a similar geometric rule); the other techniques should be broadly applicable. We implemented the techniques as extensions of the widely-used tracking software Ctrax; however, they are relatively simple, not specific to Drosophila, and could be added to other trackers as well.

The Macrophage-Specific Promoter mfap4 Allows Live, Long-Term Analysis of Macrophage Behavior during Mycobacterial Infection in Zebrafish.

Transgenic labeling of innate immune cell lineages within the larval zebrafish allows for real-time, in vivo analyses of microbial pathogenesis within a vertebrate host. To date, labeling of zebrafish macrophages has been relatively limited, with the most specific expression coming from the mpeg1 promoter. However, mpeg1 transcription at both endogenous and transgenic loci becomes attenuated in the presence of intracellular pathogens, including Salmonella typhimurium and Mycobacterium marinum. Here, we describe mfap4 as a macrophage-specific promoter capable of producing transgenic lines in which transgene expression within larval macrophages remains stable throughout several days of infection. Additionally, we have developed a novel macrophage-specific Cre transgenic line under the control of mfap4, enabling macrophage-specific expression using existing floxed transgenic lines. These tools enrich the repertoire of transgenic lines and promoters available for studying zebrafish macrophage dynamics during infection and inflammation and add flexibility to the design of future macrophage-specific transgenic lines.