Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.

High-Order Harmonics from Bow Wave Caustics Driven by a High-Intensity Laser

We propose a new mechanism of high-order harmonic generation during an interaction of a high-intensity laser pulse with underdense plasma. A tightly focused laser pulse creates a cavity in plasma pushing electrons aside and exciting the wake wave and the bow wave. At the joint of the cavity wall and the bow wave boundary, an annular spike of electron density is formed. This spike surrounds the cavity and moves together with the laser pulse. Collective motion of electrons in the spike driven by the laser field generates high-order harmonics. A strong localization of the electron spike, its robustness to oscillations imposed by the laser field and, consequently, its ability to produce high-order harmonics is explained by catastrophe theory. The proposed mechanism explains the experimental observations of high-order harmonics with the 9 TW J-KAREN laser (JAEA, Japan) and the 120 TW Astra Gemini laser (CLF RAL, UK) [A. S. Pirozhkov, et al., arXiv:1004.4514 (2010); A. S. Pirozhkov et al, AIP Proceedings, this volume]. The theory is corroborated by high-resolution two- and three-dimensional particle-in-cell simulations.

Multichannel interference in high-order-harmonic generation from Ne+ driven by an ultrashort intense laser pulse

We apply the time-dependent R-matrix method to investigate harmonic generation from Ne+ at a wavelength of 390 nm and intensities up to 1015 W cm−2. The 1s22s22p4 (3Pe,1De, and 1Se) states of Ne2+ are included as residual-ion states to assess the influence of interference between photoionization channels associated with these thresholds. The harmonic spectrum is well approximated by calculations in which only the 3Pe and 1De thresholds are taken into account, but no satisfactory spectrum is obtained when a single threshold is taken into account. Within the harmonic plateau, extending to about 100 eV, individual harmonics can be suppressed at particular intensities when all Ne2+ thresholds are taken into account. The suppression is not observed when only a single threshold is accounted for. Since the suppression is dependent on intensity, it may be difficult to observe experimentally.

Current-driven magnetic rearrangements in spin-polarized point contacts

A method for investigating the dynamics of atomic magnetic moments in current-carrying magnetic point contacts under bias is presented. This combines the nonequilibrium Green's function (NEGF) method for evaluating the current and the charge density with a description of the dynamics of the magnetization in terms of quasistatic thermally activated transitions between stationary configurations. This method is then implemented in a tight-binding (TB) model with parameters chosen to simulate the main features of the electronic structures of magnetic transition metals. We investigate the domain wall (DW) migration in magnetic monoatomic chains sandwiched between magnetic leads, and for realistic parameters find that collinear arrangement of the magnetic moments of the chain is always favorable. Several stationary magnetic configurations are identified, corresponding to a different number of Bloch walls in the chain and to a different current. The relative stability of these configurations depends on the geometrical details of the junction and on the bias; however, we predict transitions between different configurations with activation barriers of the order of a few tens of meV. Since different magnetic configurations are associated with different resistances, this suggests an intrinsic random telegraph noise at microwave frequencies in the I-V curves of magnetic atomic point contacts at room temperature. Finally, we investigate whether or not current-induced torques are conservative.

Ultrafast Laser-Driven Excitation Dynamics in Ne: An Ab Initio Time-Dependent R-Matrix Approach

An attosecond pump-probe scheme that combines the use of a free-electron laser pulse with an ultrashort pulse is applied in order to explore the ultrafast excitation dynamics in Ne. We describe the multielectron dynamics using a new nonperturbative time-dependent R-matrix theory. This theory enables the interaction of ultrashort light fields with multielectron atoms and atomic ions to be determined from first principles. By probing the emission of an inner 2s electron from Ne we are also able to study the bound state population dynamics during the free-electron laser pulse.

International order flows: Explaining equity and exchange rate returns

Macroeconomic models of equity and exchange rate returns perform poorly at high frequencies. The proportion of daily returns that these models explain is essentially zero. Instead of relying on macroeconomic determinants, we model equity price and exchange rate behavior based on a concept from microstructure – order flow. The international order flows are derived from belief changes of different investor groups in a two-country setting. We obtain a structural relationship between equity returns, exchange rate returns and their relationship to home and foreign equity market order flow. To test the model we construct daily aggregate order flow data from 800 million equity trades in the U.S. and France from 1999 to 2003. Almost 60% of the daily returns in the S&P100 index are explained jointly by exchange rate returns and aggregate order flows in both markets. As predicted by the model, daily exchange rate returns and order flow into the French market have significant incremental explanatory power for the daily S&P returns. The model implications are also validated for intraday returns.

A study of the 10% electric vehicles target of the single electricity market

In late 2008, the Government of the Republic of Ireland set a specific target that 10% of all vehicles in its transport fleet be powered by electricity by 2020 in order to meet European Union renewable energy targets and greenhouse gas emissions reduction targets. International there are similar targets. This is a considerable challenge as in 2009, transport accounted for 29% of non-emissions trading scheme greenhouse gas emissions, 32% of energy-related greenhouse gas emissions, 21% of total greenhouse gas emissions and approximately 50% of energy-related non-emission trading scheme greenhouse gas emissions. In this paper the impacts of 10% electric vehicle charging on the single wholesale electricity market for the Republic of Ireland and Northern Ireland is examined. The energy consumed and the total carbon dioxide emissions generated under different charging scenarios is quantified and the results of the charging scenarios are compared to identify the best implementation strategy.

Dosimetry and spectral analysis of a radiobiological experiment using laser-driven proton beams

Laser-driven proton and ion acceleration is an area of increasing research interest given the recent development of short pulse-high intensity lasers. Several groups have reported experiments to understand whether a laser-driven beam can be applied for radiobiological purposes and in each of these, the method to obtain dose and spectral analysis was slightly different. The difficulty with these studies is that the very large instantaneous dose rate is a challenge for commonly used dosimetry techniques, so that other more sophisticated procedures need to be explored. This paper aims to explain a method for obtaining the energetic spectrum and the dose of a laser-driven proton beam irradiating a cell dish used for radiobiology studies. The procedure includes the use of a magnet to have charge and energy separation of the laser-driven beam, Gafchromic films to have information on dose and partially on energy, and a Monte Carlo code to expand the measured data in order to obtain specific details of the proton spectrum on the cells. Two specific correction factors have to be calculated: one to take into account the variation of the dose response of the films as a function of the proton energy and the other to obtain the dose to the cell layer starting from the dose measured on the films. This method, particularly suited to irradiation delivered in a single laser shot, can be applied in any other radiobiological experiment performed with laser-driven proton beams, with the only condition that the initial proton spectrum has to be at least roughly known. The method was tested in an experiment conducted at Queen's University of Belfast using the TARANIS laser, where the mean energy of the protons crossing the cells was between 0.9 and 5 MeV, the instantaneous dose rate was estimated to be close to 10(9) Gy s(-1) and doses between 0.8 and 5 Gy were delivered to the cells in a single laser shot. The combination of the applied corrections modified the initial estimate of dose by up to 40%.

Light-driven oxygen scavenging by titania/polymer nanocomposite films

We demonstrate that UV illumination of nanocrystalline TiO2 films in the presence of excess organic hole scavengers can result in the deoxygenation of a closed environment. The kinetics of deoxygenation are investigated under continuous UV illumination as a function of film preparation and hole scavenger employed. Optimum deoxygenation is observed using methanol as a hole scavenger, although efficient deoxygenation is also observed for a range of different polymer/TiO2 nanocomposite films deposited on glass and plastic substrates. Transient absorption spectroscopy is used to probe the kinetics of the deoxygenation reaction, focusing on the kinetics of the reduction of oxygen by photogenerated TiO2 electrons. Under aerobic conditions, this oxygen reduction reaction is observed to exhibit first order kinetics with a rate constant of 70 s(-1), more than one order of magnitude faster than alternative reaction pathways for the photogenerated electrons. These observations are discussed in terms of the Langmuir-Hinshelwood equation for photocatalytic action. (C) 2004 Elsevier B.V. All rights reserved.

Laser-Driven Fast Electron Collimation in Targets with Resistivity Boundary

We demonstrate experimentally that the relativistic electron flow in a dense plasma can be efficiently confined and guided in targets exhibiting a high-resistivity-core-low-resistivity-cladding structure analogous to optical waveguides. The relativistic electron beam is shown to be confined to an area of the order of the core diameter (50 mu m), which has the potential to substantially enhance the coupling efficiency of electrons to the compressed fusion fuel in the Fast Ignitor fusion in full-scale fusion experiments.

Non-parametric nonlinear system identification: A data-driven orthogonal basis function approach

In this paper, a data driven orthogonal basis function approach is proposed for non-parametric FIR nonlinear system identification. The basis functions are not fixed a priori and match the structure of the unknown system automatically. This eliminates the problem of blindly choosing the basis functions without a priori structural information. Further, based on the proposed basis functions, approaches are proposed for model order determination and regressor selection along with their theoretical justifications. © 2008 IEEE.

Bright Laser-Driven Neutron Source Based on the Relativistic Transparency of Solids

Neutrons are unique particles to probe samples in many ?elds of research ranging from biology to material sciences to engineering and security applications. Access to bright, pulsed sources is currently
limited to large accelerator facilities and there has been a growing need for compact sources over the recent years. Short pulse laser driven neutron sources could be a compact and relatively cheap way to
produce neutrons with energies in excess of 10 MeV. For more than a decade experiments have tried to obtain neutron numbers suf?cient for applications. Our recent experiments demonstrated an ion acceleration mechanism based on the concept of relativistic transparency. Using this new mechanism, we produced an intense beam of high energy (up to 170 MeV) deuterons directed into a Be converter to
produce a forward peaked neutron ?ux with a record yield, on the order of 1010 n=sr. We present results comparing the two acceleration mechanisms and the ?rst short pulse laser generated neutron radiograph.

Diffusive shock acceleration at laser-driven shocks: studying cosmic-ray accelerators in the laboratory

The non-thermal particle spectra responsible for the emission from many astrophysical systems are thought to originate from shocks via a first order Fermi process otherwise known as diffusive shock acceleration. The same mechanism is also widely believed to be responsible for the production of high energy cosmic rays. With the growing interest in collisionless shock physics in laser produced plasmas, the possibility of reproducing and detecting shock acceleration in controlled laboratory experiments should be considered. The various experimental constraints that must be satisfied are reviewed. It is demonstrated that several currently operating laser facilities may fulfil the necessary criteria to confirm the occurrence of diffusive shock acceleration of electrons at laser produced shocks. Successful reproduction of Fermi acceleration in the laboratory could open a range of possibilities, providing insight into the complex plasma processes that occur near astrophysical sources of cosmic rays.

ELIMED:A new hadron therapy concept based on laser driven ion beams

Laser accelerated proton beams have been proposed to be used in different research fields. A great interest has risen for the potential replacement of conventional accelerating machines with laser-based accelerators, and in particular for the development of new concepts of more compact and cheaper hadrontherapy centers. In this context the ELIMED (ELI MEDical applications) research project has been launched by INFN-LNS and ASCR-FZU researchers within the pan-European ELI-Beamlines facility framework. The ELIMED project aims to demonstrate the potential clinical applicability of optically accelerated proton beams and to realize a laser-accelerated ion transport beamline for multi-disciplinary user applications. In this framework the eye melanoma, as for instance the uveal melanoma normally treated with 62 MeV proton beams produced by standard accelerators, will be considered as a model system to demonstrate the potential clinical use of laser-driven protons in hadrontherapy, especially because of the limited constraints in terms of proton energy and irradiation geometry for this particular tumour treatment. Several challenges, starting from laser-target interaction and beam transport development up to dosimetry and radiobiology, need to be overcome in order to reach the ELIMED final goals. A crucial role will be played by the final design and realization of a transport beamline capable to provide ion beams with proper characteristics in terms of energy spectrum and angular distribution which will allow performing dosimetric tests and biological cell irradiation. A first prototype of the transport beamline has been already designed and other transport elements are under construction in order to perform a first experimental test with the TARANIS laser system by the end of 2013. A wide international collaboration among specialists of different disciplines like Physics, Biology, Chemistry, Medicine and medical doctors coming from Europe, Japan, and the US is growing up around the ELIMED project with the aim to work on the conceptual design, technical and experimental realization of this core beamline of the ELI Beamlines facility. © 2013 SPIE.