Time-Varying Liquidity and Momentum Profits

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceed that of market return and market volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last decade, they are substantial following liquid market states.

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Efficient Evaluation of Multidimensional Time-Varying Density Forecasts

We propose two simple evaluation methods for time varying density forecasts of continuous higher dimensional random variables. Both methods are based on the probability integral transformation for unidimensional forecasts. The first method tests multinormal densities and relies on the rotation of the coordinate system. The advantage of the second method is not only its applicability to any continuous distribution but also the evaluation of the forecast accuracy in specific regions of its domain as defined by the user’s interest. We show that the latter property is particularly useful for evaluating a multidimensional generalization of the Value at Risk. In simulations and in an empirical study, we examine the performance of both tests.

Risk and resilience: The moderating role of social coping for maternal mental health in a setting of political conflict:The moderating role of social coping for maternal mental health in a setting of political conflict

Violence can threaten individual wellbeing and tear at the social fabric of communities. At the same time, suffering can mobilize social coping and mutual support. Thus, the backdrop of political violence increases risk factors and stimulates resilience. The current study examined the moderating role of social coping as reflective of risk and resiliency in Northern Ireland, a setting of protracted conflict. Specifically, structural equation modeling was used to investigate whether social coping protects from or exacerbates the negative impact of sectarian crime and nonsectarian crime on maternal mental health (N?=?631). Nonsectarian crime predicted greater psychological distress for mothers in Belfast. Mixed support was found for the buffering and depletion moderation hypotheses; social coping functioned differently for nonsectarian crime and sectarian crime. Greater social coping buffered mothers' psychological distress from the negative effects of nonsectarian crime, but exacerbated maternal mental health problems when facing sectarian crime. Results suggest that social coping is a complex phenomenon, particularly in settings of protracted political violence. Implications for interventions aimed at alleviating psychological distress by enhancing mothers' social coping in contexts of intergroup conflict are discussed. We would like to thank the many families in Northern Ireland who have participated in the project. We would also like to express our appreciation for the project staff, graduate students, and undergraduate students at the University of Notre Dame and the University of Ulster. A special thanks to Cindy Bergeman and Dan Lapsley for feedback on earlier drafts of this manuscript. This research was supported by NICHD grant 046933-05 to the E. Mark Cummings.

Experimental investigation of hole boring and light sail regimes of RPA by varying laser and target parameters

Temporal evolution of plasma jets from micrometre-scale thick foils following the interaction of intense (3 × 10 W cm ) laser pulses is studied systematically by time resolved optical interferometry. The fluid velocity in the plasma jets is determined by comparing the data with 2D hydrodynamic simulation, which agrees with the expected hole-boring (HB) velocity due to the laser radiation pressure. The homogeneity of the plasma density across the jets has been found to be improved substantially when irradiating the laser at circular polarization compared to linear polarization. While overdense plasma jets were formed efficiently for micrometre thick targets, decreasing the target areal density and/or increasing the irradiance on the target have provided indication of transition from the 'HB' to the 'light sail (LS)' regime of RPA, characterized by the appearance of narrow-band spectral features at several MeV/nucleon in proton and carbon spectra.

Adaptive calibration of a three-microphone system for acoustic waveguide characterization under time-varying conditions

The pressure and velocity field in a one-dimensional acoustic waveguide can be sensed in a non-intrusive manner using spatially distributed microphones. Experimental characterization with sensor arrangements of this type has many applications in measurement and control. This paper presents a method for measuring the acoustic variables in a duct under fluctuating propagation conditions with specific focus on in-system calibration and tracking of the system parameters of a three-microphone measurement configuration. The tractability of the non-linear optimization problem that results from taking a parametric approach is investigated alongside the influence of extraneous measurement noise on the parameter estimates. The validity and accuracy of the method are experimentally assessed in terms of the ability of the calibrated system to separate the propagating waves under controlled conditions. The tracking performance is tested through measurements with a time-varying mean flow, including an experiment conducted under propagation conditions similar to those in a wind instrument during playing.

Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates

Reducible diffusions (RDs) are nonlinear transformations of analytically solvable Basic Diffusions (BDs). Hence, by construction RDs are analytically tractable and flexible diffusion processes. Existing literature on RDs has mostly focused on time-homogeneous transformations, which to a significant extent fail to explore the full potential of RDs from both theoretical and practical points of view. In this paper, we propose flexible and economically justifiable time variations to the transformations of RDs. Concentrating on the Constant Elasticity Variance (CEV) RDs, we consider nonlinear dynamics for our time-varying transformations with both deterministic and stochastic designs. Such time variations can greatly enhance the flexibility of RDs while maintaining sufficient tractability of the resulting models. In the meantime, our modeling approach enjoys the benefits of classical inferential techniques such as the Maximum Likelihood (ML). Our application to the UK and the US short-term interest rates suggests that from an empirical point of view time-varying transformations are highly relevant and statistically significant. We expect that the proposed models can describe more truthfully the dynamic time-varying behavior of economic and financial variables and potentially improve out-of-sample forecasts significantly.

Archives and Copyright: Risk and Reform

This paper considers the place of the archive sector within the copyright regime, and how copyright impacts upon the preservation, access to, and use of archival holdings. It begins with a critical assessment of the current parameters of the UK copyright regime as it applies to the work of archivists, including recommendations for reform that have followed in the wake of the Gowers Review of Intellectual Property (2006-2010), the Hargreaves Review of Intellectual Property and Growth (2010-2011), the Consultation on Copyright (2011-12), as well as the government’s response thereto: Modernising Copyright (2012). It considers the various problems the copyright regime presents for archives undertaking mass digitisation projects as well as recent European and UK initiatives in this domain. It argues that the UK copyright regime, even when read in conjunction with current national and regional recommendations for reform, falls short of delivering a legal framework that would enable archivists to realise the full potential that comprehensive, universal online access to the country’s archival holdings would contribute to local and national democracy and accountability, to education, learning, and culture, and to the sense of identity and place for local people, communities and organisations. Ultimately, a case is made for the differential treatment of archives within the copyright regime – different, that is, from libraries and other related institutions operating within the cultural sector. The paper concludes with a policy recommendation that would greatly enhance the ability of archives to provide online access to their holdings, while at the same time safeguarding the economic interests of the authors and owners of copyright-protected work.

Evidence for three genetic loci involved in both anorexia nervosa risk and variation of body mass index

The maintenance of normal body weight is disrupted in patients with anorexia nervosa (AN) for prolonged periods of time. Prior to the onset of AN, premorbid body mass index (BMI) spans the entire range from underweight to obese. After recovery, patients have reduced rates of overweight and obesity. As such, loci involved in body weight regulation may also be relevant for AN and vice versa. Our primary analysis comprised a cross-trait analysis of the 1000 single-nucleotide polymorphisms (SNPs) with the lowest P-values in a genome-wide association meta-analysis (GWAMA) of AN (GCAN) for evidence of association in the largest published GWAMA for BMI (GIANT). Subsequently we performed sex-stratified analyses for these 1000 SNPs. Functional ex vivo studies on four genes ensued. Lastly, a look-up of GWAMA-derived BMI-related loci was performed in the AN GWAMA. We detected significant associations (P-values <5 × 10(-5), Bonferroni-corrected P<0.05) for nine SNP alleles at three independent loci. Interestingly, all AN susceptibility alleles were consistently associated with increased BMI. None of the genes (chr. 10: CTBP2, chr. 19: CCNE1, chr. 2: CARF and NBEAL1; the latter is a region with high linkage disequilibrium) nearest to these SNPs has previously been associated with AN or obesity. Sex-stratified analyses revealed that the strongest BMI signal originated predominantly from females (chr. 10 rs1561589; Poverall: 2.47 × 10(-06)/Pfemales: 3.45 × 10(-07)/Pmales: 0.043). Functional ex vivo studies in mice revealed reduced hypothalamic expression of Ctbp2 and Nbeal1 after fasting. Hypothalamic expression of Ctbp2 was increased in diet-induced obese (DIO) mice as compared with age-matched lean controls. We observed no evidence for associations for the look-up of BMI-related loci in the AN GWAMA. A cross-trait analysis of AN and BMI loci revealed variants at three chromosomal loci with potential joint impact. The chromosome 10 locus is particularly promising given that the association with obesity was primarily driven by females. In addition, the detected altered hypothalamic expression patterns of Ctbp2 and Nbeal1 as a result of fasting and DIO implicate these genes in weight regulation.

The first time: young people and sex in Northern Ireland.

The sexual health of people, particularly young people, in Northern Ireland is currently poor. Yet there has been little research conducted on sexual attitudes and lifestyles. This paper is based on data from the first ever major research project in this field in Northern Ireland. Using quantitative and qualitative methods, it targeted young people aged 14-25. A combination of a self-administered survey questionnaire, focus group discussions and one-to-one interviews was found to be most suitable for the collection of sensitive data on sexuality in a country where the social and moral climate had previously prevented studies of this nature. Information was collected on sexual attitudes and behaviour generally. This paper focuses on one crucial issue: the age of first sexual encounter. It explores the attitudes of young people to that experience and the use of contraception. Many of the findings match those of similar large-scale surveys in England and Wales, including the modal age of first sexual encounter and the influence of peer pressure on decision-making about first sex. There were significant gender differences in both behaviour and attitudes. It is hoped that the research results will influence future education and health policy, which has all too often been based on ignorance.

Surface alloying and mixing at the Mn/Fe(001) interface: Real-time photoelectron spectroscopy and modified embedded atom simulations

Structural and magnetic properties of thin Mn films on the Fe(001) surface have been investigated by a combination of photoelectron spectroscopy and computer simulation in the temperature range 300 Kless than or equal toTless than or equal to750 K. Room-temperature as deposited Mn overlayers are found to be ferromagnetic up to 2.5-monolayer (ML) coverage, with a magnetic moment parallel to that of the iron substrate. The Mn atomic moment decreases with increasing coverage, and thicker samples (4-ML and 4.5-ML coverage) are antiferromagnetic. Photoemission measurements performed while the system temperature is rising at constant rate (dT/dtsimilar to0.5 K/s) detect the first signs of Mn-Fe interdiffusion at T=450 K, and reveal a broad temperature range (610 Kless than or equal toTless than or equal to680 K) in which the interface appears to be stable. Interdiffusion resumes at Tgreater than or equal to680 K. Molecular dynamics and Monte Carlo simulations allow us to attribute the stability plateau at 610 Kless than or equal toTless than or equal to680 K to the formation of a single-layer MnFe surface alloy with a 2x2 unit cell and a checkerboard distribution of Mn and Fe atoms. X-ray-absorption spectroscopy and analysis of the dichroic signal show that the alloy has a ferromagnetic spin structure, collinear with that of the substrate. The magnetic moments of Mn and Fe atoms in the alloy are estimated to be 0.8mu(B) and 1.1mu(B), respectively.