On the impact of leverage constraints on asset prices and trading volume

Researchers have used stylized facts on asset prices and trading volumein stock markets (in particular, the mean reversion of asset returnsand the correlations between trading volume, price changes and pricelevels) to support theories where agents are not rational expected utilitymaximizers. This paper shows that this empirical evidence is in factconsistent with a standard infite horizon perfect information expectedutility economy where some agents face leverage constraints similar tothose found in todays financial markets. In addition, and in sharpcontrast to the theories above, we explain some qualitative differencesthat are observed in the price-volume relation on stock and on futuresmarkets. We consider a continuous-time economy where agents maximize theintegral of their discounted utility from consumption under both budgetand leverage con-straints. Building on the work by Vila and Zariphopoulou(1997), we find a closed form solution, up to a negative constant, for theequilibrium prices and demands in the region of the state space where theconstraint is non-binding. We show that, at the equilibrium, stock holdingsvolatility as well as its ratio to stock price volatility are increasingfunctions of the stock price and interpret this finding in terms of theprice-volume relation.

Finite horizon bargaining and the consistent field

This paper explores the relationships between noncooperative bargaining games and the consistent value for non-transferable utility (NTU) cooperative games. A dynamic approach to the consistent value for NTU games is introduced: the consistent vector field. The main contribution of the paper is to show that the consistent field is intimately related to the concept of subgame perfection for finite horizon noncooperative bargaining games, as the horizon goes to infinity and the cost of delay goes to zero. The solutions of the dynamic system associated to the consistent field characterize the subgame perfect equilibrium payoffs of the noncooperative bargaining games. We show that for transferable utility, hyperplane and pure bargaining games, the dynamics of the consistent fields converge globally to the unique consistent value. However, in the general NTU case, the dynamics of the consistent field can be complex. An example is constructed where the consistent field has cyclic solutions; moreover, the finite horizon subgame perfect equilibria do not approach the consistent value.

Firms vs. insiders as traders of last resort

We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders trading activities have a clear impact on return distributions. Furthermore, we provide empirical evidence on insiders transactions and firm transactions affecting returns in a different manner. In particular, while insiders transactions (both purchases and sales) have a strong impact on skewness in the short run and to a lesser extent in short run volatility, company repurchases only have a clear impact on volatility, both in the short and the long run. We provide explanations for this asymmetry.

Improving QPF by blending techniques at the Meteorological Service of Catalonia

The current operational very short-term and short-term quantitative precipitation forecast (QPF) at the Meteorological Service of Catalonia (SMC) is made by three different methodologies: Advection of the radar reflectivity field (ADV), Identification, tracking and forecasting of convective structures (CST) and numerical weather prediction (NWP) models using observational data assimilation (radar, satellite, etc.). These precipitation forecasts have different characteristics, lead time and spatial resolutions. The objective of this study is to combine these methods in order to obtain a single and optimized QPF at each lead time. This combination (blending) of the radar forecast (ADV and CST) and precipitation forecast from NWP model is carried out by means of different methodologies according to the prediction horizon. Firstly, in order to take advantage of the rainfall location and intensity from radar observations, a phase correction technique is applied to the NWP output to derive an additional corrected forecast (MCO). To select the best precipitation estimation in the first and second hour (t+1 h and t+2 h), the information from radar advection (ADV) and the corrected outputs from the model (MCO) are mixed by using different weights, which vary dynamically, according to indexes that quantify the quality of these predictions. This procedure has the ability to integrate the skill of rainfall location and patterns that are given by the advection of radar reflectivity field with the capacity of generating new precipitation areas from the NWP models. From the third hour (t+3 h), as radar-based forecasting has generally low skills, only the quantitative precipitation forecast from model is used. This blending of different sources of prediction is verified for different types of episodes (convective, moderately convective and stratiform) to obtain a robust methodology for implementing it in an operational and dynamic way.

Ophiolite-related ultramafic rocks (Serpentinites) in the Caribbean region: a review of their occurrence, composition, origin, emplacements and Ni-Laterite soil formation

Ultramafic rocks, mainly serpentinized peridotites of mantle origin, are mostly associated with the ophiolites of Mesozoic age that occur in belts along three of the margins of the Caribbean plate. The most extensive exposures are in Cuba. The ultramafic-mafic association (ophiolites) were formed and emplaced in several different tectonic environments. Mineralogical studies of the ultramafic rocks and the chemistry of the associated mafic rocks indicate that most of the ultramafic-mafic associations in both the northern and southern margins of the plate were formed in arc-related environments. There is little mantle peridotite exposed in the ophiolitic associations of the west coast of Central America, in the south Caribbean in Curacao and in the Andean belts in Colombia. In these occurrences the chemistry and age of the mafic rocks indicates that this association is mainly part of the 89 Ma Caribbean plateau province. The age of the mantle peridotites and associated ophiolites is probably mainly late Jurassic or Early Cretaceous. Emplacement of the ophiolites possibly began in the Early Cretaceous in Hispaniola and Puerto Rico, but most emplacement took place in the Late Cretaceous to Eocene (e.g. Cuba). Along the northern South America plate margin, in the Caribbean mountain belt, emplacement was by major thrusting and probably was not completed until the Oligocene or even the early Miocene. Caribbean mantle peridotites, before serpentinization, were mainly harzburgites, but dunites and lherzolites are also present. In detail, the mineralogical and chemical composition varies even within one ultramafic body, reflecting melting processes and peridotite/melt interaction in the upper mantle. At least for the northern Caribbean, uplift (postemplacement tectonics) exposed the ultramafic massifs as a land surface to effective laterization in the beginning of the Miocene. Tectonic factors, determining the uplift, exposing the peridotites to weathering varied. In the northern Caribbean, in Guatemala, Jamaica, and Hispaniola, uplift occurred as a result of transpresional movement along pre-existing major faults. In Cuba, uplift occurred on a regional scale, determined by isostatic adjustment. In the south Caribbean, uplift of the Cordillera de la Costa and Serrania del Interior exposing the peridotites, also appears to be related to strike-slip movement along the El Pilar fault system. In the Caribbean, Ni-laterite deposits are currently being mined in the central Dominican Republic, eastern Cuba, northern Venezuela and northwest Colombia. Although apparently formed over ultramafic rocks of similar composition and under similar climatic conditions, the composition of the lateritic soils varies. Factors that probably determined these differences in laterite composition are geomorphology, topography, drainage and tectonics. According to the mineralogy of principal ore-bearing phases, Dominican Ni-laterite deposits are classified as the hydrous silicate-type. The main Ni-bearing minerals are hydrated Mg-Ni silicates (serpentine and ¿garnierite¿) occurring deeper in the profile (saprolite horizon). In contrast, in the deposits of eastern Cuba, the Ni and Cooccurs mainly in the limonite zone composed of Fe hydroxides and oxides as the dominant mineralogy in the upper part of the profile, and are classified as the oxide-type.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Empirical determination of the very high energy heavy quark cross section from nonaccelerator data

To cosmic rays incident near the horizon the Earth's atmosphere represents a beam dump with a slant depth reaching 36 000 g cm-2 at 90. The prompt decay of a heavy quark produced by very high energy cosmic ray showers will leave an unmistakable signature in this dump. We translate the failure of experiments to detect such a signal into an upper limit on the heavy quark hadroproduction cross section in the energy region beyond existing accelerators. Our results disfavor any rapid growth of the cross section or the gluon structure function beyond conservative estimates based on perturbative QCD.

D-String on near horizon geometries and infinite conformal symmetry

We show that the symmetries of effective D-string actions in constant dilaton backgrounds are directly related to homothetic motions of the background metric. In the presence of such motions, there are infinitely many nonlinearly realized rigid symmetries forming a loop (or looplike) algebra. Near horizon (antideSitter) D3 and D1+D5 backgrounds are discussed in detail and shown to provide 2D interacting field theories with infinite conformal symmetry.

In defense of the "tunneling" wave function of the universe

The tunneling approach to the wave function of the Universe has been recently criticized by Bousso and Hawking who claim that it predicts a catastrophic instability of de Sitter space with respect to pair production of black holes. We show that this claim is unfounded. First, we argue that different horizon size regions in de Sitter space cannot be treated as independently created, as they contend. And second, the WKB tunneling wave function is not simply the inverse of the Hartle-Hawking one, except in very special cases. Applied to the related problem of pair production of massive particles, we argue that the tunneling wave function leads to a small constant production rate, and not to a catastrophe as the argument of Bousso and Hawking would suggest.

Vortices and extreme black holes: The question of flux expulsion

It has been claimed that extreme black holes exhibit a phenomenon of flux expulsion for Abelian Higgs vortices, irrespective of the relative width of the vortex to the black hole. Recent work by two of the authors showed a subtlety in the treatment of the event horizon, which cast doubt on this claim. We analyze in detail the vortexextreme black hole system, showing that, while flux expulsion can occur, it does not do so in all cases. We give analytic proofs for both expulsion and penetration of flux, in each case deriving a bound for that behavior. We also present extensive numerical work backing up, and refining, these claims, and showing in detail how a vortex can end on a black hole in all situations. We also calculate the back reaction of the vortex on the geometry, and comment on the more general vortexblack hole system.

Absence of Abelian Higgs Hair for Extreme Black Holes

It has been argued that a black hole horizon can support the long range fields of a Nielsen-Olesen string, and that one can think of such a vortex as black hole hair. We show that the fields inside the vortex are completely expelled from a charged black hole in the extreme limit (but not in the near extreme limit). This would seem to imply that a vortex cannot be attached to an extreme black hole. Furthermore, we provide evidence that it is energetically unfavorable for a thin vortex to interact with a large extreme black hole. This dispels the notion that a black hole can support long Abelian Higgs hair in the extreme limit.

Non-constant discounting in finite horizon: The free terminal time case

This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem.Conditions for the observational equivalence with an associated problem with constantdiscounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited.

Chemical characterization of majolica from 14th-18th century production centers on the Iberian Peninsula: a preliminary neutron activation study

Majolica pottery is one of the most characteristic tableware produced during the Medieval and Renaissance periods. Majolica technology was introduced to the Iberian Peninsula by Islamic artisans during Medieval times, and its production and popularity rapidly spread throughout Spain and eventually to other locations in Europe and the Americas. The prestige and importance of Spanish majolica was very high. Consequently, this ware was imported profusely to the Americas during the Spanish Colonial period. Nowadays, Majolica pottery serves as an important horizon marker at Spanish colonial sites. A preliminary study of Spanish-produced majolica was conducted on a set of 246 samples from the 12 primary majolica production centers on the Iberian Peninsula. The samples were analyzed by neutron activation analysis (NAA), and the resulting data were interpreted using an array of multivariate statistical procedures. Our results show a clear discrimination between different production centers. In some cases, our data allow one to distinguish amongst shards coming from the same production location suggesting different workshops or group of workshops were responsible for production of this pre-industrial pottery.

Effects of anomalous propagation conditions on weather radar observations

In this chapter our objective is to provide an overview of the effects of anomalous propagation conditions on weather radar observations, based mostly on studies performed by the authors during the last decade, summarizing results from recent publications, presentations, or unpublished material. We believe this chapter may be useful as an introductory text for graduate students, or researchers and practitioners dealing with this topic. Throughout the text a spherical symmetric atmosphere is assumed and the focus is on the occurrence of ground and sea clutter and subsequent problems for weather radar applications. Other related topics such as long-path, over-the-horizon propagation and detection of radar targets (either clutter or weather systems) at long ranges is not considered here; however readers should be aware of the potential problems these phenomena may have as range aliasing may cause these echoes appear nearer than they are ¿ for more details see the discussion about second trip echoes by Zrnic, this volume.

Nonperturbative semiclassical stability of de Sitter spacetime for small metric deviations

We consider the linearized semiclassical Einstein equations for small deviations around de Sitter spacetime including the vacuum polarization effects of conformal fields. Employing the method of order reduction, we find the exact solutions for general metric perturbations (of scalar, vector and tensor type). Our exact (nonperturbative) solutions show clearly that in this case de Sitter is stable with respect to small metric deviations and a late-time attractor. Furthermore, they also reveal a breakdown of perturbative solutions for a sufficiently long evolution inside the horizon. Our results are valid for any conformal theory, even self-interacting ones with arbitrarily strong coupling.