Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Far infrared reflectance and optical properties of organic superconductor (TMTSF)2ClO4 /

Polarized reflectance measurements of the quasi I-D charge-transfer salt (TMTSFh CI04 were carried out using a Martin-Puplett-type polarizing interferometer and a 3He refrigerator cryostat, at several temperatures between 0.45 K and 26 K, in the far infrared, in the 10 to 70 cm- 1 frequency range. Bis-tetramethyl-tetraselena-fulvalene perchlorate crystals, grown electrochemically and supplied by K. Behnia, of dimensions 2 to 4 by 0.4 by 0.2 mm, were assembled on a flat surface to form a mosaic of 1.5 by 3 mm. The needle shaped crystals were positioned parallel to each other along their long axis, which is the stacking direction of the planar TMTSF cations, exposing the ab plane face (parallel to which the sheets of CI04 anions are positioned). Reflectance measurements were performed with radiation polarized along the stacking direction in the sample. Measurements were carried out following either a fast (15-20 K per minute) or slow (0.1 K per minute) cooling of the sample. Slow cooling permits the anions to order near 24 K, and the sample is expected to be superconducting below 1.2 K, while fast cooling yields an insulating state at low temperatures. Upon the slow cooling the reflectance shows dependence with temperature and exhibits the 28 cm- 1 feature reported previously [1]. Thermoreflectance for both the 'slow' and 'fast' cooling of the sample calculated relative to the 26 K reflectance data indicates that the reflectance is temperature dependent, for the slow cooling case only. A low frequency edge in the absolute reflectance is assigned an electronic origin given its strong temperature dependence in the relaxed state. We attribute the peak in the absolute reflectance near 30 cm-1 to a phonon coupled to the electronic background. Both the low frequency edge and the 30 cm-1 feature are noted te shift towards higher frequcncy, upon cntering the superconducting state, by an amount of the order of the expected superconducting energy gap. Kramers-Kronig analysis was carried out to determine the optical conductivity for the slowly cooled sample from the measured reflectance. In order to do so the low frequency data was extrapolated to zero frequency using a Hagen-Ru bens behaviour, and the high frequency data was extended with the data of Cao et al. [2], and Kikuchi et al. [3]. The real part of the optical conductivity exhibits an asymmetric peak at 35 cm-1, and its background at lower frequencies seems to be losing spectral weight with lowering of the temperature, leading us to presume that a narrow peak is forming at even lower frequencies.

Macroeconomic News and Exchange Rates: Evidence of Unstable Effect

Although the link between macroeconomic news announcements and exchange rates is well documented in recent literature, this connection may be unstable. By using a broad set of macroeconomic news announcements and high frequency forex data for the Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov 1, 2004 to Mar 31, 2014, we obtain two major findings with regards to this instability. First, many macroeconomic news announcements exhibit unstable effects with certain patterns in foreign exchange rates. These news effects may change in magnitude and even in their sign over time, over business cycles and crises within distinctive contexts. This finding is robust because the results are obtained by applying a Two-Regime Smooth Transition Regression Model, a Breakpoints Regression Model, and an Efficient Test of Parameter Instability which are all consistent with each other. Second, when we explore the source of this instability, we find that global risks and the reaction by central bank monetary policy to these risks to be possible factors causing this instability.

Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.

The cardiovascular hemodynamic responses to various levels of orthostatic stress in children

The ability of the cardiovascular system to quickly and efficiently adapt to an orthostatic stress is vital for the human body to function on earth. The way in which the various aspects of the cardiovascular system work together to counteract an orthostatic stress has been previously quantified in the adult population. However, there are still many unknowns surrounding the topic of how the cardiovascular system functions to cope with this same stress in children. The purpose of this study was to describe the cardiovascular hemodynamic adaptations to various levels of orthostatic stress induced using a lower body negative pressure (LBNP) chamber in pre-pubertal boys. A secondary purpose was to determine indices of baroreceptor sensitivity (BRS) at both rest and during low levels of LBNP in this same pediatric sample. Finally, this study aimed to compare the relative responses to LBNP between the children and adults. To complete the study 20 healthy pre-pubertal boys and adult males (9.3 ± 1.1 and 23 ± 1.8 years of age respectively) were recruited and randomly exposed to three levels of LBNP (15, 20 and 25 mmHg). At rest and during the application of the LBNP heart rate (HR), manual and bcat-by-beat systolic (SBP), diastolic (DBP) and mean arterial blood pressure (MAP) were monitored continuously. Aortic diameter was measured at rest and peak aortic blood velocity (PV) was recorded continuously for at least I minute during each baseline and LBNP condition. From the raw data HR, stroke volume (SV), cardiac output (Q), total peripheral resistance (TPR), low frequency baroreceptor sensitivity (LF BRS), high frequency baroreceptor sensitivity (HF BRS) and LFIIIF ratio were calculated. At rest, llR wa'i higher and SBP, SV, Q and LF/HF ratio were lower in the children compared to the adult males (pgJ.05). In response to the increasing LEN!> IIR and TPR increased, and LF BRS. SV and Q decreased in the adult group (pSf).05). while the same levels of LBNP caused an increase in TPR and a decrease in SBP, SV and Q in the children (pSf).05). Although not significant, the LF/HF ratio in the adult group showed an increasing trend in response to increased negative pressure (p=O.088). As for resting BRS, there were no significant differences in LF or HF BRS between the children and the adults despite a tendency for both measures to be 18% lower in the children. Also the LF/HF ratio was almost significantly greater in the adults compared to the children (p=O.057). In addition, a comparison between the relative adult and child responses to LBNP yielded no significant group by level interactions. This result should be taken with caution though, as the low sample size and high measurement variability generated very low statistical power for this analysis. In conclusion, the results of this study suggest that the hemodynamic adaptations to an orthostatic stress were less pronounced in the prepubertal males, most likely due to an underdeveloped autonomic system. These results need to be strengthened by further research before any implications can be derived for health care purposes.

Effects of isometric elbow flexion on electromyographic spike analysis

The main objective of this research was to examine the relationship between surface electromyographic (SEMG) spike activity and force. The secondary objective was to determine to what extent subcutaneous tissue impacts the high frequency component of the signal, as well as, examining the relationship between measures of SEMG spike shape and their traditional time and frequency analogues. A total of96 participants (46 males and 50 females) ranging in age (18-35 years), generated three 5-second isometric step contractions at each force level of 40, 60, 80, and 100 percent of maximal voluntary contraction (MVC). The presentation of the contractions was balanced across subjects. The right arm of the subject was positioned in the sagittal plane, with the shoulder and elbow flexed to 90 degrees. The elbow rested on a support in a neutral position (mid pronation/mid supination) and placed within a wrist cuff, fastened below the styloid process. The wrist cuff was attached to a load cell (JR3 Inc., Woodland, CA) recording the force produced. Biceps brachii activity was monitored with a pair of Ag/AgCI recording electrodes (Grass F-E9, Astro-Med Inc., West Warwick, RI) placed in a bipolar configuration, with an interelectrode distance (lED) of 2cm distal to the motor point. Data analysis was performed on a I second window of data in the middle of the 5-second contraction. The results indicated that all spike shape measures exhibited significant (p < 0.01) differences as force increase~ from 40 to 100% MVC. The spike shape measures suggest that increased motor unit (MU) recruitment was responsible for increasing force up to 80% MVC. The results suggested that further increases in force relied on MU III synchronization. The results also revealed that the subcutaneous tissue (skin fold thickness) had no relationship (r = 0.02; P > 0.05) with the mean number of peaks per spike (MNPPS), which was the high frequency component of the signal. Mean spike amplitude (MSA) and mean spike frequency (MSF) were highly correlated with their traditional measures root mean square (RMS) and mean power frequency (MPF), respectively (r = 0.99; r = 0.97; P < 0.01).

Autonomic regulation and blood pressure in children

Vagal baroreflex sensitivity (BRS) is a measure of short term blood pressure (BP) regulation through alterations in heart rate. Low BRS reflects impaired autonomic system regulation and has been found to be a surrogate marker for cardiovascular health. In particular, it has found to be associated with the pathogenesis of adult hypertension. However, only limited information exists as to the negative consequences of childhood BP on baroreflex function. The objective of this study was to investigate BRS in children with 2 different BP profiles while controlling for the effects of age, maturation, sex, and body composition. A preliminary subsample of 11-14 year-old children from the HBEAT (Heart Behavioural Environmental Assessment Team) Study was selected. The children were divided into 2 BP groups; high BP (HBP; 2:95tl1 percentile, n=21) and normal BP (NBP; <90th percentile, n=85). Following an initial 15 minutes of supine rest, 5 minutes of continuous beat-to-beat BP (Finapres) and RR interval (RRI) were recorded (standard ECG). Spectral indices were computed using Fast Fourier Transform and transfer function analysis was used to compute BRS. High frequency (HF) and low frequency (LF) power spectral areas were set to 0.15-0.4 Hz and 0.04-0.15 Hz, respectively. Body composition was measured using body mass index. After adjusting for body composition, maturation, age and sex ANCOV A results were as follows; LF and HF BRS, LF and HF RRI, and RRI total power were lower in the HBP versus NBP participants (p<0.05). As well, LF IHF SBP ratio was significantly higher in the HBP compared to the NBP group (p<0.05). The regression coefficients (unstandardized B) indicated that in changing groups (NBP to HBP) LF and HF BRS decreases by 4.04 and 6.18 ms/mmHg, respectively. Thus, as BP increases, BRS decreases. These data suggest that changes in autonomic activity occur in children who have HBP, regardless of age, sex, maturation, and body composition. Thus, despite their young age and relatively short amount of time having high BP compared with adults, these children are already demonstrating poor BP regulation and reduced cardiovagal activity. Given that childhood BP is associated with hypertension in adulthood, there is a growing concern in regards to the current cardiovascular health of our children and future adults.

Evolutionary Origin and Maintenance of Sociality in the Small Carpenter Bees

Many arthropods exhibit behaviours precursory to social life, including adult longevity, parental care, nest loyalty and mutual tolerance, yet there are few examples of social behaviour in this phylum. The small carpenter bees, genus Ceratina, provide important insights into the early stages of sociality. I described the biology and social behaviour of five facultatively social species which exhibit all of the preadaptations for successful group living, yet present ecological and behavioural characteristics that seemingly disfavour frequent colony formation. These species are socially polymorphic with both / solitary and social nests collected in sympatry. Social colonies consist of two adult females, one contributing both foraging and reproductive effort and the second which remains at the nest as a passive guard. Cooperative nesting provides no overt reproductive benefits over solitary nesting, although brood survival tends to be greater in social colonies. Three main theories explain cooperation among conspecifics: mutual benefit, kin selection and manipulation. Lifetime reproductive success calculations revealed that mutual benefit does not explain social behaviour in this group as social colonies have lower per capita life time reproductive success than solitary nests. Genetic pedigrees constructed from allozyme data indicate that kin selection might contribute to the maintenance of social nesting -, as social colonies consist of full sisters and thus some indirect fitness benefits are inherently bestowed on subordinate females as a result of remaining to help their dominant sister. These data suggest that the origin of sociality in ceratinines has principal costs and the great ecological success of highly eusociallineages occurred well after social origins. Ecological constraints such as resource limitation, unfavourable weather conditions and parasite pressure have long been considered some of the most important selective pressures for the evolution of sociality. I assessed the fitness consequences of these three ecological factors for reproductive success of solitary and social colonies and found that nest sites were not limiting, and the frequency of social nesting was consistent across brood rearing seasons. Local weather varied between seasons but was not correlated with reproductive success. Severe parasitism resulted in low reproductive success and total nest failure in solitary nests. Social colonies had higher reproductive success and were never extirpated by parasites. I suggest that social nesting represents a form of bet-hedging. The high frequency of solitary nests suggests that this is the optimal strategy when parasite pressure is low. However, social colonies have a selective advantage over solitary nesting females during periods of extreme parasite pressure. Finally, the small carpenter bees are recorded from all continents except Antarctica. I constructed the first molecular phylogeny of ceratinine bees based on four gene regions of selected species covering representatives from all continents and ecological regions. Maximum parsimony and Bayesian Inference tree topology and fossil dating support an African origin followed by an Old World invasion and New World radiation. All known Old World ceratinines form social colonies while New World species are largely solitary; thus geography and phylogenetic inertia are likely predictors of social evolution in this genus. This integrative approach not only describes the behaviour of several previously unknown or little-known Ceratina species, bu~ highlights the fact that this is an important, though previously unrecognized, model for studying evolutionary transitions from solitary to social behaviour.

Reduced power output in skeletal muscles devoid of skMLCK: RLC phosphorylation contributes to peak performance

Regulatory light chain (RLC) phosphorylation in fast twitch muscle is catalyzed by skeletal myosin light chain kinase (skMLCK), a reaction known to increase muscle force, work, and power. The purpose of this study was to explore the contribution of RLC phosphorylation on the power of mouse fast muscle during high frequency (100 Hz) concentric contractions. To determine peak power shortening ramps (1.05 to 0.90 Lo) were applied to Wildtype (WT) and skMLCK knockout (skMLCK-/-) EDL muscles at a range of shortening velocities between 0.05-0.65 of maximal shortening velocity (Vmax), before and after a conditioning stimulus (CS). As a result, mean power was increased to 1.28 ± 0.05 and 1.11 ± .05 of pre-CS values, when collapsed for shortening velocity in WT and skMLCK-/-, respectively (n = 10). In addition, fitting each data set to a second order polynomial revealed that WT mice had significantly higher peak power output (27.67 ± 1.12 W/ kg-1) than skMLCK-/- (25.97 ± 1.02 W/ kg-1), (p < .05). No significant differences in optimal velocity for peak power were found between conditions and genotypes (p > .05). Analysis with Urea Glycerol PAGE determined that RLC phosphate content had been elevated in WT muscles from 8 to 63 % while minimal changes were observed in skMLCK-/- muscles: 3 and 8 %, respectively. Therefore, the lack of stimulation induced increase in RLC phosphate content resulted in a ~40 % smaller enhancement of mean power in skMLCK-/-. The increase in power output in WT mice suggests that RLC phosphorylation is a major potentiating component required for achieving peak muscle performance during brief high frequency concentric contractions.