6 resultados para simultaneous volatility

em Brock University, Canada


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A simple High Performance Liquid Chromatograph (HPLC) method has been developed to identify benamyl (methyl 1- (butylcarbamoyl)-2-benzimidazole carbamate) and MBC (methyl 2-benzimidazole carbamat~ residues on apple leaves without cleanup. Sample leaves are freeze dried in a Mason jar and residues are then extracted by tumbling them in chloroform containing 5,000 microgram per milliliter of n-propyl isocyanate (PIC) at 10 C. To the extract, n-butyl isocyanate (BIC) was added at 5,000 microgram per milliliter and 20 microliter of this mixture injected onto the HPLC system. Separation is accomplished by the use of a Brownlee LiChrosorb silica gel column with a guard column and' operated with a mixed mobile phase consisting of chloroform and hexane (4:1) saturated with water. MBC, a degradation product of benomyl is identified if present as methyl l-(npropyl carbamoyl)-2-benzimidazole carbamate (MBC-n-PIC). Both benomyl and MBC-n-PIC can be detected with aKUltraviolet (UV) detector (280nm) at a concentration as low as 0.2 microgram per milliliter in apple leaves. The fate of benomyl on apple foliage after spray application of benomyl (Ben late 50 per cent wettable powder) was investigated by the method thus described. Benomyl quickly dissipated during the first 3-7 days, but the dissipatio'n sltowed down thereafter. In contrast, the concentration of MBC in leaves gradually increased after repeated applications of Benlate.

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Order parameter profiles extracted from the NMR spectra of model membranes are a valuable source of information about their structure and molecular motions. To al1alyze powder spectra the de-Pake-ing (numerical deconvolution) ~echnique can be used, but it assumes a random (spherical) dist.ribution of orientations in the sample. Multilamellar vesicles are known to deform and orient in the strong magnetic fields of NMR magnets, producing non-spherical orientation distributions. A recently developed technique for simultaneously extracting the anisotropies of the system as well as the orientation distributions is applied to the analysis of partially magnetically oriented 31p NMR spectra of phospholipids. A mixture of synthetic lipids, POPE and POPG, is analyzed to measure distortion of multilamellar vesicles in a magnetic field. In the analysis three models describing the shape of the distorted vesicles are examined. Ellipsoids of rotation with a semiaxis ratio of about 1.14 are found to provide a good approximation of the shape of the distorted vesicles. This is in reasonable agreement with published experimental work. All three models yield clearly non-spherical orientational distributions, as well as a precise measure of the anisotropy of the chemical shift. Noise in the experimental data prevented the analysis from concluding which of the three models is the best approximation. A discretization scheme for finding stability in the algorithm is outlined

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A study was undertaken' to determine the applicability of gas liquid chromatography to the simultaneous analysis of sugars and sugar phosphates from biological samples. A new method of silylation involving dimethylsulfoxide, hexamethyldisilazane, trimethylchlorosilane and cyclohexane (1:0.2:0.1:1) which rapidly silylated sugars and sugar phosphates was developed. Subsequent chromatography on a 5% SE-52 column gave good resolution of the sugar and sugar phosphate samples. Sugar phosphates decomposed during chromatography and were lost at the 7 x 10-3 ~mole level. Acidic ethanol extraction of yeast samples revealed background contamination from the yeast sample, the culture medium and the silylation reagents which would further limit the level of detection obtainable with the glc for sugars in biological samples to the 3 x 10-4 ~mole level.

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Margin policy is used by regulators for the purpose of inhibiting exceSSIve volatility and stabilizing the stock market in the long run. The effect of this policy on the stock market is widely tested empirically. However, most prior studies are limited in the sense that they investigate the margin requirement for the overall stock market rather than for individual stocks, and the time periods examined are confined to the pre-1974 period as no change in the margin requirement occurred post-1974 in the U.S. This thesis intends to address the above limitations by providing a direct examination of the effect of margin requirement on return, volume, and volatility of individual companies and by using more recent data in the Canadian stock market. Using the methodologies of variance ratio test and event study with conditional volatility (EGARCH) model, we find no convincing evidence that change in margin requirement affects subsequent stock return volatility. We also find similar results for returns and trading volume. These empirical findings lead us to conclude that the use of margin policy by regulators fails to achieve the goal of inhibiting speculating activities and stabilizing volatility.

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For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) whether implied volatility outperforms historical volatilities. In this thesis, we address these two issues using the Canadian financial data. First, we examine the information content and forecasting power between VIXC - a model free implied volatility, and MVX - a model-based implied volatility. The GARCH in-sample test indicates that VIXC subsumes all information that is reflected in MVX. The out-of-sample examination indicates that VIXC is superior to MVX for predicting the next 1-, 5-, 10-, and 22-trading days' realized volatility. Second, we investigate the predictive power between VIXC and alternative volatility forecasts derived from historical index prices. We find that for time horizons lesser than 10-trading days, VIXC provides more accurate forecasts. However, for longer time horizons, the historical volatilities, particularly the random walk, provide better forecasts. We conclude that VIXC cannot incorporate all information contained in historical index prices for predicting future volatility.

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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.