An analysis of the determinants of cross-border real estate development flows

This paper investigates the scale and drivers of cross-border real estate development in western and central and eastern Europe (CEE). Drawing upon existing literature on the integration of international real estate markets, we make some inferences on expected patterns of cross-border real estate development from this literature review. The paper draws upon a transactions database in order to assess the penetration of national markets by international real estate developers. The determinants of cross-border transaction flows are modeled as a function the range of economic and real estate variables. Whilst western European markets tend to be dominated by local developers, much higher levels of market penetration by international real estate developers are found in the less mature markets of central and eastern Europe. Empirical modelling based on gravity model specifications reveal the importance of size of the economies, distance between countries, extent of globalization and EU membership as significant determinants of cross-border real estate development flow.

Cross-correlations and cross-bicorrelations in Sterling exchange rates

This paper proposes two new tests for linear and nonlinear lead/lag relationships between time series based on the concepts of cross-correlations and cross-bicorrelations, respectively. The tests are then applied to a set of Sterling-denominated exchange rates. Our analysis indicates that there existed periods during the post-Bretton Woods era where the temporal relationship between different exchange rates was strong, although these periods have become less frequent over the past 20 years. In particular, our results demonstrate the episodic nature of the nonlinearity, and have implications for the speed of flow of information between financial series. The method generalises recently proposed tests for nonlinearity to the multivariate context.

The gravity wave momentum flux in hydrostatic flow with directional shear over elliptical mountains

Semi-analytical expressions for the momentum flux associated with orographic internal gravity waves, and closed analytical expressions for its divergence, are derived for inviscid, stationary, hydrostatic, directionally-sheared flow over mountains with an elliptical horizontal cross-section. These calculations, obtained using linear theory conjugated with a third-order WKB approximation, are valid for relatively slowly-varying, but otherwise generic wind profiles, and given in a form that is straightforward to implement in drag parametrization schemes. When normalized by the surface drag in the absence of shear, a quantity that is calculated routinely in existing drag parametrizations, the momentum flux becomes independent of the detailed shape of the orography. Unlike linear theory in the Ri → ∞ limit, the present calculations account for shear-induced amplification or reduction of the surface drag, and partial absorption of the wave momentum flux at critical levels. Profiles of the normalized momentum fluxes obtained using this model and a linear numerical model without the WKB approximation are evaluated and compared for two idealized wind profiles with directional shear, for different Richardson numbers (Ri). Agreement is found to be excellent for the first wind profile (where one of the wind components varies linearly) down to Ri = 0.5, while not so satisfactory, but still showing a large improvement relative to the Ri → ∞ limit, for the second wind profile (where the wind turns with height at a constant rate keeping a constant magnitude). These results are complementary, in the Ri > O(1) parameter range, to Broad’s generalization of the Eliassen–Palm theorem to 3D flow. They should contribute to improve drag parametrizations used in global weather and climate prediction models.

A numerical model of the ionospheric signatures of time-varying magnetic reconnection: II. Measuring expansions in the ionospheric flow response

A numerical model embodying the concepts of the Cowley-Lockwood (Cowley and Lockwood, 1992, 1997) paradigm has been used to produce a simple Cowley– Lockwood type expanding flow pattern and to calculate the resulting change in ion temperature. Cross-correlation, fixed threshold analysis and threshold relative to peak are used to determine the phase speed of the change in convection pattern, in response to a change in applied reconnection. Each of these methods fails to fully recover the expansion of the onset of the convection response that is inherent in the simulations. The results of this study indicate that any expansion of the convection pattern will be best observed in time-series data using a threshold which is a fixed fraction of the peak response. We show that these methods used to determine the expansion velocity can be used to discriminate between the two main models for the convection response to a change in reconnection.

Development of substorm cross-tail current disruption as seen from the ground

We discuss substorm observations made near 2100 magnetic local time (MLT) on March 7, 1991, in a collaborative study involving data from the European Incoherent Scatter radar, all-sky camera data, and magnetometer data from the Tromsø Auroral Observatory, the U.K. Sub-Auroral Magnetometer Network (SAMNET) and the IMAGE magnetometer chain. We conclude that for the substorm studied a plasmoid was not pinched off until at least 10 min after onset at the local time of the observations (2100 MLT) and that the main substorm electrojet expanded westward over this local time 14 min after onset. In the late growth phase/early expansion phase, we observed southward drifting arcs probably moving faster than the background plasma. Similar southward moving arcs in the recovery phase moved at a speed which does not appear to be significantly different from the measured plasma flow speed. We discuss these data in terms of the “Kiruna conjecture” and classical “near-Earth neutral line” paradigms, since the data show features of both models of substorm development. We suggest that longitudinal variation in behavior may reconcile the differences between the two models in the case of this substorm.

The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market

This paper examines the determinants of cross-platform arbitrage profits. We develop a structural model that enables us to decompose the likelihood of an arbitrage opportunity into three distinct factors: the fixed cost to trade the opportunity, the level at which one of the platforms delays a price update and the impact of the order flow on the quoted prices (inventory and asymmetric information effects). We then investigate the predictions from the theoretical model for the European Bond market with the estimation of a probit model. Our main finding is that the results found in the empirical part corroborate strongly the predictions from the structural model. The event of a cross market arbitrage opportunity has a certain degree of predictability where an optimal ex ante scenario is represented by a low level of spreads on both platforms, a time of the day close to the end of trading hours and a high volume of trade.