A trading strategy based on the lead–lag relationship between the spot index and futures contract for the FTSE 100

This paper examines the lead–lag relationship between the FTSE 100 index and index futures price employing a number of time series models. Using 10-min observations from June 1996–1997, it is found that lagged changes in the futures price can help to predict changes in the spot price. The best forecasting model is of the error correction type, allowing for the theoretical difference between spot and futures prices according to the cost of carry relationship. This predictive ability is in turn utilised to derive a trading strategy which is tested under real-world conditions to search for systematic profitable trading opportunities. It is revealed that although the model forecasts produce significantly higher returns than a passive benchmark, the model was unable to outperform the benchmark after allowing for transaction costs.

Rapid qualitative and quantitative analysis of proanthocyanidin oligomers and polymers by UPLC-MS/MS.

This paper presents the development of a rapid method with ultraperformance liquid chromatography–tandem mass spectrometry (UPLC-MS/MS) for the qualitative and quantitative analyses of plant proanthocyanidins directly from crude plant extracts. The method utilizes a range of cone voltages to achieve the depolymerization step in the ion source of both smaller oligomers and larger polymers. The formed depolymerization products are further fragmented in the collision cell to enable their selective detection. This UPLC-MS/MS method is able to separately quantitate the terminal and extension units of the most common proanthocyanidin subclasses, that is, procyanidins and prodelphinidins. The resulting data enable (1) quantitation of the total proanthocyanidin content, (2) quantitation of total procyanidins and prodelphinidins including the procyanidin/prodelphinidin ratio, (3) estimation of the mean degree of polymerization for the oligomers and polymers, and (4) estimation of how the different procyanidin and prodelphinidin types are distributed along the chromatographic hump typically produced by large proanthocyanidins. All of this is achieved within the 10 min period of analysis, which makes the presented method a significant addition to the chemistry tools currently available for the qualitative and quantitative analyses of complex proanthocyanidin mixtures from plant extracts.

Ozonolysis of methyl oleate monolayers at the air–water interface: oxidation kinetics, reaction products and atmospheric implications

Ozonolysis of methyl oleate monolayers at the air–water interface results in surprisingly rapid loss of material through cleavage of the C[double bond, length as m-dash]C bond and evaporation/dissolution of reaction products. We determine using neutron reflectometry a rate coefficient of (5.7 ± 0.9) × 10−10 cm2 molecule−1 s−1 and an uptake coefficient of [similar]3 × 10−5 for the oxidation of a methyl ester monolayer: the atmospheric lifetime is [similar]10 min. We obtained direct experimental evidence that <2% of organic material remains at the surface on atmospheric timescales. Therefore known long atmospheric residence times of unsaturated fatty acids suggest that these molecules cannot be present at the interface throughout their ageing cycle, i.e. the reported atmospheric longevity is likely to be attributed to presence in the bulk and viscosity-limited reactive loss. Possible reaction products were characterized by ellipsometry and uncertainties in the atmospheric fate of organic surfactants such as oleic acid and its methyl ester are discussed. Our results suggest that a minor change to the structure of the molecule (fatty acid vs. its methyl ester) considerably impacts on reactivity and fate of the organic film.

Ground-based observations of the auroral zone and polar cap ionospheric responses to dayside transient reconnection

Observations from the EISCAT VHF incoherent scatter radar system in northern Norway, during a run of the common programme CP-4, reveal a series of polewardpropagating F-region electron density enhancements in the pre-noon sector on 23 November 1999. These plasma density features, which are observed under conditions of a strongly southward interplanetary magnetic field, exhibit a recurrence rate of under 10 min and appear to emanate from the vicinity of the open/closed field-line boundary from where they travel into the polar cap; this is suggestive of their being an ionospheric response to transient reconnection at the dayside magnetopause (flux transfer events). Simultaneous with the density structures detected by the VHF radar, polewardmoving radar auroral forms (PMRAFs) are observed by the Finland HF coherent scatter radar. It is thought that PMRAFs, which are commonly observed near local noon by HF radars, are also related to flux transfer events, although the specific mechanism for the generation of the field-aligned irregularities within such features is not well understood. The HF observations suggest, that for much of their existence, the PMRAFs trace fossil signatures of transient reconnection rather than revealing the footprint of active reconnection itself; this is evidenced not least by the fact that the PMRAFs become narrower in spectral width as they evolve away from the region of more classical, broad cusp scatter in which they originate. Interpretation of the HF observations with reference to the plasma parameters diagnosed by the incoherent scatter radar suggests that as the PMRAFs migrate away from the reconnection site and across the polar cap, entrained in the ambient antisunward flow, the irregularities therein are generated by the presence of gradients in the electron density, with these gradients having been formed through structuring of the ionosphere in the cusp region in response to transient reconnection.

Ionospheric ion and electron heating at the poleward boundary of a poleward expanding substorm-disturbed region

We present observations of a poleward propagating substorm-disturbed region which was observed by the European Incoherent SCATter (EISCAT) radar and the Svalbard International Monitor for Auroral Geomagnetic Effects (IMAGE) magnetometers in the postmidnight sector. The expansion of the disturbance was launched by a substorm intensification which started similar to 25 min after the initial onset, and similar to 10 min before the disturbance arrived over Svalbard. In association with the magnetic disturbance, a poleward expanding enduring enhancement in the F region electron temperature was observed, indicative of soft electron precipitation, with a narrow band of enhanced ion temperature straddling its poleward edge, indicative of fast ion flows and ion-neutral collisional heating. This electron temperature boundary was coincident with the poleward propagating electrojet current system detected by the high-latitude IMAGE magnetometer stations and is taken to be a proxy for the observation of a substorm auroral bulge. The electron temperature boundary is inferred to have a width comparable or less than one radar range gate (similar to 60 km transverse to the magnetic field), while the region of high ion temperature was found to be approximately three gates wide, extending approximately two gates (similar to 120 km) poleward of the electron temperature boundary, and approximately one gate (similar to 60 km) equatorward. The two-beam radar line-of-sight velocity data are found to be consistent with the existence of a layer of high-speed flow in the boundary, peaking at values similar to1.5-3 km s(-1), roughly consistent with the ion temperature data. The flow is directed either east or west along the boundary depending on the direction of the flow in the poleward region. We infer that the flow is deflected along and around the boundary of the substorm-disturbed region due to the high conductivity of the latter. Variations in the flow poleward of the boundary produced no discernible magnetic effects on the ground, confirming the low conductivity of the preboundary ionosphere.

Incoherent scatter radar observations related to magnetospheric dynamics

Over the past decade incoherent scatter radars have provided fundamental observations of velocities and plasma parameters in the high-latitude ionosphere which relate to the dynamical processes responsible for the excitation of flow in the coupled solar wind-magnetosphere-ionosphere system. These observations have played a central role in inspiring a change of paradigm from a picture of quasi-steady flows parameterised by the direction of the interplanetary magnetic field to a picture of inherently time-dependent flows driven by coupling processes at the magnetopause and in the tail. Flows and particle precipitation in the dayside ionosphere are reasonably well understood in principle in terms of the effects of time-dependent reconnection at the magnetopause, though coordinated high- and low-altitude observations are lacking. Related phenomena also appear to occur in the tail, forming the “equatorward-drifting arcs” which are present during quiet times, as well as during the growth and early expansion phases of substorms. At expansion onset, the substorm bulge forms well equatorward of the arc formation region, and may take ∼ 10 min or more to reach it in its poleward expansion. Nightside ionospheric flows are then considerably perturbed by the effects of strong precipitation-induced conductivity gradients.

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.

Low and middle altitude cusp particle signatures for general magnetopause reconnection rate variations: 1. Theory

We present predictions of the signatures of magnetosheath particle precipitation (in the regions classified as open low-latitude boundary layer, cusp, mantle and polar cap) for periods when the interplanetary magnetic field has a southward component. These are made using the “pulsating cusp” model of the effects of time-varying magnetic reconnection at the dayside magnetopause. Predictions are made for both low-altitude satellites in the topside ionosphere and for midaltitude spacecraft in the magnetosphere. Low-altitude cusp signatures, which show a continuous ion dispersion signature, reveal "quasi-steady reconnection" (one limit of the pulsating cusp model), which persists for a period of at least 10 min. We estimate that “quasi-steady” in this context corresponds to fluctuations in the reconnection rate of a factor of 2 or less. The other limit of the pulsating cusp model explains the instantaneous jumps in the precipitating ion spectrum that have been observed at low altitudes. Such jumps are produced by isolated pulses of reconnection: that is, they are separated by intervals when the reconnection rate is zero. These also generate convecting patches on the magnetopause in which the field lines thread the boundary via a rotational discontinuity separated by more extensive regions of tangential discontinuity. Predictions of the corresponding ion precipitation signatures seen by midaltitude spacecraft are presented. We resolve the apparent contradiction between estimates of the width of the injection region from midaltitude data and the concept of continuous entry of solar wind plasma along open field lines. In addition, we reevaluate the use of pitch angle-energy dispersion to estimate the injection distance.

The variation of reconnection rate at the dayside magnetopause and cusp ion precipitation

A method is presented which allows estimation of the variation of the rate of magnetic reconnection at the day side magnetopause. This is achieved using observations of the cusp particle precipitation made by low-altitude polar-orbiting spacecraft. In this paper we apply the technique to a previously published example of a cusp intersection by the DMSP F7 satellite. It is shown that the cusp signature in this case was produced by three separate bursts of reconnection which were of the order of 10 min apart, each lasting roughly 1 min. This is similar to the variation of reconnection rate which is required to explain typical flux transfer event signatures at the magnetopause.

Auroral bright spot sequence near 1400 MLT: Coordinated optical and ion drift observations

Optical observations of a dayside auroral brightening sequence, by means of all-sky TV cameras and meridian scanning photometers, have been combined with EISCAT ion drift observations within the same invariant latitude-MLT sector. The observations were made during a January 1989 campaign by utilizing the high F region ion densities during the maximum phase of the solar cycle. The characteristic intermittent optical events, covering ∼300 km in east-west extent, move eastward (antisunward) along the poleward boundary of the persistent background aurora at velocities of ∼1.5 km s−1 and are associated with ion flows which swing from eastward to westward, with a subsequent return to eastward, during the interval of a few minutes when there is enhanced auroral emission within the radar field of view. The breakup of discrete auroral forms occurs at the reversal (negative potential) that forms between eastward plasma flow, maximizing near the persistent arc poleward boundary, and strong transient westward flow to the south. The reported events, covering a 35 min interval around 1400 MLT, are embedded within a longer period of similar auroral activity between 0830 (1200 MLT) and 1300 UT (1600 MLT). These observations are discussed in relation to recent models of boundary layer plasma dynamics and the associated magnetosphere-ionosphere coupling. The ionospheric events may correspond to large-scale wave like motions of the low-latitude boundary layer (LLBL)/plasma sheet (PS) boundary. On the basis of this interpretation the observed spot size, speed and repetition period (∼10 min) give a wavelength (the distance between spots) of ∼900 km in the present case. The events can also be explained as ionospheric signatures of newly opened flux tubes associated with reconnection bursts at the magnetopause near 1400 MLT. We also discuss these data in relation to random, patchy reconnection (as has recently been invoked to explain the presence of the sheathlike plasma on closed field lines in the LLBL). In view of the lack of IMF data, and the existing uncertainty on the location of the open-closed field line boundary relative to the optical events, an unambiguous discrimination between the different alternatives is not easily obtained.

Periodic auroral events at the high-latitude convection reversal in the 16 MLT region

Combined optical and radar observations of two breakup-like auroral events near the polar cap boundary, within 74–76° MLAT and 1210 – 1240 UT (roughly 1540 – 1610 MLT) on 9 Jan. 1989 are reported. A two-component structure of the auroral phenomenon is indicated, with a local intensification of the pre-existing arc as well as a separate, tailward moving discrete auroral event on the poleward side of the background aurora, close to the reversal between well-defined zones of sunward and tailward ion flows. The all-sky TV observations do not indicate a connection between the two components, which also show different optical spectral composition. The 16 MLT background arc is located on sunward convecting field lines, as opposed to the 12–14 MLT auroral emission observed on this day. Although the magnetospheric plasma source (s) of the 16 MLT events are not easily identified from these ground-based data alone, it is suggested that the lower and higher latitude components, may map to the plasma sheet boundary layer and along open field lines to the magnetopause boundary, respectively. The events occur at the time of enhancements of westward ionospheric ion flow and corresponding eastward electrojet current south of 74° MLAT. Thus, they seem to be very significant events, involving periodic (10 min period), tailward moving filaments of field-aligned current/discrete auroral emission at the 16 MLT polar cap boundary.

Auroral and plasma flow transients at magnetic noon

We present observations of a transient event in the dayside auroral ionosphere at magnetic noon. F-region plasma convection measurements were made by the EISCAT radar, operating in the beamswinging “Polar” experiment mode, and simultaneous observations of the dayside auroral emissions were made by optical meridian-scanning photometers and all-sky TV cameras at Ny Ålesund, Spitzbergen. The data were recorded on 9 January 1989, and a sequence of bursts of flow, with associated transient aurora, were observed between 08:45 and 11:00 U.T. In this paper we concentrate on an event around 09:05 U.T. because that is very close to local magnetic noon. The optical data show a transient intensification and widening (in latitude) of the cusp/cleft region, as seen in red line auroral emissions. Over an interval of about 10 min, the band of 630 nm aurora widened from about 1.5° of invariant latitude to over 5° and returned to its original width. Embedded within the widening band of 630 nm emissions were two intense, active 557.7 nm arc fragments with rays which persisted for about 2 min each. The flow data before and after the optical transient show eastward flows, with speeds increasing markedly with latitude across the band of 630 nm aurora. Strong, apparently westward, flows appeared inside the band while it was widening, but these rotated round to eastward, through northward, as the band shrunk to its original width. The observed ion temperatures verify that the flow speeds during the transient were, to a large extent, as derived using the beamswinging technique; but they also show that the flow increase initially occurred in the western azimuth only. This spatial gradient in the flow introduces ambiguity in the direction of these initial flows and they could have been north-eastward rather than westward. However, the westward direction derived by the beamswinging is consistent with the motion of the colocated and coincident active 557.7 nm arc fragment, A more stable transient 557.7 nm aurora was found close to the shear between the inferred westward flows and the persisting eastward flows to the North. Throughout the transient, northward flow was observed across the equatorward boundary of the 630 nm aurora. Interpretation of the data is made difficult by lack of IMF data, problems in distinguishing the cusp and cleft aurora and uncertainty over which field lines are open and which are closed. However, at magnetic noon there is a 50% probability that we were observing the cusp, in which case from its southerly location we infer that the IMF was southward and many features are suggestive of time-varying reconnection at a single X-line on the dayside magnetopause. This IMF orientation is also consistent with the polar rain precipitation observed simultaneously by the DMSP-F9 satellite in the southern polar cap. There is also a 25% chance that we were observing the cleft (or the mantle poleward of the cleft). In this case we infer that the IMF was northward and the transient is well explained by reconnection which is not only transient in time but occurs at various sites located randomly on the dayside magnetopause (i.e. patchy in space). Lastly, there is a 25% chance that we were observing the cusp poleward of the cleft, in which case we infer that IMF Bz was near zero and the transient is explained by a mixture of the previous two interpretations.

The excitation of plasma convection in the high-latitude ionosphere

Recent observations of ionospheric flows by ground-based radars, in particular by the European Incoherent Scatter (EISCAT) facility using the “Polar” experiment, together with previous analyses of the response of geomagnetic disturbance to variations of the interplanetary magnetic field (IMF), suggest that convection in the high-latitude ionosphere should be considered to be the sum of two intrinsically time-dependent patterns, one driven by solar wind-magnetosphere coupling at the dayside magnetopause, the other by the release of energy in the geomagnetic tail (mainly by dayside and nightside reconnection, respectively). The flows driven by dayside coupling are largest on the dayside, where they usually dominate, are associated with an expanding polar cap area, and are excited and decay on ∼10-min time scales following southward and northward turnings of the IMF, respectively. The latter finding indicates that the production of new open flux at the dayside magnetopause excites magnetospheric and ionospheric flow only for a short interval, ∼10 min, such that the flow driven by this source subsequently decays on this time scale unless maintained by the production of more open flux tubes. Correspondingly, the flows excited by the release of energy in the tail, mainly during substorms, are largest on the nightside, are associated with a contracting polar cap boundary, and are excited on ∼1-hour time scales following a southward turn of the IMF. In general, the total ionospheric flow will be the sum of the flows produced by these two sources, such that due to their different response times to changes in the IMF, considerable variations in the flow pattern can occur for a given direction and strength of the IMF. Consequently, the ionospheric electric field cannot generally be regarded as arising from a simple mapping of the solar wind electric field along open flux tubes.

Midday auroral breakup events and related energy and momentum transfer from the magnetosheath

Combined observations by meridian-scanning photometers, all-sky auroral TV camera and the EISCAT radar permitted a detailed analysis of the temporal and spatial development of the midday auroral breakup phenomenon and the related ionospheric ion flow pattern within the 71°–75° invariant latitude radar field of view. The radar data revealed dominating northward and westward ion drifts, of magnitudes close to the corresponding velocities of the discrete, transient auroral forms, during the two different events reported here, characterized by IMF |BY/BZ| < 1 and > 2, respectively (IMF BZ between −8 and −3 nT and BY > 0). The spatial scales of the discrete optical events were ∼50 km in latitude by ∼500 km in longitude, and their lifetimes were less than 10 min. Electric potential enhancements with peak values in the 30–50 kV range are inferred along the discrete arc in the IMF |BY/BZ| < 1 case from the optical data and across the latitudinal extent of the radar field of view in the |BY/BZ| > 2 case. Joule heat dissipation rates in the maximum phase of the discrete structures of ∼ 100 ergs cm−2 s−1 (0.1 W m−2) are estimated from the photometer intensities and the ion drift data. These observations combined with the additional characteristics of the events, documented here and in several recent studies (i.e., their quasi-periodic nature, their motion pattern relative to the persistent cusp or cleft auroral arc, the strong relationship with the interplanetary magnetic field and the associated ion drift/E field events and ground magnetic signatures), are considered to be strong evidence in favour of a transient, intermittent reconnection process at the dayside magnetopause and associated energy and momentum transfer to the ionosphere in the polar cusp and cleft regions. The filamentary spatial structure and the spectral characteristics of the optical signature indicate associated localized ˜1-kV potential drops between the magnetopause and the ionosphere during the most intense auroral events. The duration of the events compares well with the predicted characteristic times of momentum transfer to the ionosphere associated with the flux transfer event-related current tubes. It is suggested that, after this 2–10 min interval, the sheath particles can no longer reach the ionosphere down the open flux tube, due to the subsequent super-Alfvénic flow along the magnetopause, conductivities are lower and much less momentum is extracted from the solar wind by the ionosphere. The recurrence time (3–15 min) and the local time distribution (∼0900–1500 MLT) of the dayside auroral breakup events, combined with the above information, indicate the important roles of transient magnetopause reconnection and the polar cusp and cleft regions in the transfer of momentum and energy between the solar wind and the magnetosphere.

The carbon dioxide production rate assumption biases gastric emptying parameters in healthy adults

RATIONALE: An altered gastric emptying (GE) rate has been implicated in the aetiology of obesity. The (13)C-octanoic acid breath test (OBT) is frequently used to measure GE, and the cumulative percentage of (13)C recovered (cPDR) is a common outcome measure. However, true cPDR in breath is dependent on accurate measurement of carbon dioxide production rate (VCO(2)). The current study aimed to quantify differences in the (13)C OBT results obtained using directly measured VCO(2) (VCO(2DM)) compared with (i) predicted from resting VCO(2) (VCO(2PR)) and (ii) predicted from body surface area VCO(2) (VCO(2BSA)). METHODS: The GE rate of a high-fat test meal was assessed in 27 lean subjects using the OBT. Breath samples were gathered during the fasted state and at regular intervals throughout the 6-h postprandial period for determination of (13)C-isotopic enrichment by continuous-flow isotope-ratio mass spectrometry. The VCO(2) was measured directly from exhaled air samples and the PDR calculated by three methods. The bias and the limits of agreement were calculated using Bland-Altman plots. RESULTS: Compared with the VCO(2DM), the cPDR was underestimated by VCO(2PR) (4.8%; p = 0.0001) and VCO(2BSA) (2.7%; p = 0.02). The GE T(half) was underestimated by VCO(2PR) (13 min; p = 0.0001) and VCO(2BSA) (10 min; p = 0.01), compared with VCO(2DM). CONCLUSIONS: The findings highlight the importance of directly measuring VCO(2)production rates throughout the (13)C OBT and could partly explain the conflicting evidence regarding the effect of obesity on GE rates.