Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

Identification of micro-scale anthropogenic CO2, heat and moisture sources – processing eddy covariance fluxes for a dense urban environment

Anthropogenic emissions of heat and exhaust gases play an important role in the atmospheric boundary layer, altering air quality, greenhouse gas concentrations and the transport of heat and moisture at various scales. This is particularly evident in urban areas where emission sources are integrated in the highly heterogeneous urban canopy layer and directly linked to human activities which exhibit significant temporal variability. It is common practice to use eddy covariance observations to estimate turbulent surface fluxes of latent heat, sensible heat and carbon dioxide, which can be attributed to a local scale source area. This study provides a method to assess the influence of micro-scale anthropogenic emissions on heat, moisture and carbon dioxide exchange in a highly urbanized environment for two sites in central London, UK. A new algorithm for the Identification of Micro-scale Anthropogenic Sources (IMAS) is presented, with two aims. Firstly, IMAS filters out the influence of micro-scale emissions and allows for the analysis of the turbulent fluxes representative of the local scale source area. Secondly, it is used to give a first order estimate of anthropogenic heat flux and carbon dioxide flux representative of the building scale. The algorithm is evaluated using directional and temporal analysis. The algorithm is then used at a second site which was not incorporated in its development. The spatial and temporal local scale patterns, as well as micro-scale fluxes, appear physically reasonable and can be incorporated in the analysis of long-term eddy covariance measurements at the sites in central London. In addition to the new IMAS-technique, further steps in quality control and quality assurance used for the flux processing are presented. The methods and results have implications for urban flux measurements in dense urbanised settings with significant sources of heat and greenhouse gases.

Price discovery of credit spreads in tranquil and crisis periods

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector autoregressive model (VAR). We also look at price discovery in the long run with a vector error correction model (VECM). We find that in the short term the option market clearly leads the other markets in the sub-prime crisis (2007-2009). During the less severe sovereign debt crisis (2009-2012) and the pre-crisis period, options are still important but CDSs become more prominent. In the long run, deviations from the equilibrium relationship with the option market still lead to adjustments in the credit spreads observed or implied from other markets. However, options no longer dominate price discovery in any of the periods considered. Our findings have implications for traders, credit risk managers and financial regulators.

High resolution simulation of the variability of surface energy balance fluxes across central London with urban zones for energy partitioning

The parameterization of surface heat-flux variability in urban areas relies on adequate representation of surface characteristics. Given the horizontal resolutions (e.g. ≈0.1–1km) currently used in numerical weather prediction (NWP) models, properties of the urban surface (e.g. vegetated/built surfaces, street-canyon geometries) often have large spatial variability. Here, a new approach based on Urban Zones to characterize Energy partitioning (UZE) is tested within a NWP model (Weather Research and Forecasting model;WRF v3.2.1) for Greater London. The urban land-surface scheme is the Noah/Single-Layer Urban Canopy Model (SLUCM). Detailed surface information (horizontal resolution 1 km)in central London shows that the UZE offers better characterization of surface properties and their variability compared to default WRF-SLUCM input parameters. In situ observations of the surface energy fluxes and near-surface meteorological variables are used to select the radiation and turbulence parameterization schemes and to evaluate the land-surface scheme

HDAC inhibitors attenuate the development of hypersensitivity in models of neuropathic pain

Histone deacetylase inhibitors (HDACIs) interfere with the epigenetic process of histone acetylation and are known to have analgesic properties in models of chronic inflammatory pain. The aim of this study was to determine whether these compounds could also affect neuropathic pain. Different class I HDACIs were delivered intrathecally into rat spinal cord in models of traumatic nerve injury and antiretroviral drug-induced peripheral neuropathy (stavudine, d4T). Mechanical and thermal hypersensitivity was attenuated by 40% to 50% as a result of HDACI treatment, but only if started before any insult. The drugs globally increased histone acetylation in the spinal cord, but appeared to have no measurable effects in relevant dorsal root ganglia in this treatment paradigm, suggesting that any potential mechanism should be sought in the central nervous system. Microarray analysis of dorsal cord RNA revealed the signature of the specific compound used (MS-275) and suggested that its main effect was mediated through HDAC1. Taken together, these data support a role for histone acetylation in the emergence of neuropathic pain.

Reflection iii: Transnationalisation, Television Formats and the Universal

This reflection argues that, despite various good reasons for approaching the notion of the ‘universal’ with caution, cultural theorists should give up their resistance to the universal. The prominence of formats in today’s television suggests that the time is ripe to do. Intentionally or not, accounts of difference implicitly also often reveal sameness; the more we probe heterogeneity, the more likely we are to encounter something that remains consistent and similar. Thus, it is time to collaborate with scholars from the numerous disciplines for which the universal has long had validity and pertinence.

AP-UV-MALDI mit flüssigen Matrizes: stabile Ionenausbeuten von mehrfach geladenen Peptid- und Proteinionen für die empfindliche Massenspektrometrie

In der biologischen Massenspektrometrie (MS) werden überwiegend zwei Ionisationstechniken für die Analyse von grçßeren Biomolekfürlen wie Polypeptiden eingesetzt. Dies sind die Nano-Elektrospray-Ionisation[1,2] (nanoESI) und die matrixunterstfürtzte Laserdesorption/-ionisation[3, 4] (MALDI). Beide Techniken werden als „sanft“ bezeichnet, weil sie die Desorption und Ionisation von intakten Analytmolekfürlen und damit ihre erfolgreiche massenspektrometrische Analyse erlauben. Einer der wichtigsten Unterschiede zwischen diesen beiden Ionisationstechniken liegt in ihrer F�higkeit, mehrfach geladene Ionen zu erzeugen. MALDI erzeugt typischerweise einfach geladene Peptidionen, w�hrend nano- ESI leicht mehrfach geladene Ionen produziert, sogar für Peptide mit einer Masse von weniger als 1000 Da. Die Erzeugung von hoch geladenen Ionen ist wünschenswert, da dies die Verwendung von Massenanalysatoren wie Ionenfallen (inkl. Orbitraps) und Hybrid-Quadrupolinstrumenten ermçglicht, die typischerweise nur einen begrenzten m/z- Bereich (<2000–4000) bieten. Hohe Ladungszust�nde ermçglichen auch die Aufnahme von informativeren Fragmentionenspektren, wenn Methoden wie die kollisionsinduzierte Dissoziation (CID), die Elektroneneinfang-Dissoziation (ECD) und die Elektronentransfer-Dissoziation (ETD) in Kombination mit der Tandem-MS (MS/MS) verwendet werden.

The transatlantic dimensions of the time lord: Doctor Who and the relationships between British and North American television

This chapter explores some of the textual specificity of the Steven Moffat/Matt Smith Doctor Who, in relation to its positioning within the current transatlantic television landscape. The chapter develops further the existing scholarship on Doctor Who, by both offering a critical assessment of the transatlantic dimensions of the Moffat/Smith-era Doctor Who, and by challenging some of the existing critical arguments about Doctor Who's transatlantic dimensions. Particular attention is paid to the casting, physicality and costuming of actor Matt Smith as the Doctor in relation to notions of Britishness.

Energy exchange in a dense urban environment – part I: temporal variability of long-term observations in central London

Though anthropogenic impacts on boundary layer climates are expected to be large in dense urban areas, to date very few studies of energy flux observations are available. We report on 3.5 years of measurements gathered in central London, UK. Radiometer and eddy covariance observations at two adjacent sites, at different heights, were analysed at various temporal scales and with respect to meteorological conditions, such as cloud cover. Although the evaporative flux is generally small due to low moisture availability and a predominately impervious surface, the enhancement following rainfall usually lasts for 12–18 h. As both the latent and sensible heat fluxes are larger in the afternoon, they maintain a relatively consistent Bowen ratio throughout the middle of the day. Strong storage and anthropogenic heat fluxes sustain high and persistently positive sensible heat fluxes. At the monthly time scale, the urban surface often loses more energy by this turbulent heat flux than is gained from net all-wave radiation. Auxiliary anthropogenic heat flux information suggest human activities in the study area are sufficient to provide this energy.

Energy exchange in a dense urban environment Part II: impact of spatial heterogeneity of the surface

The centre of cities, characterised by spatial and temporal complexity, are challenging environments for micrometeorological research. This paper considers the impact of sensor location and heterogeneity of the urban surface on flux observations in the dense city centre of London, UK. Data gathered at two sites in close vicinity, but with different measurement heights, were analysed to investigate the influence of source area characteristics on long-term radiation and turbulent heat fluxes. Combining consideration of diffuse radiation and effects of specular reflections, the non-Lambertian urban surface is found to impact the measurements of surface albedo. Comparisons of observations from the two sites reveal that turbulent heat fluxes are similar under some flow conditions. However, they mostly observe processes at different scales due to their differing measurement heights, highlighting the critical impact of siting sensors in urban areas. A detailed source area analysis is presented to investigate the surface controls influencing the energy exchanges at the different scales

Sea surface temperature datasets for climate applications from Phase 1 of the European Space Agency Climate Change Initiative (SST CCI)

Sea surface temperature (SST) datasets have been generated from satellite observations for the period 1991–2010, intended for use in climate science applications. Attributes of the datasets specifically relevant to climate applications are: first, independence from in situ observations; second, effort to ensure homogeneity and stability through the time-series; third, context-specific uncertainty estimates attached to each SST value; and, fourth, provision of estimates of both skin SST (the fundamental measure- ment, relevant to air-sea fluxes) and SST at standard depth and local time (partly model mediated, enabling comparison with his- torical in situ datasets). These attributes in part reflect requirements solicited from climate data users prior to and during the project. Datasets consisting of SSTs on satellite swaths are derived from the Along-Track Scanning Radiometers (ATSRs) and Advanced Very High Resolution Radiometers (AVHRRs). These are then used as sole SST inputs to a daily, spatially complete, analysis SST product, with a latitude-longitude resolution of 0.05°C and good discrimination of ocean surface thermal features. A product user guide is available, linking to reports describing the datasets’ algorithmic basis, validation results, format, uncer- tainty information and experimental use in trial climate applications. Future versions of the datasets will span at least 1982–2015, better addressing the need in many climate applications for stable records of global SST that are at least 30 years in length.

Meteorology, air quality, and health in London: the ClearfLo project

The ClearfLo project provides integrated measurements of the meteorology, composition and particulate loading of London's urban atmosphere to improve predictive capability for air quality. Air quality and heat are strong health drivers and their accurate assessment and forecast are important in densely populated urban areas. However, the sources and processes leading to high concentrations of main pollutants such as ozone, nitrogen dioxide, and fine and coarse particulate matter in complex urban areas are not fully understood, limiting our ability to forecast air quality accurately. This paper introduces the ClearfLo project's interdisciplinary approach to investigate the processes leading to poor air quality and elevated temperatures. Within ClearfLo (www.clearflo.ac.uk), a large multi-institutional project funded by the UK Natural Environment Research Council (NERC), integrated measurements of meteorology, gaseous and particulate composition/loading within London's atmosphere were undertaken to understand the processes underlying poor air quality. Long-term measurement infrastructure installed at multiple levels (street and elevated), and at urban background, kerbside and rural locations were complemented with high-resolution numerical atmospheric simulations . Combining these (measurement/modeling) enhances understanding of seasonal variations in meteorology and composition together with the controlling processes. Two intensive observation periods (winter 2012 and summer Olympics 2012) focus upon the vertical structure and evolution of the urban boundary layer, chemical controls on nitrogen dioxide and ozone production, in particular the role of volatile organic compounds, and processes controlling the evolution, size, distribution and composition of particulate matter. The paper shows that mixing heights are deeper over London than in the rural surroundings and the seasonality of the urban boundary layer evolution controls when concentrations peak. The composition also reflects the seasonality of sources such as domestic burning and biogenic emissions.

The Italian Academies, 1525-1700: a themed collection database, London, British Library

A database of books published by Italian Academies between 1525 and 1700. The Italian Academies Themed Collection provides a detailed searchable database for locating printed material relating to the Italian learned Academies active in Avellino, Bari, Benevento, Bologna, Brindisi, Caltanissetta, Catania, Catanzaro, Enna, L’Aquila, Lecce, Mantua, Naples, Padua, Palermo, Rome, Salerno, Siena, Syracuse, Trapani, and Venice in the period 1525-1700 and now held in the collections of the British Library.

Time varying price discovery

We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.

The role of index trading in price formation in the grains and oilseeds markets

We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index fund positions on price returns for the main US grains and oilseed futures markets. Our analysis supports earlier conclusions that Granger-causal impacts are generally not discernible. However, market microstructure theory suggests trading impacts should be instantaneous. IV-based tests for contemporaneous causality provide stronger evidence of price impact. We find even stronger evidence that changes in index positions can help predict future changes in aggregate commodity price indices. This result suggests that changes in index investment are in part driven by information which predicts commodity price changes over the coming months.