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.

Metrics for linking emissions of gases and aerosols to global precipitation changes

Recent advances in understanding have made it possible to relate global precipitation changes directly to emissions of particular gases and aerosols that influence climate. Using these advances, new indices are developed here called the Global Precipitation-change Potential for pulse (GPP_P) and sustained (GPP_S) emissions, which measure the precipitation change per unit mass of emissions. The GPP can be used as a metric to compare the effects of different emissions. This is akin to the global warming potential (GWP) and the global temperature-change potential (GTP) which are used to place emissions on a common scale. Hence the GPP provides an additional perspective of the relative or absolute effects of emissions. It is however recognised that precipitation changes are predicted to be highly variable in size and sign between different regions and this limits the usefulness of a purely global metric. The GPP_P and GPP_S formulation consists of two terms, one dependent on the surface temperature change and the other dependent on the atmospheric component of the radiative forcing. For some forcing agents, and notably for CO2, these two terms oppose each other – as the forcing and temperature perturbations have different timescales, even the sign of the absolute GPP_P and GPP_S varies with time, and the opposing terms can make values sensitive to uncertainties in input parameters. This makes the choice of CO2 as a reference gas problematic, especially for the GPP_S at time horizons less than about 60 years. In addition, few studies have presented results for the surface/atmosphere partitioning of different forcings, leading to more uncertainty in quantifying the GPP than the GWP or GTP. Values of the GPP_P and GPP_S for five long- and short-lived forcing agents (CO2, CH4, N2O, sulphate and black carbon – BC) are presented, using illustrative values of required parameters. The resulting precipitation changes are given as the change at a specific time horizon (and hence they are end-point metrics) but it is noted that the GPPS can also be interpreted as the time-integrated effect of a pulse emission. Using CO2 as a references gas, the GPP_P and GPP_S for the non-CO2 species are larger than the corresponding GTP values. For BC emissions, the atmospheric forcing is sufficiently strong that the GPP_S is opposite in sign to the GTP_S. The sensitivity of these values to a number of input parameters is explored. The GPP can also be used to evaluate the contribution of different emissions to precipitation change during or after a period of emissions. As an illustration, the precipitation changes resulting from emissions in 2008 (using the GPP_P) and emissions sustained at 2008 levels (using the GPP_S) are presented. These indicate that for periods of 20 years (after the 2008 emissions) and 50 years (for sustained emissions at 2008 levels) methane is the dominant driver of positive precipitation changes due to those emissions. For sustained emissions, the sum of the effect of the five species included here does not become positive until after 50 years, by which time the global surface temperature increase exceeds 1 K.

Identifying the generic limits of the Cheilanthoid genus Doryopteris

Morphology-based delimitation of genera in the Cheilanthoid ferns has proved to be problematic and understanding of the phylogeny and relationships amongst Cheilanthoid ferns based on morphological characters has posed even further difficulties, owing perhaps in large part to adaptation by many taxa to xeric habitats, as well as convergent evolution. It is only now with the application of DNA sequence data that relationships of species and genera are becoming clear. Here, we present results of cpDNA sequence data from species that have been traditionally placed in the genus Doryopteris and, based on both these results, and morphological and distribution data, this study helps clarify the concept of the genus Doryopteris its position within the Cheilanthoid ferns and the status of Lytoneuron. As a result, three genera are redefined: Doryopteris, Lytoneuron and Ormopteris.

Impact of a Fram Strait cyclone on ice edge, drift, divergence, and concentration: Possibilities and limits of an observational analysis

This study aims at the determination of a Fram Strait cyclone track and of the cyclone’s impact on ice edge, drift, divergence, and concentration. A 24 h period on 13–14 March 2002 framed by two RADARSAT images is analyzed. Data are included from autonomous ice buoys, a research vessel, Special Sensor Microwave Imager (SSM/I) and QuikSCAT satellite, and the operational European Centre for Medium-Range Weather Forecasts (ECMWF) model. During this 24 h period the cyclone moved northward along the western ice edge in the Fram Strait, crossed the northern ice edge, made a left-turn loop with 150 km diameter over the sea ice, and returned to the northern ice edge. The ECMWF analysis places the cyclone track 100 km too far west over the sea ice, a deviation which is too large for representative sea ice simulations. On the east side of the northward moving cyclone, the ice edge was pushed northward by 55 km because of strong winds. On the rear side, the ice edge advanced toward the open water but by a smaller distance because of weaker winds there. The ice drift pattern as calculated from the ice buoys and the two RADARSAT images is cyclonically curved around the center of the cyclone loop. Ice drift divergence shows a spatial pattern with divergence in the loop center and a zone of convergence around. Ice concentration changes as retrieved from SSM/I data follow the divergence pattern such that sea ice concentration increased in areas of divergence and decreased in areas of convergence.

Cloud information content analysis of multi-angular measurements in the oxygen A-band: application to 3MI and MSPI

The vertical distribution of cloud cover has a significant impact on a large number of meteorological and climatic processes. Cloud top altitude and cloud geometrical thickness are then essential. Previous studies established the possibility of retrieving those parameters from multi-angular oxygen A-band measurements. Here we perform a study and comparison of the performances of future instruments. The 3MI (Multi-angle, Multi-channel and Multi-polarization Imager) instrument developed by EUMETSAT, which is an extension of the POLDER/PARASOL instrument, and MSPI (Multi-angles Spectro-Polarimetric Imager) develoloped by NASA's Jet Propulsion Laboratory will measure total and polarized light reflected by the Earth's atmosphere–surface system in several spectral bands (from UV to SWIR) and several viewing geometries. Those instruments should provide opportunities to observe the links between the cloud structures and the anisotropy of the reflected solar radiation into space. Specific algorithms will need be developed in order to take advantage of the new capabilities of this instrument. However, prior to this effort, we need to understand, through a theoretical Shannon information content analysis, the limits and advantages of these new instruments for retrieving liquid and ice cloud properties, and especially, in this study, the amount of information coming from the A-Band channel on the cloud top altitude (CTOP) and geometrical thickness (CGT). We compare the information content of 3MI A-Band in two configurations and that of MSPI. Quantitative information content estimates show that the retrieval of CTOP with a high accuracy is possible in almost all cases investigated. The retrieval of CGT seems less easy but possible for optically thick clouds above a black surface, at least when CGT > 1–2 km.