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.

Hitting emissions targets with (statistical) confidence in multi-instrument Emissions Trading Schemes

A means of assessing, monitoring and controlling aggregate emissions from multi-instrument Emissions Trading Schemes is proposed. The approach allows contributions from different instruments with different forms of emissions targets to be integrated. Where Emissions Trading Schemes are helping meet specific national targets, the approach allows the entry requirements of new participants to be calculated and set at a level that will achieve these targets. The approach is multi-levelled, and may be extended downwards to support pooling of participants within instruments, or upwards to embed Emissions Trading Schemes within a wider suite of policies and measures with hard and soft targets. Aggregate emissions from each instrument are treated stochastically. Emissions from the scheme as a whole are then the joint probability distribution formed by integrating the emissions from its instruments. Because a Bayesian approach is adopted, qualitative and semi-qualitative data from expert opinion can be used where quantitative data is not currently available, or is incomplete. This approach helps government retain sufficient control over emissions trading scheme targets to allow them to meet their emissions reduction obligations, while minimising the need for retrospectively adjusting existing participants’ conditions of entry. This maintains participant confidence, while providing the necessary policy levers for good governance.

Extended cusp-like regions and their dependence on the Polar orbit, seasonal variations, and interplanetary conditions

Extended cusp-like regions (ECRs) are surveyed, as observed by the Magnetospheric Ion Composition Sensor (MICS) of the Charge and Mass Magnetospheric Ion Composition Experiment (CAMMICE) instrument aboard Polar between 1996 and 1999. The first of these ECR events was observed on 29 May 1996, an event widely discussed in the literature and initially thought to be caused by tail lobe reconnection due to the coinciding prolonged interval of strong northward IMF. ECRs are characterized here by intense fluxes of magnetosheath-like ions in the energy-per-charge range of _1 to 10 keV e_1. We investigate the concurrence of ECRs with intervals of prolonged (lasting longer than 1 and 3 hours) orientations of the IMF vector and high solar wind dynamic pressure (PSW). Also investigated is the opposite concurrence, i.e., of the IMF and high PSW with ECRs. (Note that these surveys are asking distinctly different questions.) The former survey indicates that ECRs have no overall preference for any orientation of the IMF. However, the latter survey reveals that during northward IMF, particularly when accompanied by high PSW, ECRs are more likely. We also test for orbital and seasonal effects revealing that Polar has to be in a particular region to observe ECRs and that they occur more frequently around late spring. These results indicate that ECRs have three distinct causes and so can relate to extended intervals in (1) the cusp on open field lines, (2) the magnetosheath, and (3) the magnetopause indentation at the cusp, with the latter allowing magnetosheath plasma to approach close to the Earth without entering the magnetosphere.

The financial and environmental performance of firms exposed to the EU Emissions Trading Scheme

This thesis is an empirical-based study of the European Union’s Emissions Trading Scheme (EU ETS) and its implications in terms of corporate environmental and financial performance. The novelty of this study includes the extended scope of the data coverage, as most previous studies have examined only the power sector. The use of verified emissions data of ETS-regulated firms as the environmental compliance measure and as the potential differentiating criteria that concern the valuation of EU ETS-exposed firms in the stock market is also an original aspect of this study. The study begins in Chapter 2 by introducing the background information on the emission trading system (ETS), which focuses on (i) the adoption of ETS as an environmental management instrument and (ii) the adoption of ETS by the European Union as one of its central climate policies. Chapter 3 surveys four databases that provide carbon emissions data in order to determine the most suitable source of the data to be used in the later empirical chapters. The first empirical chapter, which is also Chapter 4 of this thesis, investigates the determinants of the emissions compliance performance of the EU ETS-exposed firms through constructing the best possible performance ratio from verified emissions data and self-configuring models for a panel regression analysis. Chapter 5 examines the impacts on the EU ETS-exposed firms in terms of their equity valuation with customised portfolios and multi-factor market models. The research design takes into account the emissions allowance (EUA) price as an additional factor, as it has the most direct association with the EU ETS to control for the exposure. The final empirical Chapter 6 takes the investigation one step further, by specifically testing the degree of ETS exposure facing different sectors with sector-based portfolios and an extended multi-factor market model. The findings from the emissions performance ratio analysis show that the business model of firms significantly influences emissions compliance, as the capital intensity has a positive association with the increasing emissions-to-emissions cap ratio. Furthermore, different sectors show different degrees of sensitivity towards the determining factors. The production factor influences the performance ratio of the Utilities sector, but not the Energy or Materials sectors. The results show that the capital intensity has a more profound influence on the utilities sector than on the materials sector. With regard to the financial performance impact, ETS-exposed firms as aggregate portfolios experienced a substantial underperformance during the 2001–2004 period, but not in the operating period of 2005–2011. The results of the sector-based portfolios show again the differentiating effect of the EU ETS on sectors, as one sector is priced indifferently against its benchmark, three sectors see a constant underperformance, and three sectors have altered outcomes.

Stratospheric Memory and Skill of Extended-Range Weather Forecasts

We use an empirical statistical model to demonstrate significant skill in making extended-range forecasts of the monthly-mean Arctic Oscillation (AO). Forecast skill derives from persistent circulation anomalies in the lowermost stratosphere and is greatest during boreal winter. A comparison to the Southern Hemisphere provides evidence that both the time scale and predictability of the AO depend on the presence of persistent circulation anomalies just above the tropopause. These circulation anomalies most likely affect the troposphere through changes to waves in the upper troposphere, which induce surface pressure changes that correspond to the AO.

Why the western Pacific subtropical high has extended westward since the late 1970s

The western Pacific subtropical high (WPSH) is closely related to Asian climate. Previous examination of changes in the WPSH found a westward extension since the late 1970s, which has contributed to the inter-decadal transition of East Asian climate. The reason for the westward extension is unknown, however. The present study suggests that this significant change of WPSH is partly due to the atmosphere's response to the observed Indian Ocean-western Pacific (IWP) warming. Coordinated by a European Union's Sixth Framework Programme, Understanding the Dynamics of the Coupled Climate System (DYNAMITE), five AGCMs were forced by identical idealized sea surface temperature patterns representative of the IWP warming and cooling. The results of these numerical experiments suggest that the negative heating in the central and eastern tropical Pacific and increased convective heating in the equatorial Indian Ocean/ Maritime Continent associated with IWP warming are in favor of the westward extension of WPSH. The SST changes in IWP influences the Walker circulation, with a subsequent reduction of convections in the tropical central and eastern Pacific, which then forces an ENSO/Gill-type response that modulates the WPSH. The monsoon diabatic heating mechanism proposed by Rodwell and Hoskins plays a secondary reinforcing role in the westward extension of WPSH. The low-level equatorial flank of WPSH is interpreted as a Kelvin response to monsoon condensational heating, while the intensified poleward flow along the western flank of WPSH is in accord with Sverdrup vorticity balance. The IWP warming has led to an expansion of the South Asian high in the upper troposphere, as seen in the reanalysis.

It is premature to include non-CO2 effects of aviation in emission trading schemes

The recent G8 Gleneagles climate statement signed on 8 July 2005 specifically mentions a determination to lessen the impact of aviation on climate [Gleneagles, 2005. The Gleneagles communique: climate change, energy and sustainable development. http://www.fco.gov.uk/Files/kfile/PostG8_Gleneagles_Communique.pdf]. In January 2005 the European Union Emission Trading Scheme (ETS) commenced operation as the largest multi-country, multi-sector ETS in the world, albeit currently limited only to CO2 emissions. At present the scheme makes no provision for aircraft emissions. However, the UK Government would like to see aircraft included in the ETS and plans to use its Presidencies of both the EU and G8 in 2005 to implement these schemes within the EU and perhaps internationally. Non-CO2 effects have been included in some policy-orientated studies of the impact of aviation but we argue that the inclusion of such effects in any such ETS scheme is premature; we specifically argue that use of the Radiative Forcing Index for comparing emissions from different sources is inappropriate and that there is currently no metric for such a purpose that is likely to enable their inclusion in the near future. (c) 2005 Elsevier Ltd. All rights reserved.

Dynamic scaling of bred vectors in spatially extended chaotic systems

We unfold a profound relationship between the dynamics of finite-size perturbations in spatially extended chaotic systems and the universality class of Kardar-Parisi-Zhang (KPZ). We show how this relationship can be exploited to obtain a complete theoretical description of the bred vectors dynamics. The existence of characteristic length/time scales, the spatial extent of spatial correlations and how to time it, and the role of the breeding amplitude are all analyzed in the light of our theory. Implications to weather forecasting based on ensembles of initial conditions are also discussed.

Galactic cosmic ray hazard in the unusual extended solar minimum between solar cycle 23 and 24

Galactic cosmic rays (GCRs) are extremely difficult to shield against and pose one of the most severe long-term hazards for human exploration of space. The recent solar minimum between solar cycles 23 and 24 shows a prolonged period of reduced solar activity and low interplanetary magnetic field strengths. As a result, the modulation of GCRs is very weak, and the fluxes of GCRs are near their highest levels in the last 25 years in the fall of 2009. Here we explore the dose rates of GCRs in the current prolonged solar minimum and make predictions for the Lunar Reconnaissance Orbiter (LRO) Cosmic Ray Telescope for the Effects of Radiation (CRaTER), which is now measuring GCRs in the lunar environment. Our results confirm the weak modulation of GCRs leading to the largest dose rates seen in the last 25 years over a prolonged period of little solar activity.

Domesticating the calendar: the hours and the almanac in Tudor England

This article examines two genres of text which were extremely popular in the late-medieval and early modern periods, and it pays particular attention to women users. The printed almanacs of sixteenth-century England were enormously influential; yet their contents are so formulaic and repetitive as to appear almost empty of valuable information. Their most striking feature is their astrological guidance for the reader, and this has led to them being considered 'merely' the repository of popular superstition. Only in the last decade have themes of gender and medicine been given serious consideration in relation to almanacs; but this work has focused on the seventeenth century. This chapter centres on a detailed analysis of sixteenth-century English almanacs, and the various kinds of scientific and household guidance they offered to women readers. Both compilers and users needed to chart a safe course through the religious and scientific battles of the time; and the complexities involved are demonstrated by considering the almanacs in relation to competing sources of guidance. These latter are Books of Hours and 'scientific' works such as medical calendars compiled by Oxford scholars in the late middle ages. A key feature of this chapter is that it gives practical interpretations of this complex information, for the guidance of modern readers unfamiliar with astrology.

Sonogashira coupling on an extended gold surface in vacuo: reaction of phenylacetylene with iodobenzene on Au(111)

Temperature-programmed reaction measurements supported by scanning tunneling microscopy have shown that phenylacetylene and iodobenzene react on smooth Au(111) under vacuum conditions to yield biphenyl and diphenyldiacetylene, the result of homocoupling of the reactant molecules. They also produce diphenylacetylene, the result of Sonogashira cross-coupling, prototypical of a class of reactions that are of paramount importance in synthetic organic chemistry and whose mechanism remains controversial. Roughened Au(111) is completely inert toward all three reactions, indicating that the availability of crystallographically well-defined adsorption sites is crucially important. High-resolution X-ray photoelectron spectroscopy and near-edge X-ray absorption fine structure spectroscopy show that the reactants are initially present as intact, essentially flat-lying molecules and that the temperature threshold for Sonogashira coupling coincides with that for C−I bond scission in the iodobenzene reactant. The fractional-order kinetics and low temperature associated with desorption of the Sonogashira product suggest that the reaction occurs at the boundaries of islands of adsorbed reactants and that its appearance in the gas phase is rate-limited by the surface reaction. These findings demonstrate unambiguously and for the first time that this heterogeneous cross-coupling chemistry is an intrinsic property of extended, metallic pure gold surfaces: no other species, including solvent molecules, basic or charged (ionic) species are necessary to mediate the process.

Host niches and defensive extended phenotypes structure parasitoid wasp communities

Oak galls are spectacular extended phenotypes of gallwasp genes in host oak tissues and have evolved complex morphologies that serve, in part, to exclude parasitoid natural enemies. Parasitoids and their insect herbivore hosts have coevolved to produce diverse communities comprising about a third of all animal species. The factors structuring these communities, however, remain poorly understood. An emerging theme in community ecology is the need to consider the effects of host traits, shaped by both natural selection and phylogenetic history, on associated communities of natural enemies. Here we examine the impact of host traits and phylogenetic relatedness on 48 ecologically closed and species-rich communities of parasitoids attacking gall-inducing wasps on oaks. Gallwasps induce the development of spectacular and structurally complex galls whose species- and generation-specific morphologies are the extended phenotypes of gallwasp genes. All the associated natural enemies attack their concealed hosts through gall tissues, and several structural gall traits have been shown to enhance defence against parasitoid attack. Here we explore the significance of these and other host traits in predicting variation in parasitoid community structure across gallwasp species. In particular, we test the "Enemy Hypothesis,'' which predicts that galls with similar morphology will exclude similar sets of parasitoids and therefore have similar parasitoid communities. Having controlled for phylogenetic patterning in host traits and communities, we found significant correlations between parasitoid community structure and several gall structural traits (toughness, hairiness, stickiness), supporting the Enemy Hypothesis. Parasitoid community structure was also consistently predicted by components of the hosts' spatiotemporal niche, particularly host oak taxonomy and gall location (e.g., leaf versus bud versus seed). The combined explanatory power of structural and spatiotemporal traits on community structure can be high, reaching 62% in one analysis. The observed patterns derive mainly from partial niche specialisation of highly generalist parasitoids with broad host ranges (>20 hosts), rather than strict separation of enemies with narrower host ranges, and so may contribute to maintenance of the richness of generalist parasitoids in gallwasp communities. Though evolutionary escape from parasitoids might most effectively be achieved via changes in host oak taxon, extreme conservatism in this trait for gallwasps suggests that selection is more likely to have acted on gall morphology and location. Any escape from parasitoids associated with evolutionary shifts in these traits has probably only been transient, however, due to subsequent recruitment of parasitoid species already attacking other host galls with similar trait combinations.

Artificial diet for aphids - thirty years' experience

Myzus persicae (Sulzer) was reared continuously for over thirty years (until it died out in December 2008) on a totally defined synthetic artificial diet, the procedure for which is described. Development time was extended on diet compared with rearing on Brussels sprout plants (Brassica oleracea L. var. gemmifera L.), and generation time was further increased by an added pre-reproductive period of 4 days. Fecundity was reduced by about two-thirds, and mean relative growth rate in weight (MRGR) was only 60% in comparison with plant-reared aphids. Applying 2 kg/cm(2) pressure to a 10% sucrose solution extended the adult longevity of Aphis fabae Scopoli by less than I day. In contrast, a short experience of half-strength diet Caused a sharp rise in honeydew excretion by A. fabae for several hours, and alternating full-strength diet with diluted diets (including water) Caused a greater weight increase. The poor performance of aphids on diet thus seems to have a behavioural rather than a mechanical explanation. The diet, designed to give optimal performance of the aphids, has proved not to be useful for nutritional studies, as any change is deleterious. Areas of aphid research where the diet has been useful, however, are studies on repellents/attractants/toxins, role of symbionts, maintenance of genotype collections, work on parasitoid behaviour in relation to plant chemistry, and collection of aphid saliva.

Extended-chain, multinuclear transition metal complexes bridged by cyanodiazenido(1-), [N=N-C=N](-), ligands

Extended-chain complexes containing multiple transition metal centres linked by conjugated mu-cyanodiazenido(1-) ligands [N= N-C N]-have been obtained by reaction of trans-[BrW(dppe)(2)(N2CN)], 1, [dppe = 1,2-bis(diphenylphosphino) ethane] with dirhodium(II) tetra-acetate, bis(benzonitrile) palladium(II) dichloride, and bis(aqua) M(II) bis(hexa. uoroacetylacetonate) (M = Mn, Ni, Cu, Zn): stronger Lewis acids such as tetrakis(acetonitrile) palladium(II) tetra. uoroborate and boron trifl. uoride promote hydrolysis of complex 1, leading to the isolation of a novel carbamoylhydrazido(2-) complex, trans-[BrW(dppe) 2(N2HC=ONH2)](+)[BF4](-).