Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA.

Synchronized mode-locked erbium fibre lasers with intracavity dispersion control using chirped in-fibre Bragg gratings

We demonstrate a dual-wavelength fibre laser system using chirped fibre Bragg gratings as reflectors and dispersive elements. The system produces two synchronized trains of soliton pulses with rms jitter of 620 fs.

Concatenated all-optical loop mirror switches

Synthesis of a sharp switching characteristic is experimentally demonstrated by concatenation of nonlinear optical loop mirrors. A novel configuration has been used which results in three terminal operation of the device. This device can be used as a logic gate and for pulse shaping to produce square pulses.

Microstructures made in optical fiber with femtosecond laser

Different types of microstructures including microchannels and microslots were made in optical fibers using femtosecond laser inscription and chemical etching. Integrated with UV-inscribed fiber Bragg gratings, these microstructures have miniature, robustness and high sensitivity features and have been used to implement novel devices for various sensing applications. The fiber microchannels were used to detect the refractive index change of liquid presenting sensitivities up to 7.4 nm/refractive index unit (RIU) and 166.7 dB/RIU based on wavelength and power detection, respectively. A microslot-in-fiber based liquid core waveguide as a refractometer has been proposed and the device was used to measure refractive index, and a sensitivity up to 945 nm/RIU (10-6/pm) was obtained. By filling epoxy in the microslot and subsequent UV light curing, a hybrid waveguide grating structure with polymer core and glass cladding was fabricated. The obtained device was highly thermal responsive, demonstrating a linear coefficient of 211 pm/°C.

The impact of the closing call auction:an examination of effects in London

This article examines the impact on market quality that the introduction of a closing call auction had at the London Stock Exchange (LSE). Using the market model approach of Cohen et al. (1983a, b) OpenURL Aston University, b) we show that opening and closing market quality improved for those Financial Times and Stock Exchange 100 (FTSE 100) securities participating in the closing call. A control sample of stocks is not characterized by discernable changes to market quality.