The sensitivity of US banks' stock returns to interest and exchange rate changes

Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

Measured sensitivity of arc-induced long-period grating sensors in photonic crystal fibre

Reported are experimental results from investigations of the sensing properties of long-period gratings (LPGs) recorded in two different geometries of photonic crystal fibre (PCF): a large-mode area PCF and an endlessly single mode PCF. The LPGs have been characterised for their sensitivity to temperature, bending, surrounding index and strain. The LPGs in both fibres have been found to have negligible temperature sensitivity whilst exhibiting useful strain sensitivities. Strong directional bend sensitivity is shown by one PCF whilst the other shows good non-directional bend sensitivity. The fibres exhibit differing sensitivities to surrounding refractive index.

Investigations of the spectral sensitivity of long period gratings fabricated in three-layered optical fiber

Long period gratings (LPGs) were written into a progressive three-layered (PTL) monomode optical fiber. The spectral sensitivity was experimentally measured with respect to temperature and the surrounding refractive index, and compared with theoretical predictions. The behavior of the devices suggests that this type of fiber may be useful as a means of reducing the sensitivity of LPGs to the surrounding medium and for simultaneous temperature and refractive index sensing.

Strain and temperature sensitivity of a single mode polymer optical fiber

We have measured the optical phase sensitivity of fiber based on poly(methyl methacrylate) under near-single-mode conditions at 632.8 nm wavelength. The elongation sensitivity is 131±3×105 rad m-1 and the temperature sensitivity is -212±26 rad m-1 K-1. These values are somewhat larger than those for silica fiber and are consistent with the values expected on the basis of the bulk polymer properties.

The spectral sensitivity of long period gratings fabricated in elliptical core D-shaped optical fibre

Long period gratings (LPGs) were written into a D-shaped optical fibre that has an elliptical core with a W-shaped refractive index profile and the first detailed investigation of such LPGs is presented. The LPGs’ attenuation bands were found to be sensitive to the polarisation of the interrogating light with a spectral separation of about 15 nm between the two orthogonal polarisation states. A finite element method was successfully used to model many of the behavioural features of the LPGs. In addition, two spectrally overlapping attenuation bands corresponding to orthogonal polarisation states were observed; modelling successfully reproduced this spectral feature. The spectral sensitivity of both orthogonal states was experimentally measured with respect to temperature and bending. These LPG devices produced blue and red wavelength shifts depending upon the orientation of the bend with measured maximum sensitivities of -3.56 and +6.51 nm m, suggesting that this type of fibre LPG may be useful as a shape/bend orientation sensor with reduced errors associated with polarisation dependence. The use of neighbouring bands to discriminate between temperature and bending was also demonstrated, leading to an overall curvature error of ±0.14 m-1 and an overall temperature error of ±0.3 °C with a maximum polarisation dependence error of ±8 × 10-2 m-1 for curvature and ±5 × 10-2 °C for temperature.

Sensitivity of LPGs in PCFs fabricated by an electric arc to temperature, strain, and external refractive index

Sensing properties of long-period gratings (LPGs) fabricated in photonic crystal fibers by an electric arc are explained and quantified by semianalytical and numerical models. In particular, the grating's insensitivity to temperature and simultaneous sensitivity to strain and refractive index are simulated. The modeling procedure is generalized so that it can be applied to a wide range of LPGs in various fibers.

Exploiting sensitivity of nonorthogonal joint diagonalisation as a security mechanism in steganography

We have recently proposed the framework of independent blind source separation as an advantageous approach to steganography. Amongst the several characteristics noted was a sensitivity to message reconstruction due to small perturbations in the sources. This characteristic is not common in most other approaches to steganography. In this paper we discuss how this sensitivity relates the joint diagonalisation inside the independent component approach, and reliance on exact knowledge of secret information, and how it can be used as an additional and inherent security mechanism against malicious attack to discovery of the hidden messages. The paper therefore provides an enhanced mechanism that can be used for e-document forensic analysis and can be applied to different dimensionality digital data media. In this paper we use a low dimensional example of biomedical time series as might occur in the electronic patient health record, where protection of the private patient information is paramount.

Sensitivity of peptide conformational dynamics on clustering of a classical molecular dynamics trajectory

We investigate the sensitivity of a Markov model with states and transition probabilities obtained from clustering a molecular dynamics trajectory. We have examined a 500 ns molecular dynamics trajectory of the peptide valine-proline-alanine-leucine in explicit water. The sensitivity is quantified by varying the boundaries of the clusters and investigating the resulting variation in transition probabilities and the average transition time between states. In this way, we represent the effect of clustering using different clustering algorithms. It is found that in terms of the investigated quantities, the peptide dynamics described by the Markov model is sensitive to the clustering; in particular, the average transition times are found to vary up to 46%. Moreover, inclusion of nonphysical sparsely populated clusters can lead to serious errors of up to 814%. In the investigation, the time step used in the transition matrix is determined by the minimum time scale on which the system behaves approximately Markovian. This time step is found to be about 100 ps. It is concluded that the description of peptide dynamics with transition matrices should be performed with care, and that using standard clustering algorithms to obtain states and transition probabilities may not always produce reliable results.

Sensitivity of staphylococcus epidermidis to chlorhexidine and associated resistance properties

Staphylococcus epidermidis are common Gram-positive bacteria and are responsible for a number of life-threatening nosocomial infections. Treatment of S. epidermidis infection is problematic because the organism is usually resistant to many antibiotics. The high degree of resistance of this organism to a range of antibiotics and disinfectants is widely known. The aims of this thesis were to investigate and evaluate the susceptibility of isolates of S. epidermidis from various infections to chlorhexidine (CHX) and to other disinfectants such as benzalkonium chloride (BKC), triclosan (TLN) and povidone-iodine (PI). In addition, the mechanisms of resistance of S. epidermidis to chlorhexidine (the original isolates and strains adapted to chlorhexidine by serial passage) were examined and co-resistance to clinically relevant antibiotics investigated. In 3 of the 11 S. epidermidis strains passaged in increasing concentrations of chlorhexidine, resistance to the disinfectant arose (16-fold). These strains were examined further, each showing stable chlorhexidine resistance. Co-resistance to other disinfectants such as BKC, TLN and PI and changes in cell surface hydrophobicity were observed. Increases in resistance were accompanied by an increase in the proportion of neutral lipids and phospholipids in the cell membrane. This increase was most marked in diphosphatidylglycerol. These observations suggest that some strains of S. epidermidis can become resistant to chlorhexidine and related disinfectants/antiseptics by continual exposure. The mechanisms of resistance appear to be related to changes in membrane lipid compositions.

Sensitivity of antioxidant-deficient yeast to hypochlorite and chlorite

Sodium hypochlorite and sodium chlorite are commonly used as disinfectants, and understanding the mechanisms of microbial resistance to these compounds is of considerable importance. In this study, the role of oxidative stress and antioxidant enzymes in the sensitivity of the yeast Saccharomyces cerevisiae to hypochlorite and chlorite was studied. Yeast mutants lacking Cu-Zn superoxide dismutase, but not mutants deficient in cytoplasmic and peroxisomal catalase, were hypersensitive to the action of both hypochlorite and chlorite. Both compounds depleted cellular glutathione, induced the production of reactive oxygen species and decreased the viability of the cells. The toxicity of hypochlorite and chlorite was abolished by hypoxic and anoxic conditions and ameliorated by thiol antioxidants and ascorbate. The results demonstrated that the action of hypochlorite and chlorite involves the formation of superoxide and peroxide and that SOD1 is protective, probably by limiting the formation of hydroxyl radicals and damage to proteins.

Molecular basis for reduced estrone sulfate transport and altered modulator sensitivity of transmembrane helix (TM) 6 and TM17 mutants of multidrug resistance protein 1 (ABCC1)

Multidrug resistance protein 1 (MRP1) confers drug resistance and also mediates cellular efflux of many organic anions. MRP1 also transports glutathione (GSH); furthermore, this tripeptide stimulates transport of several substrates, including estrone 3-sulfate. We have previously shown that mutations of Lys(332) in transmembrane helix (TM) 6 and Trp(1246) in TM17 cause different substrate-selective losses in MRP1 transport activity. Here we have extended our characterization of mutants K332L and W1246C to further define the different roles these two residues play in determining the substrate and inhibitor specificity of MRP1. Thus, we have shown that TM17-Trp(1246) is crucial for conferring drug resistance and for binding and transport of methotrexate, estradiol glucuronide, and estrone 3-sulfate, as well as for binding of the tricyclic isoxazole inhibitor N-[3-(9-chloro-3-methyl-4-oxo-4H-isoxazolo-[4,3-c]quinolin-5-yl)-cyclohexylmethyl]-benzamide (LY465803). In contrast, TM6-Lys(332) is important for enabling GSH and GSH-containing compounds to serve as substrates (e.g., leukotriene C(4)) or modulators (e.g., S-decyl-GSH, GSH disulfide) of MRP1 and, further, for enabling GSH (or S-methyl-GSH) to enhance the transport of estrone 3-sulfate and increase the inhibitory potency of LY465803. On the other hand, both mutants are as sensitive as wild-type MRP1 to the non-GSH-containing inhibitors (E)-3-[[[3-[2-(7-chloro-2-quinolinyl)ethenyl]phenyl][[3-(dimethylamino)-3-oxopropyl]thio]methyl]thio]-propanoic acid (MK571), 1-[2-hydroxy-3-propyl-4-[4-(1H-tetrazol-5-yl)butoxy]phenyl]-ethanone (LY171883), and highly potent 6-[4'-carboxyphenylthio]-5[S]-hydroxy-7[E], 11[Z]14[Z]-eicosatetrenoic acid (BAY u9773). Finally, the differing abilities of the cysteinyl leukotriene derivatives leukotriene C(4), D(4), and F(4) to inhibit estradiol glucuronide transport by wild-type and K332L mutant MRP1 provide further evidence that TM6-Lys(332) is involved in the recognition of the gamma-Glu portion of substrates and modulators containing GSH or GSH-like moieties.

Enhanced spectral sensitivity of fibre long period gratings to refractive index of aqueous solutions utilising copper patterned coatings

A set of long period grating devices have been fabricated in photosensitive single mode fibre coated with a series of copper rings (period of 380μm, 50% duty cycle and length of 4cm). The long period gratings were inscribed with a uniform UV-laser exposure across the entire length of the copper ring patterned coating. The devices ranged in copper thickness from 0.5μm to 1.5μm. In addition, a control long period grating was fabricated in the same type of fibre with the same period for comparison. The refractive index and temperature spectral sensitivity of these devices were investigated and it was found that the index and temperature sensitivity is a function of the thickness of the copper rings, as supported by theoretical modelling. Furthermore, the index sensitivity of these devices in the 1.333 index region is greater than the control long period grating. The patterned 0.5μm coated long period grating gave a sensitivity of Δλ/Δn = -74 nm leading to a resolution of 1.4×10-3 compared to the control which had a sensitivity of Δλ/Δn = -32 nm with a resolution of 3.2×10-3 in the index region of 1.320 to 1.380 (aqueous solution regime). This demonstrates a two fold increase in the sensitivity. This novel fibre long period grating device shows potential for increasing the resolution of measurements of the index of aqueous solutions.

Investigations of the spectral sensitivity of long period gratings fabricated in three-layered optical fiber

Long period gratings (LPGs) were written into a progressive three-layered (PTL) monomode optical fiber. The spectral sensitivity was experimentally measured with respect to temperature and the surrounding refractive index, and compared with theoretical predictions. The behavior of the devices suggests that this type of fiber may be useful as a means of reducing the sensitivity of LPGs to the surrounding medium and for simultaneous temperature and refractive index sensing.

The spectral sensitivity of long period gratings fabricated in elliptical core D-shaped optical fibre

Long period gratings (LPGs) were written into a D-shaped optical fibre that has an elliptical core with a W-shaped refractive index profile and the first detailed investigation of such LPGs is presented. The LPGs’ attenuation bands were found to be sensitive to the polarisation of the interrogating light with a spectral separation of about 15 nm between the two orthogonal polarisation states. A finite element method was successfully used to model many of the behavioural features of the LPGs. In addition, two spectrally overlapping attenuation bands corresponding to orthogonal polarisation states were observed; modelling successfully reproduced this spectral feature. The spectral sensitivity of both orthogonal states was experimentally measured with respect to temperature and bending. These LPG devices produced blue and red wavelength shifts depending upon the orientation of the bend with measured maximum sensitivities of -3.56 and +6.51 nm m, suggesting that this type of fibre LPG may be useful as a shape/bend orientation sensor with reduced errors associated with polarisation dependence. The use of neighbouring bands to discriminate between temperature and bending was also demonstrated, leading to an overall curvature error of ±0.14 m-1 and an overall temperature error of ±0.3 °C with a maximum polarisation dependence error of ±8 × 10-2 m-1 for curvature and ±5 × 10-2 °C for temperature.

Measured sensitivity of arc-induced long-period grating sensors in photonic crystal fibre

Reported are experimental results from investigations of the sensing properties of long-period gratings (LPGs) recorded in two different geometries of photonic crystal fibre (PCF): a large-mode area PCF and an endlessly single mode PCF. The LPGs have been characterised for their sensitivity to temperature, bending, surrounding index and strain. The LPGs in both fibres have been found to have negligible temperature sensitivity whilst exhibiting useful strain sensitivities. Strong directional bend sensitivity is shown by one PCF whilst the other shows good non-directional bend sensitivity. The fibres exhibit differing sensitivities to surrounding refractive index. © 2005 Elsevier B.V. All rights reserved.