Stock price distributions and news:evidence from index options

We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised.

Statnote 14: the correlation of two variables (Pearson's 'r')

Pearson's correlation coefficient (‘r’) is one of the most widely used of all statistics. Nevertheless, care needs to be used in interpreting the results because with large numbers of observations, quite small values of ‘r’ become significant and the X variable may only account for a small proportion of the variance in Y. Hence, ‘r squared’ should always be calculated and included in a discussion of the significance of ‘r’. The use of ‘r’ also assumes that the data follow a bivariate normal distribution (see Statnote 17) and this assumption should be examined prior to the study. If the data do not conform to such a distribution, the use of a non-parametric correlation coefficient should be considered. A significant correlation should not be interpreted as indicating ‘causation’ especially in observational studies, in which the two variables may be correlated because of their mutual correlations with other confounding variables.

The separation of secondary oil-water dispersions in particulate beds

The literature relating to haze formation, methods of separation, coalescence mechanisms, and models by which droplets <100 μm are collected, coalesced and transferred, have been reviewed with particular reference to particulate bed coalescers. The separation of secondary oil-water dispersions was studied experimentally using packed beds of monosized glass ballotini particles. The variables investigated were superficial velocity, bed depth, particle size, and the phase ratio and drop size distribution of inlet secondary dispersion. A modified pump loop was used to generate secondary dispersions of toluene or Clairsol 350 in water with phase ratios between 0.5-6.0 v/v%.Inlet drop size distributions were determined using a Malvern Particle Size Analyser;effluent, coalesced droplets were sized by photography. Single phase flow pressure drop data were correlated by means of a Carman-Kozeny type equation. Correlations were obtained relating single and two phase pressure drops, as (ΔP2/μc)/ΔP1/μd) = kp Ua Lb dcc dpd Cine A flow equation was derived to correlate the two phase pressure drop data as, ΔP2/(ρcU2) = 8.64*107 [dc/D]-0.27 [L/D]0.71 [dp/D]-0.17 [NRe]1.5 [e1]-0.14 [Cin]0.26  In a comparison between functions to characterise the inlet drop size distributions a modification of the Weibull function provided the best fit of experimental data. The general mean drop diameter was correlated by: q_p q_p p_q /β      Γ ((q-3/β) +1) d qp = d fr  .α        Γ ((P-3/β +1 The measured and predicted mean inlet drop diameters agreed within ±15%. Secondary dispersion separation depends largely upon drop capture within a bed. A theoretical analysis of drop capture mechanisms in this work indicated that indirect interception and London-van der Waal's mechanisms predominate. Mathematical models of dispersed phase concentration m the bed were developed by considering drop motion to be analogous to molecular diffusion.The number of possible channels in a bed was predicted from a model in which the pores comprised randomly-interconnected passage-ways between adjacent packing elements and axial flow occured in cylinders on an equilateral triangular pitch. An expression was derived for length of service channels in a queuing system leading to the prediction of filter coefficients. The insight provided into the mechanisms of drop collection and travel, and the correlations of operating parameters, should assist design of industrial particulate bed coalescers.

The effects of metallurgical variables on the mechanical properties of high-chromium cast irons

The.use of high-chromium cast irons for abrasive wear resistance is restricted due to their poor fracture toughness properties. An.attempt was made to improve the fracture characteristics by altering the distribution, size and.shape of the eutectic carbide phase without sacrificing their excellent wear resistance. This was achieved by additions of molybdenum or tungsten followed by high temperature heat treatments. The absence of these alloying elements or replacement of them with vanadium or manganese did not show any significant effect and the continuous eutectic carbide morphology remained the same after application of high temperature heat treatments. The fracture characteristics of the alloys with these metallurgical variables were evaluated for both sharp-cracks and blunt notches. The results were used in conjunction with metallographic and fractographic observations to establish possible failure mechanisms. The fracture mechanism of the austenitic alloys was found to be controlled not only by the volume percent but was also greatly influenced by the size and distribution of the eutectic carbides. On the other hand, the fracture mechanism of martensitic alloys was independent of the eutectic carbide morphology. The uniformity of the secondary carbide precipitation during hardening heat treatments was shown to be a reason for consistant fracture toughness results being obtained with this series of alloys although their eutectic carbide morphologies were different. The collected data were applied to a model which incorporated the microstructural parameters and correlated them with the experimentally obtained valid stress intensity factors. The stress intensity coefficients of different short-bar fracture toughness test specimens were evaluated from analytical and experimental compliance studies. The.validity and applicability of this non-standard testing technique for determination of the fracture toughness of high-chromium cast irons were investigated. The results obtained correlated well with the valid results obtained from standard fracture toughness tests.

Interval timing in children:effects of auditory and visual pacing stimuli and relationships with reading and attention variables

Motor timing tasks have been employed in studies of neurodevelopmental disorders such as developmental dyslexia and ADHD, where they provide an index of temporal processing ability. Investigations of these disorders have used different stimulus parameters within the motor timing tasks which are likely to affect performance measures. Here we assessed the effect of auditory and visual pacing stimuli on synchronised motor timing performance and its relationship with cognitive and behavioural predictors that are commonly used in the diagnosis of these highly prevalent developmental disorders. Twenty- one children (mean age 9.6 years) completed a finger tapping task in two stimulus conditions, together with additional psychometric measures. As anticipated, synchronisation to the beat (ISI 329 ms) was less accurate in the visually paced condition. Decomposition of timing variance indicated that this effect resulted from differences in the way that visual and auditory paced tasks are processed by central timekeeping and associated peripheral implementation systems. The ability to utilise an efficient processing strategy on the visual task correlated with both reading and sustained attention skills. Dissociations between these patterns of relationship across task modality suggest that not all timing tasks are equivalent.

Sums of a Random Number of Random Variables and their Approximations with ν- Accompanying Infinitely Divisible Laws

* Research supported by NATO GRANT CRG 900 798 and by Humboldt Award for U.S. Scientists.

Extremes of Bivariate Geometric Variables with Application to Bisexual Branching Processes

2000 Mathematics Subject Classification: 60J80, 60G70.

Dependence Structure of some Bivariate Distributions

Dependence in the world of uncertainty is a complex concept. However, it exists, is asymmetric, has magnitude and direction, and can be measured. We use some measures of dependence between random events to illustrate how to apply it in the study of dependence between non-numeric bivariate variables and numeric random variables. Graphics show what is the inner dependence structure in the Clayton Archimedean copula and the Bivariate Poisson distribution. We know this approach is valid for studying the local dependence structure for any pair of random variables determined by its empirical or theoretical distribution. And it can be used also to simulate dependent events and dependent r/v/’s, but some restrictions apply. ACM Computing Classification System (1998): G.3, J.2.

On Special Case of Multiple Hypotheses Optimal Testing for Three Differently Distributed Random Variables

2000 Mathematics Subject Classification: 62P30.

Weighted Sum of Correlated Lognormals: Convolution Integral Solution

Probability density function (pdf) for sum of n correlated lognormal variables is deducted as a special convolution integral. Pdf for weighted sums (where weights can be any real numbers) is also presented. The result for four dimensions was checked by Monte Carlo simulation.

The relationship of student and teacher variables on academic achievement in Florida schools

Since 1995, Florida has been one of the leading states in the country initiating a high-stakes school accountability system. Public schools in Florida receive letter grades based on their performance on the Florida Comprehensive Assessment Test (FCAT). These school grades have significant effects on schools' reputations and funding. Consequently, the plan has been criticized for grading all schools in the same manner, without taking into account such variables as student poverty and mobility rates which are beyond the control of the school. ^ The purpose of this study was to examine the relationship of student variables (poverty and mobility rates) and teacher variables (average years of teacher experience and attained degree level) on FCAT math and reading performance. This research utilized an education production function model to examine which set of inputs (student or teacher) has a stronger influence on student academic output as measured by the FCAT. ^ The data collected for this study was from over 1500 public elementary schools in Florida that listed all pertinent information for 2 school years (1998/1999 & 1999/2000) on the Florida Department of Education's website. ^ It was concluded that student poverty, teacher average years of experience and student mobility taken together, provide a strong predictive measure of FCAT reading and math performance. However, the set of student inputs was significantly stronger than the teacher inputs. High student poverty was highly correlated with low FCAT scores. Teacher experience and student mobility rates were not nearly as strongly related to FCAT scores as was student poverty. The results of this study provide evidence for educators and other school stakeholders of the relative degree to which student and teacher variables are related to student academic achievement. The underlying reasons for these relationships will require further examination in future studies. These results raise questions for Florida's school policymakers about the educational equity of the state's accountability system and its implementation. ^

Cognitive and noncognitive variables that predict Florida community college radiography program graduates' success on the Registry

This study examined the predictive merits of selected cognitive and noncognitive variables on the national Registry exam pass rate using 2008 graduates (n = 175) from community college radiography programs in Florida. The independent variables included two GPAs, final grades in five radiography courses, self-efficacy, and social support. The dependent variable was the first-attempt results on the national Registry exam. The design was a retrospective predictive study that relied on academic data collected from participants using the self-report method and on perceptions of students' success on the national Registry exam collected through a questionnaire developed and piloted in the study. All independent variables except self-efficacy and social support correlated with success on the national Registry exam ( p < .01) using the Pearson Product-Moment Correlation analysis. The strongest predictor of the national Registry exam success was the end-of-program GPA, r = .550, p < .001. The GPAs and scores for self-efficacy and social support were entered into a logistic regression analysis to produce a prediction model. The end-of-program GPA (p = .015) emerged as a significant variable. This model predicted 44% of the students who failed the national Registry exam and 97.3% of those who passed, explaining 45.8% of the variance. A second model included the final grades for the radiography courses, self efficacy, and social support. Three courses significantly predicted national Registry exam success; Radiographic Exposures, p < .001; Radiologic Physics, p = .014; and Radiation Safety & Protection, p = .044, explaining 56.8% of the variance. This model predicted 64% of the students who failed the national Registry exam and 96% of those who passed. The findings support the use of in-program data as accurate predictors of success on the national Registry exam.

Tropical seagrass-associated macroalgae distributions and trends relative to water quality

Tropical coastal marine ecosystems including mangroves, seagrass beds and coral reef communities are undergoing intense degradation in response to natural and human disturbances, therefore, understanding the causes and mechanisms present challenges for scientist and managers. In order to protect our marine resources, determining the effects of nutrient loads on these coastal systems has become a key management goal. Data from monitoring programs were used to detect trends of macroalgae abundances and develop correlations with nutrient availability, as well as forecast potential responses of the communities monitored. Using eight years of data (1996–2003) from complementary but independent monitoring programs in seagrass beds and water quality of the Florida Keys National Marine Sanctuary (FKNMS), we: (1) described the distribution and abundance of macroalgae groups; (2) analyzed the status and spatiotemporal trends of macroalgae groups; and (3) explored the connection between water quality and the macroalgae distribution in the FKNMS. In the seagrass beds of the FKNMS calcareous green algae were the dominant macroalgae group followed by the red group; brown and calcareous red algae were present but in lower abundance. Spatiotemporal patterns of the macroalgae groups were analyzed with a non-linear regression model of the abundance data. For the period of record, all macroalgae groups increased in abundance (Abi) at most sites, with calcareous green algae increasing the most. Calcareous green algae and red algae exhibited seasonal pattern with peak abundances (Φi) mainly in summer for calcareous green and mainly in winter for red. Macroalgae Abi and long-term trend (mi) were correlated in a distinctive way with water quality parameters. Both the Abi and mi of calcareous green algae had positive correlations with NO3−, NO2−, total nitrogen (TN) and total organic carbon (TOC). Red algae Abi had a positive correlation with NO2−, TN, total phosphorus and TOC, and the mi in red algae was positively correlated with N:P. In contrast brown and calcareous red algae Abi had negative correlations with N:P. These results suggest that calcareous green algae and red algae are responding mainly to increases in N availability, a process that is happening in inshore sites. A combination of spatially variable factors such as local current patterns, nutrient sources, and habitat characteristics result in a complex array of the macroalgae community in the seagrass beds of the FKNMS.

Forecasting Responses of Seagrass Distributions to Changing Water Quality Using Monitoring Data

Extensive data sets on water quality and seagrass distributions in Florida Bay have been assembled under complementary, but independent, monitoring programs. This paper presents the landscape-scale results from these monitoring programs and outlines a method for exploring the relationships between two such data sets. Seagrass species occurrence and abundance data were used to define eight benthic habitat classes from 677 sampling locations in Florida Bay. Water quality data from 28 monitoring stations spread across the Bay were used to construct a discriminant function model that assigned a probability of a given benthic habitat class occurring for a given combination of water quality variables. Mean salinity, salinity variability, the amount of light reaching the benthos, sediment depth, and mean nutrient concentrations were important predictor variables in the discriminant function model. Using a cross-validated classification scheme, this discriminant function identified the most likely benthic habitat type as the actual habitat type in most cases. The model predicted that the distribution of benthic habitat types in Florida Bay would likely change if water quality and water delivery were changed by human engineering of freshwater discharge from the Everglades. Specifically, an increase in the seasonal delivery of freshwater to Florida Bay should cause an expansion of seagrass beds dominated by Ruppia maritima and Halodule wrightii at the expense of the Thalassia testudinum-dominated community that now occurs in northeast Florida Bay. These statistical techniques should prove useful for predicting landscape-scale changes in community composition in diverse systems where communities are in quasi-equilibrium with environmental drivers.

Spatial Relationships among Hydroacoustic, Hydrographic and Top Predator Patterns: Cetacean Distributions in the Mid-Atlantic Bight

Effective conservation and management of top predators requires a comprehensive understanding of their distributions and of the underlying biological and physical processes that affect these distributions. The Mid-Atlantic Bight shelf break system is a dynamic and productive region where at least 32 species of cetaceans have been recorded through various systematic and opportunistic marine mammal surveys from the 1970s through 2012. My dissertation characterizes the spatial distribution and habitat of cetaceans in the Mid-Atlantic Bight shelf break system by utilizing marine mammal line-transect survey data, synoptic multi-frequency active acoustic data, and fine-scale hydrographic data collected during the 2011 summer Atlantic Marine Assessment Program for Protected Species (AMAPPS) survey. Although studies describing cetacean habitat and distributions have been previously conducted in the Mid-Atlantic Bight, my research specifically focuses on the shelf break region to elucidate both the physical and biological processes that influence cetacean distribution patterns within this cetacean hotspot.

In Chapter One I review biologically important areas for cetaceans in the Atlantic waters of the United States. I describe the study area, the shelf break region of the Mid-Atlantic Bight, in terms of the general oceanography, productivity and biodiversity. According to recent habitat-based cetacean density models, the shelf break region is an area of high cetacean abundance and density, yet little research is directed at understanding the mechanisms that establish this region as a cetacean hotspot.

In Chapter Two I present the basic physical principles of sound in water and describe the methodology used to categorize opportunistically collected multi-frequency active acoustic data using frequency responses techniques. Frequency response classification methods are usually employed in conjunction with net-tow data, but the logistics of the 2011 AMAPPS survey did not allow for appropriate net-tow data to be collected. Biologically meaningful information can be extracted from acoustic scattering regions by comparing the frequency response curves of acoustic regions to theoretical curves of known scattering models. Using the five frequencies on the EK60 system (18, 38, 70, 120, and 200 kHz), three categories of scatterers were defined: fish-like (with swim bladder), nekton-like (e.g., euphausiids), and plankton-like (e.g., copepods). I also employed a multi-frequency acoustic categorization method using three frequencies (18, 38, and 120 kHz) that has been used in the Gulf of Maine and Georges Bank which is based the presence or absence of volume backscatter above a threshold. This method is more objective than the comparison of frequency response curves because it uses an established backscatter value for the threshold. By removing all data below the threshold, only strong scattering information is retained.

In Chapter Three I analyze the distribution of the categorized acoustic regions of interest during the daytime cross shelf transects. Over all transects, plankton-like acoustic regions of interest were detected most frequently, followed by fish-like acoustic regions and then nekton-like acoustic regions. Plankton-like detections were the only significantly different acoustic detections per kilometer, although nekton-like detections were only slightly not significant. Using the threshold categorization method by Jech and Michaels (2006) provides a more conservative and discrete detection of acoustic scatterers and allows me to retrieve backscatter values along transects in areas that have been categorized. This provides continuous data values that can be integrated at discrete spatial increments for wavelet analysis. Wavelet analysis indicates significant spatial scales of interest for fish-like and nekton-like acoustic backscatter range from one to four kilometers and vary among transects.

In Chapter Four I analyze the fine scale distribution of cetaceans in the shelf break system of the Mid-Atlantic Bight using corrected sightings per trackline region, classification trees, multidimensional scaling, and random forest analysis. I describe habitat for common dolphins, Risso’s dolphins and sperm whales. From the distribution of cetacean sightings, patterns of habitat start to emerge: within the shelf break region of the Mid-Atlantic Bight, common dolphins were sighted more prevalently over the shelf while sperm whales were more frequently found in the deep waters offshore and Risso’s dolphins were most prevalent at the shelf break. Multidimensional scaling presents clear environmental separation among common dolphins and Risso’s dolphins and sperm whales. The sperm whale random forest habitat model had the lowest misclassification error (0.30) and the Risso’s dolphin random forest habitat model had the greatest misclassification error (0.37). Shallow water depth (less than 148 meters) was the primary variable selected in the classification model for common dolphin habitat. Distance to surface density fronts and surface temperature fronts were the primary variables selected in the classification models to describe Risso’s dolphin habitat and sperm whale habitat respectively. When mapped back into geographic space, these three cetacean species occupy different fine-scale habitats within the dynamic Mid-Atlantic Bight shelf break system.

In Chapter Five I present a summary of the previous chapters and present potential analytical steps to address ecological questions pertaining the dynamic shelf break region. Taken together, the results of my dissertation demonstrate the use of opportunistically collected data in ecosystem studies; emphasize the need to incorporate middle trophic level data and oceanographic features into cetacean habitat models; and emphasize the importance of developing more mechanistic understanding of dynamic ecosystems.