Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

A sensitive microextraction by packed sorbent-based methodology combined with ultra-high pressure liquid chromatography as a powerful technique for analysis of biologically active flavonols in wines

A new approach based on microextraction by packed sorbent (MEPS) and reversed-phase high-throughput ultra high pressure liquid chromatography (UHPLC) method that uses a gradient elution and diode array detection to quantitate three biologically active flavonols in wines, myricetin, quercetin, and kaempferol, is described. In addition to performing routine experiments to establish the validity of the assay to internationally accepted criteria (selectivity, linearity, sensitivity, precision, accuracy), experiments are included to assess the effect of the important experimental parameters such as the type of sorbent material (C2, C8, C18, SIL, and C8/SCX), number of extraction cycles (extract-discard), elution volume, sample volume, and ethanol content, on the MEPS performance. The optimal conditions of MEPS extraction were obtained using C8 sorbent and small sample volumes (250 μL) in five extraction cycle and in a short time period (about 5 min for the entire sample preparation step). Under optimized conditions, excellent linearity View the MathML source(Rvalues2>0.9963), limits of detection of 0.006 μg mL−1 (quercetin) to 0.013 μg mL−1 (myricetin) and precision within 0.5–3.1% were observed for the target flavonols. The average recoveries of myricetin, quercetin and kaempferol for real samples were 83.0–97.7% with relative standard deviation (RSD, %) lower than 1.6%. The results obtained showed that the most abundant flavonol in the analyzed samples was myricetin (5.8 ± 3.7 μg mL−1). Quercetin (0.97 ± 0.41 μg mL−1) and kaempferol (0.66 ± 0.24 μg mL−1) were found in a lower concentration. The optimized MEPSC8 method was compared with a reverse-phase solid-phase extraction (SPE) procedure using as sorbent a macroporous copolymer made from a balanced ratio of two monomers, the lipophilic divinylbenzene and the hydrophilic N-vinylpyrrolidone (Oasis HLB) were used as reference. MEPSC8 approach offers an attractive alternative for analysis of flavonols in wines, providing a number of advantages including highest extraction efficiency (from 85.9 ± 0.9% to 92.1 ± 0.5%) in the shortest extraction time with low solvent consumption, fast sample throughput, more environmentally friendly and easy to perform.

A fast method using a new hydrophilic–lipophilic balanced sorbent in combination with ultra-high performance liquid chromatography for quantification of significant bioactive metabolites in wines

This manuscript describes the development and validation of an ultra-fast, efficient, and high throughput analytical method based on ultra-high performance liquid chromatography (UHPLC) equipped with a photodiode array (PDA) detection system, for the simultaneous analysis of fifteen bioactive metabolites: gallic acid, protocatechuic acid, (−)-catechin, gentisic acid, (−)-epicatechin, syringic acid, p-coumaric acid, ferulic acid, m-coumaric acid, rutin, trans-resveratrol, myricetin, quercetin, cinnamic acid and kaempferol, in wines. A 50-mm column packed with 1.7-μm particles operating at elevated pressure (UHPLC strategy) was selected to attain ultra-fast analysis and highly efficient separations. In order to reduce the complexity of wine extract and improve the recovery efficiency, a reverse-phase solid-phase extraction (SPE) procedure using as sorbent a new macroporous copolymer made from a balanced ratio of two monomers, the lipophilic divinylbenzene and the hydrophilic N-vinylpyrrolidone (Oasis™ HLB), was performed prior to UHPLC–PDA analysis. The calibration curves of bioactive metabolites showed good linearity within the established range. Limits of detection (LOD) and quantification (LOQ) ranged from 0.006 μg mL−1 to 0.58 μg mL−1, and from 0.019 μg mL−1 to 1.94 μg mL−1, for gallic and gentisic acids, respectively. The average recoveries ± SD for the three levels of concentration tested (n = 9) in red and white wines were, respectively, 89 ± 3% and 90 ± 2%. The repeatability expressed as relative standard deviation (RSD) was below 10% for all the metabolites assayed. The validated method was then applied to red and white wines from different geographical origins (Azores, Canary and Madeira Islands). The most abundant component in the analysed red wines was (−)-epicatechin followed by (−)-catechin and rutin, whereas in white wines syringic and p-coumaric acids were found the major phenolic metabolites. The method was completely validated, providing a sensitive analysis for bioactive phenolic metabolites detection and showing satisfactory data for all the parameters tested. Moreover, was revealed as an ultra-fast approach allowing the separation of the fifteen bioactive metabolites investigated with high resolution power within 5 min.

Insights into metal ion binding in phospholipases A(2): ultra high-resolution crystal structures of an acidic phospholipase A(2) in the Ca2+ free and bound states

The electrophile Ca2+ is an essential multifunctional co-factor in the phospholipase A(2) mediated hydrolysis of phospholipids. Crystal structures of an acidic phospholipase A(2) from the venom of Bothrops jararacussu have been determined both in the Ca2+ free and bound states at 0.97 and 1.60 angstrom resolutions, respectively. In the Ca2+ bound state, the Ca2+ ion is penta-coordinated by a distorted pyramidal cage of oxygen and nitrogen atoms that is significantly different to that observed in structures of other Group I/II phospholipases A(2). In the absence of Ca2+, a water molecule occupies the position of the Ca2+ ion and the side chain of Asp49 and the calcium-binding loop adopts a different conformation. (c) 2005 Elsevier SAS. All rights reserved.

Bounds on direct couplings of superheavy metastable particles to the inflaton field from ultra high energy cosmic ray events

Top-down models for the origin of ultra high energy cosmic rays (UHECR's) propose that these events are the decay products of relic superheavy metastable particles, usually called X particles. These particles can be produced in the reheating period following the inflationary epoch of the early Universe. We obtain constraints on some parameters such as the lifetime and direct couplings of the X-particle to the inflaton field from the requirement that they are responsible for the observed UHECR flux.

Mean-field model for Josephson oscillation in a Bose-Einstein condensate on an one-dimensional optical trap

Using the axially-symmetric time-dependent Gross-Pitaevskii equation we study the phase coherence in a repulsive Bose-Einstein condensate (BEC) trapped by a harmonic and an one-dimensional optical lattice potential to describe the experiment by Cataliotti et al. on atomic Josephson oscillation [Science 293, 843 (2001)]. The phase coherence is maintained after the BEC is set into oscillation by a small displacement of the magnetic trap along the optical lattice. The phase coherence in the presence of oscillating neutral current across an array of Josephson junctions manifests in an interference pattern formed upon free expansion of the BEC. The numerical response of the system to a large displacement of the magnetic trap is a classical transition from a coherent superfluid to an insulator regime and a subsequent destruction of the interference pattern in agreement With the more recent experiment by Cataliotti et al. [New J. Phys. 5, 71 (2003)].

Mean-field model for the interference of matter-waves from a three-dimensional optical trap

Using the mean-field time-dependent Gross-Pitaevskii equation we study the formation of a repulsive Bose-Einstein condensate on a combined optical and harmonic traps in two and three dimensions and subsequent generation of the interference pattern upon the removal of the combined traps as in the experiment by, Greiner et al. [Nature (London 415 (2002) 39]. For optical traps of moderate strength, interference pattern of 27 (9) prominent bright spots is found to be formed in three. (two) dimensions on a cubic (square) lattice in agreement with experiment. Similar interference pattern can also be formed upon removal of the optical lattice trap only. The pattern so formed can oscillate for a long time in the harmonic trap which can be observed experimentally. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Biomimetic apatite formation on Ultra-High Molecular Weight Polyethylene (UHMWPE) using modified biomimetic solution

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Pressure field along the axis of a high-power klystron amplifier

The pressure field in a high-power klystron amplifier is investigated to scale the ionic vacuum pump used to maintain the ultra high-vacuum in the device in order to increase its life-time. The investigation is conducted using an 1.3 GHz, 100 A - 240 keV high-power klystron with five reentrant coaxial cavities, assembled in a cylindrical drift tube 1.2 m long. The diffusion equation is solved to the regime molecular flow to obtain the pressure profile along the axis of the klystron drift tube. The model, solved by both analytical and numerical procedures, is able to determine the pressure values in steady-state case. This work considers the specific conductance and all important gas sources, as in the degassing of the drift tube and cavities walls, cathode, and collector. For the drift tube degassing rate equals to q(deg) = 2x10(-12) (-)mbar.L.s(-1) cm(-2) (degassing rate per unit area), to cavities q(cavity) = 3x10(-13) mbar.L.s(-1)cm(-2), to the cathode q(cathode) = 6x10(-9)_mbar.L.s(-1) and to the collector q(collector) = 6x10(-9) mbar.L.s(-1), it was found that a 10 L.s(-1) ionic vacuum pump connected in the output waveguide wall is suitable. In this case, the pressure obtained in the cathode is p(cathode) = 6.3x10(-9) mbar, in the collector p(collector) = 2.7x10(-9) mbar, and in the output waveguide p = 2.1x10(-9) mbar. Although only the steady-state case is analyzed, some aspects that may be relevant in a transient situation, for instance, when the beam hits the drift tube walls, producing a gas burst, is also commented.

High resolution ultra high pressure liquid chromatography-time-of-flight mass spectrometry dereplication strategy for the metabolite profiling of Brazilian Lippia species

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Magneto-optical studies of the correlation between interface microroughness parameters and the photoluminescence line shape in GaAs/Ga0.7Al0.3As quantum wells

In this work we analyze the relation between the interface microroughness and the full width at half maximum (FWHM) of the photoluminescence (PL) spectra for a GaAs/Ga0.7Al0.3As multiple quantum well (QW) system. We show that, in spite of the complex correlation between the microscopic interface-defects parameters and the QW optical properties, the Singh and Bajaj model [Appl. Phys. Lett. 44, 805 (1984)] provides a good quantitative description of the excitonic PL-FWHM. ©1999 The American Physical Society.

Visualizing the ac magnetic susceptibility of superconducting films via magneto-optical imaging

We have established a link between the global ac response and the local flux distribution of superconducting films by combining magnetic ac susceptibility, dc magnetization, and magneto-optical measurements. The investigated samples are three Nb films: a plain specimen, used as a reference sample, and other two films patterned with square arrays of antidots. At low temperatures and small ac amplitudes of the excitation field, the Meissner screening prevents penetration of flux into the sample. Above a certain ac drive threshold, flux avalanches are triggered during the first cycle of the ac excitation. The subsequent periodic removal, inversion, and rise of flux occurs essentially through the already-created dendrites, giving rise to an ac susceptibility signal weakly dependent on the applied field. The intradendrite flux oscillation is followed, at higher values of the excitation field, by a more drastic process consisting of creation of new dendrites and antidendrites. In this more invasive regime, the ac susceptibility shows a clear field dependence. At higher temperatures a smooth penetration occurs, and the flux profile is characteristic of a critical state. We have also shown that the regime dominated by vortex avalanches can be reliably identified by ac susceptibility measurements. © 2011 American Physical Society.

Ultra-high energy extragalactic neutrinos interacting with ultra-light dark matter

We show the results and discussions of the study of a possible suppression of the extragalactic neutrino flux during its propagation due to a nonstandard interaction with a candidate field to dark matter. In particular, we show the study of neutrino interaction with an ultra-light scalar field. It is shown that the extragalactic neutrino flux may be suppressed by such an interaction, leading to a mechanism to reduce the ultra-high energy neutrino flux. We calculate both the cases of non-self-conjugate as well as self-conjugate ultra-light dark matter. In the first case, the suppression is independent of the neutrino and dark matter masses. We conclude that care must be taken when explaining limits on the neutrino flux through source acceleration mechanisms only, since there could be other mechanisms, as absorption during propagation, for the reduction of the neutrino flux [1], © Published under licence by IOP Publishing Ltd.

Development of a comprehensive method for analyzing clerodane-type diterpenes and phenolic compounds from Casearia sylvestris Swartz (Salicaceae) based on ultra high performance liquid chromatography combined with chemometric tools

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Rapid and sensitive ultra-high-pressure liquid chromatography method for quantification of antichagasic benznidazole in plasma: application in a preclinical pharmacokinetic study

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)