Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Turbulent collision of inertial particles: point-particle based, hybrid simulations and beyond

Point-particle based direct numerical simulation (PPDNS) has been a productive research tool for studying both single-particle and particle-pair statistics of inertial particles suspended in a turbulent carrier flow. Here we focus on its use in addressing particle-pair statistics relevant to the quantification of turbulent collision rate of inertial particles. PPDNS is particularly useful as the interaction of particles with small-scale (dissipative) turbulent motion of the carrier flow is mostly relevant. Furthermore, since the particle size may be much smaller than the Kolmogorov length of the background fluid turbulence, a large number of particles are needed to accumulate meaningful pair statistics. Starting from the relative simple Lagrangian tracking of so-called ghost particles, PPDNS has significantly advanced our theoretical understanding of the kinematic formulation of the turbulent geometric collision kernel by providing essential data on dynamic collision kernel, radial relative velocity, and radial distribution function. A recent extension of PPDNS is a hybrid direct numerical simulation (HDNS) approach in which the effect of local hydrodynamic interactions of particles is considered, allowing quantitative assessment of the enhancement of collision efficiency by fluid turbulence. Limitations and open issues in PPDNS and HDNS are discussed. Finally, on-going studies of turbulent collision of inertial particles using large-eddy simulations and particle- resolved simulations are briefly discussed.

Contributions to the efficient use of general purpose coprocessors: kernel density estimation as case study

142 p.

Multiple stable reference points in oyster populations: implications for reference point-based management

In the second of two companion articles, a 54-year time series for the oyster population in the New Jersey waters of Delaware Bay is analyzed to examine how the presence of multiple stable states affects reference-point–based management. Multiple stable states are described by four types of reference points. Type I is the carrying capacity for the stable state: each has associated with it a type-II reference point wherein surplus production reaches a local maximum. Type-II reference points are separated by an intermediate surplus production low (type III). Two stable states establish a type-IV reference point, a point-of-no-return that impedes recovery to the higher stable state. The type-II to type-III differential in surplus production is a measure of the difficulty of rebuilding the population and the sensitivity of the population to collapse at high abundance. Surplus production projections show that the abundances defining the four types of reference points are relatively stable over a wide range of uncertainties in recruitment and mortality rates. The surplus production values associated with type-II and type-III reference points are much more uncertain. Thus, biomass goals are more easily established than fishing mortality rates for oyster population

HACCP based management system for improving quality of freshwater giant prawn, Macrobrachium rosenbergii

The study was conducted on the present status of HACCP based quality management system of golda, Macrobrachium rosenbergii farms in Fulpur region of Mymensingh. Information was collected on general condition of farms, culture systems and post-harvest quality management. In almost all farms, there is no or inadequate infrastructure facilities such as, road access, electric supply, telecommunications, ice, feed storage facility, vehicle for golda transportation, washing and toilet facilities. The problems associated with sanitation and hygiene was: widespread use of cow dung, poultry manure and construction of open toilet within the vicinity of prawn culture pond. Different grades of commercially available and locally prepared feeds were used for golda culture in the pond. Golda post-larvae (PL) of 40-50 days old were stocked with carp species. The price of golda PL ranged from Tk. 1.00 to Tk. 1.25/piece. The pond size varied from 50 decimal (0.2 ha) to 2.5 acre (1.0 ha) with an average depth of 2-2.5 m. The culture period of golda varied from April-May to November-December and survival rate ranged between 75 and 80%. Production of golda varied from 250-500 kg/acre (625-1,250 kg/ha). Harvested golda were transported to city market within 4 h. Two size grading were generally followed during pricing, e.g. Tk. 500 to 550/kg for >100 g size and Tk. 300/kg for <100 g size. The cost-benefit ratio was found to remain around 1:1.25 depending on availability of PL. Water quality parameters such as, water temperature, pH, dissolved oxygen, total alkalinity and chlorophyll a in five golda farms in Fulpur region were monitored. Water temperature ranged from 29°C to 33°C, dissolved oxygen from 2.28 to 4.13 mg/l, pH between 6.65 and 7.94, alkalinity from 44 to 70 mg/l and chlorophyll a concentration from 61.88 to 102.34 µg/l in the five investigated ponds. The Aerobic Plate Count (APC) of the water sample was within the range of 2.0x10^6 - 2.96x10^7 CFU/ml and of soil samples within the range of 6.9x10^6 - 7.73x10^6 CFU/g. Streptococcus sp., Bacillus sp., Escherichia coli, Staphylococcus sp., Pseudomonas sp. and Salmonella sp. were isolated from pond water and sediment. Different feed samples used for golda was analyzed for proximate composition. Moisture content ranged around 14.14-21.22%, crude protein 20.55-44.1%, lipid 4.67-12.54% and ash 9.7-27.69%. The TVB-N values and peroxide values of feeds used as starter, grower and fish meal were found within the acceptable ranges and samples were free from pathogenic organisms. A training was organized for the golda farmers on HACCP, water quality and post-harvest quality management of prawn.

Development and evaluation of an alternative method for processing elastic-lidar return signals

A method for interpreting elastic-lidar return signals in heavily-polluted atmospheres is presented. It is based on an equation derived directly from the classic lidar equation, which highlights gradients of the atmospheric backscattering properties along the laser optical path. The method is evaluated by comparing its results with those obtained with the differential absorption technique. The results were obtained from locating and ranging measurements in pollutant plumes and contaminated environments around central México. © World Scientific Publishing Company.

Object-recognition with oblique observation directions based on biomimetic pattern recognition

In this paper, we propose a new scheme for omnidirectional object-recognition in free space. The proposed scheme divides above problem into several onmidirectional object-recognition with different depression angles. An onmidirectional object-recognition system with oblique observation directions based on a new recognition theory-Biomimetic Pattern Recognition (BPR) is discussed in detail. Based on it, we can get the size of training samples in the onmidirectional object-recognition system in free space. Omnidirection ally cognitive tests were done on various kinds of animal models of rather similar shapes. For the total 8400 tests, the correct recognition rate is 99.89%. The rejection rate is 0.11% and on the condition of zero error rates. Experimental results are presented to show that the proposed approach outperforms three types of SVMs with either a three degree polynomial kernel or a radial basis function kernel.

On-Chip All-Optical Passive 3.55 Gbit/s NRZ-to-PRZ Format Conversion Using a High-Q Silicon-Based Microring Resonator

We report the experimental result of all-optical passive 3.55 Gbit/s non-return-to-zero (NRZ) to pseudo-return-to-zero (PRZ) format conversion using a high-quality-factor (Q-factor) silicon-based microring resonator notch filter on chip. The silicon-based microring resonator has 23800 Q-factor and 22 dB extinction ratio (ER), and the PRZ signals has about 108 ps width and 4.98 dB ER.

Providing Soft Bandwidth Guarantees Using Elastic TCP-based Tunnels

The best-effort nature of the Internet poses a significant obstacle to the deployment of many applications that require guaranteed bandwidth. In this paper, we present a novel approach that enables two edge/border routers-which we call Internet Traffic Managers (ITM)-to use an adaptive number of TCP connections to set up a tunnel of desirable bandwidth between them. The number of TCP connections that comprise this tunnel is elastic in the sense that it increases/decreases in tandem with competing cross traffic to maintain a target bandwidth. An origin ITM would then schedule incoming packets from an application requiring guaranteed bandwidth over that elastic tunnel. Unlike many proposed solutions that aim to deliver soft QoS guarantees, our elastic-tunnel approach does not require any support from core routers (as with IntServ and DiffServ); it is scalable in the sense that core routers do not have to maintain per-flow state (as with IntServ); and it is readily deployable within a single ISP or across multiple ISPs. To evaluate our approach, we develop a flow-level control-theoretic model to study the transient behavior of established elastic TCP-based tunnels. The model captures the effect of cross-traffic connections on our bandwidth allocation policies. Through extensive simulations, we confirm the effectiveness of our approach in providing soft bandwidth guarantees. We also outline our kernel-level ITM prototype implementation.

An alignment based similarity measure for hand detection in cluttered sign language video

Locating hands in sign language video is challenging due to a number of factors. Hand appearance varies widely across signers due to anthropometric variations and varying levels of signer proficiency. Video can be captured under varying illumination, camera resolutions, and levels of scene clutter, e.g., high-res video captured in a studio vs. low-res video gathered by a web cam in a user’s home. Moreover, the signers’ clothing varies, e.g., skin-toned clothing vs. contrasting clothing, short-sleeved vs. long-sleeved shirts, etc. In this work, the hand detection problem is addressed in an appearance matching framework. The Histogram of Oriented Gradient (HOG) based matching score function is reformulated to allow non-rigid alignment between pairs of images to account for hand shape variation. The resulting alignment score is used within a Support Vector Machine hand/not-hand classifier for hand detection. The new matching score function yields improved performance (in ROC area and hand detection rate) over the Vocabulary Guided Pyramid Match Kernel (VGPMK) and the traditional, rigid HOG distance on American Sign Language video gestured by expert signers. The proposed match score function is computationally less expensive (for training and testing), has fewer parameters and is less sensitive to parameter settings than VGPMK. The proposed detector works well on test sequences from an inexpert signer in a non-studio setting with cluttered background.

Trade & Cap: A Customer-Managed, Market-Based System for Trading Bandwidth Allowances at a Shared Link

We propose Trade & Cap (T&C), an economics-inspired mechanism that incentivizes users to voluntarily coordinate their consumption of the bandwidth of a shared resource (e.g., a DSLAM link) so as to converge on what they perceive to be an equitable allocation, while ensuring efficient resource utilization. Under T&C, rather than acting as an arbiter, an Internet Service Provider (ISP) acts as an enforcer of what the community of rational users sharing the resource decides is a fair allocation of that resource. Our T&C mechanism proceeds in two phases. In the first, software agents acting on behalf of users engage in a strategic trading game in which each user agent selfishly chooses bandwidth slots to reserve in support of primary, interactive network usage activities. In the second phase, each user is allowed to acquire additional bandwidth slots in support of presumed open-ended need for fluid bandwidth, catering to secondary applications. The acquisition of this fluid bandwidth is subject to the remaining "buying power" of each user and by prevalent "market prices" – both of which are determined by the results of the trading phase and a desirable aggregate cap on link utilization. We present analytical results that establish the underpinnings of our T&C mechanism, including game-theoretic results pertaining to the trading phase, and pricing of fluid bandwidth allocation pertaining to the capping phase. Using real network traces, we present extensive experimental results that demonstrate the benefits of our scheme, which we also show to be practical by highlighting the salient features of an efficient implementation architecture.

A simulation-based design method to transfer surface mount RF system to flip-chip die implementation

The flip-chip technology is a high chip density solution to meet the demand for very large scale integration design. For wireless sensor node or some similar RF applications, due to the growing requirements for the wearable and implantable implementations, flip-chip appears to be a leading technology to realize the integration and miniaturization. In this paper, flip-chip is considered as part of the whole system to affect the RF performance. A simulation based design is presented to transfer the surface mount PCB board to the flip-chip die package for the RF applications. Models are built by Q3D Extractor to extract the equivalent circuit based on the parasitic parameters of the interconnections, for both bare die and wire-bonding technologies. All the parameters and the PCB layout and stack-up are then modeled in the essential parts' design of the flip-chip RF circuit. By implementing simulation and optimization, a flip-chip package is re-designed by the parameters given by simulation sweep. Experimental results fit the simulation well for the comparison between pre-optimization and post-optimization of the bare die package's return loss performance. This design method could generally be used to transfer any surface mount PCB to flip-chip package for the RF systems or to predict the RF specifications of a RF system using the flip-chip technology.

Economic return of clinical trials performed under the pediatric exclusivity program.

CONTEXT: In 1997, Congress authorized the US Food and Drug Administration (FDA) to grant 6-month extensions of marketing rights through the Pediatric Exclusivity Program if industry sponsors complete FDA-requested pediatric trials. The program has been praised for creating incentives for studies in children and has been criticized as a "windfall" to the innovator drug industry. This critique has been a substantial part of congressional debate on the program, which is due to expire in 2007. OBJECTIVE: To quantify the economic return to industry for completing pediatric exclusivity trials. DESIGN AND SETTING: A cohort study of programs conducted for pediatric exclusivity. Nine drugs that were granted pediatric exclusivity were selected. From the final study reports submitted to the FDA (2002-2004), key elements of the clinical trial design and study operations were obtained, and the cost of performing each study was estimated and converted into estimates of after-tax cash outflows. Three-year market sales were obtained and converted into estimates of after-tax cash inflows based on 6 months of additional market protection. Net economic return (cash inflows minus outflows) and net return-to-costs ratio (net economic return divided by cash outflows) for each product were then calculated. MAIN OUTCOME MEASURES: Net economic return and net return-to-cost ratio. RESULTS: The indications studied reflect a broad representation of the program: asthma, tumors, attention-deficit/hyperactivity disorder, hypertension, depression/generalized anxiety disorder, diabetes mellitus, gastroesophageal reflux, bacterial infection, and bone mineralization. The distribution of net economic return for 6 months of exclusivity varied substantially among products (net economic return ranged from -$8.9 million to $507.9 million and net return-to-cost ratio ranged from -0.68 to 73.63). CONCLUSIONS: The economic return for pediatric exclusivity is variable. As an incentive to complete much-needed clinical trials in children, pediatric exclusivity can generate lucrative returns or produce more modest returns on investment.

EFFECT OF SURFACE RESISTOR LOADING ON HIGH-IMPEDANCE SURFACE RADAR ABSORBER RETURN LOSS AND BANDWIDTH

A simple method for the selection of the appropriate choice of surface-mounted loading resistor required for a thin radar absorber based on a high-impedance surface (HIS) principle is demonstrated. The absorber consists of a HIS, (artificial magnetic ground plane), thickness 0.03 lambda(0) surface-loaded resistive-elements interconnecting a textured surface of square patches. The properties of absorber are characterized under normal incident using a parallel plate waveguide measurement technique over the operating frequency range of 2.6-3.95 GHz. We show that for this arrangement return loss and bandwidth are insensitive to +/- 2% tolerance variations in surface resistor values about the value predicted using the method elaborated in this letter, and that better than -28 dB at 3.125 GHz reflection loss can be obtained with an effective working bandwidth of up to 11% at -10 dB reflection loss. (C) 2009 Wiley Periodicals, Inc. Microwave Opt Technol Lett 51: 1733-1775, 2009; Published online in Wiley Interscience (www.interscience.wiley.com). DOI 10.1002/mop.24454

Dynamic pricing model and algorithm for perishable products with fuzzy demand (ABS 2* Journal)

This paper studies the dynamic pricing problem of selling fixed stock of perishable items over a finite horizon, where the decision maker does not have the necessary historic data to estimate the distribution of uncertain demand, but has imprecise information about the quantity demand. We model this uncertainty using fuzzy variables. The dynamic pricing problem based on credibility theory is formulated using three fuzzy programming models, viz.: the fuzzy expected revenue maximization model, a-optimistic revenue maximization model, and credibility maximization model. Fuzzy simulations for functions with fuzzy parameters are given and embedded into a genetic algorithm to design a hybrid intelligent algorithm to solve these three models. Finally, a real-world example is presented to highlight the effectiveness of the developed model and algorithm.