The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

Impact of derivatives trading on emerging stock markets:some evidence from India

It is generally accepted that the introduction of financial derivatives that facilitate hedging is an important step in the development of stock markets. However, financial derivatives can potentially increase volatility in the underlying cash market, which might be detrimental to the development of the stock market itself. Using data from India, we examine one possible route through which derivatives trading can increase cash market volatility: expiration day effect. Our results indicate that expiration of equity derivatives contracts does not have any effect on the intra-day volatility of the market index, and it reduces the volatility of inter-day returns to the index.

Population pharmacokinetics of single-dose intravenous paracetamol in children

Background To determine the pharmacokinetics (PK) of a new i.v. formulation of paracetamol (Perfalgan) in children ≤15 yr of age. Methods After obtaining written informed consent, children under 16 yr of age were recruited to this study. Blood samples were obtained at 0, 15, 30 min, 1, 2, 4, 6, and 8 h after administration of a weight-dependent dose of i.v. paracetamol. Paracetamol concentration was measured using a validated high-performance liquid chromatographic assay with ultraviolet detection method, with a lower limit of quantification (LLOQ) of 900 pg on column and an intra-day coefficient of variation of 14.3% at the LLOQ. Population PK analysis was performed by non-linear mixed-effect modelling using NONMEM. Results One hundred and fifty-nine blood samples from 33 children aged 1.8–15 yr, weight 13.7–56 kg, were analysed. Data were best described by a two-compartment model. Only body weight as a covariate significantly improved the goodness of fit of the model. The final population models for paracetamol clearance (CL), V1 (central volume of distribution), Q (inter-compartmental clearance), and V2 (peripheral volume of distribution) were: 16.51×(WT/70)0.75, 28.4×(WT/70), 11.32×(WT/70)0.75, and 13.26×(WT/70), respectively (CL, Q in litres per hour, WT in kilograms, and V1 and V2 in litres). Conclusions In children aged 1.8–15 yr, the PK parameters for i.v. paracetamol were not influenced directly by age but were by total body weight and, using allometric size scaling, significantly affected the clearances (CL, Q) and volumes of distribution (V1, V2).

Super-orbital variability of LS I+61 degrees 303 at TeV energies

Context. The gamma-ray binary LS I +61º303 is a well-established source from centimeter radio up to very high energy (VHE; E > 100 GeV). The broadband emission shows a periodicity of ∼26.5 days, coincident with the orbital period. A longer (super-orbital) period of 1667 ± 8 days was proposed from radio variability and confirmed using optical and high-energy (HE; E ¿ 100 MeV) gamma-ray observations. In this paper, we report on a four-year campaign performed by MAGIC together with archival data concentrating on a search for a long-timescale signature in the VHE emission from LS I +61º303. Aims. We focus on the search for super-orbital modulation of the VHE emission, similar to that observed at other energies, and on the search for correlations between TeV emission and an optical determination of the extension of the circumstellar disk. Methods. A four-year campaign has been carried out using the MAGIC telescopes. The source was observed during the orbital phases when the periodic VHE outbursts have occurred (φ = 0.55 – 0.75, one orbit = 26.496 days). Additionally, we included archival MAGIC observations and data published by the VERITAS collaboration in these studies. For the correlation studies, LS I +61◦303 has also been observed during the orbital phases where sporadic VHE emission had been detected in the past (φ = 0.75 – 1.0). These MAGIC observations were simultaneous with optical spectroscopy from the LIVERPOOL telescope. Results. The TeV flux of the periodical outburst in orbital phases φ = 0.5 – 0.75 was found to show yearly variability consistent with the long-term modulation of ∼4.5 years found in the radio band. This modulation of the TeV flux can be well described by a sine function with a best-fit period of 1610±58 days. The complete data, including archival observations, span two super-orbital periods. There is no evidence for a correlation between the TeV emission and the mass-loss rate of the Be star, but this may be affected by the strong, short-timescale (as short as intra-day) variation displayed by the Hα fluxes.

A Rapid And Simple Capillary Electrophoresis Method For Indirect Determination Of The Biocide 2,2-dibromo-3-nitrilo-propionamide (dbnpa) In Cooling Waters.

A capillary zone electrophoresis (CE) method was developed for the determination of the biocide 2,2-dibromo-3-nitrilo-propionamide (DBNPA) in water used in cooling systems. The biocide is indirectly determined by CE measurement of the concentration of bromide ions produced by the reaction between the DBNPA and bisulfite. The relationship between the bromide peak areas and the DBNPA concentrations showed a good linearity and a coefficient of determination (R(2)) of 0.9997 in the evaluated concentration range of 0-75 μmol L(-1). The detection and quantification limits for DBNPA were 0.23 and 0.75 μmol L(-1), respectively. The proposed CE method was successfully applied for the analysis of samples of tap water and cooling water spiked with DBNPA. The intra-day and inter-day (intermediary) precisions were lower than 2.8 and 6.2%, respectively. The DBNPA concentrations measured by the CE method were compared to the values obtained by a spectrophotometric method and were found to agree well.

Rapid Determination of Water-Soluble and Fat-Soluble Vitamins in Commercial Formulations by MEEKC

Microemulsion electrokinetic capillary chromatography has been successfully applied to the separation and determination of water-soluble vitamins (thiamine hydrochloride, riboflavin, niacin, pyridoxine hydrochloride, folic acid, cobalamin, ascorbic acid) and a fat-soluble vitamin (alpha-tocopherol acetate). The optimal microemulsion buffer contained sodium dodecylsulfate (SDS) as surfactant, butan-1-ol as the co-surfactant, ethyl acetate as the oil and pH 9.2 tetraborate buffer, modified with 15% (v/v) 2-propanol. UV detection at 214 nm gave adequate sensitivity without interference from sample excipients. Under the optimized conditions, the vitamins were baseline separated in less than 7 min. Analytical curves of peak area versus concentration presented coefficients of determination (R (2) ) > 0.99, acceptable limits of quantification between 8.40 and 16.23 mu g mL(-1) were obtained. Vitamin levels in liquid formulation were quantified with intra-day precision better than 0.99% RSD for migration time and 1.19% RSD for peak area ratio. Recoveries ranged between 98.7 and 101.7%. The method was considered appropriate for rapid and routine analysis.

Development and validation of HPLC method for imiquimod determination in skin penetration studies

A simple, rapid and sensitive analytical procedure for the measurement of imiquimod in skin samples after in vitro penetration studies has been developed and validated. In vitro penetration studies were carried out in Franz diffusion cells with porcine skin. Tape stripping technique was used to separate the stratum corneum (SC) from the viable epidermis and dermis. Imiquimod was extracted from skin samples using a 7:3 (v/v) methanol:acetate buffer (100 mm, pH 4.0) solution and ultrasonication. Imiquimod was analyzed by H-PLC using C(8) column and UV detection at 242 ran. The mobile phase used was acetonitrile:acetate buffer (pH 4.0, 100 mM):diethylamine (30:69.85:0.15, v/v) with flow rate 1 mL/min. Imiquimod eluted at 4.1 min and the running time was limited to 6.0 min. The procedure was linear across the following concentration ranges: 100-2500 ng/mL for both SC and tape-stripped skin and 20-800 ng/mL for receptor solution. Intra-day and inter-day accuracy and precision values were lower than 20% at the limit of quantitation. The recovery values ranged from 80 to 100%. The method is adequate to assay imiquimod from skin samples, enabling the determination of the cutaneous penetration profile of uniquimod by in vitro studies. Copyright (C) 2008 John Wiley & Sons, Ltd.

Total Exposure and Exposure Rate Effects for Alcohol and Smoking and Risk of Head and Neck Cancer: A Pooled Analysis of Case-Control Studies

Although cigarette smoking and alcohol consumption increase risk for head and neck cancers, there have been few attempts to model risks quantitatively and to formally evaluate cancer site-specific risks. The authors pooled data from 15 case-control studies and modeled the excess odds ratio (EOR) to assess risk by total exposure (pack-years and drink-years) and its modification by exposure rate (cigarettes/day and drinks/day). The smoking analysis included 1,761 laryngeal, 2,453 pharyngeal, and 1,990 oral cavity cancers, and the alcohol analysis included 2,551 laryngeal, 3,693 pharyngeal, and 3,116 oval cavity cancers, with over 8,000 controls. Above 15 cigarettes/day, the EOR/pack-year decreased with increasing cigarettes/day, suggesting that greater cigarettes/day for a shorter duration was less deleterious than fewer cigarettes/day for a longer duration. Estimates of EOR/pack-year were homogeneous across sites, while the effects of cigarettes/day varied, indicating that the greater laryngeal cancer risk derived from differential cigarettes/day effects and not pack-years. EOR/drink-year estimates increased through 10 drinks/day, suggesting that greater drinks/day for a shorter duration was more deleterious than fewer drinks/day for a longer duration. Above 10 drinks/day, data were limited. EOR/drink-year estimates varied by site, while drinks/day effects were homogeneous, indicating that the greater pharyngeal/oral cavity cancer risk with alcohol consumption derived from the differential effects of drink-years and not drinks/day.

Validação de um método de cromatografia de alta eficiência para determinação de conservantes em géneros alimentícios

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Química e Biológica

Association between dairy product intake and abdominal obesity in Azorean adolescents

BACKGROUND: Some studies have reported an inverse association between dairy product (DP) consumption and weight or fat mass loss. OBJECTIVES: The objective of our study was to assess the association between DP intake and abdominal obesity (AO) among Azorean adolescents. SUBJECTS/METHODS: This study was a cross-sectional analysis. A total of 903 adolescents (370 boys) aged 15--16 years was evaluated. Anthropometric measurements were collected (weight, height and waist circumference (WC)) and McCarthy’s cut-points were used to categorize WC. AO was defined when WC was X90th percentile. Adolescent food intake was assessed using a self-administered semiquantitative food frequency questionnaire and DP intake was categorized in o2 and X2 servings/day. Data were analyzed separately for girls and boys, and logistical regression was used to estimate the association between DPs and AO adjusting for potential confounders. RESULTS: The prevalence of AO was 54.9% (boys: 32.1% and girls: 70.7%, Po0.001). For boys and girls, DP consumption was 2.3±1.9 and 2.1±1.6 servings/day (P¼0.185), respectively. In both genders, the proportion of adolescents with WC o90th percentile was higher among individuals who reported a dairy intake of X2 servings/day compared with those with an intake o2 servings/day (boys: 71% vs 65% and girls: 36% vs 24%, Po0.05). After adjustments for confounders, two or more DP servings per day were a negative predictor of AO (odds ratio, 0.217; 95% confidence interval, 0.075 -- 0.633) only in boys. CONCLUSION: We found a protective association between DP intake and AO only in boys.

Анализ корреляционных связей концентрации приземного озона (КПО) в 15 часов со средними значениями КПО различного временного осреднения по дневным данным

განხილულია მოკ-ის საათობრივი მნიშვნელობების ერთი მეორესთან და აგრეთვე მოკ-ის საშუალო დღიურ და დღეღამურ მნიშვნელობებს შორის კორელაციური კავშირები.

Knowing the past to predict the future: land-use change and the distribution of invasive bullfrogs

Biological invasions and land-use changes are two major causes of the global modifications of biodiversity. Habitat suitability models are the tools of choice to predict potential distributions of invasive species. Although land-use is a key driver of alien species invasions, it is often assumed that land-use is constant in time. Here we combine historical and present day information, to evaluate whether land-use changes could explain the dynamic of invasion of the American bullfrog Rana catesbeiana (=Lithobathes catesbeianus) in Northern Italy, from the 1950s to present-day. We used maxent to build habitat suitability models, on the basis of past (1960s, 1980s) and present-day data on land-uses and species distribution. For example, we used models built using the 1960s data to predict distribution in the 1980s, and so on. Furthermore, we used land-use scenarios to project suitability in the future. Habitat suitability models predicted well the spread of bullfrogs in the subsequent temporal step. Models considering land-use changes predicted invasion dynamics better than models assuming constant land-use over the last 50 years. Scenarios of future land-use suggest that suitability will remain similar in the next years. Habitat suitability models can help to understand and predict the dynamics of invasions; however, land-use is not constant in time: land-use modifications can strongly affect invasions; furthermore, both land management and the suitability of a given land-use class may vary in time. An integration of land-use changes in studies of biological invasions can help to improve management strategies.

Analysis and quantification of vitamin D metabolites in serum by ultra-performance liquid chromatography coupled to tandem mass spectrometry and high-resolution mass spectrometry: a method comparison and validation.

RATIONALE: The aim of the work was to develop and validate a method for the quantification of vitamin D metabolites in serum using ultra-high-pressure liquid chromatography coupled to mass spectrometry (LC/MS), and to validate a high-resolution mass spectrometry (LC/HRMS) approach against a tandem mass spectrometry (LC/MS/MS) approach using a large clinical sample set. METHODS: A fast, accurate and reliable method for the quantification of the vitamin D metabolites, 25-hydroxyvitamin D2 (25OH-D2) and 25-hydroxyvitamin D3 (25OH-D3), in human serum was developed and validated. The C3 epimer of 25OH-D3 (3-epi-25OH-D3) was also separated from 25OH-D3. The samples were rapidly prepared via a protein precipitation step followed by solid-phase extraction (SPE) using an HLB μelution plate. Quantification was performed using both LC/MS/MS and LC/HRMS systems. RESULTS: Recovery, matrix effect, inter- and intra-day reproducibility were assessed. Lower limits of quantification (LLOQs) were determined for both 25OH-D2 and 25OH-D3 for the LC/MS/MS approach (6.2 and 3.4 µg/L, respectively) and the LC/HRMS approach (2.1 and 1.7 µg/L, respectively). A Passing & Bablok fit was determined between both approaches for 25OH-D3 on 662 clinical samples (1.11 + 1.06x). It was also shown that results can be affected by the inclusion of the isomer 3-epi-25OH-D3. CONCLUSIONS: Quantification of the relevant vitamin D metabolites was successfully developed and validated here. It was shown that LC/HRMS is an accurate, powerful and easy to use approach for quantification within clinical laboratories. Finally, the results here suggest that it is important to separate 3-epi-25OH-D3 from 25OH-D3. Copyright © 2012 John Wiley & Sons, Ltd.

Use of drugs with more than a twenty-four-hour duration of action

AIM: To assess compliance with a drug regimen of two doses a day compared with one a day. PATIENTS AND METHODS: A prospective crossover study was set up in a general practice environment to compare compliance on a drug regimen of once a day versus twice a day. Data were collected by electronic monitoring in 113 patients with hypertension or angina pectoris. All patients were prescribed slow-release nifedipine twice a day during the first month and then crossed to a single daily dose of amlodipine for another month. RESULTS: Compliance, defined as the proportion of days on which the correct dose was taken, improved in 30% of patients (95% confidence interval 19-41%; P < 0.001) when the patients were switched from twice a day to once a day, but at the same time there was a 15% increase (95% confidence interval 5-25%; P < 0.02) in the number of patients with one or more no-dose days. Approximately 8% of patients displayed low compliance, irrespective of the dose regimen. Actual dose intervals were used to estimate the extent and timing of periods with unsatisfactory drug activity for various hypothetical drug durations of action. CONCLUSIONS: The apparent advantage of a single daily dose in terms of compliance appears to be clinically meaningful only when the duration of activity extends beyond the dose interval in all patients.

Determination of Vasopressin and Desmopressin in urine by means of liquid chromatography coupled to quadrupole time-of-flight mass spectrometry for doping control purposes.

The anti-diuretic neurohypophysial hormone Vasopressin (Vp) and its synthetic analogue Desmopressin (Dp, 1-desamino-vasopressin) have received considerable attention from doping control authorities due to their impact on physiological blood parameters. Accordingly, the illicit use of Desmopressin in elite sport is sanctioned by the World Anti-Doping Agency (WADA) and the drug is classified as masking agent. Vp and Dp are small (8-9 amino acids) peptides administered orally as well as intranasally. Within the present study a method to determine Dp and Vp in urinary doping control samples by means of liquid chromatography coupled to quadrupole high resolution time-of-flight mass spectrometry was developed. After addition of Lys-Vasopressin as internal standard and efficient sample clean up with a mixed mode solid phase extraction (weak cation exchange), the samples were directly injected into the LC-MS system. The method was validated considering the parameters specificity, linearity, recovery (80-100%), accuracy, robustness, limit of detection/quantification (20/50 pg mL(-1)), precision (inter/intra-day<10%), ion suppression and stability. The analysis of administration study urine samples collected after a single intranasal or oral application of Dp yielded in detection windows for the unchanged target analyte for up to 20 h at concentrations between 50 and 600 pg mL(-1). Endogenous Vp was detected in concentrations of approximately 20-200 pg mL(-1) in spontaneous urine samples obtained from healthy volunteers. The general requirements of the developed method provide the characteristics for an easy transfer to other anti-doping laboratories and support closing another potential gap for cheating athletes.