Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Metglas thin film based magnetostrictive transducers for use in long period fibre grating sensors

Metallic glass alloy Metglas 2826 MB based amorphous magnetic thin films were fabricated by the thermal evaporation technique. Transmission electron micrographs and electron diffraction pattern showed the amorphous nature of the films. Composition of the films was analyzed employing X-ray photoelectron spectroscopy and energy dispersive X-ray spectroscopy techniques. The film was integrated to a long period fibre grating. It was observed that the resonance wavelength of the fibre grating decreased with an increase in the magnetic field. Change in the resonance wavelength was minimal at higher magnetic fields. Field dependent magnetostriction values revealed the potential application of these films in magnetostrictive sensor devices.

Soft budget constraints in a dynamic general equilibrium model

This paper considers an overlapping generations model in which capital investment is financed in a credit market with adverse selection. Lenders’ inability to commit ex-ante not to bailout ex-post, together with a wealthy position of entrepreneurs gives rise to the soft budget constraint syndrome, i.e. the absence of liquidation of poor performing firms on a regular basis. This problem arises endogenously as a result of the interaction between the economic behavior of agents, without relying on political economy explanations. We found the problem more binding along the business cycle, providing an explanation to creditors leniency during booms in some LatinAmerican countries in the late seventies and early nineties.

Dynamic stall for a Vertical Axis Wind Turbine in a two-dimensional study

The last few years have proved that Vertical Axis Wind Turbines (VAWTs) are more suitable for urban areas than Horizontal Axis Wind Turbines (HAWTs). To date, very little has been published in this area to assess good performance and lifetime of VAWTs either in open or urban areas. At low tip speed ratios (TSRs<5), VAWTs are subjected to a phenomenon called 'dynamic stall'. This can really affect the fatigue life of a VAWT if it is not well understood. The purpose of this paper is to investigate how CFD is able to simulate the dynamic stall for 2-D flow around VAWT blades. During the numerical simulations different turbulence models were used and compared with the data available on the subject. In this numerical analysis the Shear Stress Transport (SST) turbulence model seems to predict the dynamic stall better than the other turbulence models available. The limitations of the study are that the simulations are based on a 2-D case with constant wind and rotational speeds instead of considering a 3-D case with variable wind speeds. This approach was necessary for having a numerical analysis at low computational cost and time. Consequently, in the future it is strongly suggested to develop a more sophisticated model that is a more realistic simulation of a dynamic stall in a three-dimensional VAWT.

Local gratings due to angular hole burning in a photorefractive polymer

We investigate the processes involved in writing real-time holographic gratings in a photorefractive polymer (PRP) that incorporates an azo-dye. In such systems there may be gratings due to mechanisms associated with trans–cis isomerization (angular hole burning (AHB) and/or angular redistribution), which appear in addition to those arising from the photorefractive (PR) effect. The work presented here helps to understand the interactions which may occur between these different gratings. The formation of local gratings due to mechanisms associated with photoisomerization is studied, in a new PRP based on the photoconductor poly(N-vinylcarbazole):2, 4, 7-trinitro-9-fluorenone, plasticized with N-ethylcarbazole. The polymer includes the azo-dye 4-nitro-4'-pentyloxy-azobenzene and we observe both PR and photoisomerization gratings. The gratings are shown to be both polarization-sensitive and reversible. The presence of the photoisomerization gratings (which diffract almost as strongly as the PR gratings) significantly affects the field-dependent diffractive behaviour of the composite. A measurement of the lifetime of the cis state is made (τcis = 38 s) using photoinduced dichroism. This is close to the decay time constant of the local gratings (τdecay = 42 s), and it is suggested that the local grating mechanism is AHB of the azo-dye. This is the first time (to the knowledge of the authors) that a local grating due to AHB has been demonstrated in a PRP.

Analysis of Direct Outdoor Air Cooling Efficency for Combined Variable Air Volume Air-conditioning System in Stores in Cold Climates of China

Direct outdoor air cooling contributes a lot not only to the improvement of the indoor air quality but also to the energy saving. Its full use will reduce the water chiller’s running time especially in some stores where cooling load keeps much higher and longer than that in other buildings. A novel air-conditioning system named Combined Variable Air Volume system (CVAV), combining a normal AHU with a separate outdoor air supply system, was proposed firstly by the authors. The most attractive feature of the system is its full utilization of cooling capacity and freshness of outdoor air in the transition period of the year round. On the basis of the obtain of the dynamic cooling loads of the typical shopping malls in different four cities located in cold climates in China with the aid of DOE-2, the possibility of increasing the amount of outdoor air volume of CVAV system in the transition period instead of operating the water chillers was confirmed. Moreover, a new concept, Direct Outdoor Air Cooling Efficiency (DOACE), was defined as the ratio of cooling capacity of outdoor air to the water chiller, indicating the degree of outdoor air’s utilization. And the DOACE of the CVAV was calculated and compared with that of conventional all-air constant volume air-conditioning systems, the results showed that CVAV bear much more energy saving potential with the 10%~19% higher DOACE and it is a kind of energy efficient systems and can improve the indoor air quality as well.

A time-invariant visco-elastic windkessel model relating blood flow and blood volume

The difference between the rate of change of cerebral blood volume (CBV) and cerebral blood flow (CBF) following stimulation is thought to be due to circumferential stress relaxation in veins (Mandeville, J.B., Marota, J.J.A., Ayata, C., Zaharchuk, G., Moskowitz, M.A., Rosen, B.R., Weisskoff, R.M., 1999. Evidence of a cerebrovascular postarteriole windkessel with delayed compliance. J. Cereb. Blood Flow Metab. 19, 679–689). In this paper we explore the visco-elastic properties of blood vessels, and present a dynamic model relating changes in CBF to changes in CBV. We refer to this model as the visco-elastic windkessel (VW) model. A novel feature of this model is that the parameter characterising the pressure–volume relationship of blood vessels is treated as a state variable dependent on the rate of change of CBV, producing hysteresis in the pressure–volume space during vessel dilation and contraction. The VW model is nonlinear time-invariant, and is able to predict the observed differences between the time series of CBV and that of CBF measurements following changes in neural activity. Like the windkessel model derived by Mandeville, J.B., Marota, J.J.A., Ayata, C., Zaharchuk, G., Moskowitz, M.A., Rosen, B.R., Weisskoff, R.M., 1999. Evidence of a cerebrovascular postarteriole windkessel with delayed compliance. J. Cereb. Blood Flow Metab. 19, 679–689, the VW model is primarily a model of haemodynamic changes in the venous compartment. The VW model is demonstrated to have the following characteristics typical of visco-elastic materials: (1) hysteresis, (2) creep, and (3) stress relaxation, hence it provides a unified model of the visco-elastic properties of the vasculature. The model will not only contribute to the interpretation of the Blood Oxygen Level Dependent (BOLD) signals from functional Magnetic Resonance Imaging (fMRI) experiments, but also find applications in the study and modelling of the brain vasculature and the haemodynamics of circulatory and cardiovascular systems.

Model estimation of cerebral hemodynamics between blood flow and volume changes: A data-based modeling approach

It is well known that there is a dynamic relationship between cerebral blood flow (CBF) and cerebral blood volume (CBV). With increasing applications of functional MRI, where the blood oxygen-level-dependent signals are recorded, the understanding and accurate modeling of the hemodynamic relationship between CBF and CBV becomes increasingly important. This study presents an empirical and data-based modeling framework for model identification from CBF and CBV experimental data. It is shown that the relationship between the changes in CBF and CBV can be described using a parsimonious autoregressive with exogenous input model structure. It is observed that neither the ordinary least-squares (LS) method nor the classical total least-squares (TLS) method can produce accurate estimates from the original noisy CBF and CBV data. A regularized total least-squares (RTLS) method is thus introduced and extended to solve such an error-in-the-variables problem. Quantitative results show that the RTLS method works very well on the noisy CBF and CBV data. Finally, a combination of RTLS with a filtering method can lead to a parsimonious but very effective model that can characterize the relationship between the changes in CBF and CBV.

Chronic low frequency/low volume resistance training reduces pro-inflammatory cytokine protein levels and TLR4 mRNA in rat skeletal muscle

Skeletal muscle is the source of pro- and anti-inflammatory cytokines, and recently, it has been recognized as an important source of interleukin 6 (IL-6), a cytokine that exerts inhibitory effects on several pro-inflammatory cytokines. Although dynamic chronic resistance training has been shown to produce the known ""repeated bout effect"", which abolishes the acute muscle damage, performing of high-intensity resistance training has been regarded highly advisable, at least from the hypertrophy perspective. On the other hand, a more therapeutic, ""non-damaging"" resistance training program, mainly composed of concentric forces, low frequency/low volume of training, and the same exercise, could theoretically benefit the muscle when the main issue is to avoid muscle inflammation (as in the treatment of several ""low-grade"" inflammatory diseases) because the acute effect of each resistance exercise session could be diminished/avoided, at the same time that the muscle is still being overloaded in a concentric manner. However, the benefits of such ""less demanding"" resistance training schedule on the muscle inflammatory profile have never been investigated. Therefore, we assessed the protein expression of IL-6, TNF-alpha, IL-10, IL-10/TNF-alpha ratio, and HSP70 levels and mRNA expression of SCF(beta-TrCP), IL-15, and TLR-4 in the skeletal muscle of rats submitted to resistance training. Briefly, animals were randomly assigned to either a control group (S, n = 8) or a resistance-trained group (T, n = 7). Trained rats were exercised over a duration of 12 weeks (two times per day, two times per week). Detection of IL-6, TNF-alpha, IL-10, and HSP70 protein expression was carried out by western blotting and SCF(beta-TrCP) (SKP Cullin F-Box Protein Ligases), a class of enzymes involved in the ubiquitination of protein substrates to proteasomal degradation, IL-15, and TLR-4 by RT-PCR. Our results show a decreased expression of TNF-alpha and TLR4 mRNA (40 and 60%, respectively; p < 0.05) in the plantar muscle from trained, when compared with control rats. In conclusion, exercise training induced decreased TNF-alpha and TLR-4 expressions, resulting in a modified IL-10/TNF-alpha ratio in the skeletal muscle. These data show that, in healthy rats, 12-week resistance training, predominantly composed of concentric stimuli and low frequency/low volume schedule, down regulates skeletal muscle production of cytokines involved in the onset, maintenance, and regulation of inXammation.

Static and dynamic bimolecular fluorescence quenching of porphyrin dendrimers in solution

The fluorescence quenching kinetics of two porphyrin dendrimer series (GnTPPH(2) and GnPZn) by different type of quenchers is reported. The microenvironment surrounding the core in GnPZn was probing by core-quencher interactions using benzimidazole. The dependence of quencher binding constant (K(a) ) on generation indicates the presence of a weak interaction between branches and the core of the porphyrin dendrimer. The similar free volume in dendrimers of third and fourth generation suggests that structural collapse in high generations occurs by packing of the dendrimer peripheral layer. Dynamic fluorescence quenching of the porphyrin core by 1,3-dicyanomethylene-2-methyl-2-pentyl-indan (PDCMI) in GnTPPH(2) is a distance dependent electron transfer process with an exponential attenuation factor beta=0.33 angstrom(-1). The quenching by 1,2-dibromobenzene occurs by diffusion process of the quencher toward to the porphyrin core, and its rate constant is practically independent of dendrimer generation.

Flexible information acquisition and optimal Tobin tax in tractable dynamic global games

My dissertation focuses on dynamic aspects of coordination processes such as reversibility of early actions, option to delay decisions, and learning of the environment from the observation of other people’s actions. This study proposes the use of tractable dynamic global games where players privately and passively learn about their actions’ true payoffs and are able to adjust early investment decisions to the arrival of new information to investigate the consequences of the presence of liquidity shocks to the performance of a Tobin tax as a policy intended to foster coordination success (chapter 1), and the adequacy of the use of a Tobin tax in order to reduce an economy’s vulnerability to sudden stops (chapter 2). Then, it analyzes players’ incentive to acquire costly information in a sequential decision setting (chapter 3). In chapter 1, a continuum of foreign agents decide whether to enter or not in an investment project. A fraction λ of them are hit by liquidity restrictions in a second period and are forced to withdraw early investment or precluded from investing in the interim period, depending on the actions they chose in the first period. Players not affected by the liquidity shock are able to revise early decisions. Coordination success is increasing in the aggregate investment and decreasing in the aggregate volume of capital exit. Without liquidity shocks, aggregate investment is (in a pivotal contingency) invariant to frictions like a tax on short term capitals. In this case, a Tobin tax always increases success incidence. In the presence of liquidity shocks, this invariance result no longer holds in equilibrium. A Tobin tax becomes harmful to aggregate investment, which may reduces success incidence if the economy does not benefit enough from avoiding capital reversals. It is shown that the Tobin tax that maximizes the ex-ante probability of successfully coordinated investment is decreasing in the liquidity shock. Chapter 2 studies the effects of a Tobin tax in the same setting of the global game model proposed in chapter 1, with the exception that the liquidity shock is considered stochastic, i.e, there is also aggregate uncertainty about the extension of the liquidity restrictions. It identifies conditions under which, in the unique equilibrium of the model with low probability of liquidity shocks but large dry-ups, a Tobin tax is welfare improving, helping agents to coordinate on the good outcome. The model provides a rationale for a Tobin tax on economies that are prone to sudden stops. The optimal Tobin tax tends to be larger when capital reversals are more harmful and when the fraction of agents hit by liquidity shocks is smaller. Chapter 3 focuses on information acquisition in a sequential decision game with payoff complementar- ity and information externality. When information is cheap relatively to players’ incentive to coordinate actions, only the first player chooses to process information; the second player learns about the true payoff distribution from the observation of the first player’s decision and follows her action. Miscoordination requires that both players privately precess information, which tends to happen when it is expensive and the prior knowledge about the distribution of the payoffs has a large variance.

Testicular volume and reproductive status of Wild Callithrix jacchus

ARAÚJO, Arrilton ; SOUSA, Maria Bernardete Cordeiro . Testicular volume and reproductive status of Wild Callithrix jacchus. International Journal of Primatology, v.29, p.1355–1364, 2008. DOI 10.1007/s10764-008-9291-4

Relationship Between Population Size and Symbiont Fungus Culture Volume in Colonies of Acromyrmex balzani (Hymenoptera: Formicidae)

In order to quantify the population of Acromyrmex balzani Emery, 1890 nests and to verify whether the population dynamic of the colony is correlated with the symbiont fungus volume, the principal energy source of the colony, five nests located in grassland areas were evaluated. The nests were sprayed with neutral talcum powder to improve visualization and digging. The symbiont fungus and the entire population existent in the chambers were collected. The mean fungus volume and total nest population in excavated nests were, respectively, 74.76 ml and 1,095 individuals. Simple linear correlation analysis verified that the fungus volume grew proportionally to the number of individuals. Despite the correlation between fungus volume and population dynamic of colonies, the factors that determine this relationship are little known since other microorganisms live in association with the colony.

Photorefractive two-wave mixing phase coupling measurement in a self-stabilized recording regime

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Total secondary-electron yield of metals measured by a dynamic method

The secondary electron emission of dielectrics usually is measured by the pulse method, in which the dielectric is irradiated with short pulses of electrons. Attempts to use a dynamic method, in which the dielectric is irradiated continuously, have failed because the dielectric becomes charged and this charge interferes with the emission process. The dynamic method can, however, be applied to metals where volume charges are prevented. This article reports dynamic measurements of the total secondary emission yield from stainless steel, platinum, and aluminum and compares them with results from the current pulse method. In order to apply the dynamic method to metals a simple but important change in the setup was introduced: a dielectric slab was placed between the electrode and the metallic sample, which permitted the sample surface potential and therefore the energy of the incident electrons to change continuously. Unlike for dielectrics, the emission curves for metals are identical when obtained by the two methods. However, for a sample with deliberately oxidized surfaces the total secondary emission yield is smaller when measured with the dynamic method as compared with the pulse method, just as happens for dielectrics. (C) 2000 American Institute of Physics. [S0021-8979(00)03413-7].