Intraday return predictability, portfolio maximisation, and hedging

We examine whether intraday Chinese return predictability is linked to optimal portfolio holding and hedging. We find that: (1) S&P500 futures returns only predict Chinese spot market returns in up to 5-minute of trading with predictability disappearing at higher frequencies of trade; (2) the portfolio weight is maximised at the 5-minute trading frequency, when predictability is the strongest; and (3) when predictability is the strongest, significantly less shorting of the futures is required to minimise risk when a long position is taken in the Chinese market.

Synthetic portfolio for event studies: Estimating the effects of volatility call auctions

We propose a method denoted as synthetic portfolio for event studies in market microstructure that is particularly interesting to use with high frequency data and thinly traded markets. The method is based on Synthetic Control Method and provides a robust data driven method to build a counterfactual for evaluating the effects of the volatility call auctions. We find that SMC could be used if the loss function is defined as the difference between the returns of the asset and the returns of a synthetic portfolio. We apply SCM to test the performance of the volatility call auction as a circuit breaker in the context of an event study. We find that for Colombian Stock Market securities, the asynchronicity of intraday data reduces the analysis to a selected group of stocks, however it is possible to build a tracking portfolio. The realized volatility increases after the auction, indicating that the mechanism is not enhancing the price discovery process.

GALEX AND PAN-STARRS1 DISCOVERY OF SN IIP 2010aq: THE FIRST FEW DAYS AFTER SHOCK BREAKOUT IN A RED SUPERGIANT STAR

We present the early UV and optical light curve of Type IIP supernova (SN) 2010aq at z = 0.0862, and compare it to analytical models for thermal emission following SN shock breakout in a red supergiant star. SN 2010aq was discovered in joint monitoring between the Galaxy Evolution Explorer (GALEX) Time Domain Survey (TDS) in the NUV and the Pan-STARRS1 Medium Deep Survey (PS1 MDS) in the g, r, i, and z bands. The GALEX and Pan-STARRS1 observations detect the SN less than 1 day after the shock breakout, measure a diluted blackbody temperature of 31,000 +/- 6000 K 1 day later, and follow the rise in the UV/optical light curve over the next 2 days caused by the expansion and cooling of the SN ejecta. The high signal-to-noise ratio of the simultaneous UV and optical photometry allows us to fit for a progenitor star radius of 700 +/- 200R(circle dot), the size of a red supergiant star. An excess in UV emission two weeks after shock breakout compared with SNe well fitted by model atmosphere-code synthetic spectra with solar metallicity is best explained by suppressed line blanketing due to a lower metallicity progenitor star in SN 2010aq. Continued monitoring of PS1 MDS fields by the GALEX TDS will increase the sample of early UV detections of Type II SNe by an order of magnitude and probe the diversity of SN progenitor star properties.

Pan-STARRS1 DISCOVERY OF TWO ULTRALUMINOUS SUPERNOVAE AT(z) approximate to 0.9

We present the discovery of two ultraluminous supernovae (SNe) at z approximate to 0.9 with the Pan-STARRS1 Medium Deep Survey. These SNe, PS1-10ky and PS1-10awh, are among the most luminous SNe ever discovered, comparable to the unusual transients SN 2005ap and SCP 06F6. Like SN 2005ap and SCP 06F6, they show characteristic high luminosities (M-bol approximate to -22.5 mag), blue spectra with a few broad absorption lines, and no evidence for H or He. We have constructed a full multi-color light curve sensitive to the peak of the spectral energy distribution in the rest-frame ultraviolet, and we have obtained time series spectroscopy for these SNe. Given the similarities between the SNe, we combine their light curves to estimate a total radiated energy over the course of explosion of (0.9-1.4) x 10(51) erg. We find photospheric velocities of 12,000-19,000 km s(-1) with no evidence for deceleration measured across similar to 3 rest-frame weeks around light curve peak, consistent with the expansion of an optically thick massive shell of material. We show that, consistent with findings for other ultraluminous SNe in this class, radioactive decay is not sufficient to power PS1-10ky, and we discuss two plausible origins for these events: the initial spin-down of a newborn magnetar in a core-collapse SN, or SN shock breakout from the dense circumstellar wind surrounding a Wolf-Rayet star.

Discovery of Main-Belt Comet P/2006 VW139 by Pan-STARRS 1

The main-belt asteroid (300163) 2006 VW139 (later designated P/2006 VW139) was discovered to exhibit comet-like activity by the Pan-STARRS1 (PS1) survey telescope using automated point-spread-function analyses performed by PS1's Moving Object Processing System. Deep follow-up observations show both a short (~10'') antisolar dust tail and a longer (~60'') dust trail aligned with the object's orbit plane, similar to the morphology observed for another main-belt comet (MBC), P/2010 R2 (La Sagra), and other well-established comets, implying the action of a long-lived, sublimation-driven emission event. Photometry showing the brightness of the near-nucleus coma remaining constant over ~30 days provides further evidence for this object's cometary nature, suggesting it is in fact an MBC, and not a disrupted asteroid. A spectroscopic search for CN emission was unsuccessful, though we find an upper limit CN production rate of Q CN 100 Myr, while a search for a potential asteroid family around the object reveals a cluster of 24 asteroids within a cutoff distance of 68 m s-1. At 70 m s-1, this cluster merges with the Themis family, suggesting that it could be similar to the Beagle family to which another MBC, 133P/Elst-Pizarro, belongs.

Discovery of Main-Belt Comet P/2006 VW139 by Pan-STARRS1

We describe the discovery of comet-like activity in main-belt asteroid (300163) 2006 VW139 (later re-designated as Comet P/2006 VW139) by Pan-STARRS1. We also detail follow-up photometric, spectroscopic, and dynamical analyses of the object.

Machine learning for transient discovery in Pan-STARRS1 difference imaging

Efficient identification and follow-up of astronomical transients is hindered by the need for humans to manually select promising candidates from data streams that contain many false positives. These artefacts arise in the difference images that are produced by most major ground-based time-domain surveys with large format CCD cameras. This dependence on humans to reject bogus detections is unsustainable for next generation all-sky surveys and significant effort is now being invested to solve the problem computationally. In this paper, we explore a simple machine learning approach to real-bogus classification by constructing a training set from the image data of similar to 32 000 real astrophysical transients and bogus detections from the Pan-STARRS1 Medium Deep Survey. We derive our feature representation from the pixel intensity values of a 20 x 20 pixel stamp around the centre of the candidates. This differs from previous work in that it works directly on the pixels rather than catalogued domain knowledge for feature design or selection. Three machine learning algorithms are trained (artificial neural networks, support vector machines and random forests) and their performances are tested on a held-out subset of 25 per cent of the training data. We find the best results from the random forest classifier and demonstrate that by accepting a false positive rate of 1 per cent, the classifier initially suggests a missed detection rate of around 10 per cent. However, we also find that a combination of bright star variability, nuclear transients and uncertainty in human labelling means that our best estimate of the missed detection rate is approximately 6 per cent.

PS1-10afx at z = 1.388: Pan-STARRS1 Discovery of a New Type of Superluminous Supernova

We present the Pan-STARRS1 discovery of PS1-10afx, a unique hydrogen-deficient superluminous supernova (SLSN) at redshift z = 1.388. The light curve peaked at z P1 = 21.7 mag, making PS1-10afx comparable to the most luminous known SNe, with Mu = -22.3 mag. Our extensive optical and near-infrared observations indicate that the bolometric light curve of PS1-10afx rose on the unusually fast timescale of ~12 days to the extraordinary peak luminosity of 4.1 × 1044 erg s-1 (M bol = -22.8 mag) and subsequently faded rapidly. Equally important, the spectral energy distribution is unusually red for an SLSN, with a color temperature of ~6800 K near maximum light, in contrast to previous hydrogen-poor SLSNe, which are bright in the ultraviolet (UV). The spectra more closely resemble those of a normal SN Ic than any known SLSN, with a photospheric velocity of ~11, 000 km s-1 and evidence for line blanketing in the rest-frame UV. Despite the fast rise, these parameters imply a very large emitting radius (gsim 5 × 1015 cm). We demonstrate that no existing theoretical model can satisfactorily explain this combination of properties: (1) a nickel-powered light curve cannot match the combination of high peak luminosity with the fast timescale; (2) models powered by the spindown energy of a rapidly rotating magnetar predict significantly hotter and faster ejecta; and (3) models invoking shock breakout through a dense circumstellar medium cannot explain the observed spectra or color evolution. The host galaxy is well detected in pre-explosion imaging with a luminosity near L*, a star formation rate of ~15 M ⊙ yr-1, and is fairly massive (~2 × 1010 M ⊙), with a stellar population age of ~108 yr, also in contrast to the young dwarf hosts of known hydrogen-poor SLSNe. PS1-10afx is distinct from known examples of SLSNe in its spectra, colors, light-curve shape, and host galaxy properties, suggesting that it resulted from a different channel than other hydrogen-poor SLSNe.

Discovery of three polymorphs of 7-fluoroisatin reveals challenges in using computational crystal structure prediction as a complement to experimental screening

A combined computational and experimental polymorph search was undertaken to establish the crystal forms of 7-fluoroisatin, a simple molecule with no reported crystal structures, to evaluate the value of crystal structure prediction studies as an aid to solid form discovery. Three polymorphs were found in a manual crystallisation screen, as well as two solvates. Form I ( P2(1)/c, Z0 1), found from the majority of solvent evaporation experiments, corresponded to the most stable form in the computational search of Z0 1 structures. Form III ( P21/ a, Z0 2) is probably a metastable form, which was only found concomitantly with form I, and has the same dimeric R2 2( 8) hydrogen bonding motif as form I and the majority of the computed low energy structures. However, the most thermodynamically stable polymorph, form II ( P1 , Z0 2), has an expanded four molecule R 4 4( 18) hydrogen bonding motif, which could not have been found within the routine computational study. The computed relative energies of the three forms are not in accord with experimental results. Thus, the experimental finding of three crystalline polymorphs of 7- fluoroisatin illustrates the many challenges for computational screening to be a tool for the experimental crystal engineer, in contrast to the results for an analogous investigation of 5- fluoroisatin.

Highly efficient serial episode discovery in streams and complex sequences

This research proposed a series of methodologies and algorithms for highly efficient serial episode discovery in streams and complex sequences, and applied the developed techniques to quantitative analysis of the effects of price promotions. This research has outputted nine ERA ranking AlB papers published in international journals and conferences.

The Effect of Discovery Systems on Online Journal Usage: A Longitudinal Study

Many academic libraries are implementing discovery services as a way of giving their users a single comprehensive search option for all library resources. These tools are designed to change the research experience, yet very few studies have investigated the impact of discovery service implementation. This study examines one aspect of that impact by asking whether usage of publisher-hosted journal content changes after implementation of a discovery tool. Libraries that have begun using the four major discovery services have seen an increase in usage of this content, suggesting that for this particular type of material, discovery services have a positive impact on use. Though all discovery services significantly increased usage relative to a no discovery service control group, some had a greater impact than others, and there was extensive variation in usage change among libraries using the same service. Future phases of this study will look at other types of content.

"A joy for ever"; (and its price in the market): being the substance (with additions) of two lectures on the political economy of art, delivered at Manchester, July 10th and 13th, 1857.

Includes index.