Back from beyond the bid-ask spread: perspectives on liquidity

Research into the topic of liquidity has greatly benefited from the availability of data. Although bid-ask spreads were inaccessible to researchers, Roll (1984) provided a conceptual model that estimated the effective bid-ask prices from regular time series data, recorded on a daily or longer interval. Later data availability improved and researchers were able to address questions regarding the factors that influenced the spreads and the relationship between spreads and risk, return and liquidity. More recently transaction data have been used to measure the effective spread and researchers have been able to refine the concepts of liquidity to include the impact of transactions on price movements (Clayton and McKinnon, 2000) on a trade-by-trade analysis. This paper aims to use techniques that combine elements from all three approaches and, by studying US data over a relatively long time period, to throw light on earlier research as well as to reveal the changes in liquidity over the period controlling for extraneous factors such as market, age and size of REIT. It also reveals some comparable results for the UK market over the same period.

Considering the normative, systemic and procedural dimensions in indicator-based sustainability assessments in agriculture

This paper develops a framework for evaluating sustainability assessment methods by separately analyzing their normative, systemic and procedural dimensions as suggested by Wiek and Binder [Wiek, A, Binder, C. Solution spaces for decision-making – a sustainability assessment tool for city-regions. Environ Impact Asses Rev 2005, 25: 589-608.]. The framework is then used to characterize indicator-based sustainability assessment methods in agriculture. For a long time, sustainability assessment in agriculture has focused mostly on environmental and technical issues, thus neglecting the economic and, above all, the social aspects of sustainability, the multifunctionality of agriculture and the applicability of the results. In response to these shortcomings, several integrative sustainability assessment methods have been developed for the agricultural sector. This paper reviews seven of these that represent the diversity of tools developed in this area. The reviewed assessment methods can be categorized into three types: (i) top-down farm assessment methods; (ii) top-down regional assessment methods with some stakeholder participation; (iii) bottom-up, integrated participatory or transdisciplinary methods with stakeholder participation throughout the process. The results readily show the trade-offs encountered when selecting an assessment method. A clear, standardized, top-down procedure allows for potentially benchmarking and comparing results across regions and sites. However, this comes at the cost of system specificity. As the top-down methods often have low stakeholder involvement, the application and implementation of the results might be difficult. Our analysis suggests that to include the aspects mentioned above in agricultural sustainability assessment, the bottomup, integrated participatory or transdisciplinary methods are the most suitable ones.

CloudSat as a Global Radar Calibrator

The calibration of the CloudSat spaceborne cloud radar has been thoroughly assessed using very accurate internal link budgets before launch, comparisons with predicted ocean surface backscatter at 94 GHz, direct comparisons with airborne cloud radars, and statistical comparisons with ground-based cloud radars at different locations of the world. It is believed that the calibration of CloudSat is accurate to within 0.5–1 dB. In the present paper it is shown that an approach similar to that used for the statistical comparisons with ground-based radars can now be adopted the other way around to calibrate other ground-based or airborne radars against CloudSat and/or to detect anomalies in long time series of ground-based radar measurements, provided that the calibration of CloudSat is followed up closely (which is the case). The power of using CloudSat as a global radar calibrator is demonstrated using the Atmospheric Radiation Measurement cloud radar data taken at Barrow, Alaska, the cloud radar data from the Cabauw site, Netherlands, and airborne Doppler cloud radar measurements taken along the CloudSat track in the Arctic by the Radar System Airborne (RASTA) cloud radar installed in the French ATR-42 aircraft for the first time. It is found that the Barrow radar data in 2008 are calibrated too high by 9.8 dB, while the Cabauw radar data in 2008 are calibrated too low by 8.0 dB. The calibration of the RASTA airborne cloud radar using direct comparisons with CloudSat agrees well with the expected gains and losses resulting from the change in configuration that required verification of the RASTA calibration.

A normative approach to multi-agent systems for intelligent buildings

Building Management Systems (BMS) are widely adopted in modern buildings around the world in order to provide high-quality building services, and reduce the running cost of the building. However, most BMS are functionality-oriented and do not consider user personalization. The aim of this research is to capture and represent building management rules using organizational semiotics methods. We implement Semantic Analysis, which determines semantic units in building management and their relationship patterns of behaviour, and Norm Analysis, which extracts and specifies the norms that establish how and when these management actions occur. Finally, we propose a multi-agent framework for norm based building management. This framework contributes to the design domain of intelligent building management system by defining a set of behaviour patterns, and the norms that govern the real-time behaviour in a building.

Atmospheric conservation properties in ERA-Interim

We study the global atmospheric budgets of mass, moisture, energy and angular momentum in the latest reanalysis from the European Centre for Medium-Range Weather Forecasts (ECMWF), ERA-Interim, for the period 1989–2008 and compare with ERA-40. Most of the measures we use indicate that the ERA-Interim reanalysis is superior in quality to ERA-40. In ERA-Interim the standard deviation of the monthly mean global dry mass of 0.7 kg m−2 (0.007%) is slightly worse than in ERA-40, and long time-scale variations in dry mass originate predominately in the surface pressure field. The divergent winds are improved in ERA-Interim: the global standard deviation of the time-averaged dry mass budget residual is 10 kg m−2 day−1 and the quality of the cross-equatorial mass fluxes is improved. The temporal variations in the global evaporation minus precipitation (E − P) are too large but the global moisture budget residual is 0.003 kg m−2 day−1 with a spatial standard deviation of 0.3 kg m−2 day−1. Both the E − P over ocean and P − E over land are about 15% larger than the 1.1 Tg s−1 transport of water from ocean to land. The top of atmosphere (TOA) net energy losses are improved, with a value of 1 W m−2, but the meridional gradient of the TOA net energy flux is smaller than that from the Clouds and the Earth's Radiant Energy System (CERES) data. At the surface the global energy losses are worse, with a value of 7 W m−2. Over land however, the energy loss is only 0.5 W m−2. The downwelling thermal radiation at the surface in ERA-Interim of 341 W m−2 is towards the higher end of previous estimates. The global mass-adjusted energy budget residual is 8 W m−2 with a spatial standard deviation of 11 W m−2, and the mass-adjusted atmospheric energy transport from low to high latitudes (the sum for the two hemispheres) is 9.5 PW

Global retrieval of ATSR cloud parameters and evaluation (GRAPE): dataset assessment

The Along-Track Scanning Radiometers (ATSRs) provide a long time-series of measurements suitable for the retrieval of cloud properties. This work evaluates the freely-available Global Retrieval of ATSR Cloud Parameters and Evaluation (GRAPE) dataset (version 3) created from the ATSR-2 (1995�2003) and Advanced ATSR (AATSR; 2002 onwards) records. Users are recommended to consider only retrievals flagged as high-quality, where there is a good consistency between the measurements and the retrieved state (corresponding to about 60% of converged retrievals over sea, and more than 80% over land). Cloud properties are found to be generally free of any significant spurious trends relating to satellite zenith angle. Estimates of the random error on retrieved cloud properties are suggested to be generally appropriate for optically-thick clouds, and up to a factor of two too small for optically-thin cases. The correspondence between ATSR-2 and AATSR cloud properties is high, but a relative calibration difference between the sensors of order 5�10% at 660 nm and 870 nm limits the potential of the current version of the dataset for trend analysis. As ATSR-2 is thought to have the better absolute calibration, the discussion focusses on this portion of the record. Cloud-top heights from GRAPE compare well to ground-based data at four sites, particularly for shallow clouds. Clouds forming in boundary-layer inversions are typically around 1 km too high in GRAPE due to poorly-resolved inversions in the modelled temperature profiles used. Global cloud fields are compared to satellite products derived from the Moderate Resolution Imaging Spectroradiometer (MODIS), Cloud-Aerosol Lidar with Orthogonal Polarization (CALIOP) measurements, and a climatology of liquid water content derived from satellite microwave radiometers. In all cases the main reasons for differences are linked to differing sensitivity to, and treatment of, multi-layer cloud systems. The correlation coefficient between GRAPE and the two MODIS products considered is generally high (greater than 0.7 for most cloud properties), except for liquid and ice cloud effective radius, which also show biases between the datasets. For liquid clouds, part of the difference is linked to choice of wavelengths used in the retrieval. Total cloud cover is slightly lower in GRAPE (0.64) than the CALIOP dataset (0.66). GRAPE underestimates liquid cloud water path relative to microwave radiometers by up to 100 g m�2 near the Equator and overestimates by around 50 g m�2 in the storm tracks. Finally, potential future improvements to the algorithm are outlined.

Preventing carbon contamination of optical devices for X-rays: the effect of oxygen on photon-induced dissociation of CO on platinum

Platinum is one of the most common coatings used to optimize mirror reflectivity in soft X-ray beamlines. Normal operation results in optics contamination by carbon-based molecules present in the residual vacuum of the beamlines. The reflectivity reduction induced by a carbon layer at the mirror surface is a major problem in synchrotron radiation sources. A time-dependent photoelectron spectroscopy study of the chemical reactions which take place at the Pt(111) surface under operating conditions is presented. It is shown that the carbon contamination layer growth can be stopped and reversed by low partial pressures of oxygen for optics operated in intense photon beams at liquidnitrogen temperature. For mirrors operated at room temperature the carbon contamination observed for equivalent partial pressures of CO is reduced and the effects of oxygen are observed on a long time scale.

Water vapour foreign-continuum absorption in near-infrared windows from laboratory measurements

For a long time, it has been believed that atmospheric absorption of radiation within wavelength regions of relatively high infrared transmittance (so-called ‘windows’) was dominated by the water vapour self-continuum, that is, spectrally smooth absorption caused by H2O−H2O pair interaction. Absorption due to the foreign continuum (i.e. caused mostly by H2O−N2 bimolecular absorption in the Earth's atmosphere) was considered to be negligible in the windows. We report new retrievals of the water vapour foreign continuum from high-resolution laboratory measurements at temperatures between 350 and 430 K in four near-infrared windows between 1.1 and 5 μm (9000–2000 cm−1). Our results indicate that the foreign continuum in these windows has a very weak temperature dependence and is typically between one and two orders of magnitude stronger than that given in representations of the continuum currently used in many climate and weather prediction models. This indicates that absorption owing to the foreign continuum may be comparable to the self-continuum under atmospheric conditions in the investigated windows. The calculated global-average clear-sky atmospheric absorption of solar radiation is increased by approximately 0.46 W m−2 (or 0.6% of the total clear-sky absorption) by using these new measurements when compared with calculations applying the widely used MTCKD (Mlawer–Tobin–Clough–Kneizys–Davies) foreign-continuum model.

Law of large numbers for super-brownian motions with a single point source

We investigate the super-Brownian motion with a single point source in dimensions 2 and 3 as constructed by Fleischmann and Mueller in 2004. Using analytic facts we derive the long time behavior of the mean in dimension 2 and 3 thereby complementing previous work of Fleischmann, Mueller and Vogt. Using spectral theory and martingale arguments we prove a version of the strong law of large numbers for the two dimensional superprocess with a single point source and finite variance.

Radical Conservatism

In 1938, Yugoslav sculptor Oscar Nemon arrived in Britain, having fled the Nazi invasion of Brussels, where he was living with Magritte. He was part of the European avant-garde that came to the UK as a refugee. Shortly thereafter, Nemon proposed a bold architectural plan to construct a temple of universal ethics in London and was in correspondence over this with central figures in Britain. After the war, he became know for his portrayal of figures like Churchil, culminating in a bust of Margaret Thatcher that is currently at the Tory HQ. Shown at Castlefield Gallery in 2013-2014, Radical Conservatism was an exhibition that explored the space between these two moments and asked whether these two terms are really antithetical. In the British context in particular, where the European avant-garde never really took hold, a kind of reactionary modernism has always defined a culture wary of revolution. But today more than ever, with the left increasingly holding on to the past of the welfare state as an ideal, and the right quietly revolutionising our world through neoliberal reforms, the paradigms of radicalism and conservatism need to be redefined. Can conservatism be seen as a radical position in itself? If art is defined by a movement towards the new - could 'holding on to the past' stubbornly be seen as a critical position, now that neo-liberalism has forced a far more radical shift in politics than the left has managed in a long time? Curated by Pil and Galia Kollectiv, featuring work by Chris Evans, IRWIN, Pil and Galia Kollectiv, Joseph Lewis, Patrick Moran, Oscar Nemon and Public Movement and a symposium with contributions from Professor Alun Rowlands and Robert Garnett.

A comparative study of satellite and ground-based phenology

Long time series of ground-based plant phenology, as well as more than two decades of satellite-derived phenological metrics, are currently available to assess the impacts of climate variability and trends on terrestrial vegetation. Traditional plant phenology provides very accurate information on individual plant species, but with limited spatial coverage. Satellite phenology allows monitoring of terrestrial vegetation on a global scale and provides an integrative view at the landscape level. Linking the strengths of both methodologies has high potential value for climate impact studies. We compared a multispecies index from ground-observed spring phases with two types (maximum slope and threshold approach) of satellite-derived start-of-season (SOS) metrics. We focus on Switzerland from 1982 to 2001 and show that temporal and spatial variability of the multispecies index correspond well with the satellite-derived metrics. All phenological metrics correlate with temperature anomalies as expected. The slope approach proved to deviate strongly from the temporal development of the ground observations as well as from the threshold-defined SOS satellite measure. The slope spring indicator is considered to indicate a different stage in vegetation development and is therefore less suited as a SOS parameter for comparative studies in relation to ground-observed phenology. Satellite-derived metrics are, however, very susceptible to snow cover, and it is suggested that this snow cover should be better accounted for by the use of newer satellite sensors.

Mutamenti politico-istituzionali nella Venezia Giulia e a Trieste tra Tito e gli americani alla luce delle nuove testimonianze documentarie da Washington, 1944-1954

“La questione di Trieste”, ovvero la questione del confine italo-yugoslavo all’indomani della seconda guerra mondiale costituisce da lungo tempo oggetto di attenzione e di esame da parte della storiografia italiana e straniera. Con alcune importanti eccezioni, la ricostruzione complessiva di quelle vicende ha visto il più delle volte il prevalere di un approccio storico-diplomatico che ha reso difficile comprendere con chiarezza i rapporti e le interdipendenze fra contesto locale, contesto nazionale e contesto internazionale. Attraverso la lettura incrociata dell’ampia documentazione proveniente dai fondi dei National Archives Records Administration (NARA) questo studio tenta una rilettura delle varie fasi di sviluppo della questione nel periodo compreso tra il giugno del 1945 e l’ottobre del 1954 secondo una duplice prospettiva: nella prima parte si concentra sulla politica americana a Trieste, guardando nello specifico a due aspetti interni tra loro strettamente correlati, la gestione dell’ordine pubblico e la “strategia” del consenso da realizzarsi mediante il controllo dell’informazione da un lato e la promozione di una politica culturale dall’altro. Sono aspetti entrambi riconducibili al modello del direct rule, che conferiva al governo militare alleato (GMA) piena ed esclusiva autorità di governo sulla zona A della Venezia Giulia, e che ci appaiono centrali anche per cogliere l’interazione fra istituzioni e soggetti sociali. Nella seconda parte, invece, il modificarsi della fonte d’archivio indica un cambiamento di priorità nella politica estera americana relativa a Trieste: a margine dei negoziati internazionali, i documenti del fondo Clare Boothe Luce nelle carte dell’Ambasciata mostrano soprattutto come la questione di Trieste venne proiettata verso l’esterno, verso l’Italia in particolare, e sfruttata – principalmente dall’ambasciatrice – nell’ottica bipolare della guerra fredda per rinforzare il sostegno interno alla politica atlantica. Il saggio, dunque, si sviluppa lungo due linee: dentro e fuori Trieste, dentro 1945-1952, fuori 1953-1954, perché dalle fonti consultate sono queste ad emergere come aree di priorità nei due periodi. Abstract - English The “Trieste question”, or the question regarding the Italian - Yugoslav border after the Second World War, has been the object of careful examination in both Italian and foreign historiography for a long time. With a few important exceptions, the overall reconstruction of these events has been based for the most part on historic and diplomatic approaches, which have sometimes made it rather difficult to understand clearly the relationships and interdependences at play between local, national and international contexts. Through a comparative analysis of a large body of documents from the National Archives and Records Administration (NARA), College Park MD, this essay attempts a second reading of the various phases in which the question developed between June 1945 and October 1954, following a twofold perspective: the first part focuses on American policy for Trieste, specifically looking at two internal and closely linked aspects, on the one hand, the management of ‘law and order’, as well as a ‘strategy’ of consent, to be achieved through the control of all the means of information , and, on the other, the promotion of a cultural policy. Both aspects can be traced back to the ‘direct rule’ model, which gave the Allied Military Government (AMG) full and exclusive governing authority over Venezia Giulia’s Zone A. These issues are also fundamental to a better understanding of the relationships between institutions and social subjects. In the second part of the essay , the change in archival sources clearly indicates a new set of priorities in American foreign policy regarding Trieste: outside any international negotiations for the settlement of the question, the Clare Boothe Luce papers held in the Embassy’s archives, show how the Trieste question was focused on external concerns, Italy in particular, and exploited – above all by the ambassador – within the bi-polar optic of the Cold War, in order to strengthen internal support for Atlantic policies. The essay therefore follows two main lines of inquiry: within and outside Trieste, within in 1945-1952, and outside 1953-1954, since, from the archival sources used, these emerge as priority areas in the two periods.

Determination of tube theory parameters using a simple grid model as an example

Although the tube theory is successful in describing entangled polymers qualitatively, a more quantitative description requires precise and consistent definitions of its parameters. Here we investigate the simplest model of entangled polymers, namely a single Rouse chain in a cubic lattice of line obstacles, and illustrate the typical problems and uncertainties of the tube theory. In particular we show that in general one needs 3 entanglement related parameters, but only 2 combinations of them are relevant for the long-time dynamics. Conversely, the plateau modulus can not be determined from these two parameters and requires a more detailed model of entanglements with explicit entanglement forces, such as the slipsprings model. It is shown that for the grid model the Rouse time within the tube is larger than the Rouse time of the free chain, in contrast to what the standard tube theory assumes.

Statistical characterization of arctic polar-night jet oscillation events

A novel diagnostic tool is presented, based on polar-cap temperature anomalies, for visualizing daily variability of the Arctic stratospheric polar vortex over multiple decades. This visualization illustrates the ubiquity of extended-time-scale recoveries from stratospheric sudden warmings, termed here polar-night jet oscillation (PJO) events. These are characterized by an anomalously warm polar lower stratosphere that persists for several months. Following the initial warming, a cold anomaly forms in the middle stratosphere, as does an anomalously high stratopause, both of which descend while the lower-stratospheric anomaly persists. These events are characterized in four datasets: Microwave Limb Sounder (MLS) temperature observations; the 40-yr ECMWF Re-Analysis (ERA-40) and Modern Era Retrospective Analysis for Research and Applications (MERRA) reanalyses; and an ensemble of three 150-yr simulations from the Canadian Middle Atmosphere Model. The statistics of PJO events in the model are found to agree very closely with those of the observations and reanalyses. The time scale for the recovery of the polar vortex following sudden warmings correlates strongly with the depth to which the warming initially descends. PJO events occur following roughly half of all major sudden warmings and are associated with an extended period of suppressed wave-activity fluxes entering the polar vortex. They follow vortex splits more frequently than they do vortex displacements. They are also related to weak vortex events as identified by the northern annular mode; in particular, those weak vortex events followed by a PJO event show a stronger tropospheric response. The long time scales, predominantly radiative dynamics, and tropospheric influence of PJO events suggest that they represent an important source of conditional skill in seasonal forecasting.

Complex dynamics in simple systems with periodic parameter oscillations

We study systems with periodically oscillating parameters that can give way to complex periodic or nonperiodic orbits. Performing the long time limit, we can define ergodic averages such as Lyapunov exponents, where a negative maximal Lyapunov exponent corresponds to a stable periodic orbit. By this, extremely complicated periodic orbits composed of contracting and expanding phases appear in a natural way. Employing the technique of ϵ-uncertain points, we find that values of the control parameters supporting such periodic motion are densely embedded in a set of values for which the motion is chaotic. When a tiny amount of noise is coupled to the system, dynamics with positive and with negative nontrivial Lyapunov exponents are indistinguishable. We discuss two physical systems, an oscillatory flow inside a duct and a dripping faucet with variable water supply, where such a mechanism seems to be responsible for a complicated alternation of laminar and turbulent phases.