Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

Individual assets, market structure and the drivers of return

Much UK research and market practice on portfolio strategy and performance benchmarking relies on a sector‐geography subdivision of properties. Prior tests of the appropriateness of such divisions have generally relied on aggregated or hypothetical return data. However, the results found in aggregate may not hold when individual buildings are considered. This paper makes use of a dataset of individual UK property returns. A series of multivariate exploratory statistical techniques are utilised to test whether the return behaviour of individual properties conforms to their a priori grouping. The results suggest strongly that neither standard sector nor regional classifications provide a clear demarcation of individual building performance. This has important implications for both portfolio strategy and performance measurement and benchmarking. However, there do appear to be size and yield effects that help explain return behaviour at the property level.

Enabling sharing and reuse of scientific data

The purpose of this study was to develop an understanding of the current state of scientific data sharing that stakeholders could use to develop and implement effective data sharing strategies and policies. The study developed a conceptual model to describe the process of data sharing, and the drivers, barriers, and enablers that determine stakeholder engagement. The conceptual model was used as a framework to structure discussions and interviews with key members of all stakeholder groups. Analysis of data obtained from interviewees identified a number of themes that highlight key requirements for the development of a mature data sharing culture.

The SPARC Data Initiative: Comparison of upper troposphere/lower stratosphere ozone climatologies from limb-viewing instruments and the nadir-viewing Tropospheric Emission Spectrometer

We present the first comprehensive intercomparison of currently available satellite ozone climatologies in the upper troposphere/lower stratosphere (UTLS) (300–70 hPa) as part of the Stratosphere-troposphere Processes and their Role in Climate (SPARC) Data Initiative. The Tropospheric Emission Spectrometer (TES) instrument is the only nadir-viewing instrument in this initiative, as well as the only instrument with a focus on tropospheric composition. We apply the TES observational operator to ozone climatologies from the more highly vertically resolved limb-viewing instruments. This minimizes the impact of differences in vertical resolution among the instruments and allows identification of systematic differences in the large-scale structure and variability of UTLS ozone. We find that the climatologies from most of the limb-viewing instruments show positive differences (ranging from 5 to 75%) with respect to TES in the tropical UTLS, and comparison to a “zonal mean” ozonesonde climatology indicates that these differences likely represent a positive bias for p ≤ 100 hPa. In the extratropics, there is good agreement among the climatologies regarding the timing and magnitude of the ozone seasonal cycle (differences in the peak-to-peak amplitude of <15%) when the TES observational operator is applied, as well as very consistent midlatitude interannual variability. The discrepancies in ozone temporal variability are larger in the tropics, with differences between the data sets of up to 55% in the seasonal cycle amplitude. However, the differences among the climatologies are everywhere much smaller than the range produced by current chemistry-climate models, indicating that the multiple-instrument ensemble is useful for quantitatively evaluating these models.

Towards the computer-aided diagnosis of dementia based on the geometric and network connectivity of structural MRI data

We present an intuitive geometric approach for analysing the structure and fragility of T1-weighted structural MRI scans of human brains. Apart from computing characteristics like the surface area and volume of regions of the brain that consist of highly active voxels, we also employ Network Theory in order to test how close these regions are to breaking apart. This analysis is used in an attempt to automatically classify subjects into three categories: Alzheimer’s disease, mild cognitive impairment and healthy controls, for the CADDementia Challenge.

The projected hand illusion: component structure in a community sample, and association with demographics, cognition and psychotic-like experiences

The projected hand illusion (PHI) is a variant of the rubber hand illusion (RHI), and both are commonly used to study mechanisms of self-perception. A questionnaire was developed by Longo et al. (2008) to measure qualitative changes in the RHI. Such psychometric analyses have not yet been conducted on the questionnaire for the PHI. The present study is an attempt to validate minor modifications of the questionnaire of Longo et al. to assess the PHI in a community sample (n = 48) and to determine the association with selected demographic (age, sex, years of education), cognitive (Digit Span), and clinical (psychotic-like experiences) variables. Principal components analysis on the questionnaire data extracted four components: Embodiment of “Other” Hand, Disembodiment of Own Hand, Deafference, and Agency—in both synchronous and asynchronous PHI conditions. Questions assessing “Embodiment” and “Agency” loaded onto orthogonal components. Greater illusion ratings were positively associated with being female, being younger, and having higher scores on psychotic-like experiences. There was no association with cognitive performance. Overall, this study confirmed that self-perception as measured with PHI is a multicomponent construct, similar in many respects to the RHI. The main difference lies in the separation of Embodiment and Agency into separate constructs, and this likely reflects the fact that the “live” image of the PHI presents a more realistic picture of the hand and of the stroking movements of the experimenter compared with the RHI.

Observation impact in data assimilation: the effect of non-Gaussian observation error.

Data assimilation methods which avoid the assumption of Gaussian error statistics are being developed for geoscience applications. We investigate how the relaxation of the Gaussian assumption affects the impact observations have within the assimilation process. The effect of non-Gaussian observation error (described by the likelihood) is compared to previously published work studying the effect of a non-Gaussian prior. The observation impact is measured in three ways: the sensitivity of the analysis to the observations, the mutual information, and the relative entropy. These three measures have all been studied in the case of Gaussian data assimilation and, in this case, have a known analytical form. It is shown that the analysis sensitivity can also be derived analytically when at least one of the prior or likelihood is Gaussian. This derivation shows an interesting asymmetry in the relationship between analysis sensitivity and analysis error covariance when the two different sources of non-Gaussian structure are considered (likelihood vs. prior). This is illustrated for a simple scalar case and used to infer the effect of the non-Gaussian structure on mutual information and relative entropy, which are more natural choices of metric in non-Gaussian data assimilation. It is concluded that approximating non-Gaussian error distributions as Gaussian can give significantly erroneous estimates of observation impact. The degree of the error depends not only on the nature of the non-Gaussian structure, but also on the metric used to measure the observation impact and the source of the non-Gaussian structure.

Conversations on Twitter: structure, pace, balance

Twitter is both a micro-blogging service and a platform for public conversation. Direct conversation is facilitated in Twitter through the use of @’s (mentions) and replies. While the conversational element of Twitter is of particular interest to the marketing sector, relatively few data-mining studies have focused on this area. We analyse conversations associated with reciprocated mentions that take place in a data-set consisting of approximately 4 million tweets collected over a period of 28 days that contain at least one mention. We ignore tweet content and instead use the mention network structure and its dynamical properties to identify and characterise Twitter conversations between pairs of users and within larger groups. We consider conversational balance, meaning the fraction of content contributed by each party. The goal of this work is to draw out some of the mechanisms driving conversation in Twitter, with the potential aim of developing conversational models.

Computer simulations of the structure of colloidal ferrofluids

The structure of a ferrofluid under the influence of an external magnetic field is expected to become anisotropic due to the alignment of the dipoles into the direction of the external field, and subsequently to the formation of particle chains due to the attractive head to tail orientations of the ferrofluid particles. Knowledge about the structure of a colloidal ferrofluid can be inferred from scattering data via the measurement of structure factors. We have used molecular-dynamics simulations to investigate the structure of both monodispersed and polydispersed ferrofluids. The results for the isotropic structure factor for monodispersed samples are similar to previous data by Camp and Patey that were obtained using an alternative Monte Carlo simulation technique, but in a different parameter region. Here we look in addition at bidispersed samples and compute the anisotropic structure factor by projecting the q vector onto the XY and XZ planes separately, when the magnetic field was applied along the z axis. We observe that the XY- plane structure factor as well as the pair distribution functions are quite different from those obtained for the XZ plane. Further, the two- dimensional structure factor patterns are investigated for both monodispersed and bidispersed samples under different conditions. In addition, we look at the scaling exponents of structure factors. Our results should be of value to interpret scattering data on ferrofluids obtained under the influence of an external field.

Structure and viscoelasticity of an electrorheological fluid in oscillatory shear: computer simulation investigation

The three-dimensional molecular dynamics simulation method has been used to study the dynamic responses of an electrorheological (ER) fluid in oscillatory shear. The structure and related viscoelastic behaviour of the fluid are found to be sensitive to the amplitude of the strain. With the increase of the strain amplitude, the structure formed by the particles changes from isolated columns to sheet-like structures which may be perpendicular or parallel to the oscillating direction. Along with the structure evolution, the field-induced moduli decrease significantly with an increase in strain amplitude. The viscoelastic behaviour of the structures obtained in the cases of different strain amplitudes was examined in the linear response regime and an evident structure dependence of the moduli was found. The reason for this lies in the anisotropy of the arrangement of the particles in these structures. Short-range interactions between the particles cannot be neglected in determining the viscoelastic behaviour of ER fluids at small strain amplitude, especially for parallel sheets. The simulation results were compared with available experimental data and good agreement was reached for most of them.

On the structure and dynamics of Indian monsoon depressions

ERA-Interim reanalysis data from the past 35 years have been used with a newly-developed feature tracking algorithm to identify Indian monsoon depressions originating in or near the Bay of Bengal. These were then rotated, centralised and combined to give a fully three-dimensional 106-depression composite structure – a considerably larger sample than any previous detailed study on monsoon depressions and their structure. Many known features of depression structure are confirmed, particularly the existence of a maximum to the southwest of the centre in rainfall and other fields, and a westward axial tilt in others. Additionally, the depressions are found to have significant asymmetry due to the presence of the Himalayas; a bimodal mid-tropospheric potential vorticity core; a separation into thermally cold- (~–1.5K) and neutral- (~0K) cores near the surface with distinct properties; and that the centre has very large CAPE and very small CIN. Variability as a function of background state has also been explored, with land/coast/sea, diurnal, ENSO, active/break and Indian Ocean Dipole contrasts considered. Depressions are found to be markedly stronger during the active phase of the monsoon, as well as during La Niña. Depressions on land are shown to be more intense and more tightly constrained to the central axis. A detailed schematic diagram of a vertical cross-section through a composite depression is also presented, showing its inherent asymmetric structure.

Structure of the planetary boundary layer over southeast England: modeling and measurements

The Weather Research and Forecasting model was applied to analyze variations in the planetary boundary layer (PBL) structure over Southeast England including central and suburban London. The parameterizations and predictive skills of two nonlocal mixing PBL schemes, YSU and ACM2, and two local mixing PBL schemes, MYJ and MYNN2, were evaluated over a variety of stability conditions, with model predictions at a 3 km grid spacing. The PBL height predictions, which are critical for scaling turbulence and diffusion in meteorological and air quality models, show significant intra-scheme variance (> 20%), and the reasons are presented. ACM2 diagnoses the PBL height thermodynamically using the bulk Richardson number method, which leads to a good agreement with the lidar data for both unstable and stable conditions. The modeled vertical profiles in the PBL, such as wind speed, turbulent kinetic energy (TKE), and heat flux, exhibit large spreads across the PBL schemes. The TKE predicted by MYJ were found to be too small and show much less diurnal variation as compared with observations over London. MYNN2 produces better TKE predictions at low levels than MYJ, but its turbulent length scale increases with height in the upper part of the strongly convective PBL, where it should decrease. The local PBL schemes considerably underestimate the entrainment heat fluxes for convective cases. The nonlocal PBL schemes exhibit stronger mixing in the mean wind fields under convective conditions than the local PBL schemes and agree better with large-eddy simulation (LES) studies.

Plasma structure within poleward-moving cusp/cleft auroral transients: EISCAT Svalbard radar observations and an explanation in terms of large local time extent of events

We report high-resolution observations of the southward-IMF cusp/cleft ionosphere made on December 16th 1998 by the EISCAT (European incoherent scatter) Svalbard radar (ESR), and compare them with observations of dayside auroral luminosity, as seen at a wavelength of 630 nm by a meridian scanning photometer at Ny Alesund, and of plasma flows, as seen by the CUTLASS (co-operative UK twin location auroral sounding system) Finland HF radar. The optical data reveal a series of poleward-moving transient red-line (630 nm) enhancements, events that have been associated with bursts in the rate of magnetopause reconnection generating new open flux. The combined observations at this time have strong similarities to predictions of the effects of soft electron precipitation modulated by pulsed reconnection, as made by Davis and Lockwood (1996); however, the effects of rapid zonal flow in the ionosphere, caused by the magnetic curvature force on the newly opened field lines, are found to be a significant additional factor. In particular, it is shown how enhanced plasma loss rates induced by the rapid convection can explain two outstanding anomalies of the 630 nm transients, namely how minima in luminosity form between the poleward-moving events and how events can re-brighten as they move poleward. The observations show how cusp/cleft aurora and transient poleward-moving auroral forms appear in the ESR data and the conditions which cause enhanced 630 nm emission in the transients: they are an important first step in enabling the ESR to identify these features away from the winter solstice when supporting auroral observations are not available.

The low-latitude boundary layer: Application of ISTP advances to past data

The destruction of the four Cluster craft was a major loss to the planned ISTP effort, of which studies of the magnetopause and low-latitude boundary layer (LLBL) were an important part. While awaiting the re-flight mission, Cluster-II, we have been applying advances in our understanding made using other ISTP craft (like Polar and Wind) and using ground-based facilities (in particular the EISCAT incoherent scatter radars and the SuperDARN HF coherent radars) to measurements of the LLBL made in 1984 and 1985 by the AMPTE-UKS and -IRM spacecraft pair. In particular, one unexplained result of the AMPTE mission was that the electron characteristics could, in nearly all cases, order independent measurements near the magnetopause, such as the magnetic field, ion temperatures and the plasma flow. Studies of the cusp have shown that the precipitation is ordered by the time-elapsed since the field line was opened by reconnection. This insight has allowed us to reanalyse the AMPTE data and show that the ordering by the transition parameter is also due to the variation of time elapsed since reconnection, with the important implication that reconnection usually coats most of the dayside magnetopause with at least some newly-opened field lines. In addition, we can use the electron characteristics to isolate features like RDs, slow-mode shocks and slow-mode expansion fans. The ion characteristics can be used to compute the reconnection rate. We here retrospectively apply these new techniques, developed in the ISTP era, to a much-studied flux transfer event observed by the AMPTE satellites. As a result, we gain new understanding of its cause and structure.

Dynamic auroral structure in the vicinity of the polar cusp - multipoint observations during southward and northward IMF

The low- and high-latitude boundary layers of the earth's magnetosphere [low-latitude boundary layer (LLBL) and mantle] play important roles in transferring momentum and energy from the solar wind to the magnetosphere-ionosphere system. Particle precipitation, field-aligned current, auroral emission, ionospheric ion drift and ground magnetic perturbations are among the low-altitude parameters that show signatures of various plasma processes in the LLBL and the magnetopause current layer. Magnetic merging events, Kelvin-Helmholtz waves, and pressure pulses excited by the variable solar wind/magnetosheath plasma are examples of boundary phenomena that may be coupled to the ionosphere via field-aligned currents. Optical auroral observation, by photometry and all-sky TV cameras, is a unique technique for investigating the spatial and temporal structure of the electron precipitation associated with such phenomena. However, the distinction between the different boundary layer plasma populations cannot in general be unambiguously determined by optics alone. Additional information, such as satellite observations of particle boundaries and field-aligned currents, is needed in order to identify the plasma source(s) and the magnetosphere-ionosphere coupling mode(s). Two categories of auroral activity/structure in the vicinity of the polar cusp are discussed in this paper, based on combined ground and satellite data. In one case, the quasi-periodic sequence of auroral events at the polar cap boundary involves accelerated electrons (< 1 keV) moving poleward (< 1 km s-1) and azimuthally along the persistent cusp/cleft arc poleward boundary with velocities (< 4 km s-1), comparable to the local ionospheric ion drift during periods of southward IMF. A critical question is whether or not the optical events signify a corresponding plasma flow across the open/closed field line boundary in such cases. Near-simultaneous observations of magnetopause flux transfer events (FTEs) and such optical/ion drift events are reported. The reverse pattern of motion of discrete auroral forms is observed during positive interplanetary magnetic field (IMF) B(Z), i.e. equatorward motion into the cusp/cleft background arc from the poleward edge. Combined satellite and ground-based information for the latter cases indicate a source mechanism, poleward of the cusp at the high-latitude magnetopause or plasma mantle, giving rise to strong momentum transfer and electron precipitation structures within a approximately 200 km-wide latitudinal zone at the cusp/cleft poleward boundary. The striking similarities of auroral electrodynamics in the cleft/mantle region during northward and southward IMF indicate that a qualitatively similar solar wind-magnetosphere coupling mode is operating. It is suggested that, in both cases, the discrete auroral forms represent temporal/spatial structure of larger-scale convection over the polar magnetosphere.