Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

Vegetation and environmental dynamics in the southern Black Sea region since 18 kyr BP derived from the marine core 22-GC3

Sediments from the Black Sea, a region historically dominated by forests and steppe landscapes, are a valuable source of detailed information on the changes in regional terrestrial and aquatic environments at decadal to millennial scales. Here we present multi-proxy environmental records (pollen, dinoflagellate cysts, Ca, Ti and oxygen isotope data) from the uppermost 305 cm of the core 22-GC3 (42°13.53′N, 36°29.55′E) collected from a water depth of 838 m in the southern part of the Black Sea in 2007. The records span the last ~ 18 kyr (all ages are given in cal kyr BP). The pollen data reveal the dominance of the Artemisia-steppe in the region, suggesting rather dry/cold environments ~ 18–14.5 kyr BP. Warming/humidity increase during melt-water pulses (~ 16.1–14.5 kyr BP), indicated by δ18O records from the 22-GC3 core sediment and from the Sofular Cave stalagmite, is expressed in more negative δ13C values from the Sofular Cave, usually interpreted as the spreading of C3 plants. The records representing the interstadial complex (~ 14.5–12.9 kyr BP) show an increase in temperature and moisture, indicated by forest development, increased primary productivity and reduced surface run-off, whereas the switch from primary terrigenous to primary authigenic Ca origin occurs ~ 500 yr later. The Younger Dryas cooling is clearly demonstrated by more negative δ13C values from the Sofular Cave and a reduction of pines. The early Holocene (11.7–8.5 kyr BP) interval reveals relatively dry conditions compared to the mostly moist and warm middle Holocene (8.5–5 kyr BP), which is characterized by the establishment of the species-rich warm mixed and temperate deciduous forests in the low elevation belt, temperate deciduous beech-hornbeam forests in the middle and cool conifer forest in upper mountain belt. The border between the early and middle Holocene in the vegetation records coincides with the opening of the Mediterranean corridor at ~ 8.3 kyr BP, as indicated by a marked change in the dinocyst assemblages and in the sediment lithology. Changes in the pollen assemblages indicate a reduction in forest cover after ~ 5 kyr BP, which was likely caused by increased anthropogenic pressure on the regional vegetation.

Interface dynamics in planar neural field models

Neural field models describe the coarse-grained activity of populations of interacting neurons. Because of the laminar structure of real cortical tissue they are often studied in two spatial dimensions, where they are well known to generate rich patterns of spatiotemporal activity. Such patterns have been interpreted in a variety of contexts ranging from the understanding of visual hallucinations to the generation of electroencephalographic signals. Typical patterns include localized solutions in the form of traveling spots, as well as intricate labyrinthine structures. These patterns are naturally defined by the interface between low and high states of neural activity. Here we derive the equations of motion for such interfaces and show, for a Heaviside firing rate, that the normal velocity of an interface is given in terms of a non-local Biot-Savart type interaction over the boundaries of the high activity regions. This exact, but dimensionally reduced, system of equations is solved numerically and shown to be in excellent agreement with the full nonlinear integral equation defining the neural field. We develop a linear stability analysis for the interface dynamics that allows us to understand the mechanisms of pattern formation that arise from instabilities of spots, rings, stripes and fronts. We further show how to analyze neural field models with linear adaptation currents, and determine the conditions for the dynamic instability of spots that can give rise to breathers and traveling waves.

Large-scale atmospheric dynamics of the wet winter 2009–2010 and its impact on hydrology in Portugal

The anomalously wet winter of 2010 had a very important impact on the Portuguese hydrological system. Owing to the detrimental effects of reduced precipitation in Portugal on the environmental and socio-economic systems, the 2010 winter was predominantly beneficial by reversing the accumulated precipitation deficits during the previous hydrological years. The recorded anomalously high precipitation amounts have contributed to an overall increase in river runoffs and dam recharges in the 4 major river basins. In synoptic terms, the winter 2010 was characterised by an anomalously strong westerly flow component over the North Atlantic that triggered high precipitation amounts. A dynamically coherent enhancement in the frequencies of mid-latitude cyclones close to Portugal, also accompanied by significant increases in the occurrence of cyclonic, south and south-westerly circulation weather types, are noteworthy. Furthermore, the prevalence of the strong negative phase of the North Atlantic Oscillation (NAO) also emphasises the main dynamical features of the 2010 winter. A comparison of the hydrological and atmospheric conditions between the 2010 winter and the previous 2 anomalously wet winters (1996 and 2001) was also carried out to isolate not only their similarities, but also their contrasting conditions, highlighting the limitations of estimating winter precipitation amounts in Portugal using solely the NAO phase as a predictor.

Rossby number expansions, slaving principles, and balance dynamics

We consider the problem of constructing balance dynamics for rapidly rotating fluid systems. It is argued that the conventional Rossby number expansion—namely expanding all variables in a series in Rossby number—is secular for all but the simplest flows. In particular, the higher-order terms in the expansion grow exponentially on average, and for moderate values of the Rossby number the expansion is, at best, useful only for times of the order of the doubling times of the instabilities of the underlying quasi-geostrophic dynamics. Similar arguments apply in a wide class of problems involving a small parameter and sufficiently complex zeroth-order dynamics. A modified procedure is proposed which involves expanding only the fast modes of the system; this is equivalent to an asymptotic approximation of the slaving relation that relates the fast modes to the slow modes. The procedure is systematic and thus capable, at least in principle, of being carried to any order—unlike procedures based on truncations. We apply the procedure to construct higher-order balance approximations of the shallow-water equations. At the lowest order quasi-geostrophy emerges. At the next order the system incorporates gradient-wind balance, although the balance relations themselves involve only linear inversions and hence are easily applied. There is a large class of reduced systems associated with various choices for the slow variables, but the simplest ones appear to be those based on potential vorticity.

The impact of sea ice dynamics on the Arctic climate system

Five paired global climate model experiments, one with an ice pack that only responds thermodynamically (TI) and one including sea-ice dynamics (DI), were used to investigate the sensitivity of Arctic climates to sea-ice motion. The sequence of experiments includes situations in which the Arctic was both considerably colder (Glacial Inception, ca 115,000 years ago) and considerably warmer (3 × CO2) than today. Sea-ice motion produces cooler anomalies year-round than simulations without ice dynamics, resulting in reduced Arctic warming in warm scenarios and increased Arctic cooling in cold scenarios. These changes reflect changes in atmospheric circulation patterns: the DI simulations favor outflow of Arctic air and sea ice into the North Atlantic by promoting cyclonic circulation centered over northern Eurasia, whereas the TI simulations favor southerly inflow of much warmer air from the North Atlantic by promoting cyclonic circulation centered over Greenland. The differences between the paired simulations are sufficiently large to produce different vegetation cover over >19% of the land area north of 55°N, resulting in changes in land-surface characteristics large enough to have an additional impact on climate. Comparison of the DI and TI experiments for the mid-Holocene (6000 years ago) with paleovegetation reconstructions suggests the incorporation of sea-ice dynamics yields a more realistic simulation of high-latitude climates. The spatial pattern of sea-ice anomalies in the warmer-than-modern DI experiments strongly resembles the observed Arctic Ocean sea-ice dipole structure in recent decades, consistent with the idea that greenhouse warming is already impacting the high-northern latitudes.

Remarkable dynamics of nanoparticles in the urban atmosphere

Nanoparticles emitted from road traffic are the largest source of respiratory exposure for the general public living in urban areas. It has been suggested that adverse health effects of airborne particles may scale with airborne particle number, which if correct, focuses attention on the nanoparticle (less than 100 nm) size range which dominates the number count in urban areas. Urban measurements of particle size distributions have tended to show a broadly similar pattern dominated by a mode centred on 20–30 nm diameter emitted by diesel engine exhaust. In this paper we report the results of measurements of particle number concentration and size distribution made in a major London park as well as on the BT Tower, 160 m aloft. These measurements taken during the REPARTEE project (Regents Park and BT Tower experiment) show a remarkable shift in particle size distributions with major losses of the smallest particle class as particles are advected away from the traffic source. In the Park, the traffic related mode at 20–30 nm diameter is much reduced with a new mode at <10 nm. Size distribution measurements also revealed higher number concentrations of sub-50 nm particles at the BT Tower during days affected by higher turbulence as determined by Doppler Lidar measurements and are indicative of loss of nanoparticles from air aged during less turbulent conditions. These results are suggestive of nanoparticle loss by evaporation, rather than coagulation processes. The results have major implications for understanding the impacts of traffic-generated particulate matter on human health.

Energy compensation following consumption of sugar-reduced products: a randomized controlled trial

PURPOSE: Consumption of sugar-reformulated products (commercially available foods and beverages that have been reduced in sugar content through reformulation) is a potential strategy for lowering sugar intake at a population level. The impact of sugar-reformulated products on body weight, energy balance (EB) dynamics and cardiovascular disease risk indicators has yet to be established. The REFORMulated foods (REFORM) study examined the impact of an 8-week sugar-reformulated product exchange on body weight, EB dynamics, blood pressure, arterial stiffness, glycemia and lipemia. METHODS: A randomized, controlled, double-blind, crossover dietary intervention study was performed with fifty healthy normal to overweight men and women (age 32.0 ± 9.8 year, BMI 23.5 ± 3.0 kg/m2) who were randomly assigned to consume either regular sugar or sugar-reduced foods and beverages for 8 weeks, separated by 4-week washout period. Body weight, energy intake (EI), energy expenditure and vascular markers were assessed at baseline and after both interventions. RESULTS: We found that carbohydrate (P < 0.001), total sugars (P < 0.001) and non-milk extrinsic sugars (P < 0.001) (% EI) were lower, whereas fat (P = 0.001) and protein (P = 0.038) intakes (% EI) were higher on the sugar-reduced than the regular diet. No effects on body weight, blood pressure, arterial stiffness, fasting glycemia or lipemia were observed. CONCLUSIONS: Consumption of sugar-reduced products, as part of a blinded dietary exchange for an 8-week period, resulted in a significant reduction in sugar intake. Body weight did not change significantly, which we propose was due to energy compensation.

The influence of sea ice dynamics on the climate sensitivity and memory to increased Antarctic sea ice

The study analyzes the sensitivity and memory of the Southern Hemisphere coupled climate system to increased Antarctic sea ice (ASI), taking into account the persistence of the sea ice maxima in the current climate. The mechanisms involved in restoring the climate balance under two sets of experiments, which differ in regard to their sea ice models, are discussed. The experiments are perturbed with extremes of ASI and integrated for 10 yr in a large 30-member ensemble. The results show that an ASI maximum is able to persist for ; 4 yr in the current climate, followed by a negative sea ice phase. The sea ice insulating effect during the positive phase reduces heat fluxes south of 60 8 S, while at the same time these are intensified at the sea ice edge. The increased air stability over the sea ice field strengthens the polar cell while the baroclinicity increases at midlatitudes. The mean sea level pressure is reduced (increased) over high latitudes (midlatitudes), typical of the southern annular mode (SAM) positive phase. The Southern Ocean (SO) becomes colder and fresher as the sea ice melts mainly through sea ice lateral melting, the consequence of which is an increase in the ocean stability by buoyancy and mixing changes. The climate sensitivity is triggered by the sea ice insulating process and the resulting freshwater pulse (fast response), while the climate equilibrium is restored by the heat stored in the SO subsurface layers (long response). It is concluded that the time needed for the ASI anomaly to be dissipated and/or melted is shortened by the sea ice dynamical processes.

A low mortality, high morbidity reduced intensity status epilepticus (RISE) model of epilepsy and epileptogenesis in the rat

Animal models of acquired epilepsies aim to provide researchers with tools for use in understanding the processes underlying the acquisition, development and establishment of the disorder. Typically, following a systemic or local insult, vulnerable brain regions undergo a process leading to the development, over time, of spontaneous recurrent seizures. Many such models make use of a period of intense seizure activity or status epilepticus, and this may be associated with high mortality and/or global damage to large areas of the brain. These undesirable elements have driven improvements in the design of chronic epilepsy models, for example the lithium-pilocarpine epileptogenesis model. Here, we present an optimised model of chronic epilepsy that reduces mortality to 1% whilst retaining features of high epileptogenicity and development of spontaneous seizures. Using local field potential recordings from hippocampus in vitro as a probe, we show that the model does not result in significant loss of neuronal network function in area CA3 and, instead, subtle alterations in network dynamics appear during a process of epileptogenesis, which eventually leads to a chronic seizure state. The model’s features of very low mortality and high morbidity in the absence of global neuronal damage offer the chance to explore the processes underlying epileptogenesis in detail, in a population of animals not defined by their resistance to seizures, whilst acknowledging and being driven by the 3Rs (Replacement, Refinement and Reduction of animal use in scientific procedures) principles.

Thiol and Sulfenic Acid Oxidation of AhpE, the One-Cysteine Peroxiredoxin from Mycobacterium tuberculosis: Kinetics, Acidity Constants, and Conformational Dynamics

Drug resistance and virulence of Mycobacterium tuberculosis are partially related to the pathogen`s antioxidant systems. Peroxide detoxification in this bacterium is achieved by the heme-containing catalase peroxidase and different two-cysteine peroxiredoxins. M. tuberculosis genome also codifies for a putative one-cysteine peroxiredoxin, alkyl hydroperoxide reductase E (MtAhpE). Its expression was previously demonstrated at a transcriptional level, and the crystallographic structure of the recombinant protein was resolved under reduced and oxidized states. Herein, we report that the conformation of MtAhpE changed depending on its single cysteine redox state, as reflected by different tryptophan fluorescence properties and changes in quaternary structure. Dynamics of fluorescence changes, complemented by competition kinetic assays, were used to perform protein functional studies. MtAhE reduced peroxynitrite 2 orders of magnitude faster than hydrogen peroxide (1.9 x 10(7) M(-1) s(-1) vs 8.2 x 10(4) M(-1) s(-1) at pH 7.4 and 25 degrees C, respectively). The latter also caused cysteine overoxidation to sulfinic acid, but at much slower rate constant (40 M(-1) s(-1)). The pK(a) of the thiol in the reduced enzyme was 5.2, more than one unit lower than that of the sulfenic acid in the oxidized enzyme. The pH profile of hydrogen peroxide-mediated thiol and sulfenic acid oxidations indicated thiolate and sulfenate as the reacting species. The formation of sulfenic acid as well as the catalytic peroxidase activity of MtAhpE was demonstrated using the artificial reducing substrate thionitrobenzoate. Taken together, our results indicate that MtAhpE is a relevant component in the antioxidant repertoire of M. tuberculosis probably involved in peroxide and specially peroxynitrite detoxification.

A study of the relaxation dynamics in a quadrupolar NMR system using Quantum State Tomography

This article reports a relaxation study in an oriented system containing spin 3/2 nuclei using quantum state tomography (QST). The use of QST allowed evaluating the time evolution of all density matrix elements starting from several initial states. Using an appropriated treatment based on the Redfield theory, the relaxation rate of each density matrix element was measured and the reduced spectral densities that describe the system relaxation were determined. All the experimental data could be well described assuming pure quadrupolar relaxation and reduced spectral densities corresponding to a superposition of slow and fast motions. The data were also analyzed in the context of Quantum Information Processing, where the coherence loss of each qubit of the system was determined using the partial trace operation. (C) 2008 Elsevier Inc. All rights reserved.

Alkoxy Chain Effect on the Viscosity of a Quaternary Ammonium Ionic Liquid: Molecular Dynamics Simulations

The viscosity of ionic liquids based on quaternary ammonium cations is reduced when one of the alkyl chains is replaced by an alkoxy chain (Zhou et al. Chem. Eur. J. 2005, 11, 752.). A microscopic picture of the role played by the ether function in decreasing the viscosity of quaternary ammonium ionic liquids is provided here by molecular dynamics (MD) simulations. A model for the ionic liquid N-ethyl-N,N-dimethyl-N-(2-methoxyethyl)ammonium bis(trifluoromethanesulfonyl)imide, MOENM(2)E TFSI, is compared to the tetraalky-lammonium counterpart. The alkoxy derivative has lower viscosity, higher ionic diffusion coefficients, and higher conductivity than the tetraalkyl system at the same density and temperature. A clear signature of the ether function on the liquid structure is observed in cation-cation correlations, but not in anion-anion or anion-cation correlations. In both the alkyl and the alkoxy ionic liquids, there is aggregation of long chains of neighboring cations within micelle-like structures. The MD simulations indicate that the less effective assembly between the more flexible alkoxy chains, in comparison to alkyl chains, is the structural reason for higher ionic mobility in MOENM(2)E TFSI.

The Orbital Dynamics of Synchronous Satellites: Irregular Motions in the 2:1 Resonance

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Bose-Einstein condensation dynamics in three dimensions by the pseudospectral and finite-difference methods

We suggest a pseudospectral method for solving the three-dimensional time-dependent Gross-Pitaevskii (GP) equation, and use it to study the resonance dynamics of a trapped Bose-Einstein condensate induced by a periodic variation in the atomic scattering length. When the frequency of oscillation of the scattering length is an even multiple of one of the trapping frequencies along the x, y or z direction, the corresponding size of the condensate executes resonant oscillation. Using the concept of the differentiation matrix, the partial-differential GP equation is reduced to a set of coupled ordinary differential equations, which is solved by a fourth-order adaptive step-size control Runge-Kutta method. The pseudospectral method is contrasted with the finite-difference method for the same problem, where the time evolution is performed by the Crank-Nicholson algorithm. The latter method is illustrated to be more suitable for a three-dimensional standing-wave optical-lattice trapping potential.