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.

Effect of linseed oil and fish oil alone or as an equal mixture of ruminal fatty acid metabolism in growing steers fed maize silage-based diets

Based on the potential benefits to human health there is interest in increasing 18:3n-3, 20:5n-3, 22:6n-6, and cis-9,trans-11 conjugated linoleic acid (CLA) in ruminant foods. Four Aberdeen Angus steers (406 ± 8.2 kg BW) fitted with rumen and duodenal cannulae were used in a 4 x 4 Latin square experiment with 21 d periods to examine the potential of fish oil (FO) and linseed oil (LO) in the diet to increase ruminal outflow of trans-11 18:1 and total n-3 polyunsaturated fatty acids (PUFA) in growing cattle. Treatments consisted of a control diet (60:40; forage:concentrate ratio, on a DM basis, respectively) based on maize silage, or the same basal ration containing 30 g/kg DM of FO, LO or a mixture (1:1, w/w) of FO and LO (LFO). Diets were offered as total mixed rations and fed at a rate of 85 g DM/kg BW0.75/d. Oils had no effect (P = 0.52) on DM intake. Linseed oil had no effect (P > 0.05) on ruminal pH or VFA concentrations, while FO shifted rumen fermentation towards propionate at the expense of acetate. Compared with the control, LO increased (P < 0.05) 18:0, cis 18:1 (Δ9, 12-15), trans 18:1 (Δ4-9, 11-16), trans 18:2, geometric isomers of ∆9,11, ∆11,13, and ∆13,15 CLA, trans-8,cis-10 CLA, trans-10,trans-12 CLA, trans-12,trans-14 CLA, and 18:3n-3 flow at the duodenum. Inclusion of FO in the diet resulted in higher (P < 0.05) flows of cis-9 16:1, trans 16:1 (Δ6-13), cis 18:1 (Δ9, 11, and 13), trans 18:1 (Δ6-15), trans 18:2, 20:5n-3, 22:5n-3, and 22:6n-3, and lowered (P < 0.001) 18:0 at the duodenum relative to the control. For most fatty acids at the duodenum responses to LFO were intermediate of FO and LO. However, LFO resulted in higher (P = 0.04) flows of total trans 18:1 than LO and increased (P < 0.01) trans-6 16:1 and trans-12 18:1 at the duodenum compared with FO or LO. Biohydrogenation of cis-9 18:1 and 18:2n-6 in the rumen was independent of treatment, but both FO and LO increased (P < 0.001) the extent of 18:3n-3 biohydrogenation compared with the control. Ruminal 18:3n-3 biohydrogenation was higher (P < 0.001) for LO and LFO than FO, while biohydrogenation of 20:5n-3 and 22:6n-3 in the rumen was marginally lower (P = 0.05) for LFO than FO. In conclusion, LO and FO at 30 g/kg DM altered the biohydrogenation of unsaturated fatty acids in the rumen causing an increase in the flow of specific intermediates at the duodenum, but the potential of these oils fed alone or as a mixture to increase n-3 PUFA at the duodenum in cattle appears limited.

“Financial alchemy” or a zero sum game? Real estate finance, securitisation and the UK property market

Following the US model, the UK has seen considerable innovation in the funding, finance and procurement of real estate in the last decade. In the growing CMBS market asset backed securitisations have included $2.25billion secured on the Broadgate office development and issues secured on Canary Wharf and the Trafford Centre regional mall. Major occupiers (retailer Sainsbury’s, retail bank Abbey National) have engaged in innovative sale & leaseback and outsourcing schemes. Strong claims are made concerning the benefits of such schemes – e.g. British Land were reported to have reduced their weighted cost of debt by 150bp as a result of the Broadgate issue. The paper reports preliminary findings from a project funded by the Corporation of London and the RICS Research Foundation examining a number of innovative schemes to identify, within a formal finance framework, sources of added value and hidden costs. The analysis indicates that many of the gains claimed conceal costs – in terms of market value of debt or flexibility of management – while others result from unusual firm or market conditions (for example utilising the UK long lease and the unusual shape of the yield curve). Nonetheless, there are real gains resulting from the innovations, reflecting arbitrage and institutional constraints in the direct (private) real estate market

A genetic linkage map of an apple rootstock progeny anchored to the Malus genome sequence

An apple rootstock progeny raised from the cross between the very dwarfing ‘M.27’ and the more vigorous ‘M.116’ (‘M.M.106’ × ‘M.27’) was used for the construction of a linkage map comprising a total of 324 loci: 252 previously mapped SSRs, 71 newly characterised or previously unmapped SSR loci (including 36 amplified by 33 out of the 35 novel markers reported here), and the self-incompatibility locus. The map spanned the 17 linkage groups (LG) expected for apple covering a genetic distance of 1,229.5 cM, an estimated 91% of the Malus genome. Linkage groups were well populated and, although marker density ranged from 2.3 to 6.2 cM/SSR, just 15 gaps of more than 15 cM were observed. Moreover, only 17.5% of markers displayed segregation distortion and, unsurprisingly in a semi-compatible backcross, distortion was particularly pronounced surrounding the self-incompatibility locus (S) at the bottom of LG17. DNA sequences of 273 SSR markers and the S locus, representing a total of 314 loci in this investigation, were used to anchor to the ‘Golden Delicious’ genome sequence. More than 260 of these loci were located on the expected pseudo-chromosome on the ‘Golden Delicious’ genome or on its homeologous pseudo-chromosome. In total, 282.4 Mbp of sequence from 142 genome sequence scaffolds of the Malus genome were anchored to the ‘M.27’ × ‘M.116’ map, providing an interface between the marker data and the underlying genome sequence. This will be exploited for the identification of genes responsible for traits of agronomic importance such as dwarfing and water use efficiency.

Distribution of esterase activity in porcine ear skin, and the effects of freezing and heat separation

Porcine ear skin is widely used to study skin permeation and absorption of ester compounds, whose permeation and absorption profiles may be directly influenced by in situ skin esterase activity. Importantly, esterase distribution and activity in porcine ear skin following common protocols of skin handling and storage have not been characterised. Thus, we have compared the distribution and hydrolytic activity of esterases in freshly excised, frozen, heated and explanted porcine ear skin. Using an esterase staining kit, esterase activity was found to be localised in the stratum corneum and viable epidermis. Under frozen storage and a common heating protocol of epidermal sheet separation, esterase staining in the skin visibly diminished. This was confirmed by a quantitative assay using HPLC to monitor the hydrolysis of aspirin, in freshly excised, frozen or heated porcine ear skin. Compared to vehicle-only control, the rate of aspirin hydrolysis was approximately three-fold higher in the presence of freshly excised skin, but no different in the presence of frozen or heated skin. Therefore, frozen and heat-separated porcine ear skin should not be used to study the permeation of ester-containing permeants, in particular co-drugs and pro-drugs, whose hydrolysis or degradation can be modulated by skin esterases.

Does high-frequency repetitive transcranial magnetic stimulation produce residual and/or cumulative effects within an experimental session?

A common procedure for studying the effects on cognition of repetitive transcranial magnetic stimulation (rTMS) is to deliver rTMS concurrent with task performance, and to compare task performance on these trials versus on trials without rTMS. Recent evidence that TMS can have effects on neural activity that persist longer than the experimental session itself, however, raise questions about the assumption of the transient nature of rTMS that underlies many concurrent (or "online") rTMS designs. To our knowledge, there have been no studies in the cognitive domain examining whether the application of brief trains of rTMS during specific epochs of a complex task may have effects that spill over into subsequent task epochs, and perhaps into subsequent trials. We looked for possible immediate spill-over and longer-term cumulative effects of rTMS in data from two studies of visual short-term delayed recognition. In 54 subjects, 10-Hz rTMS trains were applied to five different brain regions during the 3-s delay period of a spatial task, and in a second group of 15 subjects, electroencephalography (EEG) was recorded while 10-Hz rTMS was applied to two brain areas during the 3-s delay period of both spatial and object tasks. No evidence for immediate effects was found in the comparison of the memory probe-evoked response on trials that were vs. were not preceded by delay-period rTMS. No evidence for cumulative effects was found in analyses of behavioral performance, and of EEG signal, as a function of task block. The implications of these findings, and their relation to the broader literature on acute vs. long-lasting effects of rTMS, are considered.

Virulence in the chick model and stress tolerance of Salmonella enterica serovar Orion var. 15+

Three Salmonella enterica serovar Orion var. 15+ isolates of distinct provenance were tested for survival in various stress assays. All were less able to survive desiccation than a virulent S. Enreritidis strain, with levels of survival similar to a rpoS mutant of the S. Enteritidis strain, whereas one isolate (F3720) was significantly more acid tolerant. The S. Orion var. 15+ isolates were motile by flagellae and elaborated type-1 and curli-like fimbriae; surface organelles that are considered virulence determinants in Salmonella pathogenesis. Each adhered and invaded HEp-2 tissue culture cells with similar proficiency to the S. Enteritidis control but were significantly less virulent than S. En teritidis in the one-day-old and seven-day-old chick model. Given an oral dose of 1 x 10(3) cfu to one-day-old chicken, S. Orion var. 15+ isolates colonised 25% of liver and spleens examined at 24 h whereas S. Enteritidis colonised 100% of organs by the same with the same dose. Given an oral dose of 1 x 10(7) cfu at seven-day old, S. Orion var. 15+ failed to colonise livers and spleens in any bird examined at 24 h whereas S. Enteritidis colonised 50% of organs by the same with the same dose. Based on the number of internal organs colonised, one of the three S. Orion var. 15+ isolates tested (strain F3720) was significantly more invasive than the other two (B1 and B7). Also, strain F3720 was shed less than either B1 or B7 supporting the concept that there may be an inverse relationship between the ability to colonise deep tissues and to persist in the gut. These data are discussed in the light that S. Orion var. 15+ is associated with sporadic outbreaks of human infection rather than epidemics.

Quantification of chemical and physical processes influencing ozone during long-range transport using a trajectory ensemble

During long-range transport, many distinct processes – including photochemistry, deposition, emissions and mixing – contribute to the transformation of air mass composition. Partitioning the effects of different processes can be useful when considering the sensitivity of chemical transformation to, for example, a changing environment or anthropogenic influence. However, transformation is not observed directly, since mixing ratios are measured, and models must be used to relate changes to processes. Here, four cases from the ITCT-Lagrangian 2004 experiment are studied. In each case, aircraft intercepted a distinct air mass several times during transport over the North Atlantic, providing a unique dataset and quantifying the net changes in composition from all processes. A new framework is presented to deconstruct the change in O3 mixing ratio (Δ O3) into its component processes, which were not measured directly, taking into account the uncertainty in measurements, initial air mass variability and its time evolution. The results show that the net chemical processing (Δ O3chem) over the whole simulation is greater than net physical processing (Δ O3phys) in all cases. This is in part explained by cancellation effects associated with mixing. In contrast, each case is in a regime of either net photochemical destruction (lower tropospheric transport) or production (an upper tropospheric biomass burning case). However, physical processes influence O3 indirectly through addition or removal of precursor gases, so that changes to physical parameters in a model can have a larger effect on Δ O3chem than Δ O3phys. Despite its smaller magnitude, the physical processing distinguishes the lower tropospheric export cases, since the net photochemical O3 change is −5 ppbv per day in all three cases. Processing is quantified using a Lagrangian photochemical model with a novel method for simulating mixing through an ensemble of trajectories and a background profile that evolves with them. The model is able to simulate the magnitude and variability of the observations (of O3, CO, NOy and some hydrocarbons) and is consistent with the time-average OH following air-masses inferred from hydrocarbon measurements alone (by Arnold et al., 2007). Therefore, it is a useful new method to simulate air mass evolution and variability, and its sensitivity to process parameters.