Commonality in Returns, Order Flows, and Liquidity in the Greek Stock Market

Using a unique high-frequency data-set on a comprehensive sample of Greek blue-chip stocks, spanning from September 2003 through March 2006, this note assesses the extent and role of commonality in returns, order flows (OFs), and liquidity. It also formally models aggregate equity returns in terms of aggregate equity OF, in an effort to clarify OF's importance in explaining returns for the Athens Exchange market. Almost a quarter of the daily returns in the FTSE/ATHEX20 index is explained by aggregate own OF. In a second step, using principal components and canonical correlation analyses, we document substantial common movements in returns, OFs, and liquidity, both on a market-wide basis and on an individual security basis. These results emphasize that asset pricing and liquidity cannot be analyzed in isolation from each other.

Maximum likelihood estimation of higher-order integer-valued autoregressive processes

In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 701–722] and develop a general framework for maximum likelihood (ML) analysis of higher-order integer-valued autoregressive processes. Our exposition includes the case where the innovation sequence has a Poisson distribution and the thinning is binomial. A recursive representation of the transition probability of the model is proposed. Based on this transition probability, we derive expressions for the score function and the Fisher information matrix, which form the basis for ML estimation and inference. Similar to the results in Freeland and McCabe (2004), we show that the score function and the Fisher information matrix can be neatly represented as conditional expectations. Using the INAR(2) speci?cation with binomial thinning and Poisson innovations, we examine both the asymptotic e?ciency and ?nite sample properties of the ML estimator in relation to the widely used conditional least
squares (CLS) and Yule–Walker (YW) estimators. We conclude that, if the Poisson assumption can be justi?ed, there are substantial gains to be had from using ML especially when the thinning parameters are large.

Maximum likelihood estimation of higher-order integer-valued autoregressive processes

Corrigendum Vol. 30, Issue 2, 259, Article first published online: 15 MAR 2009 to correct the order of authors names: Bu R., K. Hadri, and B. McCabe.

Higher-order effects and ultrashort solitons in left-handed metamaterials

Starting from Maxwell's equations, we use the reductive perturbation method to derive a second-order and a third-order nonlinear Schrodinger equation, describing ultrashort solitons in nonlinear left-handed metamaterials. We find necessary conditions and derive exact bright and dark soliton solutions of these equations for the electric and magnetic field envelopes.

Birth order and childhood type 1 diabetes risk: A pooled analysis of 31 observational studies

Background: The incidence rates of childhood onset type 1 diabetes are almost universally increasing across the globe but the aetiology of the disease remains largely unknown. We investigated whether birth order is associated with the risk of childhood diabetes by performing a pooled analysis of previous studies. Methods: Relevant studies published before January 2010 were identified from MEDLINE, Web of Science and EMBASE. Authors of studies provided individual patient data or conducted pre-specified analyses. Meta-analysis techniques were used to derive combined odds ratios (ORs), before and after adjustment for confounders, and investigate heterogeneity. Results: Data were available for 6 cohort and 25 case-control studies, including 11 955 cases of type 1 diabetes. Overall, there was no evidence of an association prior to adjustment for confounders. After adjustment for maternal age at birth and other confounders, a reduction in the risk of diabetes in second-or later born children became apparent [fully adjusted OR=0.90 95% confidence interval (CI) 0.83-0.98; P=0.02] but this association varied markedly between studies (I 2=67%). An a priori subgroup analysis showed that the association was stronger and more consistent in children <5years of age (n=25 studies, maternal age adjusted OR=0.84 95% CI 0.75, 0.93; I 2=23%). Conclusion: Although the association varied between studies, there was some evidence of a lower risk of childhood onset type 1 diabetes with increasing birth order, particularly in children aged <5 years. This finding could reflect increased exposure to infections in early life in later born children. Published by Oxford University Press on behalf of the International Epidemiological Association © The Author 2010; all rights reserved.

Probing magnetic order in ultracold lattice gases

A forthcoming challenge in ultracold lattice gases is the simulation of quantum magnetism. That involves both the preparation of the lattice atomic gas in the desired spin state and the probing of the state. Here we demonstrate how a probing scheme based on atom-light interfaces gives access to the order parameters of nontrivial quantum magnetic phases, allowing us to characterize univocally strongly correlated magnetic systems produced in ultracold gases. This method, which is also nondemolishing, yields spatially resolved spin correlations and can be applied to bosons or fermions. As a proof of principle, we apply this method to detect the complete phase diagram displayed by a chain of (rotationally invariant) spin-1 bosons.