Conditional volatility and firm size:an empirical analysis of UK equity portfolios

The techniques and insights from two distinct areas of financial economic modelling are combined to provide evidence of the influence of firm size on the volatility of stock portfolio returns. Portfolio returns are characterized by positive serial correlation induced by the varying levels of non-synchronous trading among the component stocks. This serial correlation is greatest for portfolios of small firms. The conditional volatility of stock returns has been shown to be well represented by the GARCH family of statistical processes. Using a GARCH model of the variance of capitalization-based portfolio returns, conditioned on the autocorrelation structure in the conditional mean, striking differences related to firm size are uncovered.

Correlations between the morphology of diffuse and primitive beta-amyloid (A beta) deposits and the frequency of associated cells in Down's syndrome

Correlations between the morphology of beta-amyloid (A beta) deposits and the frequency with which they are associated with neurons and glial cells were studied in Down's syndrome. The diameter of diffuse deposits was positively correlated with the frequency of large (> 25 microns) neuronal cell bodies in the isocortex and with glial cells in the hippocampus. Diameters of primitive deposits were positively correlated with glial cells in the hippocampus and with glial cells and neurons in the isocortex. Staining intensity was positively correlated with glial cells especially in the hippocampus. The data suggest that: (i) diffuse deposits develop from neurons and primitive deposits from glia; (ii) the size of A beta deposits depends on the numbers of neurons and glia; (iii) glial cells are also involved in the conversion of A beta to amyloid; and (iv) the increased density of primitive deposits in the hippocampus is determined by the high density of glial cells.

Computational mechanics reveals nanosecond time correlations in molecular dynamics of liquid systems

Statistical complexity, a measure introduced in computational mechanics has been applied to MD simulated liquid water and other molecular systems. It has been found that statistical complexity does not converge in these systems but grows logarithmically without a limit. The coefficient of the growth has been introduced as a new molecular parameter which is invariant for a given liquid system. Using this new parameter extremely long time correlations in the system undetectable by traditional methods are elucidated. The existence of hundreds of picosecond and even nanosecond long correlations in bulk water has been demonstrated. © 2008 Elsevier B.V. All rights reserved.

Temporal correlations of local network losses

We introduce a continuum model describing data losses in a single node of a packet-switched network (like the Internet) which preserves the discrete nature of the data loss process. By construction, the model has critical behavior with a sharp transition from exponentially small to finite losses with increasing data arrival rate. We show that such a model exhibits strong fluctuations in the loss rate at the critical point and non-Markovian power-law correlations in time, in spite of the Markovian character of the data arrival process. The continuum model allows for rather general incoming data packet distributions and can be naturally generalized to consider the buffer server idleness statistics.

Loss fluctuations and temporal correlations in network queues

We consider data losses in a single node of a packet- switched Internet-like network. We employ two distinct models, one with discrete and the other with continuous one-dimensional random walks, representing the state of a queue in a router. Both models have a built-in critical behavior with a sharp transition from exponentially small to finite losses. It turns out that the finite capacity of a buffer and the packet-dropping procedure give rise to specific boundary conditions which lead to strong loss rate fluctuations at the critical point even in the absence of such fluctuations in the data arrival process.

Correlations between optimal temporal width and spectral characteristics of an optical signal in a wavelength-paired CS-RZ transmission with high spectral efficiency

We examine the correlations between the parameters of ultra-narrow off-centred filtering and pulse width on the performance of a wavelength paired Nx40Gbit/s DWDM transmission, consisting of carrier suppressed return-to-zero signal with 0.64 bit/s/Hz (without polarization-division multiplexing) spectral efficiency.

Bed expansion:extending correlations for fluidized beds with inserts to open fluidized beds

Bed expansion occurs during the operation of gas-fluidized beds and is influenced by particle properties, gas properties and distributor characteristics. It has a significant bearing on heat and mass transfer phenomena within the bed. A method of predicting bed expansion behavior from other fluidizing parameters would be a useful tool in the design process, dispensing with the need for small-scale trials. This study builds on previous work on fluidized beds with vertical inserts to produce a correlation that links a modified particle terminal velocity, minimum fluidizing velocity and distributor characteristics with bed voidage in the relationship with P as the pitch between holes in the perforated distributor plate. © 2007 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim.

Conditional osmotic stress in yeast:a system to study transport through aquaglyceroporins and osmostress signaling

The accumulation and transport of solutes are hallmarks of osmoadaptation. In this study we have employed the inability of the Saccharomyces cerevisiae gpd1Δ gpd2Δ mutant both to produce glycerol and to adapt to high osmolarity to study solute transport through aquaglyceroporins and the control of osmostress-induced signaling. High levels of different polyols, including glycerol, inhibited growth of the gpd1Δ gpd2Δ mutant. This growth inhibition was suppressed by expression of the hyperactive allele Fps1-AΔ of the osmogated yeast aquaglyceroporin, Fps1. The degree of suppression correlated with the relative rate of transport of the different polyols tested. Transport studies in secretory vesicles confirmed that Fps1-Δ1 transports polyols at increased rates compared with wild type Fps1. Importantly, wild type Fps1 and Fps1-Δ1 showed similarly low permeability for water. The growth defect on polyols in the gpd1Δ gpd2Δ mutant was also suppressed by expression of a heterologous aquaglyceroporin, rat AQP9. We surmised that this suppression was due to polyol influx, causing the cells to passively adapt to the stress. Indeed, when aquaglyceroporin-expressing gpd1Δ gpd2Δ mutants were treated with glycerol, xylitol, or sorbitol, the osmosensing HOG pathway was activated, and the period of activation correlated with the apparent rate of polyol uptake. This observation supports the notion that deactivation of the HOG pathway is closely coupled to osmotic adaptation. Taken together, our "conditional" osmotic stress system facilitates studies on aquaglyceroporin function and reveals features of the osmosensing and signaling system. © 2005 by The American Society for Biochemistry and Molecular Biology, Inc.

Fluctuations and correlations in sandpiles and interfaces with boundary pinning

Interfaces are studied in an inhomogeneous critical state where boundary pinning is compensated with a ramped force. Sandpiles driven off the self-organized critical point provide an example of this ensemble in the Edwards-Wilkinson (EW) model of kinetic roughening. A crossover from quenched to thermal noise violates spatial and temporal translational invariances. The bulk temporal correlation functions have the effective exponents β1D∼0.88±0.03 and β2D∼0.52±0.05, while at the boundaries βb,1D/2D∼0.47±0.05. The bulk β1D is shown to be reproduced in a randomly kicked thermal EW model.

Fluctuations and correlations in sandpiles and interfaces with boundary pinning

Interfaces are studied in an inhomogeneous critical state where boundary pinning is compensated with a ramped force. Sandpiles driven off the self-organized critical point provide an example of this ensemble in the Edwards-Wilkinson (EW) model of kinetic roughening. A crossover from quenched to thermal noise violates spatial and temporal translational invariances. The bulk temporal correlation functions have the effective exponents β1D∼0.88±0.03 and β2D∼0.52±0.05, while at the boundaries βb,1D/2D∼0.47±0.05. The bulk β1D is shown to be reproduced in a randomly kicked thermal EW model.

Narrow-band generation and mode correlations in a short Raman fibre laser

We design a Raman fibre laser with a short cavity providing narrow-band generation. The laser is based on a commercial single-mode fibre (980-HP) span of 12 m length. The laser generates up to 11 W of intracavity power. Even at high generation power, the laser spectrum is narrow (less than 200 pm) - several times narrower than for conventional Raman fibre lasers based on longer fibres. The intensity dynamics reveals indications of mode correlations. © 2014 Astro Ltd.

Structure-reactivity correlations in MgAl hydrotalcite catalysts for biodiesel synthesis

A series of [Mg(1−x)Alx(OH)2]x+(CO3)x/n2− hydrotalcite materials with compositions over the range x = 0.25–0.55 have been synthesised using an alkali-free coprecipitation route. All materials exhibit XRD patterns characteristic of the hydrotalcite phase with a steady lattice expansion observed with increasing Mg content. XPS measurements reveal a decrease in both the Al and Mg photoelectron binding energies with Mg incorporation which correlates with the increased intra-layer electron density. All materials are effective catalysts for the liquid phase transesterification of glyceryl tributyrate with methanol for biodiesel production. The rate increases steadily with Mg content, with the Mg rich Mg2.93Al catalyst an order of magnitude more active than MgO, with pure Al2O3 being completely inert. The rate of reaction also correlates with intralayer electron density which can be associated with increased basicity.© 2005 Elsevier B.V. All rights reserved.

Structure-reactivity correlations in the selective aerobic oxidation of cinnamyl alcohol:in situ XAFS

The structural evolution of a Pd/C catalyst during the liquid phase selective aerobic oxidation of cinnamyl alcohol has been followed by in situ XAFS and XPS. The fresh catalyst comprised highly dispersed, heavily oxidised Pd particles. Cinnamyl alcohol oxidation resulted in the rapid reduction of surface palladium oxide and a small degree of concomitant particle growth. These structural changes coincided with a large drop in catalytic activity. Prereduced Pd/C exhibited a significantly lower initial oxidation rate demonstrating the importance of surface metal oxide in effecting catalytic oxidation. Use of a Pd black model system confirmed that the oxide→metal transformation was the cause, and not result, of catalyst deactivation.

Structure-reactivity correlations in sulphated-zirconia catalysts for the isomerisation of α-pinene

A range of mesoporous sulphated zirconias with tuneable structural and catalytic properties have been prepared by direct impregnation. The surface sulphate coverage can be readily varied, achieving a maximum value of ∼0.2 monolayers. High-temperature calcination induces the crystallisation of tetragonal zirconia while suppressing the monoclinic phase and enhances surface acidity. Superacid sites only appear above a critical threshold SO4 coverage of 0.08 mL (corresponding to 0.44 wt% total S). Sulphated zirconias show good activity towards α-pinene isomerisation of under mild conditions. Conversion correlates with the number Brønsted acid sites, while the selectivity towards mono- versus polycyclic products depends on the corresponding acid site strength; superacidity promotes limonene formation over camphene.

Nonlinear mixing and mode correlations in a short Raman fiber laser

In the present paper we experimentally demonstrate a generation in a short Raman fiber laser having 10 000 different longitudinal modes only. We design the laser using 12 meters of commercially available fiber. Contrary to the recently demonstrated single longitudinal mode DFB Raman laser and short DBR Raman laser, in the laser under study the number of modes is high enough for efficient nonlinear interactions. Experimentally measured time dynamics reveals the presence of mode correlations in the radiation: the measured extreme events lasts for more than 10 round-trips.