An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Design and analysis of rate aware ad hoc 802.11 networks

802.11 WLANs are characterized by high bit error rate and frequent changes in network topology. The key feature that distinguishes WLANs from wired networks is the multi-rate transmission capability, which helps to accommodate a wide range of channel conditions. This has a significant impact on higher layers such as routing and transport levels. While many WLAN products provide rate control at the hardware level to adapt to the channel conditions, some chipsets like Atheros do not have support for automatic rate control. We first present a design and implementation of an FER-based automatic rate control state machine, which utilizes the statistics available at the device driver to find the optimal rate. The results show that the proposed rate switching mechanism adapts quite fast to the channel conditions. The hop count metric used by current routing protocols has proven itself for single rate networks. But it fails to take into account other important factors in a multi-rate network environment. We propose transmission time as a better path quality metric to guide routing decisions. It incorporates the effects of contention for the channel, the air time to send the data and the asymmetry of links. In this paper, we present a new design for a multi-rate mechanism as well as a new routing metric that is responsive to the rate. We address the issues involved in using transmission time as a metric and presents a comparison of the performance of different metrics for dynamic routing.

A hitchhiker's guide to a crowded syconium: how do fig nematodes find the right ride?

P>1Organisms with low mobility, living within ephemeral environments,need to find vehicles that can disperse them reliably to new environments. The requirement for specificity in this passenger-vehicle relationship is enhanced within a tritrophic interaction when the environment of passenger and vehicle is provided by a third organism. Such relationships pose many interesting questions about specificity within a tritrophic framework. 2. Central to understanding how these tritrophic systems have evolved, is knowing how they function now. Determining the proximal cues and sensory modalities used by passengers to find vehicles and to discriminate between reliable and non-reliable vehicles is, therefore, essential to this investigation. 3. The ancient, co-evolved and highly species-specific nursery pollination mutualism between figs and fig wasps is host to species-specific plant-parasitic nematodes which use fig wasps to travel between figs. Since individual globular fig inflorescences, i.e. syconia, serve as incubators for hundreds of developing pollinating and parasitic wasps, a dispersal-stage nematode within such a chemically,complex and physically crowded environment is faced with the dilemma of choosing the right vehicle for dispersal into a new fig. Such a system therefore affords excellent opportunities to investigate mechanisms that contribute to the evolution of specificity between the passenger and the vehicle. 4. In this study of fig-wasp-nematode tritrophic interactions in Ficus racemosa within which seven wasp species can breed, we demonstrate using two-choice as well as cafeteria assays that plant-parasitic nematodes (Schistonchus racemosa) do not hitch rides randomly on available eclosing wasps within the fig syconium, but are specifically attracted, at close range, i.e. 3 mm distance, to only that vehicle which can quickly, within a few hours, reliably transfer it to another fig. This vehicle is the female pollinating wasp. Male wasps and female parasitic wasps are inappropriate vehicles since the former are wingless and die within the fig, while the latter never enter another fig. Nematodes distinguished between female pollinating wasps and other female parasitic wasps using volatiles and cuticular hydrocarbons. Nematodes could not distinguish between cuticular hydrocarbons of male and female pollinators but used other cues, such as volatiles, at close range, to find female pollinating wasps with which they have probably had a long history of chemical adaptation. 5. This study opens up new questions and hypotheses about the evolution and maintenance of specificity in fig-wasp-nematode tritrophic interactions.

A new chiral oxazoline derived from camphor and its conversion to (R)-2-methylalkanoic acids

1S,5R,7R)-(-)-10, 10-Dimethyl-3-ethyl-4-oxa--atricyclo[5.2.1.0(1,5)]dec-2-ene 2 was prepared in 95% yield from (1S)-1-amino-2-exo-hydroxyapocamphane 1. The chiral oxazoline could be alkylated (Lhttp://eprints.iisc.ernet.in/cgi/users/home?screen=EPrint::Edit&eprintid=31175&stage=core#tDA/THF/-78 degrees C/RX, RX = ethyl, n-propyl, n-butyl iodides or benzyl bromide) to 3 in 95% yield and > 95% diastereoselectivity, and the products hydrolysed to (R)-2-methylalkanoic acids 4 (43-47% yield, 93-98% e.e.). (C) 2000 Elsevier Science Ltd. All rights reserved.

An electron paramagnetic resonance study of Pr0.6Ca0.4MnO3 across the charge-ordering transition

We report the first electron paramagnetic resonance studies of single crystals and powders of Pr0.6Ca0.4MnO3 in the 300-4.2 K range, covering the charge-ordering transition (Tco) at ~240 K and antiferromagnetic transition (TN) at ~170 K. The asymmetry parameter for the Dysonian single-crystal spectra shows an anomalous increase at Tco. Below Tco the g-value increases continuously, suggesting a gradual strengthening of the orbital ordering. The linewidth undergoes a sudden increase at Tco and continues to increase down to TN. The intensity increases as the temperature is decreased until Tco is reached, due to the renormalization of the magnetic susceptibility arising from the build-up of ferromagnetic correlations.

Genetic Heterogeneity in Wild Isolates of Cellular Slime Mold Social Groups

This study addresses the issues of spatial distribution, dispersal, and genetic heterogeneity in social groups of the cellular slime molds (CSMs). The CSMs are soil amoebae with an unusual life cycle that consists of alternating solitary and social phases. Because the social phase involves division of labor with what appears to be an extreme form of "altruism", the CSMs raise interesting evolutionary questions regarding the origin and maintenance of sociality. Knowledge of the genetic structure of social groups in the wild is necessary for answering these questions. We confirm that CSMs are widespread in undisturbed forest soil from South India. They are dispersed over long distances via the dung of a variety of large mammals. Consistent with this mode of dispersal, most social groups in the two species examined for detailed study, Dictyostelium giganteum and Dictyostelium purpureum, are multi-clonal.

External Bias Dependent Direct To Indirect Band Gap Transition in Graphene Nanoribbon

In this work, using self-consistent tight-binding calculations. for the first time, we show that a direct to indirect band gap transition is possible in an armchair graphene nanoribbon by the application of an external bias along the width of the ribbon, opening up the possibility of new device applications. With the help of the Dirac equation, we qualitatively explain this band gap transition using the asymmetry in the spatial distribution of the perturbation potential produced inside the nanoribbon by the external bias. This is followed by the verification of the band gap trends with a numerical technique using Magnus expansion of matrix exponentials. Finally, we show that the carrier effective masses possess tunable sharp characters in the vicinity of the band gap transition points.

International Portfolio Investments and The Informational Value of Trade

A large volume of literature suggests that information asymmetry resulting from the spatial separation between investors and investments have a significant impact on the composition of investors’ domestic and international portfolios. I show that institutional factors affecting trading in tangible goods help explain a substantial portion of investors’ spatial bias. More importantly, I demonstrate that an information flow medium with breadth and richness directly linked to the bilateral commitment of resources between countries, that I measure by their trading intensity in tangible goods, is consistent with the prevailing country allocation in investors’ international portfolios.

Synthesis of both enantiomers of 1-phenylethane-1,2-diol via chirality transfer from bile acid derivatives

Both enantiomers of 1-phenylethane-1,2-diol were synthesized with good to excellent enantioselectivities via selective reduction of the phenylglyoxalates derived from bile acids, followed by reductive cleavage. (C) 2000 Elsevier Science Ltd. All rights reserved.

The Impact of FDI on International Portfolio Investments

Some empirical research has argued that part of the reason for the observed "home bias" is that investors are able to indirectly achieve internationally diversified portfolios via domestically listed multinational firms. Another branch of this research attributes the "home bias" and country allocations to more deeply rooted informational causes. Using a four-year annual panel of Finnish international portfolios and Foreign Direct Investments in twenty-five countries, I provide evidence consistent with an information asymmetry explanation

Structural studies of analgesics and their interactions. XII. Structure and interactions of anti-inflammatory fenamates. A concerted crystallographic and theoretical conformational study

A theoretical conformational analysis of fenamates, which are N-arylated derivatives of anthranilic acid or 2-aminonicotinic acid with different substituents on the aryl (phenyl) group, is reported. The analysis of these analgesics, which are believed to act through the inhibition of prostaglandin biosynthesis, was carried out using semi-empirical potential functions. The results and available crystallographic observations have been critically examined in terms of their relevance to drug action. Crystallographic studies of these drugs and their complexes have revealed that the fenamate molecules share a striking invariant feature, namely, the sixmembered ring bearing the carboxyl group is coplanar with the carboxyl group and the bridging imino group,the coplanarity being stabilized by resonance interactions and an internal hydrogen bond between the imino and carboxyl groups. The results of the theoretical analysis provide a conformational rationale for the observed invariant coplanarity. The second sixmembered ring, which provides hydrophobicity in a substantial part of the molecule, has limited conformational flexibility in meclofenamic, mefenamic and flufenamic acids. Comparison of the conformational energy maps of these acids shows that they could all assume the same conformation when bound to the relevant enzyme. The present study provides a structural explanation for the difference in the activity of niflumic acid, which can assume a conformation in which the whole molecule is nearly planar. The main role of the carboxyl group appears to be to provide a site for intermolecular interactions in addition to helping in stabilizing the invariant coplanar feature and providing hydrophilicity at one end of the molecule. The fenamates thus provide a good example of conformation- dependent molecular asymmetry.

cis-trans Enantiomerism in the Diels-Alder cycloadducts of 6-arylfulvenes with maleic anhydride: resolution of the exo adducts via the N-((1S)-1-(naphth-1-yl)ethyl)imide derivatives: assignment of the absolute configurations based on the crystal structure of an imide diastereomer

A new case of the uncommon cis-trans enantiomerism is presented. The titled anhydride adducts were prepared in good yields by the known reaction of three 6-arylfulvenes with maleic anhydride (aryl = phenyl, p-tolyl and p-anisyl). The exo adducts were converted to the corresponding imides by reaction with (1S)-1-(naphth-1-yl)ethylamine in similar to 80% yields, and the resulting diastereomeric imides separated by silica gel column chromatography. They were hydrolysed and recyclised to the chiral anhydrides, in `one-pot' with 10% NaOH-EtOH, followed by treatment with 2 M HCl, in similar to 40% yields. The titled anhydrides were thus obtained in homochiral form, in enantiomeric purities (generally) of similar to 90% as indicated by chiral HPLC. The chiral anhydrides were also converted to the corresponding imides (presumably stereospecifically), by treatment with ammonia solution in excellent yields. The crystal structure of one of the above diastereomeric imides (derived from 6-phenylfulvene) was determined, and based on the known (S)-configuration of the naphthylethylamine moiety, the `configurations' of the original anhydride adducts were assigned. (c) 2005 Elsevier Ltd. All rights reserved.

Molecular phylogeny of Hemidactylus geckos (Squamata: Gekkonidae) of the Indian subcontinent reveals a unique Indian radiation and an Indian origin of Asian house geckos

Represented by approximately 85 species, Hemidactylus is one of the most diverse and widely distributed genera of reptiles in the world. In the Indian subcontinent, this genus is represented by 28 species out of which at least 13 are endemic to this region. Here, we report the phylogeny of the Indian Hemidactylus geckos based on mitochondrial and nuclear DNA markers sequenced from multiple individuals of widely distributed as well as endemic congeners of India. Results indicate that a majority of the species distributed in India form a distinct clade whose members are largely confined to the Indian subcontinent thus representing a unique Indian radiation. The remaining Hemidactylus geckos of India belong to two other geographical clades representing the Southeast Asian and West-Asian arid zone species. Additionally, the three widely distributed, commensal species (H. brookii, H. frenatus and H. flaviviridis) are nested within the Indian radiation suggesting their Indian origin. Dispersal-vicariance analysis also supports their Indian origin and subsequent dispersal out-of-India into West-Asian arid zone and Southeast Asia. Thus, Indian subcontinent has served as an important arena for diversification amongst the Hemidactylus geckos and in the evolution and spread of its commensal geckos. (C) 2010 Elsevier Inc. All rights reserved.