882 resultados para Earnings and dividend announcements, high frequency data, information asymmetry
Resumo:
The ability to display and inspect powder diffraction data quickly and efficiently is a central part of the data analysis process. Whilst many computer programs are capable of displaying powder data, their focus is typically on advanced operations such as structure solution or Rietveld refinement. This article describes a lightweight software package, Jpowder, whose focus is fast and convenient visualization and comparison of powder data sets in a variety of formats from computers with network access. Jpowder is written in Java and uses its associated Web Start technology to allow ‘single-click deployment’ from a web page, http://www.jpowder.org. Jpowder is open source, free and available for use by anyone.
Resumo:
This article presents a case study of a comparison of an Eulerian chemical transport model (CTM) and Lagrangian chemical model with measurements taken by aircraft. High-resolution Eulerian integrations produce improved point-by-point comparisons between model results and measurements compared to low resolution. The Lagrangian model requires mixing to be introduced in order to model the measurements.
Resumo:
Measured process data normally contain inaccuracies because the measurements are obtained using imperfect instruments. As well as random errors one can expect systematic bias caused by miscalibrated instruments or outliers caused by process peaks such as sudden power fluctuations. Data reconciliation is the adjustment of a set of process data based on a model of the process so that the derived estimates conform to natural laws. In this paper, techniques for the detection and identification of both systematic bias and outliers in dynamic process data are presented. A novel technique for the detection and identification of systematic bias is formulated and presented. The problem of detection, identification and elimination of outliers is also treated using a modified version of a previously available clustering technique. These techniques are also combined to provide a global dynamic data reconciliation (DDR) strategy. The algorithms presented are tested in isolation and in combination using dynamic simulations of two continuous stirred tank reactors (CSTR).
Resumo:
Multi-factor approaches to analysis of real estate returns have, since the pioneering work of Chan, Hendershott and Sanders (1990), emphasised a macro-variables approach in preference to the latent factor approach that formed the original basis of the arbitrage pricing theory. With increasing use of high frequency data and trading strategies and with a growing emphasis on the risks of extreme events, the macro-variable procedure has some deficiencies. This paper explores a third way, with the use of an alternative to the standard principal components approach – independent components analysis (ICA). ICA seeks higher moment independence and maximises in relation to a chosen risk parameter. We apply an ICA based on kurtosis maximisation to weekly US REIT data using a kurtosis maximising algorithm. The results show that ICA is successful in capturing the kurtosis characteristics of REIT returns, offering possibilities for the development of risk management strategies that are sensitive to extreme events and tail distributions.
Resumo:
The retention rate of a company has an impact on its earnings and dividend growth. Lease structures and performance measurement practice force real estate investment managers to adopt full distribution policies. Does this lead to lower income growth in real estate? This paper examines several European office markets across which the effective retention rates vary. It then compares depreciation rates across these markets. It is concluded that there is evidence of a relationship between retention and depreciation. Those markets with particularly inflexible lease structures exhibit low retention rates and higher levels of rental value depreciation. This poses interesting questions concerning the appropriate way to measure property performance across markets exhibiting significantly different retention rates and also raises important issues for global investors.
Resumo:
Numerical weather prediction (NWP) centres use numerical models of the atmospheric flow to forecast future weather states from an estimate of the current state. Variational data assimilation (VAR) is used commonly to determine an optimal state estimate that miminizes the errors between observations of the dynamical system and model predictions of the flow. The rate of convergence of the VAR scheme and the sensitivity of the solution to errors in the data are dependent on the condition number of the Hessian of the variational least-squares objective function. The traditional formulation of VAR is ill-conditioned and hence leads to slow convergence and an inaccurate solution. In practice, operational NWP centres precondition the system via a control variable transform to reduce the condition number of the Hessian. In this paper we investigate the conditioning of VAR for a single, periodic, spatially-distributed state variable. We present theoretical bounds on the condition number of the original and preconditioned Hessians and hence demonstrate the improvement produced by the preconditioning. We also investigate theoretically the effect of observation position and error variance on the preconditioned system and show that the problem becomes more ill-conditioned with increasingly dense and accurate observations. Finally, we confirm the theoretical results in an operational setting by giving experimental results from the Met Office variational system.
Resumo:
Streamwater nitrate dynamics in the River Hafren, Plynlimon, mid-Wales were investigated over decadal to sub-daily timescales using a range of statistical techniques. Long-term data were derived from weekly grab samples (1984–2010) and high-frequency data from 7-hourly samples (2007–2009) both measured at two sites: a headwater stream draining moorland and a downstream site below plantation forest. This study is one of the first to analyse upland streamwater nitrate dynamics across such a wide range of timescales and report on the principal mechanisms identified. The data analysis provided no clear evidence that the long-term decline in streamwater nitrate concentrations was related to a decline in atmospheric deposition alone, because nitrogen deposition first increased and then decreased during the study period. Increased streamwater temperature and denitrification may also have contributed to the decline in stream nitrate concentrations, the former through increased N uptake rates and the latter resultant from increased dissolved organic carbon concentrations. Strong seasonal cycles, with concentration minimums in the summer, were driven by seasonal flow minimums and seasonal biological activity enhancing nitrate uptake. Complex diurnal dynamics were observed, with seasonal changes in phase and amplitude of the cycling, and the diurnal dynamics were variable along the river. At the moorland site, a regular daily cycle, with minimum concentrations in the early afternoon, corresponding with peak air temperatures, indicated the importance of instream biological processing. At the downstream site, the diurnal dynamics were a composite signal, resultant from advection, dispersion and nitrate processing in the soils of the lower catchment. The diurnal streamwater nitrate dynamics were also affected by drought conditions. Enhanced diurnal cycling in Spring 2007 was attributed to increased nitrate availability in the post-drought period as well as low flow rates and high temperatures over this period. The combination of high-frequency short-term measurements and long-term monitoring provides a powerful tool for increasing understanding of the controls of element fluxes and concentrations in surface waters.
Resumo:
The neuropeptide substance P and its receptor NK1 have been implicated in emotion, anxiety and stress in preclinical studies. However, the role of NK1 receptors in human brain function is less clear and there have been inconsistent reports of the value of NK1 receptor antagonists in the treatment of clinical depression. The present study therefore aimed to investigate effects of NK1 antagonism on the neural processing of emotional information in healthy volunteers. Twenty-four participants were randomized to receive a single dose of aprepitant (125 mg) or placebo. Approximately 4 h later, neural responses during facial expression processing and an emotional counting Stroop word task were assessed using fMRI. Mood and subjective experience were also measured using self-report scales. As expected a single dose of aprepitant did not affect mood and subjective state in the healthy volunteers. However, NK1 antagonism increased responses specifically during the presentation of happy facial expressions in both the rostral anterior cingulate and the right amygdala. In the emotional counting Stroop task the aprepitant group had increased activation in both the medial orbitofrontal cortex and the precuneus cortex to positive vs. neutral words. These results suggest consistent effects of NK1 antagonism on neural responses to positive affective information in two different paradigms. Such findings confirm animal studies which support a role for NK1 receptors in emotion. Such an approach may be useful in understanding the effects of novel drug treatments prior to full-scale clinical trials.