A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

The comprehensive osteoarthritis test: a simple index for measurement of treatment effects in clinical trials

Objective. To assess the measurement properties of a simple index of symptom severity in osteoarthritis (OA) of the hips and knees. Methods. Both the Western Ontario and McMaster Universities Osteoarthritis Index (WOMAC) and the proposed new Comprehensive Osteoarthritis Test (COAT) instrument were completed weekly by 125 subjects in the context of a randomized, 12-week, 3 parallel-arm clinical trial. The reliabilities of the various scales were assessed on a weekly basis by use of Cronbach's alpha coefficients. The validity of the COAT total scale was assessed by correlation with the WOMAC total scale on a weekly basis with correlation coefficients, and in terms of the correlations between subject-level intercepts and slopes over time. The relative responsiveness of the WOMAC and COAT total scales was assessed using a multilevel (longitudinal) multivariate (WOMAC, COAT) linear model. Results. The WOMAC and COAT total scales were highly reliable (mean over weeks: WOMAC alpha = 0.98; COAT alpha = 0.97). The correlations between the WOMAC and COAT scales were very high (mean over weeks = 0.92; subject-level intercepts = 0.91, slopes = 0.88). The COAT total scale was significantly more responsive than the WOMAC total scale in the active treatment (34.8% improvement vs 26.8%; p = 0.002). Conclusion. The COAT total scale is simple to administer, reliable, valid, and responsive to treatment effects.

Responding to terrorism using ethical means: The propaganda index

Determining whether communicationis as ethical as possible involves assessment of means (texts, language, and communication style) as well as ends (communication intent and outcomes). This article introduces the propaganda index as a ay to achieve the former. A tool that measures whether texts contain stylistic devices that have been elsewhere identified as classically propagandist, the index is first overviewed then applied to a case study text: the Australian Government “terror kit” information package. The case study analysis, combined with some background to the kit's reception in Australia, indicates that the high levels of propaganda were probably not helpful ti the kit in achieving its aims either ethically or effectively.

An adaptive and dynamic dimensionality reduction method for high-dimensional indexing

The notorious "dimensionality curse" is a well-known phenomenon for any multi-dimensional indexes attempting to scale up to high dimensions. One well-known approach to overcome degradation in performance with respect to increasing dimensions is to reduce the dimensionality of the original dataset before constructing the index. However, identifying the correlation among the dimensions and effectively reducing them are challenging tasks. In this paper, we present an adaptive Multi-level Mahalanobis-based Dimensionality Reduction (MMDR) technique for high-dimensional indexing. Our MMDR technique has four notable features compared to existing methods. First, it discovers elliptical clusters for more effective dimensionality reduction by using only the low-dimensional subspaces. Second, data points in the different axis systems are indexed using a single B+-tree. Third, our technique is highly scalable in terms of data size and dimension. Finally, it is also dynamic and adaptive to insertions. An extensive performance study was conducted using both real and synthetic datasets, and the results show that our technique not only achieves higher precision, but also enables queries to be processed efficiently. Copyright Springer-Verlag 2005

Ab initio studies of hydrogen desorption from low index magnesium hydride surface

The low index Magnesium hydride surfaces, MgH2(001) and MgH2(110), have been studied by ab intio Density Functional Theory (DFT) calculations. It was found that the MgH2(110) surface is more stable than MgH2(001) surface, which is in good agreement with the experimental observation. The H-2 desorption barriers vary depending on the crystalline surfaces that are exposed and also the specific H atom sites involved-they are found to be generally high, due to the thermodynamic stability of the MgH2, system, and are larger for the MgH2(001) surface. The pathway for recombinative desorption of one in-plane and one bridging H atom from the MgH2(110) surface was found to be the lowest energy barrier amongst those computed (172 KJ/mol) and is in good agreement with the experimental estimates. (c) 2006 Elsevier B.V. All rights reserved.

Are branched chain fatty acids the natural substrates for P450(BM3)?

Branched chain fatty acids are substrates for cytochrome P450(BM3) (CYP102) from Bacillus megaterium; oxidation of C-15 and C-17 iso and anteiso fatty acids by P450(BM3) leads to the formation of hydroxylated products that possess high levels of regiochemical and stereochemical purity.

Use of drought response index for identification of drought tolerant genotypes in rainfed lowland rice

Drought is a major constraint for rice production in the rainfed lowlands in Southeast Asia and Eastern India. The breeding programs for tainted lowland rice in these regions focus on adaptation to a range of drought conditions. However, a method of selection of drought tolerant genotypes has not been established and is considered to be one of the constraints faced by rice breeders. Drought response index (DRI) is based on grain yield adjusted for variation in potential yield and flowering date, and has been used recently, but its consistency among drought environments and hence its usefulness is not certain. In order to establish a selection method and subsequently to identify donor parents for drought resistance breeding, a series of experiments with 15 contrasting genotypes was conducted under well-watered and managed drought conditions at two sites for 5 years in Cambodia. Water level in the field was recorded and used to estimate the relative water level (WLREL) around flowering as an index of the severity of water deficit at the time of flowering for each entry. This was used to determine if DRI or yield reduction was due to drought tolerance or related to the amount of available water at flowering, i.e. drought escape. Grain yield reduction due to drought ranged from 12 to 46%. The drought occurred mainly during the reproductive phase, while four experiments had water stress from the early vegetative stage. There was significant variation for water availability around flowering among the nine experiments and this was associated with variation in mean yield reduction. Genotypic variation in DRI was consistent among most experiments, and genotypic mean DRI ranged from -0.54 to 0.47 (LSD 5% = 0.47). Genotypic variation in DRI was not related to WLREL around flowering in the nine environments. It is concluded that selection for DRI under drought conditions would allow breeders to identify donor lines with high drought tolerance as an important component of breeding better adapted varieties for the rainfed lowlands; two genotypes were identified with high DRI and low yield reduction and were subsequently used in the breeding program in Cambodia. (c) 2006 Elsevier B.V. All rights reserved.

Olanzapine treatment is associated with reduced high molecular weight adiponectin in serum: A potential mechanism for Olanzapine-induced insulin resistance in patients with schizophrenia

Treatment of schizophrenia with olanzapine and other atypical antipsychotic agents is associated with insulin resistance and diabetes mellitus. The mechanism for this is not understood. Adiponectin is an insulin-sensitizing cytokine secreted by adipocytes. It is present in serum in multimers of varying size. Trimers and hexamers are referred to as low molecular weight (LMW) adiponectin. Larger multimers (12-, 18-, and 24-mers) have been designated high molecular weight (HMW) adiponectin and seem responsible for the insulin-sensitizing action of this adipokine. The aim of this study was to examine total adiponectin and LMW and HMW multimers in serum from patients with schizophrenia treated with either olanzapine (n = 9) or other typical antipsychotics (n = 9) and compare results with 16 healthy sex-, body mass index-, and age-matched controls. The effects of olanzapine on adiponectin protein expression and secretion in in vitro-differentiated primary human adipocytes were also examined. Patients receiving olanzapine had significantly lower total serum adiponectin as compared with those on conventional treatment and controls (5.23 +/- 1.53 ng/mL vs. 8.20 +/- 3.77 ng/mL and 8.78 +/- 3.8 ng/mL; P < 0.05 and P < 0.01, respectively). The HMW adiponectin was also reduced in patients on olanzapine as compared with the disease and healthy control groups (1.67 +/- 0.96 ng/mL vs. 3.87 +/- 2.69 ng/mL and 4.07 +/- 3.2 ng/mL; P < 0.05 for both). The LMW adiponectin was not different between patient groups (P = 0.15) but lower in patients on olanzapine as compared with controls (3.56 +/- 10.85 ng/mL vs. 4.70 +/- 1.4 ng/mL; P < 0.05). In vitro, short duration (up to 7 days) olanzapine exposure had no effect on total adiponectin expression or multimer composition of secreted protein. In summary, this study demonstrates a correlation between olanzapine treatment and reduced serum adiponectin, particularly HMW multimers. This may not be a direct effect of olanzapine on adipocyte expression or secretion of adiponectin. These observations provide insights into possible mechanisms for the association between olanzapine treatment and insulin resistance.