Can we explain the dynamics of the UK FTSE 100 stock and stock index futures markets?

If stock and stock index futures markets are functioning properly price movements in these markets should best be described by a first order vector error correction model with the error correction term being the price differential between the two markets (the basis). Recent evidence suggests that there are more dynamics present than should be in effectively functioning markets. Using self-exciting threshold autoregressive (SETAR) models, this study analyses whether such dynamics can be related to different regimes within which the basis can fluctuate in a predictable manner without triggering arbitrage. These findings reveal that the basis shows strong evidence of autoregressive behaviour when its value is between the two thresholds but that the extra dynamics disappear once the basis moves above the upper threshold and their persistence is reduced, although not eradicated, once the basis moves below the lower threshold. This suggests that once nonlinearity associated with transactions costs is accounted for, stock and stock index futures markets function more effectively than is suggested by linear models of the pricing relationship.

Dynamics of interacting edge defects in copolymer lamellae

It is known that terraces at the air-polymer interface of lamella forming diblock copolymers do not make discontinuous jumps in height. Despite the underlying discretized structure, the height profiles are smoothly varying. The width of a transition region of a terrace edge in isolation is typically several hundreds of nanometres, resulting from a balance between surface tension, chain stretching penalties, and the enthalpy of mixing. What is less well known in these systems is what happens when two transition regions interact with one another. In this study, we investigate the dynamics of the interactions between copolymer lamellar edges. We find that the data can be well described by a model that assumes a repulsion between adjacent edges. While the model is simplistic, and does not include molecular level details, its agreement with the data suggest that some of the the underlying assumptions provide insight into the complex interplay between defects.

The dynamics of asset prices and transaction activity in illiquid markets: the case of private commercial real estate

This paper investigates the relationship between capital flows, turnover and returns for the UK private real estate market. We examine a number of possible implication of capital flows and turnover on capital returns testing for evidence of a price pressure effect, ‘return chasing’ behaviour and information revelation. The main tool of analysis is a panel vector autoregressive (VAR) regression model in which institutional capital flows, turnover and returns are specified as endogenous variables in a two equation system in which we also control for macro-economic variables. Data on flows, turnover and returns are obtained for the 10 market segments covering the main UK commercial real estate sectors. Our results do not support the widely-held belief among practitioners that capital flows have a ‘price pressure’ effect. Although there is some evidence of return chasing behaviour, the short timescales involved suggest this finding may be due to delayed recording of flows relative to returns given the difficulties of market entry. We find a significant positive relationship between lagged turnover and contemporaneous capital returns, suggesting that asset turnover provides pricing information.

Carolingian culture in the North Sea world: rethinking the cultural dynamics of personal adornment in Viking age England

Boosted by a proliferation in metal-detected finds, categories of personal adornment now constitute a vital archaeological source for interpreting Viking-age cultural interaction in the North Sea region. Previous research in England has explored the potential of this metalwork in relation to the formation of ‘Anglo-Scandinavian’ identity, but without due consideration of a wider spectrum of cultural influences. This article redresses the balance by shifting attention to twenty-eight belt fittings derived from richly embellished baldrics, equestrian equipment, and waist belts manufactured on the Frankish continent during the period of Carolingian hegemony in the later eighth and ninth centuries ad. The metalwork is classified and then contextualized in order to track import mechanisms and to assess the impact of Carolingian culture on the northern peripheries of the Frankish empire. The main conclusion is that the adoption, adaptation, and strategic manipulation of Carolingian/northern Frankish identity formed an embedded component of cultural dynamics in Viking-age England, scrutiny of which sheds new light on patterns of interconnectivity linking peoples of the North Sea world.

Evolutionary dynamics of Staphylococcus aureus during progression from carriage to disease

Whole-genome sequencing offers new insights into the evolution of bacterial pathogens and the etiology of bacterial disease. Staph- ylococcus aureus is a major cause of bacteria-associated mortality and invasive disease and is carried asymptomatically by 27% of adults. Eighty percent of bacteremias match the carried strain. How- ever, the role of evolutionary change in the pathogen during the progression from carriage to disease is incompletely understood. Here we use high-throughput genome sequencing to discover the genetic changes that accompany the transition from nasal carriage to fatal bloodstream infection in an individual colonized with meth- icillin-sensitive S. aureus. We found a single, cohesive population exhibiting a repertoire of 30 single-nucleotide polymorphisms and four insertion/deletion variants. Mutations accumulated at a steady rate over a 13-mo period, except for a cluster of mutations preceding the transition to disease. Although bloodstream bacteria differed by just eight mutations from the original nasally carried bacteria, half of those mutations caused truncation of proteins, including a prema- ture stop codon in an AraC-family transcriptional regulator that has been implicated in pathogenicity. Comparison with evolution in two asymptomatic carriers supported the conclusion that clusters of pro- tein-truncating mutations are highly unusual. Our results demon- strate that bacterial diversity in vivo is limited but nonetheless detectable by whole-genome sequencing, enabling the study of evolutionary dynamics within the host. Regulatory or structural changes that occur during carriage may be functionally important for pathogenesis; therefore identifying those changes is a crucial step in understanding the biological causes of invasive bacterial disease.

Shear banding in molecular dynamics of polymer melts

In order to establish constitutive equations for a viscoelastic fluid uniform shear flow is usually required. However, in the last 10 years S. Q. Wang and co-workers have demonstrated that some entangled polymers do not flow with the uniform shear rate as usually assumed, but instead choose to separate into fast and slow flowing regions. This phenomenon, known as shear banding, causes flow instabilities and in principle invalidates all rheological measurements when it occurs. In this Letter we report the first observation of shear banding in molecular dynamics simulations of entangled polymer melts. We show that our observations are in a very good agreement with the phenomenology developed by Fielding and Olmsted. Our findings provide a simple way of validating the empirical macroscopic phenomenology of shear banding. © 2012 American Physical Society

Adaptation-induced collective dynamics of a single-cell protozoan

We investigate the behavior of a single-cell protozoan in a narrow tubular ring. This environment forces them to swim under a one-dimensional periodic boundary condition. Above a critical density, single-cell protozoa aggregate spontaneously without external stimulation. The high-density zone of swimming cells exhibits a characteristic collective dynamics including translation and boundary fluctuation. We analyzed the velocity distribution and turn rate of swimming cells and found that the regulation of the turing rate leads to a stable aggregation and that acceleration of velocity triggers instability of aggregation. These two opposing effects may help to explain the spontaneous dynamics of collective behavior. We also propose a stochastic model for the mechanism underlying the collective behavior of swimming cells.

Temporal dynamics of emotional responding: amygdala recovery predicts emotional traits

An individual’s affective style is influenced by many things, including the manner in which an individual responds to an emotional challenge. Emotional response is composed of a number of factors, two of which are the initial reactivity to an emotional stimulus and the subsequent recovery once the stimulus terminates or ceases to be relevant. However, most neuroimaging studies examining emotional processing in humans focus on the magnitude of initial reactivity to a stimulus rather than the prolonged response. In this study, we use functional magnetic resonance imaging to study the time course of amygdala activity in healthy adults in response to presentation of negative images. We split the amygdala time course into an initial reactivity period and a recovery period beginning after the offset of the stimulus. We find that initial reactivity in the amygdala does not predict trait measures of affective style. Conversely, amygdala recovery shows predictive power such that slower amygdala recovery from negative images predicts greater trait neuroticism, in addition to lower levels of likability of a set of social stimuli (neutral faces). These data underscore the importance of taking into account temporal dynamics when studying affective processing using neuroimaging.

Life before the minster: the social dynamics of monastic foundation at Anglo-Saxon Lyminge, Kent

Anglo-Saxon monastic archaeology has been constrained by the limited scale of past investigations and their overriding emphasis on core buildings. This paper draws upon the results of an ongoing campaign of archaeological research that is redressing the balance through an ambitious programme of open-area excavation at Lyminge, Kent, the site of a royal double monastery founded in the seventh century ad. The results of five completed fieldwork seasons are assessed and contextualised in a narrative sequence emphasising the dynamic character of Lyminge as an Anglo-Saxon monastic settlement. In so doing, the study brings into sharp focus how early medieval monasteries were emplaced in the landscape, with specific reference to Anglo-Saxon Kent, a regional context offering key insights into how the process of monastic foundation redefined antecedent central places of long-standing politico-religious significance and social action.

The dynamics of commodity prices

In this paper we study the stochastic behavior of the prices and volatilities of a sample of six of the most important commodity markets and we compare these properties with those of the equity market. we observe a substantial degree of heterogeneity in the behavior of the series. Our findings show that it is inappropriate to treat different kinds of commodities as a single asset class as is frequently the case in the academic literature and in the industry. We demonstrate that commodities can be a useful diversifier of equity volatility as well as equity returns. Options pricing and hedging applications exemplify the economic impacts of the differences across commodities and between model specifications.

Dynamics of the lower stratospheric circulation response to ENSO

A robust feature of the observed response to El Nin˜o–Southern Oscillation (ENSO) is an altered circulation in the lower stratosphere. When sea surface temperatures (SSTs) in the tropical Pacific are warmer there is enhanced upwelling and cooling in the tropical lower stratosphere and downwelling and warming in the midlatitudes, while the opposite is true of cooler SSTs. The midlatitude lower stratospheric response to ENSO is larger in the Southern Hemisphere (SH) than in the Northern Hemisphere (NH). In this study the dynamical version of the Canadian Middle Atmosphere Model (CMAM) is used to simulate 25 realizations of the atmospheric response to the 1982/83 El Nin˜o and the 1973/74 La Nin˜ a. This version ofCMAMis a comprehensive high-top general circulation model that does not include interactive chemistry. The observed lower stratospheric response to ENSO is well reproduced by the simulations, allowing them to be used to investigate the mechanisms involved. Both the observed and simulated responses maximize in December–March and so this study focuses on understanding the mechanisms involved in that season. The response in tropical upwelling is predominantly driven by anomalous transient synoptic-scale wave drag in the SH subtropical lower stratosphere, which is also responsible for the compensating SH midlatitude response. This altered wave drag stems from an altered upward flux of wave activity from the troposphere into the lower stratosphere between 208 and 408S. The altered flux of wave activity can be divided into two distinct components. In the Pacific, the acceleration of the zonal wind in the subtropics from the warmer tropical SSTs results in a region between the midlatitude and subtropical jets where there is an enhanced source of low phase speed eddies. At other longitudes, an equatorward shift of the midlatitude jet from the extratropical tropospheric response to El Nin˜o results in an enhanced source of waves of higher phase speeds in the subtropics. The altered resolved wave drag is only apparent in the SH and the difference between the two hemispheres can be related to the difference in the climatological jet structures in this season and the projection of the wind anomalies associated with ENSO onto those structures.

Large-scale dynamics of the mesosphere and lower thermosphere: an analysis using the extended Canadian Middle Atmosphere Model

The extended Canadian Middle Atmosphere Model is used to investigate the large-scale dynamics of the mesosphere and lower thermosphere (MLT). It is shown that the 4-day wave is substantially amplified in southern polar winter in the presence of instabilities arising from strong vertical shears in the MLT zonal mean zonal winds brought about by parameterized nonorographic gravity wave drag. A weaker 4-day wave in northern polar winter is attributed to the weaker wind shears that result from weaker parameterized wave drag. The 2-day wave also exhibits a strong dependence on zonal wind shears, in agreement with previous modeling studies. In the equatorial upper mesosphere, the migrating diurnal tide provides most of the resolved westward wave forcing, which varies semiannually in conjunction with the tide itself; resolved forcing by eastward traveling disturbances is dominated by smaller scales. Nonmigrating tides and other planetary-scale waves play only a minor role in the zonal mean zonal momentum budget in the tropics at these heights. Resolved waves are shown to play a significant role in the zonal mean meridional momentum budget in the MLT, impacting significantly on gradient wind balance. Balance fails at low latitudes as a result of a strong Reynolds stress associated with the migrating diurnal tide, an effect which is most pronounced at equinox when the tide is strongest. Resolved and parameterized waves account for most of the imbalance at higher latitudes in summer. This results in the gradient wind underestimating the actual eastward wind reversal by up to 40%.

Zonal-mean dynamics of extended recoveries from stratospheric sudden warmings

The recovery of the Arctic polar vortex following stratospheric sudden warmings is found to take upward of 3 months in a particular subset of cases, termed here polar-night jet oscillation (PJO) events. The anomalous zonal-mean circulation above the pole during this recovery is characterized by a persistently warm lower stratosphere, and above this a cold midstratosphere and anomalously high stratopause, which descends as the event unfolds. Composites of these events in the Canadian Middle Atmosphere Model show the persistence of the lower-stratospheric anomaly is a result of strongly suppressed wave driving and weak radiative cooling at these heights. The upper-stratospheric and lower-mesospheric anomalies are driven immediately following the warming by anomalous planetary-scale eddies, following which, anomalous parameterized nonorographic and orographic gravity waves play an important role. These details are found to be robust for PJO events (as opposed to sudden warmings in general) in that many details of individual PJO events match the composite mean. Azonal-mean quasigeostrophic model on the sphere is shown to reproduce the response to the thermal and mechanical forcings produced during a PJO event. The former is well approximated by Newtonian cooling. The response can thus be considered as a transient approach to the steady-state, downward control limit. In this context, the time scale of the lower-stratospheric anomaly is determined by the transient, radiative response to the extended absence of wave driving. The extent to which the dynamics of the wave-driven descent of the stratopause can be considered analogous to the descending phases of the quasi-biennial oscillation (QBO) is also discussed.