Volatility transmission between stock and bond markets

A two-factor no-arbitrage model is used to provide a theoretical link between stock and bond market volatility. While this model suggests that short-term interest rate volatility may, at least in part, drive both stock and bond market volatility, the empirical evidence suggests that past bond market volatility affects both markets and feeds back into short-term yield volatility. The empirical modelling goes on to examine the (time-varying) correlation structure between volatility in the stock and bond markets and finds that the sign of this correlation has reversed over the last 20 years. This has important implications far portfolio selection in financial markets. © 2005 Elsevier B.V. All rights reserved.

Relating two simultaneous events in discourse: the role of on-goingness devices in L1 Tunisian Arabic, L1 French and L2 French by Tunisian learners

Our PhD study focuses on the role of aspectual marking in expressing simultaneity of events in Tunisian Arabic as a first language, French as a first language, as well as in French as a second language by Tunisian learners at different acquisitional stages. We examine how the explicit markers of on-goingness qa:’id and «en train de» in Tunisian Arabic and in French respectively are used to express this temporal relation, in competition with the simple forms, the prefixed verb form in Tunisian Arabic and the présent de l’indicatif in French. We use a complex verbal task of retelling simultaneous events sharing an interval on the time axis based on eight videos presenting two situations happening in parallel. Two types of simultaneity are exploited: perfect simultaneity (when the two situations are parallel to each other) and inclusion (one situation is framed by the second one). Our informants in French and in Tunisian Arabic have two profiles, highly educated and low educated speakers. We show that the participants’ response to the retelling task varies according to their profiles, and so does their use of the on-goingness devices in the expression of simultaneity. The differences observed between the two profile groups are explained by the degree to which the speakers have developed a habit of responding to tasks. This is a skill typically acquired during schooling. We notice overall that the use of qa:’id as well as of «en train de» is less frequent in the data than the use of the simple forms. However, qa:’id as well as «en train de» are employed to play discursive roles that go beyond the proposition level. We postulate that despite the shared features between Tunisian Arabic and French regarding marking the concept of on-goingness, namely the presence of explicit lexical, not fully grammaticalised markers competing with other non-marked forms, the way they are used in the discourse of simultaneous events shows clear differences. We explain that «en train de» plays a more contrastive role than qa:’id and its use in discourse obeys a stricter rule. In cases of the inclusion type of simultaneity, it is used to construe the ‘framing’ event that encloses the second event. In construing perfectly simultaneneous events, and when both «en train de» and présent de l’indicatif are used, the proposition with «en train de» generally precedes the proposition with présent de l’indicatif, and not the other way around. qa:id obeys, but to a less strict rule as it can be used interchangeably with the simple form regardless of the order of propositions. The contrastive analysis of French L1 and L2 reveals learners’ deviations from natives’ use of on-goingness devices. They generalise the use of «en train de» and apply different rules to the interaction of the different marked and unmarked forms in discourse. Learners do not master its role in discourse even at advanced stages of acquisition despite its possible emergence around the basic and intermediate varieties. We conclude that the native speakers’ use of «en train de» involves mastering its role at the macro-structure level. This feature, not explicitly available to learners in the input, might persistently present a challenge to L2 acquisition of the periphrasis.

Contrast discrimination with simultaneous monocular and dichoptic masks

In experiments reported elsewhere at this conference, we have revealed two striking results concerning binocular interactions in a masking paradigm. First, at low mask contrasts, a dichoptic masking grating produces a small facilitatory effect on the detection of a similar test grating. Second, the psychometric slope for dichoptic masking starts high (Weibull ß~4) at detection threshold, becomes low (ß~1.2) in the facilitatory region, and then unusually steep at high mask contrasts (ß~5.5). Neither of these results is consistent with Legge's (1984 Vision Research 24 385 - 394) model of binocular summation, but they are predicted by a two-stage gain control model in which interocular suppression precedes binocular summation. Here, we pose a further challenge for this model by using a 'twin-mask' paradigm (cf Foley, 1994 Journal of the Optical Society of America A 11 1710 - 1719). In 2AFC experiments, observers detected a patch of grating (1 cycle deg-1, 200 ms) presented to one eye in the presence of a pedestal in the same eye and a spatially identical mask in the other eye. The pedestal and mask contrasts varied independently, producing a two-dimensional masking space in which the orthogonal axes (10X10 contrasts) represent conventional dichoptic and monocular masking. The resulting surface (100 thresholds) confirmed and extended the observations above, and fixed the six parameters in the model, which fitted the data well. With no adjustment of parameters, the model described performance in a further experiment where mask and test were presented to both eyes. Moreover, in both model and data, binocular summation was greater than a factor of v2 at detection threshold. We conclude that this two-stage nonlinear model, with interocular suppression, gives a good account of early binocular processes in the perception of contrast. [Supported by EPSRC Grant Reference: GR/S74515/01]

Simultaneous dibit recovery of a DQPSK signal using a single Mach-Zehnder Interferometer

The dibit recovery of a DQPSK signal will be demonstrated using a single Mach Zehnder Interferometer, containing a 1-bit delay, and a single balanced receiver. The electrical output levels of the balanced receiver are dependent upon the relative phase delay between the arms of the Mach Zehnder Interferometer. This paper will investigate this characteristic when the input signal is DQPSK modulated. It will also be shown that with a certain amount of phase shift the DQPSK signal can be converted into four different equally spaced electrical signal levels. With each decoded level representing one of the four possible dibits.

Single uniform FBG for simultaneous measurement of liquid level and temperature

In this paper, we propose and demonstrate a novel scheme for simultaneous measurement of liquid level and temperature based on a simple uniform fiber Bragg grating (FBG) by monitoring both the short-wavelength-loss peaks and its Bragg resonance. The liquid level can be measured from the amplitude changes of the short-wavelength-loss peaks, while temperature can be measured from the wavelength shift of the Bragg resonance. Both theoretical simulation results and experimental results are presented. Such a scheme has some advantages including robustness, simplicity, flexibility in choosing sensitivity and simultaneous temperature measurement capability.

Grouping and the pitch of a mistuned fundamental component:effects of applying simultaneous multiple mistunings to the other harmonics

Mistuning a harmonic produces an exaggerated change in its pitch. This occurs because the component becomes inconsistent with the regular pattern that causes the other harmonics (constituting the spectral frame) to integrate perceptually. These pitch shifts were measured when the fundamental (F0) component of a complex tone (nominal F0 frequency = 200 Hz) was mistuned by +8% and -8%. The pitch-shift gradient was defined as the difference between these values and its magnitude was used as a measure of frame integration. An independent and random perturbation (spectral jitter) was applied simultaneously to most or all of the frame components. The gradient magnitude declined gradually as the degree of jitter increased from 0% to ±40% of F0. The component adjacent to the mistuned target made the largest contribution to the gradient, but more distant components also contributed. The stimuli were passed through an auditory model, and the exponential height of the F0-period peak in the averaged summary autocorrelation function correlated well with the gradient magnitude. The fit improved when the weighting on more distant channels was attenuated by a factor of three per octave. The results are consistent with a grouping mechanism that computes a weighted average of periodicity strength across several components. © 2006 Elsevier B.V. All rights reserved.

Simultaneous demultiplexing, data regeneration, and clock recovery with a single semiconductor optical amplifier-based nonlinear-optical loop mirror

We demonstrate simultaneous demultiplexing, data regeneration and clock recovery at 10Gbits/s, using a single semiconductor optical amplifier–based nonlinear-optical loop mirror in a phase-locked loop configuration.

Simultaneous interrogation of fiber Bragg grating sensors using an acoustooptic tunable filter

We describe a novel technique to provide demultiplexing of fiber Bragg grating sensors, interrogated using interferometric wavelength shift detection. Amplitude modulation of multiple radio frequency driving signals allows an acoustooptic tunable filter to provide wavelength demultiplexing. We demonstrated a noise limited strain resolution of 150 nanostrain/v(Hz) and a crosstalk better than -50 dB.

Simultaneous refractive index and temperature measurement using cascaded long-period grating in double-cladding fibre

A compact scheme for simultaneous temperature and surrounding refractive index (SRI) measurement using two long-period gratings (LPGs) of different periods inscribed side-by-side in a single piece of a double-cladding fibre is presented. One of the LPGs is sensitive to both SRI and temperature, whilst the second is sensitive to temperature only.

Drop and insert multiplexing with simultaneous clock recovery using an electroabsorption modulator

A three-node optical time-division multiplexing (OTDM) network is demonstrated that utilizes electroabsorption (EA) modulators as the core elements. Each node is self contained and performs its own clock recovery and synchronization. “Drop and insert” functionality is demonstrated for the first time with an EA modulator by completely removing a 10-Gb/s channel from a 40-Gb/s OTDM data stream. A different 10-Gb/s channel was subsequently inserted into the vacant time slot. Clock recovery is achieved by using an EA modulator in a novel bidirectional configuration. Bit-error-rate (BER) measurements are presented for each of the 10-Gb/s OTDM channels.

Simultaneous demultiplexing and clock recovery using a single electroabsorption modulator in a novel bi-directional configuration

A single electroabsorption modulator was used to demultiplex a 10 Gbit/s channel from a 40 Gbit/s OTDM data stream, whilst simultaneously recovering the 10 GHz electrical clock. This was achieved using a new bi-directional operation of the EA modulator, combined with a simple phase-locked loop feedback circuit. Excellent system performance was achieved, indicating that operation up to and beyond 100 Gbit/s is possible using current technology.

Simultaneous clock recovery and data regeneration using a nonlinear optical loop mirror as an all-optical mixer

High-speed optical clock recovery, demultiplexing and data regeneration will be integral parts of any future photonic network based on high bit-rate OTDM. Much research has been conducted on devices that perform these functions, however to date each process has been demonstrated independently. A very promising method of all-optical switching is that of a semiconductor optical amplifier-based nonlinear optical loop mirror (SOA-NOLM). This has various advantages compared with the standard fiber NOLM, most notably low switching power, compact size and stability. We use the SOA-NOLM as an all-optical mixer in a classical phase-locked loop arrangement to achieve optical clock recovery, while at the same time achieving data regeneration in a single compact device

Interdependence of international equity market volatility

This paper investigates whether equity market volatility in one major market is related to volatility elsewhere. This paper models the daily conditional volatility of equity market wide returns as a GARCH-(1,1) process. Such a model will capture the changing nature of the conditional variance through time. It is found that the correlation between the conditional variances of major equity markets has increased substantially over the last two decades. This supports work which has been undertaken on conditional mean returns which indicates there has been an increase in equity market integration.

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.

Exchange controls and the transmission of equity market volatility:the case of the UK

The paper investigates the impact that the relaxation of UK exchange controls in October 1979, had on the transmission of equity market volatility from the UK to other major equity markets. It is suggested that the existence of exchange controls in the UK was an important source of market segmentation which disturbed the transmission of shocks from one country to another, even when shocks contained global information. It is found that when a spillover GARCH(1,1) model is estimated for the five years before and after the removal of exchange controls, volatility shocks spill over from the UK to other markets much more strongly after the removal of exchange controls. This appears to suggest that volatility as well as returns have become more closely related since the UK removed exchange controls.