Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities

Published also as: Documento de Trabajo Banco de España 0504/2005.

Estructura de la bolsa española e introducción del mercado de activos derivados sobre el IBEX-35

[ES] La controversia acerca de si la implantación y negociación de activos derivados afecta a la estabilidad de los respectivos mercados de contado perdura desde hace más de dos décadas. En este trabajo abordamos la problemática anterior desde una nueva perspectiva. Concretamente, analizamos el impacto que sobre la estructura del mercado bursátil ha podido tener la introducción de los mercados de activos derivados sobre el IBEX-35. Para ello, definimos e identificamos la estructura del mercado bursátil para el periodo de estudio, y, a continuación, analizamos el efecto que sobre la misma ha tenido la aparición de los nuevos mercados de derivados. Nuestros resultados son consistentes con los de otros autores, ya que si bien no se ha producido un cambio generalizado y substancial en la estructura del mercado bursátil, la introducción de los nuevos mercados sí parece que ha afectado a un número reducido de empresas incluidas en el IBEX-35.

Release of Sulfur and Chlorine during Cofiring RDF and Coal in an Internally Circulating Fluidized Bed

An internally circulating fluidized bed (ICFB) was applied to investigate the behavior of chlorine and sulfur during cofiring RDF and coal. The pollutant emissions in the flue gas were measured by Fourier transform infrared (FTIR) spectrometry (Gasmet DX-3000). In the tests, the concentrations of the species CO, CO2, HCl, and SO2 were measured online. Results indicated when cofiring RDF and char, due to the higher content of chlorine in RDF, the formation of HCl significantly increases. The concentration of SO2 is relatively low because alkaline metal in the fuel ash can absorb SO2. The concentration of CO emission during firing pure RDF is relatively higher and fluctuates sharply. With the CaO addition, the sulfur absorption by calcium quickly increases, and the desulfuration ratio is bigger than the dechlorination ratio. The chemical equilibrium method is applied to predict the behavior of chlorine. Results show that gaseous HCl emission increases with increasing RDF fraction, and gaseous KCl and NaCl formation might occur.

Ibex-35 eta IGBM-ren eraginkortasunaren analisia

Artikulu honetan Markowitz-en eredua azaltzen da. Hasieratik Markowitz-en ereduak garrantzia handia izan du teorikoki, garapen eta eratorri ugari eraginez. Gainera, finantza aktiboen merkatuko oreka teoria desberdinen oinarria ere izan dela esan daiteke. Dena den, karteren kudeatzaile eta analisigileen artean praktikan duen erabileran ez da teorian izan duen adina arrakastatsua izan. Egindako ikerketa enpirikoan Markowitz-en ereduak merkatuko erreferentzia karterak (IBEX-35 eta IGBM) gainditzeko gai diren karterak ematen ditu alde batetik. Eta bestetik, IBEX-35 eta IGBM ez dira kartera eraginkorrak eta ez dute merkatuko kartera teorikoaren portaera islatzen.

Measurement of velocity profiles in a rectangular microchannel with aspect ratio α = 0.35

In this work, we measured 14 horizontal velocity profiles along the vertical direction of a rectangular microchannel with aspect ratio alpha = h/w = 0.35 (h is the height of the channel and w is the width of the channel) using microPIV at Re = 1.8 and 3.6. The experimental velocity profiles are compared with the full 3D theoretical solution, and also with a Poiseuille parabolic profile. It is shown that the experimental velocity profiles in the horizontal and vertical planes are in agreement with the theoretical profiles, except for the planes close to the wall. The discrepancies between the experimental data and 3D theoretical results in the center vertical plane are less than 3.6%. But the deviations between experimental data and Poiseuille's results approaches 5%. It indicates that 2D Poiseuille profile is no longer a perfect theoretical approximation since a = 0.35. The experiments also reveal that, very near the hydrophilic wall (z = 0.5-1 mu m), the measured velocities are significantly larger than the theoretical velocity based on the no-slip assumption. A proper discussion on some physical effects influencing the near wall velocity measurement is given.

Near-diffraction-limited, 35.4 W laser-diode end-pumped Nd:YVO4 slab laser operating at 1342 nm

A diode stack end-pumped Nd:YVO4 slab laser at 1342 nm with near-diffraction-limited beam quality by using a hybrid resonator was presented. At a pump power of 139.5 W, laser power of 35.4 W was obtained with a conversion efficiency of 25.4% of the laser diode to laser output. The beam quality M-2 factors were measured to be 1.2 in the unstable direction and 1.3 in the stable direction at the output power of 29 W. (C) 2009 Optical Society of America

Release of Sulfur and Chlorine During Cofiring Rdf and Coal In An Internally Circulating Fluidized Bed

An internally circulating fluidized bed (ICFB) was applied to investigate the behavior of chlorine and sulfur during cofiring RDF and coal. The pollutant emissions in the flue gas were measured by Fourier transform infrared (FTIR) spectrometry (Gasmet DX-3000). In the tests, the concentrations of the species CO, CO2, HCl, and SO2 were measured online. Results indicated when cofiring RDF and char, due to the higher content of chlorine in RDF, the formation of HCl significantly increases. The concentration Of SO2 is relatively low because alkaline metal in the fuel ash can absorb SO2. The concentration of CO emission during firing pure RDF is relatively higher and fluctuates sharply. With the CaO addition, the sulfur absorption by calcium quickly increases, and the desulfuration ratio is bigger than the dechlorination ratio. The chemical equilibrium method is applied to predict the behavior of chlorine. Results show that gaseous HCl emission increases with increasing RDF fraction, and gaseous KCl and NaCl formation might occur.

Sulfur-Cycling in Methane-Rich Ecosystems: Uncovering Microbial Processes and Novel Niches

Microbial sulfur cycling communities were investigated in two methane-rich ecosystems, terrestrial mud volcanoes (TMVs) and marine methane seeps, in order to investigate niches and processes that would likely be central to the functioning of these crucial ecosystems. Terrestrial mud volcanoes represent geochemically diverse habitats with varying sulfur sources and yet sulfur-cycling in these environments remains largely unexplored. Here we characterized the sulfur-metabolizing microorganisms and activity in 4 TMVs in Azerbaijan, supporting the presence of active sulfur-oxidizing and sulfate-reducing guilds in all 4 TMVs across a range of physiochemical conditions, with diversity of these guilds being unique to each TMV. We also found evidence for the anaerobic oxidation of methane coupled to sulfate reduction, a process which we explored further in the more tractable marine methane seeps. Diverse associations between methanotrophic archaea (ANME) and sulfate-reducing bacterial groups (SRB) often co-occur in marine methane seeps, however the ecophysiology of these different symbiotic associations has not been examined. Using a combination of molecular, geochemical and fluorescence in situ hybridization coupled to nano-scale secondary ion mass spectrometry (FISH-NanoSIMS) analyses of in situ seep sediments and methane-amended sediment incubations from diverse locations, we show that the unexplained diversity in SRB associated with ANME cells can be at least partially explained by preferential nitrate utilization by one particular partner, the seepDBB. This discovery reveals that nitrate is likely an important factor in community structuring and diversity in marine methane seep ecosystems. The thesis concludes with a study of the dynamics between ANME and their associated SRB partners. We inhibited sulfate reduction and followed the metabolic processes of the community as well as the effect of ANME/SRB aggregate composition and growth on a cellular level by tracking 15N substrate incorporation into biomass using FISH-NanoSIMS. We revealed that while sulfate-reducing bacteria gradually disappeared over time in incubations with an SRB inhibitor, the ANME archaea persisted in the form of ANME-only aggregates, which are capable of little to no growth when sulfate reduction is inhibited. These data suggest ANME are not able to synthesize new proteins when sulfate reduction is inhibited.

Análisis de los rendimientos del IBEX 35

En el presente trabajo se realiza un estudio econométrico para explicar los rendimientos del IBEX 35 de diciembre de 2006 a febrero de 2014 y contrastar si la crisis es un factor determinante sobre ellos en el período citado. Para ello, en primer lugar se realiza un análisis descriptivo de una serie de variables que se considera que van a tener influencia en los rendimientos, tales como: la prima de riesgo, los tipos de interés y el volumen de contratación. Además, se analiza tanto la estacionalidad diaria como mensual. Posteriormente, se especifica y estima un modelo econométrico inicial y tras una serie de contrastes y restricciones se obtiene un modelo ajustado. El resultado final es el previsto antes de realizar la estimación en lo que corresponde a la prima de riesgo, el tipo de interés, y el volumen de contratación, son relevantes para explicar los rendimientos del IBEX 35. Por el contrario, la crisis, que a priori se espera que tenga influencia en los rendimientos del IBEX 35, resulta no tener influencia significativa en éstos.

Análisis de los rendimientos del IBEX 35

En el presente trabajo se realiza un estudio econométrico para explicar los rendimientos del IBEX 35 de diciembre de 2006 a febrero de 2014 y contrastar si la crisis es un factor determinante sobre ellos en el período citado. Para ello, en primer lugar se realiza un análisis descriptivo de una serie de variables que se considera que van a tener influencia en los rendimientos, tales como: la prima de riesgo, los tipos de interés y el volumen de contratación. Además, se analiza tanto la estacionalidad diaria como mensual. Posteriormente, se especifica y estima un modelo econométrico inicial y tras una serie de contrastes y restricciones se obtiene un modelo ajustado. El resultado final es el previsto antes de realizar la estimación en lo que corresponde a la prima de riesgo, el tipo de interés, y el volumen de contratación, son relevantes para explicar los rendimientos del IBEX 35. Por el contrario, la crisis, que a priori se espera que tenga influencia en los rendimientos del IBEX 35, resulta no tener influencia significativa en éstos.

The efficiency of plankton in the utilization of the sun radiation [Translation from: Briroda, 12, 29-35, 1948]

The efficiency of utilisation of the sun's radiation by natural communities has not been properly demonstrated with what so far has been obtained of reliable values, and it represents a great interest in many respects. A systematic study of the biotic balance of lakes was done in the course of a succession of summers starting in 1932, extensive material was obtained, which permitted to compute a value fear the utilisation of the sun's radiation by plankton in lakes, and to compare this with corresponding values for marine plankton and terrestrial vegetation.

Optical properties of the organic substances from aqueous humus surface waters. [Translation from: Gidrochim. Mat. 23, 31-35, 1955]

Dissolved organic matter, especially turf and peat, is repsonsible for the colouration of water. The reported study tried to determine the nature of the colouring agent or organic matter by the establishment of a relationship between the intensity of colouration and the total organic matter content. 44 waters from different sources were examined.