Intraday periodicity and long memory volatility processes in the Korean bond futures market

This article examines long memory volatility processes in the 5 minute Korean Treasury bond futures data using two different techniques: the GPH test and the EML test. Two proxies of volatility returns are used: absolute returns and square returns. We found intraday periodicity and autocorrelation persistence in the volatility for the 5 minute returns. The empirical results from both techniques indicate that there is little evidence of long memory in the level of returns, but there is significant evidence of long memory in the absolute returns and the square returns. This implies that volatility is best characterised by long memory processes. Additionally, we found that the absolute returns are the most appropriate indicator to represent the long memory volatility processes.

Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência

O objetivo do presente trabalho é analisar as características empíricas de uma série de retornos de dados em alta freqüência para um dos ativos mais negociados na Bolsa de Valores de São Paulo. Estamos interessados em modelar a volatilidade condicional destes retornos, testando em particular a presença de memória longa, entre outros fenômenos que caracterizam este tipo de dados. Nossa investigação revela que além da memória longa, existe forte sazonalidade intradiária, mas não encontramos evidências de um fato estilizado de retornos de ações, o efeito alavancagem. Utilizamos modelos capazes de captar a memória longa na variância condicional dos retornos dessazonalizados, com resultados superiores a modelos tradicionais de memória curta, com implicações importantes para precificação de opções e de risco de mercado

On the periodicity of traffic oscillations and capacity drop : the role of driver characteristics

This paper shows that traffic hysteresis, a manifestation of driver characteristics, has a profound impact on the development of traffic oscillations and the bottleneck discharge rate. Findings suggest that aggressive driver behavior (with small response times and jammed spacing) leads to spontaneous formations of stop-and-go disturbances. Furthermore, the aggressive behavior, coupled with a late response to adopt less aggressive behavior, generates large hysteresis that leads to oscillations’ transformation from localized to substantial disturbances and growth. The larger the magnitude of hysteresis is, the larger the growth is. Our finding also suggests that the bottleneck discharge rate can diminish by 8-23% when driver adopts a less aggressive reaction to a disturbance (characterized by a larger response time). This finding is particularly notable since lane-changes have been believed to be the major cause of a reduction in bottleneck discharge rate.

Female Reproductive Biology and Spawning Periodicity of Two Species of King Prawns, Penaeus longistylus Kubo and Penaeus latisulcatus Kishinouye, from Queensland's East Coast Fishery

In the coastal region of central Queensland female red-spot king prawns, P. longistylus, and the western or blue-leg king prawns, P. latisulcatus, had high mean ovary weights and high proportions of advanced ovary development during the winter months of July and August of 1985 and 1986. On the basis of insemination, both species began copulating at the size of 26-27 mm CL, but P. longistylus matured and spawned at a smaller size than P. latisulcatus. Abundance of P. longistylus was generally three to four times greater than that of P. latisulcatus but the latter was subject to greater variation in abundance. Low mean ovary weight and low proportions of females with advanced ovaries were associated with the maximum mean bottom sea-water temperature (28.5ºC) for both species. Population fecundity indices indicated that peaks in yolk or egg production (a) displayed a similar pattern for both species, (b) varied in timing from year to year for both species and (c) were strongly influenced by abundance. Generally, sample estimates of abundance and commercial catch rates (CPUE) showed similar trends. Differences between the two may have been due to changes in targeted commercial effort in this multi-species fishery.

Reproductive Biology and Spawning Periodicity of Endeavour Shrimps Metapenaeus endeavouri (Schmitt, 1926) and Metapenaeus ensis (de Haan, 1850) from a Central Queensland (Australia) Fishery

Metapenaeus endeavouri and M. ensis from coastal trawl fishing grounds off central Queensland, Australia, have marked seasonal reproductive cycles. Female M. endeavouri grew to a larger size than female M. ensis and occurred over a wider range of sites and depths. Although M. ensis was geographically restricted in distribution to only the shallowest sites it was highly abundant. Mating activity in these open thelycum species, indicated by the presence or absence of a spermatophore, was relatively low and highly seasonal compared with closed thelyeum shrimps. Seasonal variation in spermatophore insemination can be used as an independent technique to study spawning periodicity in open thelycum shrimps. Data strongly suggest an inshore movement of M. endeavouri to mature and spawn. This differs from most concepts of Penaeus species life cycles, but is consistent with the estuarine significance in the life cycle of Metapenaeus species. Monthly population fecundity indices suggest summer spawning for both species, which contrasts with the winter spawning of other shrimps from the same multispecies fishery.

What kind of data would ascertain real periodicity in the terrestrial impact crater record

Maan törmäyskraaterien ikäjakauman mahdollinen ajallinen jaksollisuus on herättänyt laajaa keskustelua sen jälkeen, kun ilmiö ensimmäistä kertaa raportoitiin joukossa arvostettuja tieteellisiä artikkeleita vuonna 1984. Vaikka nykytiedon valossa on kyseenalaista perustuuko havaittu jaksollisuus todelliseen fysikaaliseen ilmiöön, on kuitenkin mahdollista, että jaksollisuus on todella olemassa ja se voitaisiin havaita laajemmalla ja tarkemmalla törmäyskraateriaineistolla. Tutkimuksessa luotiin simuloidut kraaterien ajalliset tiheys- ja kertymäfunktiot tapauksille, jossa kraaterit syntyvät joko täysin jaksollisella tai satunnaisella prosessilla. Näiden kahden ääritapauksen lisäksi luotiin jakaumat myös kahdelle niiden yhdistelmälle. Nämä mallit mahdollistavat myös erilaisten kraaterien iänmäärityksen epätarkkuuksien huomioonottamisen. Näistä jakaumista luotiin eri pituisia simuloituja kraaterien ikien aikasarjoja. Lopulta simuloiduista aikasarjoista pyrittiin Rayleigh'n menetelmän avulla etsimään jakaumassa ollutta jaksollisuutta. Tutkimuksemme perusteella ajallisen jaksollisuuden havaitseminen kraateriaikasarjoista on lähes mahdotonta mikäli vain yksi kolmasosa kraatereista on jaksollisen ilmiön aiheuttamia, vaikka nykyistä kraateriaineistoa laajempi ja tarkempi aineisto olisi tulevaisuudessa saatavilla. Mikäli kaksi kolmasosaa meteoriittitörmäyksistä on jaksollisia, sen havaitseminen on mahdollista, mutta vaatii huomattavasti tämän hetkistä kattavamman kraateriaineiston. Tutkimuksen perusteella on syytä epäillä, että havaittu kraaterien ajallinen jaksollisuus ei ole todellinen ilmiö.

Elements of Volatility at High Frequency

Volatility is central in options pricing and risk management. It reflects the uncertainty of investors and the inherent instability of the economy. Time series methods are among the most widely applied scientific methods to analyze and predict volatility. Very frequently sampled data contain much valuable information about the different elements of volatility and may ultimately reveal the reasons for time varying volatility. The use of such ultra-high-frequency data is common to all three essays of the dissertation. The dissertation belongs to the field of financial econometrics. The first essay uses wavelet methods to study the time-varying behavior of scaling laws and long-memory in the five-minute volatility series of Nokia on the Helsinki Stock Exchange around the burst of the IT-bubble. The essay is motivated by earlier findings which suggest that different scaling laws may apply to intraday time-scales and to larger time-scales, implying that the so-called annualized volatility depends on the data sampling frequency. The empirical results confirm the appearance of time varying long-memory and different scaling laws that, for a significant part, can be attributed to investor irrationality and to an intraday volatility periodicity called the New York effect. The findings have potentially important consequences for options pricing and risk management that commonly assume constant memory and scaling. The second essay investigates modelling the duration between trades in stock markets. Durations convoy information about investor intentions and provide an alternative view at volatility. Generalizations of standard autoregressive conditional duration (ACD) models are developed to meet needs observed in previous applications of the standard models. According to the empirical results based on data of actively traded stocks on the New York Stock Exchange and the Helsinki Stock Exchange the proposed generalization clearly outperforms the standard models and also performs well in comparison to another recently proposed alternative to the standard models. The distribution used to derive the generalization may also prove valuable in other areas of risk management. The third essay studies empirically the effect of decimalization on volatility and market microstructure noise. Decimalization refers to the change from fractional pricing to decimal pricing and it was carried out on the New York Stock Exchange in January, 2001. The methods used here are more accurate than in the earlier studies and put more weight on market microstructure. The main result is that decimalization decreased observed volatility by reducing noise variance especially for the highly active stocks. The results help risk management and market mechanism designing.

Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

Experimental Verification of the Lateral Periodicity of Axially Periodic Incoherent Fields Using the Lau Effect

General' objects, which are specially prepared to possess restricted spatial frequency spectra, have been used in the conventional Lau experiment to obtain experimental proof for the existence of lateral periodicity arising from axial periodicity, for a subclass of axially periodic wavefields in an incoherent situation.

Quenching across quantum critical points in periodic systems: Dependence of scaling laws on periodicity

We study the quenching dynamics of a many-body system in one dimension described by a Hamiltonian that has spatial periodicity. Specifically, we consider a spin-1/2 chain with equal xx and yy couplings and subject to a periodically varying magnetic field in the (z) over cap direction or, equivalently, a tight-binding model of spinless fermions with a periodic local chemical potential, having period 2q, where q is a positive integer. For a linear quench of the strength of the magnetic field (or chemical potential) at a rate 1/tau across a quantum critical point, we find that the density of defects thereby produced scales as 1/tau(q/(q+1)), deviating from the 1/root tau scaling that is ubiquitous in a range of systems. We analyze this behavior by mapping the low-energy physics of the system to a set of fermionic two-level systems labeled by the lattice momentum k undergoing a nonlinear quench as well as by performing numerical simulations. We also show that if the magnetic field is a superposition of different periods, the power law depends only on the smallest period for very large values of tau, although it may exhibit a crossover at intermediate values of tau. Finally, for the case where a zz coupling is also present in the spin chain, or equivalently, where interactions are present in the fermionic system, we argue that the power associated with the scaling law depends on a combination of q and the interaction strength.

Plankton periodicity and some physicochemical parameters of the intake channel of Lake Chad

This study examines zooplankton periodicity and some physicochemical parameters of the intake channel of Lake Chad (Nigeria). Nine different zooplankton species were identified at the sampling station 1, while seven different zooplankton species were identified at the sampling station 2 (the intake channel of Lake Chad). Each identified zooplankton species was grouped according to its major group of copepods, Cladocera or Rotifera. The copepods dominated the zooplankton community with the highest numbers of occurrence as Cyclopedia species throughout the course of the study at both station l and 2. There was a clear evidence of the influence of organic manure nutrients on total zooplankton population at station 1 when compared to that of station 2. The water quality variables measured in the course of this study show that the surface water temperature in station 1 ranges from 27.5 degree C to 30.5 degree C. The pH ranges from 6.8 to 8.5, while D.O. contents ranges from 2.9mg/L to 6.1mg/L and alkalinity recorded was 172.00 to 208.00. At the station 2 the water quality parameters obtained show that surface water temperature ranges from 27.3 degree C to 30.2 degree C, pH ranges between 6.9 to 8.5, while the D.O contents ranges from 3.0 mg/L to 6.2 mg/L.Alkalinity ranges from 172mg/L to 212 mg/L