Contemporaneous intra-day volume, option, and futures volatility transmissions across parallel markets

The primary objective of this article is to investigate volatility transmission across three parallel markets operating on the Sydney Futures Exchange (SFE), both within and out of sample. Half-hourly observations are sampled from transaction data for the share price index (SPI) futures, SPI futures options, and 90-day bank accepted bill (BAB) futures markets, and the analysis is carried out using the simultaneous volatility (SVL) system of equations as well as competing volatility models. The results confirm the poor ability of GARCH models to fit intraday data. This study also applies an artificial nesting procedure to evaluate the out-of-sample volatility forecasts. Implied volatility has very limited (if any) predictive power when evaluated in isolation, whereas the SVL model with implied volatility embedded provides incremental information relative to competing model forecasts.

No news is not good news: evidence from the intra-day return volatility–volume relationship in Shanghai Stock Exchange

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by the return-chasing behaviour of investors during bull markets. We also find that volatility increases after stock price declines in bear markets. After controlling for liquidity shifts, we observe similar patterns in volatility in both bull and bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in the Chinese stock market.

Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.

Forecasting day-ahead electricity load using a multiple equation time series approach

The quality of short-term electricity load forecasting is crucial to the operation and trading activities of market participants in an electricity market. In this paper, it is shown that a multiple equation time-series model, which is estimated by repeated application of ordinary least squares, has the potential to match or even outperform more complex nonlinear and nonparametric forecasting models. The key ingredient of the success of this simple model is the effective use of lagged information by allowing for interaction between seasonal patterns and intra-day dependencies. Although the model is built using data for the Queensland region of Australia, the method is completely generic and applicable to any load forecasting problem. The model’s forecasting ability is assessed by means of the mean absolute percentage error (MAPE). For day-ahead forecast, the MAPE returned by the model over a period of 11 years is an impressive 1.36%. The forecast accuracy of the model is compared with a number of benchmarks including three popular alternatives and one industrial standard reported by the Australia Energy Market Operator (AEMO). The performance of the model developed in this paper is superior to all benchmarks and outperforms the AEMO forecasts by about a third in terms of the MAPE criterion.

The case of negative day-ahead electricity prices

In recent years, Germany has significantly increased its share of electricity produced from renewable sources, which is mainly due to the Renewable Energy Act (EEG). The EEG substantially impacts the dynamics of intra-day electricity prices by increasing the likelihood of negative prices. In this paper, we present a non-Gaussian process to model German intra-day electricity prices and propose an estimation procedure for this model. Most importantly, our model is able to generate extreme positive and negative spikes. A simulation study demonstrates the ability of our model to capture the characteristics of the data.

Optimization of a method for determination of phenolic acids in exotic fruits by capillary electrophoresis

In this work, the separation of nine phenolic acids (benzoic, caffeic, chlorogenic, p-coumaric, ferulic, gallic, protocatechuic, syringic, and vanillic acid) was approached by a 32 factorial design in electrolytes consisting of sodium tetraborate buffer(STB) in the concentration range of 10-50 mmol L(-1) and methanol in the volume percentage of 5-20%. Derringer`s desirability functions combined globally were tested as response functions. An optimal electrolyte composed by 50 mmol L(-1) tetraborate buffer at pH 9.2, and 7.5% (v/v) methanol allowed baseline resolution of all phenolic acids under investigation in less than 15 min. In order to promote sample clean up, to preconcentrate the phenolic fraction and to release esterified phenolic acids from the fruit matrix, elaborate liquid-liquid extraction procedures followed by alkaline hydrolysis were performed. The proposed methodology was fully validated (linearity from 10.0 to 100 mu g mL(-1), R(2) > 0.999: LOD and LOQ from 1.32 to 3.80 mu g mL(-1) and from 4.01 to 11.5 mu g mL(-1), respectively; intra-day precision better than 2.8% CV for migration time and 5.4% CV for peak area; inter-day precision better than 4.8% CV for migration time and 4.8-11% CV for peak area: recoveries from 81% to 115%) and applied successfully to the evaluation of phenolic contents of abiu-roxo (Chrysophyllum caimito), wild mulberry growing in Brazil (Morus nigra L.) and tree tomato (Cyphomandra betacea). Values in the range of 1.50-47.3 mu g g(-1) were found, with smaller amounts occurring as free phenolic acids. (C) 2009 Elsevier B.V. All rights reserved.

Market makers v's the general public : a first look at S & P500 futures trade data

This paper considers 15 minute records of trading volume and traded prices coinciding with the reporting intervals required by the Commodity Futures Trading Commission. Records are extracted from trade records for market trade and also two way trade between market makers (CT1) and the general public (CT4) from January 1994 to June 2004. Futures price records are matched with S&P500 cash index price records. Simultaneous volatility models are specified and estimated to test trading volume to futures volatility lead/lag effects and also futures volatility to cash index volatility lead/lag effects. As we disaggregate from the market records to CT1 and CT4 records and further into year to year samples volume to futures volatility leading effects and also futures volatility to cash volatility leading effects dominate. The results raise important issues for risk management and dynamic hedging models employing intra-day trader data. A number of important issues for further analysis are also raised in this paper.

New method for determination of (E)resveratrol in wine based on microextraction using packed sorbent and ultra-performance liquid chromatography

An ultra-fast and improved analytical methodology based on microextraction by packed sorbent (MEPS) combined with ultra-performance LC (UPLC) was developed and validated for determination of (E)-resveratrol in wines. Important factors affecting the performance of MEPS such as the type of sorbent material (C2, C8, C18, SIL, and M1), number of extraction cycles, and sample volume were studied. The optimal conditions of MEPS extraction were obtained using C8 sorbent and small sample volumes (50–250mL) in one extraction cycle (extract–discard) and in a short time period (about 3 min for the entire sample preparation step). (E)-Resveratrol was eluted by 1 250mL of the mixture containing 95% methanol and 5% water, and the separation was carried out on a highstrength silica HSS T3 analytical column (100 mm 2.1 mm, 1.8mm particle size) using a binary mobile phase composed of aqueous 0.1% formic acid (eluent A) and methanol (eluent B) in the gradient elution mode (10 min of total analysis). The method was fully validated in terms of linearity, detection (LOD) and quantification (LOQ) limits, extraction yield, accuracy, and inter/intra-day precision, using a Madeira wine sample (ET) spiked with (E)-resveratrol at concentration levels ranging from 5 to 60mg/mL. Validation experiments revealed very good recovery rate of 9575.8% RSD, good linearity with r2 values 40.999 within the established concentration range, excellent repeatability (0.52%), and reproducibility (1.67%) values (expressed as RSD), thus demonstrating the robustness and accuracy of the MEPSC8/UPLC-photodiode array (PDA) method. The LOD of the method was 0.21mg/mL, whereas the LOQ was 0.68mg/mL. The validated methodology was applied to 30 commercial wines (24 red wines and six white wines) from different grape varieties, vintages, and regions. On the basis of the analytical validation, the MEPSC8/UPLC-PDA methodology shows to be an improved, sensitive, and ultra-fast approach for determination of (E)-resveratrol in wines with high resolving power within 6 min.

Development of a novel microextraction by packed sorbent-based approach followed by ultrahigh pressure liquid chromatography as a powerful technique for quantification phenolic constituents of biological interest in wines

A novel analytical approach, based on a miniaturized extraction technique, the microextraction by packed sorbent (MEPS), followed by ultrahigh pressure liquid chromatography (UHPLC) separation combined with a photodiode array (PDA) detection, has been developed and validated for the quantitative determination of sixteen biologically active phenolic constituents of wine. In addition to performing routine experiments to establish the validity of the assay to internationally accepted criteria (linearity, sensitivity, selectivity, precision, accuracy), experiments are included to assess the effect of the important experimental parameters on the MEPS performance such as the type of sorbent material (C2, C8, C18, SIL, and M1), number of extraction cycles (extract-discard), elution volume, sample volume, and ethanol content, were studied. The optimal conditions of MEPS extraction were obtained using C8 sorbent and small sample volumes (250 μL) in five extraction cycle and in a short time period (about 5 min for the entire sample preparation step). The wine bioactive phenolics were eluted by 250 μL of the mixture containing 95% methanol and 5% water, and the separation was carried out on a HSS T3 analytical column (100 mm × 2.1 mm, 1.8 μm particle size) using a binary mobile phase composed of aqueous 0.1% formic acid (eluent A) and methanol (eluent B) in the gradient elution mode (10 min of total analysis). The method gave satisfactory results in terms of linearity with r2-values > 0.9986 within the established concentration range. The LOD varied from 85 ng mL−1 (ferulic acid) to 0.32 μg mL−1 ((+)-catechin), whereas the LOQ values from 0.028 μg mL−1 (ferulic acid) to 1.08 μg mL−1 ((+)-catechin). Typical recoveries ranged between 81.1 and 99.6% for red wines and between 77.1 and 99.3% for white wines, with relative standard deviations (RSD) no larger than 10%. The extraction yields of the MEPSC8/UHPLC–PDA methodology were found between 78.1 (syringic acid) and 99.6% (o-coumaric acid) for red wines and between 76.2 and 99.1% for white wines. The inter-day precision, expressed as the relative standard deviation (RSD%), varied between 0.2% (p-coumaric and o-coumaric acids) and 7.5% (gentisic acid) while the intra-day precision between 0.2% (o-coumaric and cinnamic acids) and 4.7% (gallic acid and (−)-epicatechin). On the basis of analytical validation, it is shown that the MEPSC8/UHPLC–PDA methodology proves to be an improved, reliable, and ultra-fast approach for wine bioactive phenolics analysis, because of its capability for determining simultaneously in a single chromatographic run several bioactive metabolites with high sensitivity, selectivity and resolving power within only 10 min. Preliminary studies have been carried out on 34 real whole wine samples, in order to assess the performance of the described procedure. The new approach offers decreased sample preparation and analysis time, and moreover is cheaper, more environmentally friendly and easier to perform as compared to traditional methodologies.

Use of novel biomarkers (Homocysteine, vitamin B6, B9 and B12) on the assessing the progression of cardiovascular disease

A large number of evidences correlate elevated levels of homocysteine (Hcys) with a higher cardiovascular diseases (CVDs) risk, especially, atherosclerosis. Similarly, abnormal low levels of the vitamins B6, B9 and B12 are associated to an instability in the methionine cycle with an over production of Hcys. Thus, biomedical sciences are looking forward for a cheaper, faster, precise and accurate analytical methodology to quantify these compounds in a suitable format for the clinical environment. Therefore the objective of this study was the development of a simple, inexpensive and appropriate methodology to use at the clinical level. To achieve this goal, a procedure integrating a digitally controlled (eVol®) microextraction by packed sorbent (MEPS) and an ultra performance liquid chromatography (UPLC) coupled to a photodiode array detector (PDA) was developed to identify and quantify Hcys vitamins B6, B9 and B12. Although different conditions were assayed, we were not able to combine Hcys with the vitamins in the same analytical procedure, and so we proceeded to the optimization of two methods differing only in the composition of the gradient of the mobile phase and the injected volume. It was found that MEPS did not bring any benefit to the quantification of the Hcys in the plasma. Therefore, we developed and validate an alternative method that uses the direct injection of treated plasma (reduced and precipitated). This same method was evaluated in terms of selectivity, linearity, limit of detection (LOD), limit of quantification (LOQ), matrix effect and precision (intra-and inter-day) and applied to the determination of Hcys in a group composed by patients presenting augmented CVD risk. Good results in terms of selectivity and linearity (R2> 0.9968) were obtained, being the values of LOD and LOQ 0.007 and 0.21 mol / L, respectively. The intra-day precision (1.23-3.32%), inter-day precision (5.43-6.99%) and the recovery rate (82.5 to 93.1%) of this method were satisfactory. The matrix effect (>120%) was, however, higher than we were waiting for. Using this methodology it was possible to determine the amount of Hcys in real plasma samples from individuals presenting augmented CVD risk. Regarding the methodology developed for vitamins, despite the optimization of the extraction technique and the chromatographic conditions, it was found that the levels usually present in plasma are far below the sensitivity we obtained. Therefore, further optimizations of the methodology developed are needed. As conclusion, part of the objectives of this study was achieved with the development of a quick, simple and cheaper method for the quantification of Hcys.

Development and validation of an LC-MS/MS method for quantitative analysis of mirtazapine in human plasma

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Intra-abdominal pressure development after different temporary abdominal closure techniques in a porcine model

BACKGROUND: Decompressive laparotomy followed by temporary abdominal closure (TAC) is an established prophylaxis and treatment for abdominal compartment syndrome. The herein presented study aimed at the comparison of volume reserve capacity and development of intra-abdominal hypertension after forced primary abdominal closure and different TAC techniques in a porcine model. METHODS: Eight anesthesized and mechanically ventilated domestic pigs underwent a standardized midline laparotomy. A bag was placed into the abdominal cavity. Before abdominal closure, the bag was prefilled with 3,000 mL water to simulate increased intra-abdominal volume. The intra-abdominal pressure (IAP) was then increased in 2 mm Hg steps up to 30 mm Hg by adding volume (volume reserve capacity) to the intra-abdominal bag. Volume reserve capacity with the corresponding IAP were analyzed and compared for primary abdominal closure, bag silo closure, a zipper system, and vacuum-assisted closure (VAC) with different negative pressures (-50, -100, and -150 mm Hg). Hemodynamic and pulmonary parameters were monitored throughout the experiment. RESULTS: Volume reserve capacity was the highest for bag silo closure followed by the zipper system and VAC with primary abdominal closure providing the least volume reserve capacity in the whole IAP range. Of interest, VAC -50 mm Hg resulted in a lower volume reserve capacity when compared with VAC -100 and -150 mm Hg. Pulmonary and hemodynamic parameters demonstrated no significant differences between primary abdominal closure and the evaluated TAC techniques at all IAP levels. CONCLUSIONS: The present experimental in vivo study indicates that bag silo closure and zipper systems may be favorable TAC techniques after decompressive laparotomy. In contrast, the VAC techniques resulted in lower volume reserve capacity and therefore may bear an increased risk for recurrent intra-abdominal hypertension in the initial phase after decompressive laparotomy.

Use of novel biomarkers (Homocysteine, vitamin B6, B9 and B12) on the assessing the progression of cardiovascular disease

A large number of evidences correlate elevated levels of homocysteine (Hcys) with a higher cardiovascular diseases (CVDs) risk, especially, atherosclerosis. Similarly, abnormal low levels of the vitamins B6, B9 and B12 are associated to an instability in the methionine cycle with an over production of Hcys. Thus, biomedical sciences are looking forward for a cheaper, faster, precise and accurate analytical methodology to quantify these compounds in a suitable format for the clinical environment. Therefore the objective of this study was the development of a simple, inexpensive and appropriate methodology to use at the clinical level. To achieve this goal, a procedure integrating a digitally controlled (eVol®) microextraction by packed sorbent (MEPS) and an ultra performance liquid chromatography (UPLC) coupled to a photodiode array detector (PDA) was developed to identify and quantify Hcys vitamins B6, B9 and B12. Although different conditions were assayed, we were not able to combine Hcys with the vitamins in the same analytical procedure, and so we proceeded to the optimization of two methods differing only in the composition of the gradient of the mobile phase and the injected volume. It was found that MEPS did not bring any benefit to the quantification of the Hcys in the plasma. Therefore, we developed and validate an alternative method that uses the direct injection of treated plasma (reduced and precipitated). This same method was evaluated in terms of selectivity, linearity, limit of detection (LOD), limit of quantification (LOQ), matrix effect and precision (intra-and inter-day) and applied to the determination of Hcys in a group composed by patients presenting augmented CVD risk. Good results in terms of selectivity and linearity (R2> 0.9968) were obtained, being the values of LOD and LOQ 0.007 and 0.21 mol / L, respectively. The intra-day precision (1.23-3.32%), inter-day precision (5.43-6.99%) and the recovery rate (82.5 to 93.1%) of this method were satisfactory. The matrix effect (>120%) was, however, higher than we were waiting for. Using this methodology it was possible to determine the amount of Hcys in real plasma samples from individuals presenting augmented CVD risk. Regarding the methodology developed for vitamins, despite the optimization of the extraction technique and the chromatographic conditions, it was found that the levels usually present in plasma are far below the sensitivity we obtained. Therefore, further optimizations of the methodology developed are needed. As conclusion, part of the objectives of this study was achieved with the development of a quick, simple and cheaper method for the quantification of Hcys.

Exchange-traded funds and information asymmetry

This thesis focuses on three main questions. The first uses ExchangeTraded Funds (ETFs) to evaluate estimated adverse selection costs obtained spread decomposition models. The second compares the Probability of Informed Trading (PIN) in Exchange-Traded Funds to control securities. The third examines the intra-day ETF trading patterns. These spread decomposition models evaluated are Glosten and Harris (1988); George, Kaul, and Nimalendran (1991); Lin, Sanger, and Booth (1995); Madhavan, Richardson, and Roomans (1997); Huang and Stoll (1997). Using the characteristics of ETFs it is shown that only the Glosten and Harris (1988) and Madhavan, et al (1997) models provide theoretically consistent results. When the PIN measure is employed ETFs are shown to have greater PINs than control securities. The investigation of the intra-day trading patterns shows that return volatility and trading volume have a U-shaped intra-day pattern. A study of trading systems shows that ETFs on the American Stock Exchange (AMEX) have a U-shaped intra-day pattern of bid-ask spreads, while ETFs on NASDAQ do not. Specifically, ETFs on NASDAQ have higher bid-ask spreads at the market opening, then the lowest bid-ask spread in the middle of the day. At the close of the market, the bid-ask spread of ETFs on NASDAQ slightly elevated when compared to mid-day.