Macroeconomic News Effects and Foreign Exchange Jumps

This thesis investigates how macroeconomic news announcements affect jumps and cojumps in foreign exchange markets, especially under different business cycles. We use 5-min interval from high frequency data on Euro/Dollar, Pound/Dollar and Yen/Dollar from Nov. 1, 2004 to Feb. 28, 2015. The jump detection method was proposed by Andersen et al. (2007c), Lee & Mykland (2008) and then modified by Boudt et al. (2011a) for robustness. Then we apply the two-regime smooth transition regression model of Teräsvirta (1994) to explore news effects under different business cycles. We find that scheduled news related to employment, real activity, forward expectations, monetary policy, current account, price and consumption influences forex jumps, but only FOMC Rate Decisions has consistent effects on cojumps. Speeches given by major central bank officials near a crisis also significantly affect jumps and cojumps. However, the impacts of some macroeconomic news are not the same under different economic states.

Vibrational phase relaxation of O–H stretch in bulk water: Role of large amplitude angular jumps and negative cross-correlations among the forces on the O–H bond

The ultrafast vibrational phase relaxation of O–H stretch in bulk water is investigated in molecular dynamics simulations. The dephasing time (T2) of the O–H stretch in bulk water calculated from the frequency fluctuation time correlation function (Cω(t)) is in the range of 70–80 femtosecond (fs), which is comparable to the characteristic timescale obtained from the vibrational echo peak shift measurements using infrared photon echo [W.P. de Boeij, M.S. Pshenichnikov, D.A. Wiersma, Ann. Rev. Phys. Chem. 49 (1998) 99]. The ultrafast decay of Cω(t) is found to be responsible for the ultrashort T2 in bulk water. Careful analysis reveals the following two interesting reasons for the ultrafast decay of Cω(t). (A) The large amplitude angular jumps of water molecules (within 30–40 fs time duration) provide a large scale contribution to the mean square vibrational frequency fluctuation and gives rise to the rapid spectral diffusion on 100 fs time scale. (B) The projected force, due to all the atoms of the solvent molecules on the oxygen (FO(t)) and hydrogen (FH(t)) atom of the O–H bond exhibit a large negative cross-correlation (NCC). We further find that this NCC is partly responsible for a weak, non-Arrhenius temperature dependence of the dephasing rate.

Barkhausen jumps and related magnetic properties of iron nanowires encapsulated in aligned carbon nanotube bundles

Iron nanowires encapsulated in aligned carbon nanotube bundles show interesting magnetic properties. Besides the increased coercivity, Barkhausen jumps with 5 emu/g steps in magnetization are observed due to magnetization reversal or depinning of domains. (C) 2002 Elsevier Science B.V. All rights reserved.

Fronts, jumps and secondary introductions suggested as different invasion patterns in marine species, with an increase in spread rates over time

Not all introduced (invasive) species in a region will spread from a single point of introduction. Long-distance dispersal or further introductions can obscure the pattern of spread, but the regional importance of such processes is difficult to gauge. These difficulties are further compounded when information on the multiple scale process of invasive species range expansion is reduced to one-dimensional estimates of spread (e. g. km yr(-1)). We therefore compared the results of two different metrics of range expansion: maximum linear rate of spread and accumulation of occupied grid squares (50 x 50 km) over time. An analysis of records for 54 species of introduced marine macrophytes in the Mediterranean and northeast Atlantic revealed cases where the invasion process was probably missed (e. g. Atlantic Bonnemaisonia hamifera) and suggested cases of secondary introductions or erratic jump dispersal (Dasysiphonia sp. and Womersleyella setacea). A majority of species analysed showed evidence for an accumulation of invaded sites without a clear invasion front. Estimates of spread rate are increasing for more recent introductions. The increase is greater than can be accounted for by temporally varying search effort and implies a historical increase in vector efficiency and/or a decreased resistance of native communities to invasion.

Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.

Cojumps in stock prices:empirical evidence

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements. © 2013 Elsevier B.V.

Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

Influence of External Light Waves on the Thermoelectric Power Under Strong Magnetic Field in Ultrathin Films, Quantum Wires and Quantum Dots of Optoelectronic Materials

In this paper, an attempt is made to study the influence of external light waves on the thermoelectric power under strong magnetic field (TPSM) in ultrathin films (UFs), quantum wires (QWs) and quantum dots (QDs) of optoelectronic materials whose unperturbed dispersion relation of the conduction electrons are defined by three and two band models of Kane together with parabolic energy bands on the basis of newly formulated electron dispersion laws in each case. We have plotted the TPSM as functions of film thickness, electron concentration, light intensity and wavelength for UFs, QWs and ODs of InSb, GaAs, Hg1-xCdxTe and In1-xGaxAsyP1-y respectively. It appears from the figures that for UFs, the TPSM increases with increasing thickness in quantum steps, decreases with increasing electron degeneracy exhibiting entirely different types of oscillations and changes with both light intensity and wavelength and these two latter types of plots are the direct signature of light waves on opto-TPSM. For QWs, the opto-TPSM exhibits rectangular oscillations with increasing thickness and shows enhanced spiky oscillations with electron concentration per unit length. For QDs, the opto-TPSM increases with increasing film thickness exhibiting trapezoidal variations which occurs during quantum jumps and the length and breadth of the trapezoids are totally dependent on energy band constants. Under the condition of non-degeneracy, the results of opto-TPSM gets simplified into the well-known form of classical TPSM equation which the function of three constants only and being invariant of the signature of band structure.

Correlation between stick-slip frictional sliding and charge transfer

A decade ago, Budakian and Putterman [Phys. Rev. Lett. 85, 1000 (2000)] ascribed friction to the formation of bonds arising from contact charging when a gold tip of a surface force apparatus was dragged on polymethylmethacrylate surface. We propose a stick-slip model that captures the observed correlation between stick-slip events and charge transfer, and the lack of dependence of the scale factor connecting the force jumps and charge transfer on normal load. Here, stick-slip dynamics arises as a competition between the viscoelastic and plastic deformation time scales and that due to the pull speed with contact charging playing a minor role. Our model provides an alternate basis for explaining most experimental results without ascribing friction to contact charging.

Carbon-13 relaxation study of chain segmental motion and side-chain internal rotations of poly(isobutyl methacrylate) in solution

The dynamics of poly(isobutyl methacrylate) in toluene solution has been examined by C-13 spin-lattice relaxation time and NOE measurements as a function of temperature. The experiments were performed at 50.3 and 100.6 MHz. The backbone carbon relaxation data have been analyzed using the Dejean-Laupretre-Monnerie (DLM) model, which describes the dynamical processes in the backbone in terms of conformational transitions and bond librations. The relaxation data of the side chain nuclei have been analyzed by assuming different motional models, namely, unrestricted rotational diffusion, three site jumps, and restricted rotational diffusion. The different models have been compared for their ability to reproduce the experimental spin-lattice relaxation times and also to predict the behavior of NOE as a function of temperature. Conformational energy calculations have been carried out on a model compound by using the semiempirical quantum chemical method, AM1, and the results confirm the validity of the motional models used to describe the side-chain motion.

Motion Analysis for Short and Long Jump

Motion analysis is very essential in sport activities to enhance the performance of an athlete and to ensure the correctness of regimes. Expensive methods of motion analysis involving the use of sophisticated technology has led to limited application of motion analysis in sports. Towards this, in this paper we have integrated a low-cost method for motion analysis using three axis accelerometer, three axis magnetometer and microcontroller which are very accurate and easy to use. Seventeen male subjects performed two experiments, standing short jumps and long jumps over a wide range of take-off angles. During take-off and landing the acceleration and angles at different joints of the body are recorded using accelerometers and magnetometers, and the data is captured using Lab VIEW software. Optimum take-off angle in these jumps are calculated using the recorded data, to identify the optimum projection angle that maximizes the distance achieved in a jump. The results obtained for optimum take off angle in short jump and long jump is in agreement with those obtained using other methodologies and theoretical calculations assuming jump to be a projectile motion. The impact force (acceleration) is also analysed and is found to progressively decrease from foot to neck.

Numerical study of laminar, standing hydraulic jumps in a planar geometry

We solve the two-dimensional, planar Navier-Stokes equations to simulate a laminar, standing hydraulic jump using a Volume-of-Fluid method. The geometry downstream of the jump has been designed to be similar to experimental conditions by including a pit at the edge of the platform over which liquid film flows. We obtain jumps with and without separation. Increasing the inlet Froude number pushes the jump downstream and makes the slope of the jump weaker, consistent with experimental observations of circular jumps, and decreasing the Reynolds number brings the jump upstream while making it steeper. We study the effect of the length of the domain and that of a downstream obstacle on the structure and location of the jump. The transient flow which leads to a final steady jump is described for the first time to our knowledge. In the moderate Reynolds number regime, we obtain steady undular jumps with a separated bubble underneath the first few undulations. Interestingly, surface tension leads to shortening of wavelength of these undulations. We show that the undulations can be explained using the inviscid theory of Benjamin and Lighthill (Proc. R. Soc. London, Ser. A, 1954). We hope this new finding will motivate experimental verification.

Distribution, stability, bifurcations and catastrophe of steady rotation of a symmetrical heavy gyroscope with viscous-liquid-filled cavity

The number, the angles of orientation and the stability in Rumyantsev Movchan's sense of oblique steady rotations of a symmetric heavy gyroscope with a cavity completely filled with a uniform viscous liquid, possessing a fixed point 0 on its symmetric axis. are given for various values of the parameters. By taking the square of the upright component of the angular momentum M2 as a control parameter, three types of bifurcation diagrams of the steady rotations, two types of jumps and two kinds of local catastrophes, one being the symmetric reduced cusp type and the other being of the symmetric reduced butterfly type, are obtained. By taking account of the M2-damping owing to the moment of unavoidable faint friction, two different modes for the gyroscope, initially in a stable quasi-steady upright rotation with a nutation angle theta(s) equal to zero, to topple over are found.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.