Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

This paper defines and tests a form of market efficiency called market dexterity which requires that asset prices adjust instantaneously and completely in response to new information. Examining the behavior of the yen/dollar exchange rate while each of the major markets are open it is possible to test for informational effects from one market to the next. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor showers) become evidence against market dexterity. ARCII models are employed to model heteroskedasticity across intra-daily market segments. Statistical tests lead to the rejection of the heat wave and therefore the market dexterity hypothesis. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility in other markets.

Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns

This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.

Successive minima of line bundles

We introduce and study the successive minima of line bundles on proper algebraic varieties. The first (resp. last) minima are the width (resp. Seshadri constant) of the line bundle at very general points. The volume of the line bundle is equivalent to the product of the successive minima. For line bundles on toric varieties, the successive minima are equivalent to the (reciprocal of) usual successive minima of the difference of the moment polytope

Radiative πρ\pi \rho and πω\pi \omega transition form factors in a light-front constituent quark model

The form factors of the $\pi \rho$ and $\pi \omega$ radiative transitions are evaluated within a light-front constituent quark model, using for the first time the eigenfunctions of a light-front mass operator reproducing the meson mass spectrum and including phenomenological Dirac and Pauli quark form factors in the one-body electromagnetic current operator. The sensitivity of the transition form factors both to the meson wave functions and to the constituent quark form factors is illustrated. It is shown that the measurement of the $\pi \rho$ and $\pi \omega$ radiative transitions could help in discriminating among various models of the meson structure.Comment: 9 pages, latex, 4 figures available as separate .uu file, to appear in Phys. Lett.

Fe-doping-induced evolution of charge-orbital ordering in a bicritical-state manganite

Impurity effects on the stability of a ferromagnetic metallic state in a bicritical-state manganite, (La0.7Pr0.3)0.65Ca0.35MnO3, on the verge of metal-insulator transition have been investigated by substituting a variety of transition-metal atoms for Mn ones. Among them, Fe doping exhibits the exceptional ability to dramatically decrease the ferromagnetic transition temperature. Systematic studies on the magnetotransport properties and x-ray diffraction for the Fe-doped crystals have revealed that charge-orbital ordering evolves down to low temperatures, which strongly suppresses the ferromagnetic metallic state. The observed glassy magnetic and transport properties as well as diffuse phase transition can be attributed to the phase-separated state where short-range charge-orbital-ordered clusters are embedded in the ferromagnetic metallic matrix. Such a behavior in the Fe-doped manganites form a marked contrast to the Cr-doping effects on charge-orbital-ordered manganites known as impurity-induced collapse of charge-orbital ordering.Comment: 8 pages, 7 figure

Does a Theoretical Estimation of the Dust Size Distribution at Emission Suggest More Bioavailable Iron Deposition?

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/95443/1/grl28895.pd