A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns

A multivariate positive definite estimator of the integrated covariance matrix of noisy and asynchronously observed asset returns is proposed. We adopt a Bayesian Dynamic Linear Model where microstructure noise is interpreted as measurement error, and asynchronous trading as missing observations in an otherwise synchronous series. Missing observations are treated as any other parameter, as typical in a Bayesian framework. An augmented Gibbs algorithm is used since all full conditionals are available and its convergence and robustness are discussed. A realistic simulation study compares our estimator with existing alternatives, under different liquidity and microstructure noise conditions. The results suggest that our estimator is superior in terms of RMSE particularly under severe conditions, such as portfolios of assets with heterogeneous liquidity and high level of microstructure noise. The application to the empirical dataset of ten tick-by-tick stock price series confirms the simulation results

Mechanical Metamaterials

Mechanical metamaterials are an emerging design strategy aimed at tailoring lattice structures to achieve specific properties such as negative Poisson’s ratios and guiding wave propagation. These metamaterials have received increasing attention from various application domains, including medical devices, aerospace, automobile, and infrastructure. The scope of this project is to vary a single lattice parameter and quantify its effect on the structural properties of the given 3D lattice

Influence of Brand Personality-Marker Attributes on Purchasing Intention: The Role of Emotionality

Marketing researchers employ the Five-Factor Model to describe branded products through attributes used for human personality. Marker attributes used to elicit brand personality dimensions can also influence consumers’ intention to purchase. Two connected studies, carried out on two samples of 91 and 557 subjects, respectively, show that brand personality-marker attributes predict intention to purchase, but only to the extent that such attributes are vivid and, in particular, when they elicit emotional responses (i.e., when they are emotionally interesting). These findings have several implications for people involved in developing strategies for persuasive communication

Proximity effect in planar superconducting tunnel junctions containing Nb/NiCu superconductor/ferromagnet bilayers

We present experimental results concerning both the fabrication and characterization of superconducting tunnel junctions containing superconductor/ferromagnet (S/F) bilayers made by niobium (S) and a weak ferromagnetic Ni0.50Cu0.50 alloy. Josephson junctions have been characterized down to T=1.4 K in terms of current-voltage I-V characteristics and Josephson critical current versus magnetic field. By means of a numerical deconvolution of the I-V data the electronic density of states on both sides of the S/F bilayer has been evaluated at low temperatures. Results have been compared with theoretical predictions from a proximity model for S/F bilayers in the dirty limit in the framework of Usadel equations for the S and F layers, respectively. The main physical parameters characterizing the proximity effect in the Nb/NiCu bilayer, such as the coherence length and the exchange field energy of the F metal, and the S/F interface parameters have been also estimated

On Braggarts and Gossips: Why Consumers Generate Positive but Transmit Negative Word-of-Mouth

Past research has presented conflicting evidence as to whether consumers are more likely to share positive or negative word-of-mouth. We offer a novel theoretical perspective to reconcile this conflict by comparing the generation of word-of-mouth (i.e., consumers sharing information about their own experiences) to the transmission of word-of-mouth (i.e., consumers passing-on information about experiences they heard occurred to others). We suggest that the self-enhancement motive leads consumers to generate positive word-of-mouth, but also to transmit negative word-of-mouth. Evidence for self-enhancement motives playing out in a unique fashion at word-of-mouth generation and transmission is presented across a series of four experiments