Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of Normals (SMiN CVAR) representation of Alpha-stable inter-day innovations. These results are generalized to asymmetric models for the innovation noise at inter-day boundaries allowing for skewed Alpha-stable models. Our proposed model and sampling methodology is general, incorporating the current literature on Gaussian models as a special subclass and also allowing for price series level shifts either at random estimated time points or known a priori time points. We focus analysis on regularly observed non-Gaussian level shifts that can have significant effect on estimation performance in statistical models failing to account for such level shifts, such as at the close and open of markets. We compare the estimation accuracy of our model and estimation approach to standard frequentist and Bayesian procedures for CVAR models when non-Gaussian price series level shifts are present in the individual series, such as inter-day boundaries. We fit a bi-variate Alpha-stable model to the inter-day jumps and model the effect of such jumps on estimation of matrix-variate CVAR model parameters using the likelihood based Johansen procedure and a Bayesian estimation. We illustrate our model and the corresponding estimation procedures we develop on both synthetic and actual data.Comment: 30 page

Texture transitions in the liquid crystalline alkyloxybenzoic acid 6OBAC

The 4,n-alkyloxybenzoic acid 6OBAC has a very rich variety of crystalline structures and two nematic sub-phases, characterised by different textures. It is a material belonging to a family of liquid crystals formed by hydrogen bonded molecules, the 4,n-alkyloxybenzoic acids indicates the homologue number). The homologues with n ranging from 7 to 13 display both smectic C and N phases. In spite of the absence of a smectic phase, 6OBAC exhibits two sub-phases with different textures, as it happens in other materials of the homologue series which possess the smectic phase. This is the first material that exhibits a texture transition in a nematic phase directly originated from a crystal phase. Here we present the results of an image processing assisted optical investigation to characterise the textures and the transitions between textures. This processing is necessary to discriminate between crystal modifications and nematic sub-phases.Comment: 12 pages, 10 figure

Deflection and frequency monitoring of the Forth Road Bridge, Scotland, by GPS

Permission is granted by ICE Publishing to print one copy for personal use. Any other use of these PDF files is subject to reprint fees. Copyright © 2012 Thomas Telford Ltd.The use of carrier phase kinematic GPS (global positioning system) has evolved into a reliable technique to measure both the three-dimensional magnitudes and frequencies of movements of structures. Techniques have been developed that tackle errors caused by multipath, tropospheric delay and issues relating to satellite geometry. GPS-derived movements compare well with data from both design predictions and structural models. Results from field trials carried out on the Forth Road Bridge are presented. This paper brings together key results that outline the procedure as well as a series of new data that indicate other potential applications. GPS data were collected continuously over a period of 46 h at a minimum rate of 10 Hz. During the trials wind speed, wind direction, relative humidity and temperature were also recorded. Frequently there was very heavy traffic flow, and at one point a special load (a 100-t lorry) passed over simultaneously to the heavy daytime flow of traffic. Data from a planned load trial during a brief bridge closure are reported and compared with the limited results available from a finite element model. Measured vibration frequencies are also computed from GPS data and compared with those given in the literature. In addition, results indicating the change in structural characteristics are also presented – in particular changes of mass associated with changes in traffic loading are observed. The results show the performance of GPS as it has developed in recent years, and that it can now reliably be used as a significant part of structural health monitoring schemes, giving both the magnitude of quasi-static deflections in known time periods and hence the frequency of dynamic movements of structures.Forth Estuary Transport Authorit

Modified Baryonic Dynamics: two-component cosmological simulations with light sterile neutrinos

In this article we continue to test cosmological models centred on Modified Newtonian Dynamics (MOND) with light sterile neutrinos, which could in principle be a way to solve the fine-tuning problems of the standard model on galaxy scales while preserving successful predictions on larger scales. Due to previous failures of the simple MOND cosmological model, here we test a speculative model where the modified gravitational field is produced only by the baryons and the sterile neutrinos produce a purely Newtonian field (hence Modified Baryonic Dynamics). We use two component cosmological simulations to separate the baryonic N-body particles from the sterile neutrino ones. The premise is to attenuate the over-production of massive galaxy cluster halos which were prevalent in the original MOND plus light sterile neutrinos scenario. Theoretical issues with such a formulation notwithstanding, the Modified Baryonic Dynamics model fails to produce the correct amplitude for the galaxy cluster mass function for any reasonable value of the primordial power spectrum normalisation.Comment: 11 pages, 2 figures. Submitted to JCA

Hemispheric asymmetry in perception: A differential encoding account.

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Dynamical measurement of the stellar surface density of face-on galaxies

The DiskMass survey recently provided measurements of the vertical velocity dispersions of disk stars in a sample of nearly face-on galaxies. By setting the disk scale-heights to be equal to those of edge-on galaxies with similar scale-lengths, it was found that these disks must be sub-maximal, with surprisingly low K-band mass-to-light ratios of the order of M-star/L-K similar or equal to 0.3 M-star/L-circle dot. This study made use of a simple relation between the disk surface density and the measured velocity dispersion and scale height of the disk, neglecting the shape of the rotation curve and the dark matter contribution to the vertical force, which can be especially important in the case of sub-maximal disks. Here, we point out that these simplifying assumptions led to an overestimation of the stellar mass-to-light ratios. Relaxing these assumptions, we compute even lower values than previously reported for the mass-to-light ratios, with a median M-star/L-K similar or equal to 0.18 M-star/L-circle dot, where 14 galaxies have M-star/L-K 1.5 for the axis ratios of the potential) might help. The cross-terms in the Jeans equation are also generally negligible. These deduced K-band stellar mass-to-light ratios are even more difficult to reconcile with stellar population synthesis models than the previously reported ones

Trace chemical measurements from the northern midlatitude lowermost stratosphere in early spring: Distributions, correlations, and fate

In situ measurements of a large number of trace chemicals from the midlatitude (37-57°N) lower stratosphere were performed with the NASA DC-8 aircraft during March 1994. Deepest penetrations into the stratosphere (550 ppb O3, 279 ppb N2O, and 350 K potential temperature) corresponded to a region that has been defined as the "lowermost stratosphere" (LS) by Holton et al [1995]. Analysis of data shows that the mixing ratios of long-lived tracer species (e. g. CH4, HNO3, NOy, CFCs) are linearly correlated with those of O3 and N2O. A ΔNOy/ΔO3 of 0.0054 ppb/ppb and ΔNOy/ΔN2O of -0.081 ppb/ppb is in good agreement with other reported measurements from the DC-8. These slopes are however, somewhat steeper than those reported from the ER-2 airborne studies. We find that the reactive nitrogen budget in the LS is largely balanced with HNO3 accounting for 80% of NOy, and PAN and NOx together accounting for 5%. A number of oxygenated species (e. g. acetone, H2O2) were present and may provide an important in situ source of HOx in the LS. SO2 mixing ratios were found to increase in the stratosphere at a rate that was comparable to the decline in OCS levels. No evidence of particle formation could be observed. Ethane, propane, and acetylene mixing ratios declined rapidly in the LS with Cl atoms likely playing a key role in this process. A number of reactive hydrocarbons/halocarbons (e. g. C6H6, CH3I) were present at low but measurable concentrations

A simple stress test of experimenter demand effects

As a stress test of experimenter demand effects, we run an experiment where subjects can physically destroy coupons awarded to them. About one subject out of three does. Giving money back to the experimenter is possible in a separate task but is more consistent with an experimenter demand effect than an explanation based on altruism towards the experimenter. A measure of sensitivity to social pressure helps predict destruction when social information is provided

Query Expansion for Survey Question Retrieval in the Social Sciences

In recent years, the importance of research data and the need to archive and to share it in the scientific community have increased enormously. This introduces a whole new set of challenges for digital libraries. In the social sciences typical research data sets consist of surveys and questionnaires. In this paper we focus on the use case of social science survey question reuse and on mechanisms to support users in the query formulation for data sets. We describe and evaluate thesaurus- and co-occurrence-based approaches for query expansion to improve retrieval quality in digital libraries and research data archives. The challenge here is to translate the information need and the underlying sociological phenomena into proper queries. As we can show retrieval quality can be improved by adding related terms to the queries. In a direct comparison automatically expanded queries using extracted co-occurring terms can provide better results than queries manually reformulated by a domain expert and better results than a keyword-based BM25 baseline.Comment: to appear in Proceedings of 19th International Conference on Theory and Practice of Digital Libraries 2015 (TPDL 2015