Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales

Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning the distributions of log-returns and some multi-fractal properties of exchange rates, stock prices, and regional indices. This paper uses a well diversified world stock index as the central object of analysis. Such index approximates the growth optimal portfolio, which is demonstrated under the benchmark approach, it is the ideal reference unit for studying basic securities. When denominating this world index in units of a given currency, one measures the movements of the currency against the entire market. This provides a least disturbed observation of the currency dynamics. In this manner, one can expect to disentangle, e.g., the superposition of the two currencies involved in an exchange rate. This benchmark approach to the empirical analysis of financial data allows us to establish remarkable stylized facts. Most important is the observation that the repeatedly documented multi-fractal appearance of financial time series is very weak and much less pronounced than the deviation of the mono-scaling properties from Brownian-motion type scaling. The generalized Hurst exponent H(2) assumes typical values between 0.55 and 0.6. Accordingly, autocorrelations of log-returns decay according to a power law, and the quadratic variation vanishes when going to vanishing observation time step size. Furthermore, one can identify the Student t distribution as the log-return distribution of a well-diversified world stock index for long time horizons when a long enough data series is used for estimation. The study of dependence properties, finally, reveals that jumps at daily horizon originate primarily in the stock market while at 5 min horizon they originate in the foreign exchange market. These results are contrasted with the behavior of foreign exchange rates. The principal message of the empirical analysis is that there is evidence that a diffusion model without multi-scaling could reasonably well model the dynamics of a broadly diversified world stock index.

Intraday Empirical Analysis and Modeling of Diversified World Stock Indices

This paper proposes an approach to the intraday analysis of diversified world stock accumulation indices. The growth optimal portfolio (GOP) is used as reference unit or benchmark in a continuous financial market model. Diversified portfolios, covering the world stock market, are constructed and shown to approximate the GOP, providing the basis for a range of financial applications. The normalized GOP is modeled as a time transformed square root process of dimension four. Its dynamics are empirically verified for several world stock indices. Furthermore, the evolution of the transformed time is modeled as the integral over a rapidly evolving mean-reverting market activity process with deterministic volatility. The empirical findings suggest a rather simple and robust model for a world stock index that reflects the historical evolution, by using only a few readily observable parameters.world stock index; intraday analysis; growth optimal portfolio; diversified portfolio; market activity; deseasonalization; square root process

An Intraday Empirical Analysis of Electricity Price Behaviour

This paper proposes an approach to the intraday analysis of the dynamics of electricity prices. The Growth Optimal Portfolio (GOP) is used as a reference unit in a continuous financial electricity price model. A diversified global portfolio in the form of a market capitalisation weighted index approximates the GOP. The GOP, measured in units of electricity, is normalised and then modeled as a time transformed square root process of dimension four. The dynamics of the resulting process is empirically verified. Intraday spot electricity prices from the US and Australian markets are used for this analysis. The empirical findings identify a simple but realistic model for examining the volatile behaviours of electricity prices. The proposed model reflects the historical price evolution reasonably well by using a only a few robust but readily observable parameters. The evolution of the tranformed times is modeled via a rapidly evolving market activity. A periodic, ergodic process with deterministic volatility is used to model market activity.intraday analysis; electricity price model; growth optimal portfolio; market activity

SENTIMIENTOS DE COMUNIDAD EN LA REHABILITACIÓN URBANA

La recerca duta a terme al barri multicultural d'Embajadores, al casc antic de Madrid, estableix una sèrie de relacions entre variables vinculades amb el concepte de sentiment de comunitat referit a una comunitat geogràfica i aspectes relacionats amb l'ús de l'espai urbà. Entendre aquesta relació és clau dins de la planificació urbana per a incorporar eines adequades als processos de rehabilitació urbana. L'estudi, basat en un treball de camp previ, es fonamenta en les dades obtingudes en un qüestionari fet a 397 habitants del barri. La informació recollida ha estat tractada posteriorment amb instruments estadístics per a poder ser analitzada. Una anàlisi factorial confirmatòria ha permès l'elaboració dels constructes, que amb les altres variables han estat treballats a posteriori amb correlacions de Pearson, proves T y regressions. Els resultats obtinguts revelen la importància que tenen aspectes com la percepció de seguretat, el deteriorament de l'entorn i el sentiment d'orgull sobre la satisfacció amb el barri i la percepció de l'ambient comunitari per part de l'individu. A més a més, aquestes relacions han fet emergir la influència que tenen determinades variables sobre els patrons d'ús del barri i de l'espai públic que ens permeten comprendre la importància de considerar aquests aspectes a l'hora de dur a terme projectes de rehabilitació urbana.The investigation carried out at the multicultural neighborhood Embajadores, in the historical center of Madrid, established a series of relations between variables linked with the concept of a sense of community. This investigation is based on a geographical community and the use of urban spaces. The understanding of this relationship is essential in urban planning, in order to incorporate adequate tools for urban rehabilitation processes. This study, based on prior fieldwork, is based on data obtained from 397 respondents during a survey conducted within the neighborhood, and subsequently analyzed with statistical instruments. A Confirmatory Factor Analysis (CFA) supported the elaboration of the constructs, which, together with other variables, were later on examined for Pearson’s correlations, T tests and regressions. The results obtained revealed that some aspects of perception around security, neighborhood decay, and pride have a significant impact on feelings of satisfaction in neighborhood and community atmosphere on the individual. Also, these relations showed the influence that some variables have over the patterns of use of the neighborhood, and its public spaces, thus allowing us to understand the importance of considering those aspects for urban rehabilitation projects.La investigación realizada en el barrio multicultural de Embajadores, del centro histórico madrileño, establece una serie de relaciones entre variables vinculadas con el concepto de Sentimiento de Comunidad, referido a una comunidad geográfica, y aspectos relacionados con el uso del espacio urbano. Entender esta relación es clave en el planeamiento urbano para incorporar herramientas adecuadas en los procesos de rehabilitación urbana. El estudio, basado en un trabajo de campo previo, se sustenta en los datos obtenidos de un cuestionario realizado a 397 habitantes del barrio, cuya información fue tratada posteriormente con instrumentos estadísticos para su análisis. Un análisis factorial confirmatorio permitió la elaboración de los constructos, que junto a las demás variables, fueron luego trabajados con correlaciones de Pearson, pruebas T y regresiones. Los resultados obtenidos revelan la importancia que tienen aspectos como la percepción de seguridad, el deterioro del entorno y el sentimiento de orgullo sobre la satisfacción con el barrio y la percepción del ambiente comunitario por parte del individuo. Además, estas relaciones mostraron la influencia que tienen determinadas variables sobre los patrones de uso del barrio y del espacio público, permitiéndonos comprender la importancia de considerar estos aspectos a la hora de realizar proyectos de rehabilitación urbana

La satisfacción residencial como herramienta de evaluación de proyectos de rehabilitación urbana

El objetivo de este artículo es mostrar la aplicabilidad de la herramienta estadística de Modelos de Ecuaciones Estructurales al análisis de la satisfacción residencial en un barrio rehabilitado. La importancia del concepto de satisfacción residencial en la evaluación y formulación de proyectos urbanos ha ido adquiriendo mayor atención en las últimas décadas, gracias a investigaciones recientes que han plasmado los efectos que tienen la satisfacción e insatisfacción residencial sobre el entorno urbano y sus residentes. Por tanto, los resultados de esta investigación basada en los datos resultantes de una encuesta aplicada a 397 residentes del Barrio Embajadores en Madrid, muestra como, mediante del análisis de diversas variables y sus relaciones, pueden desvelarse los principales aspectos a considerar en un proyecto de rehabilitación urbana por el peso que estos tienen sobre la satisfacción del individuo.The aim of this article is to demonstrate the applicability of the statistical tool of Structural Equation Modeling to the analysis of residential satisfaction, in a rehabilitated neighborhood. The importance of the concept of residential satisfaction in the evaluation and formulation of urban projects, has been gaining more attention in the past decades, thanks to recent investigations that have captured the effects of residential satisfaction and dissatisfaction on the urban environment and its residents. Therefore, the results of this investigation, performed with data from a survey of 397 residents of Embajadores neighborhood in Madrid, shows how, through the analysis of several variables and their relationships, the main aspects to consider in an urban rehabilitation project could be revealed, by the weight it might have over the satisfaction of the individual.Peer Reviewe

Entropy Production in a Persistent Random Walk

We consider a one-dimensional persisent random walk viewed as a deterministic process with a form of time reversal symmetry. Particle reservoirs placed at both ends of the system induce a density current which drives the system out of equilibrium. The phase space distribution is singular in the stationary state and has a cumulative form expressed in terms of generalized Takagi functions. The entropy production rate is computed using the coarse-graining formalism of Gaspard, Gilbert and Dorfman. In the continuum limit, we show that the value of the entropy production rate is independent of the coarse-graining and agrees with the phenomenological entropy production rate of irreversible thermodynamics.Comment: 21 pages, 8 figures, to appear in Physica

Iron deficiency in gynecology and obstetrics: clinical implications and management

Iron deficiency is the commonest cause of anemia during pregnancy; however, its prevalence is highly determined by nutritional and socioeconomic status. Oral iron is the frontline therapy, but is often poorly tolerated. Awareness of the available intravenous formulations is essential for management. Before delivery, risk factors such as multiparity and heavy uterine bleeding increase the prevalence of iron deficiency and should be motivation for early diagnosis and treatment. Neonates born with iron deficiency have a statistically significant increment in both cognitive and behavioral abnormalities that persist after repletion, highlighting the need for heightened awareness of the diagnosis. A smartphone application providing information on nutrition and treatment is provided. New formulations of intravenous iron with carbohydrate cores, which bind elemental iron more tightly, minimize the release of labile free iron to allow complete replacement doses of intravenous iron in 15 to 60 minutes, facilitating and simplifying care

Umbilical cord cells as a source of cardiovascular tissue engineering

There is increasing scientific evidence that human umbilical cord cells are a valuable source of adult stem cells that can be used for various implications including regenerative medicine and tissue engineering. The review describes the role of progenitor cells (mesenchymal, endothelial, prenatal) for the use in cardiovascular tissue engineering, i.e., the formation of large vessels and heart valves from umbilical cord cells. Currently used replacements in cardiovascular surgery are made of foreign materials with well known drawbacks such as thrombo-embolic complications, infection, loss of functional and biological properties, and others. Especially in the field of replacements in congenital cardiac defects, there would be a need of materials which have the advantage of optimal biological and mechanical properties. In the case of human umbilical cord cells, autologous cells can be used by minimally invasive procedures. The cells have excellent growth capacities and form a neo-matrix with excellent mechanical properties. For optimal growth and modeling, scaffolds are required with high biocompatibility and biodegradability, which allow cell attachment, ingrowth, and organization. Nutrients and waste must be easily transported and cells should be in entire contact with host's body. Finally, regenerated materials can be fully incorporated and the scaffold is completely replaced. Besides these cell and scaffold requirements, feto-maternal conditions and risk factors concerning deriving stem cells are of major interest. There are still many open questions concerning whether and how maternal conditions such as infection (viral or bacterial) or gestational age of the newborn influence stem cell harvesting and quality. If these cells will be used for the construction of replacement materials, it is clear that very strict criteria and protocols be introduced enabling the promising step from isolated cells to a therapeutic device such as a new heart valve. It is hoped that it will be only a question of time until human umbilical cord cells will be used frequently as the source of cardiovascular tissues among others in the clinical setting of treating congenital heart defect