Using Proxies for the Short Rate: When are Three Months Like an Instant?

The dynamics of the unobservable "short" or "instantaneous" rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the "proxy" problem) are related to the derivatives of the proxy with respect to the short rate and the (inverse) function from the proxy to the short rate. Analytic results show that the proxy problem is not economically significant for single- factor affine models, for parameter values consistent with US data. In addition, for the two-factor affine model of Longstaff and Schwartz (1992), the proxy problem is only economically significant for pricing discount bonds with maturities of more than 5 years. We also describe two different procedures which can be used to assess the magnitude of the proxy problem in more general interest rate models. Numerical evaluation of a nonlinear single-factor model suggests that the proxy problem can significantly affect both estimates of the diffusion function and discount bond prices.interest rates, proxies, term structure

Orientation cues for high-flying nocturnal insect migrants: do turbulence-induced temperature and velocity fluctuations indicate the mean wind flow?

Migratory insects flying at high altitude at night often show a degree of common alignment, sometimes with quite small angular dispersions around the mean. The observed orientation directions are often close to the downwind direction and this would seemingly be adaptive in that large insects could add their self-propelled speed to the wind speed, thus maximising their displacement in a given time. There are increasing indications that high-altitude orientation may be maintained by some intrinsic property of the wind rather than by visual perception of relative ground movement. Therefore, we first examined whether migrating insects could deduce the mean wind direction from the turbulent fluctuations in temperature. Within the atmospheric boundary-layer, temperature records show characteristic ramp-cliff structures, and insects flying downwind would move through these ramps whilst those flying crosswind would not. However, analysis of vertical-looking radar data on the common orientations of nocturnally migrating insects in the UK produced no evidence that the migrants actually use temperature ramps as orientation cues. This suggests that insects rely on turbulent velocity and acceleration cues, and refocuses attention on how these can be detected, especially as small-scale turbulence is usually held to be directionally invariant (isotropic). In the second part of the paper we present a theoretical analysis and simulations showing that velocity fluctuations and accelerations felt by an insect are predicted to be anisotropic even when the small-scale turbulence (measured at a fixed point or along the trajectory of a fluid-particle) is isotropic. Our results thus provide further evidence that insects do indeed use turbulent velocity and acceleration cues as indicators of the mean wind direction

Longitudinal Stability and Drag Characteristics at Mach Numbers from 0.70 to 1.37 of Rocket-propelled Models Having a Modified Triangular Wing

A modified triangular wing of aspect ratio 2.53 having an airfoil section 3.7 percent thick at the root and 5.98 percent thick at the tip was designed in an attempt to improve the lift and drag characteristics of triangular wings. Free-flight drag and stability tests were made using rocket-propelled models equipped with the modified wing. The Mach number range of the test was from 0.70 to 1.37. Test results indicated the following: The lift-curve slope of wing plus fuselage approaches the theoretical value of wing alone at supersonic Mach numbers. The drag coefficient, based on total wing area, for wing plus interference was approximately 0.0035 at subsonic Mach numbers and 0.0080 at supersonic Mach numbers. The maximum shift in aerodynamic center for the complete configuration was 14 percent in the rearward direction from the forward position of 51.5 percent of mean aerodynamic chord at subsonic Mach numbers. The variation of lift and moment with angle of attack was linear at supersonic Mach numbers for the range of coefficients covered in the test. The high value of lift-curve slope was considered to be a significant result attributable to the wing modifications

Search for Mars lander/rover/sample-return sites: A status review

Ten Mars sites were studied in the USA for four years. The sites are the Chasma Boreale (North Pole), Planum Australe (South Pole), Olympus Rupes, Mangala Valles, Memnonia Sulci, Candor Chasma, Kasel Valles, Nilosyrtis Mensae, Elysium Montes, and Apollinaris Patera. Seven sites are being studied by the USSR; their prime sites are located at the east mouth of Kasel Valles and near Uranius Patera. Thirteen geological maps of the first six USA sites are compiled and in review. Maps of the Mangala East and West sites at 1:1/2 million scale and a 1:2 million scale map show evidence of three episodes of small-channel formation interspersed with episodes of volcanism and tectonism that span the period from 3.5 to 0.6 b.y. ago. The tectonic and geological history of Mars, both ancient and modern, can be elucidated by sampling volcanic and fluvial geologic units at equatorial sites and layered deposits at polar sites. The evidence appears clear for multiple episodes of fluvial channeling, including some that are quite recent; this evidence contrasts with the theses of Baker and Partridge (1986) and many others that all channels are ancient. Verification of this hypothesis by Mars Observer will be an important step forward in the perception of the history of Mars

The influence of the atmospheric boundary layer on nocturnal layers of noctuids and other moths migrating over southern Britain

Insects migrating at high altitude over southern Britain have been continuously monitored by automatically-operating, vertical-looking radars over a period of several years. During some occasions in the summer months, the migrants were observed to form well-defined layer concentrations, typically at heights of 200-400 m, in the stable night-time atmosphere. Under these conditions, insects are likely to have control over their vertical movements and are selecting flight heights which are favourable for long-range migration. We therefore investigated the factors influencing the formation of these insect layers by comparing radar measurements of the vertical distribution of insect density with meteorological profiles generated by the UK Met. Office’s Unified Model (UM). Radar-derived measurements of mass and displacement speed, along with data from Rothamsted Insect Survey light traps provided information on the identity of the migrants. We present here three case studies where noctuid and pyralid moths contributed substantially to the observed layers. The major meteorological factors influencing the layer concentrations appeared to be: (a) the altitude of the warmest air, (b) heights corresponding to temperature preferences or thresholds for sustained migration and (c), on nights when air temperatures are relatively high, wind-speed maxima associated with the nocturnal jet. Back-trajectories indicated that layer duration may have been determined by the distance to the coast. Overall, the unique combination of meteorological data from the UM and insect data from entomological radar described here show considerable promise for systematic studies of high-altitude insect layering

An Investigation into Tetrodotoxin (TTX) Levels Associated with the Red Dorsal Spots in Eastern Newt (Notophthalmus viridescens) Efts and Adults

We investigated the concentration of tetrodotoxin (TTX) in sections of skin containing and lacking red dorsal spots in both Eastern newt (Notophthalmus viridescens) efts and adults. Several other species, such as Pleurodeles waltl and Echinotriton andersoni, have granular glands concentrated in brightly pigmented regions on the dorsum, and thus we hypothesized that the red dorsal spots of Eastern newts may also possess higher levels of TTX than the surrounding skin. We found no difference between the concentrations of TTX in the red spots as compared to neighboring skin lacking these spots in either efts or adults. However, efts with more red dorsal spots had elevated TTX levels relative to efts with fewer spots

Summertime Nutrient Supply to Near-Surface Waters of the Northeastern Gulf of Mexico: 1998, 1999, and 2000

In the summers of 1998, 1999, and 2000, deep water eddies induced strong anticyclonic currents along the upper slope and outer shelf from the Mississippi River delta to the west Florida shelf. Those currents transported Mississippi River discharge eastward along the outer shelf and slope, reversing the normal offshore increase in salinity, with the exception of a few regions very near the coast that were influenced by the discharges from other rivers or bays. The entrainment of low-salinity river water resulted in anomalously high chlorophyll a concentrations in the upper 15 m over the outer shelf and upper slope, in contrast to the concentrations that typically occur over deep water in the subtropics in summer. Nitrate concentrations in this surface water were quite low except near the mouths of rivers, which act as point sources for nutrients; presumably, this was because of the rapid utilization of nitrate by phytoplankton. A significant supply of nutrients to the euphotic zone at regions quite removed from these point sources resulted from eddies intruding onto or formed over the slope. These caused mid-depth water rich in nutrients to be uplifted to within the euphotic zone, the uplift depending on the location and intensity of the eddies. Based on measurements at approximately 100 stations on each cruise, estimates were made of the quantity of nitrate and silicate in the upper 15 m of the water column and in the depth interval from 15m to 60 m, the nominal depth of the euphotic zone. Study results suggest that the nitrate and silicate in the near-surface interval of 0-15 m largely resulted from riverine discharge and subsequent advection, while the nutrients between 15 and 60 m resulted from uplift of waters by circulation features. The euphotic zone occupied at least the upper 60 m of the water column, but standing stocks of nitrate and silicate in the 15- to 60-m layer were between two and six times those in the upper 15 m on all three cruises and appeared to depend on the strength and relative proximity to the shelf break of local anticyclonic features. The effects of these circulation features were potentially significant in supplying nutrients to the euphotic zone during these summers

Brayton-cycle radioisotope heat source design study. Phase I - /Conceptual design/ report

Conceptual designs for radioisotope heat source systems to provide 25 kW thermal power to Brayton cycle power conversion system for space application

Collisional cross sections and momentum distributions in astrophysical plasmas: dynamics and statistical mechanics link

We show that, in stellar core plasmas, the one-body momentum distribution function is strongly dependent, at least in the high velocity regime, on the microscopic dynamics of ion elastic collisions and therefore on the effective collisional cross sections, if a random force field is present. We take into account two cross sections describing ion-dipole and ion-ion screened interactions. Furthermore we introduce a third unusual cross section, to link statistical distributions and a quantum effect originated by the energy-momentum uncertainty owing to many-body collisions, and propose a possible physical interpretation in terms of a tidal-like force. We show that each collisional cross section gives rise to a slight peculiar correction on the Maxwellian momentum distribution function in a well defined velocity interval. We also find a possible link between microscopical dynamics of ions and statistical mechanics interpreting our results in the framework of non-extensive statistical mechanics.Comment: 8 page

Flight with lift modulation inside a planetary atmosphere

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/76287/1/AIAA-7461-486.pd