6,154 research outputs found

    Two Trees: Asset Price Dynamics Induced by Market Clearing

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    If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise to complex asset market dynamics. We study this phenomenon in a very simple model. Our model has two Lucas trees.' Each tree has i.i.d.dividend growth, and the representative investor has log utility. We are able to give analytical solutions to the model. Despite this simple setup, price-dividend ratios, expected returns, and return variances vary through time. A dividend shock leads to underreaction' in some states, as expected returns rise and prices slowly adjust, and overreaction' in others. Expected returns and excess returns are predictable by price-dividend ratios in the time series and in the cross section, roughly matching value effects and return forecasting regressions. Returns generally display positive serial correlation and negative cross-serial correlation, leading to 'momentuem,' but the opposite signs are possible as well. A shock to one asset's dividend a.ects the price and expected return of the other asset, leading to substantial correlation of returns even when there is no correlation of cash flows and giving the appearance of contagion.' Market clearing allows the inverse portfolio' problem to be solved, in which the weights of the assets in the market portfolio are inverted' to solve for the parameters of the assets' return generating process.

    Znajomość zachowań widowni na podstawie danych statystycznych: Londyn i Amsterdam w połowie lat 30. XX wieku

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    Publikacja została sfinansowana ze środków Narodowego Programu Rozwoju Humanistyki w ramach projektu nr 12H 11 0004 8

    A Lagrangian approach to identifying vortex pinch-off

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    A criterion for identifying vortex ring pinch-off based on the Lagrangian coherent structures (LCSs) in the flow is proposed and demonstrated for a piston-cylinder arrangement with a piston stroke to diameter (L/D) ratio of ≈ 12. It is found that the appearance of a new disconnected LCS and the termination of the original LCS are indicative of the initiation of vortex pinch-off. The subsequent growth of new LCSs, which tend to roll into spirals, indicates the formation of new vortex cores in the trailing shear layer. Using this criterion, the formation number is found to be 4.1±0.1, which is consistent with the predicted formation number of ≈ 4 of Gharib et al. [ Gharib et al. J. Fluid Mech. 360, 121 (1998) ]. The results obtained using the proposed LCS criterion are compared with those obtained using the circulation criterion of Gharib et al. and are found to be in excellent agreement. The LCS approach is also compared against other metrics, both Lagrangian and Eulerian, and is found to yield insight into the pinch-off process that these do not. Furthermore, the LCS analysis reveals a consistent pattern of coalescing or “pairing” of adjacent vortices in the trailing shear layer, a process which has been extensively documented in circular jets. Given that LCSs are objective and insensitive to local errors in the velocity field, the proposed criterion has the potential to be a robust tool for pinch-off identification. In particular, it may prove useful in the study of unsteady and low Reynolds number flows, where conventional methods based on vorticity prove difficult to us

    Nested contour dynamics models for axisymmetric vortex rings and vortex wakes

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    Inviscid models for vortex rings and dipoles are constructed using nested patches of vorticity. These models constitute more realistic approximations to experimental vortex rings and dipoles than the single-contour models of Norbury and Pierrehumbert, and nested contour dynamics algorithms allow their simulation with low computational cost. In two dimensions, nested-contour models for the analytical Lamb dipole are constructed. In the axisymmetric case, a family of models for vortex rings generated by a piston–cylinder apparatus at different stroke ratios is constructed from experimental data. The perturbation response of this family is considered by the introduction of a small region of vorticity at the rear of the vortex, which mimics the addition of circulation to a growing vortex ring by a feeding shear layer. Model vortex rings are found to either accept the additional circulation or shed vorticity into a tail, depending on the perturbation size. A change in the behaviour of the model vortex rings is identified at a stroke ratio of three, when it is found that the maximum relative perturbation size vortex rings can accept becomes approximately constant. We hypothesise that this change in response is related to pinch-off, and that pinch-off might be understood and predicted based on the perturbation responses of model vortex rings. In particular, we suggest that a perturbation response-based framework can be useful in understanding vortex formation in biological flows

    Migration Versus Immobility, and Ties to Parents

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    We investigate the association between geographic proximity to parents and the likelihood of moving longer distances (e.g. at least 40 km), using British panel data from the Understanding Society study and probit regression. We also look at the extent to which this association diminishes by introducing measures of frequency of contact, interaction with neighbors and length of residence. Using a number of different models and samples, we find that living far from parents increases longer distance mobility. Seeing parents weekly and more interactions with neighbors reduce longer distance mobility, but its association with parental proximity remains substantial. The positive effect of living far from parents on the likelihood of moving longer distances is also found in subsamples of those who have lived in their current residence for 5 years or less and of the highly educated, while the negative effect of seeing parents weekly is also found in these subsamples as well as in a subsample of those living close to parents. Even though endogeneity cannot be ruled out completely, these findings show a robust association between family ties and the likelihood of moving a long distance
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