Does the Tail Wag the Dog? The Price Impact of CDS Trading

Session 4: Trading and Pricing in CDS MarketsWe investigate empirically whether credit default swaps (CDS) spreads are influenced by shifts in demand/supply dynamics in the market. We find that while changes in CDS spreads are insensitive to accumulated trading volume, net buying interest (NBI), a measure we construct to measure latent trade imbalance between consecutive trades, significantly affects CDS price changes. This price impact appears to be statistically significant even in the absence of concomitant stock price changes, but its economic magnitude is on par with the average bid-ask spread. While changes in fundamental information contribute to the price impact of net buying interest, liquidity of CDS contracts is another factor. We show that the effect of NBI is three times stronger in the least liquid CDS contracts than in the most liquid CDS contracts. Furthermore, exogenous supply shocks attenuate the initial price impact and accelerate the subsequent price reversal.postprin

Market conditions, default risk and credit spreads

This study empirically examines the impact of the interaction between market and default risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that average credit spreads decrease in GDP growth rate, but increase in GDP growth volatility and jump risk in the equity market. At the market level, investor sentiment is the most important determinant of credit spreads. At the firm level, credit spreads generally rise with cash flow volatility and beta, with the effect of cash flow beta varying with market conditions. We identify implied volatility as the most significant determinant of default risk among firm-level characteristics. Overall, a major portion of individual credit spreads is accounted for by firm-level determinants of default risk, while macroeconomic variables are directly responsible for a lesser portion. © 2009 Elsevier B.V. All rights reserved.postprin

A "Class-A2" ultra-low-loss magnetic ballast for T5 fluorescent lamps - A new trend for sustainable lighting technology

The high-voltage and low-current features of T5 lamps imply that the copper and core losses of the magnetic ballast can be greatly reduced. This paper shows that magnetic ballasts for high-voltage T5 lamps are not only feasible but their luminous and ballast-loss performance can be better than those of the electronic ballasts. Contrary to common belief, high frequency operation of T5 28 W lamps increases the luminous efficacy by an average of 3.6% only (less than 5%). Practical implementation of an ultra-low-loss magnetic ballast system for T5 28 W lamps is presented. Its total system power is less than the 32 W upper limit specified for Class A2 of energy-efficient electronic ballast for T5 28 W lamps. High-luminous efficacy of 75.63-77.66 lm/W can be achieved. This important breakthrough has the potential of reversing the existing trend of using electronic ballasts as the energy-saving technology in lighting industry. With a better luminous efficacy, lower product and maintenance costs, much longer lifetime, and the use of recyclable metallic materials over its electronic counterparts, this patent-pending proposal provides a truly sustainable lighting solution to the lighting industry. © 2006 IEEE.published_or_final_versio

A "Class-A2" ultra-low-loss magnetic ballast for T5 fluorescent lamps - A new trend for sustainable lighting technology

The high-voltage and low-current features of T5 lamps imply that the copper and core losses of the magnetic ballast can be greatly reduced. This paper shows that magnetic ballasts for high-voltage T5 lamps are not only feasible but their luminous and ballast-loss performance can be better than those of the electronic ballasts. Contrary to common belief, high frequency operation of T5 28 W lamps increases the luminous efficacy by an average of 3.6% only (less than 5%). Practical implementation of an ultra-low-loss magnetic ballast system for T5 28 W lamps is presented. Its total system power is less than the 32 W upper limit specified for Class A2 of energy-efficient electronic ballast for T5 28 W lamps. High-luminous efficacy of 75.63-77.66 lm/W can be achieved. This important breakthrough has the potential of reversing the existing trend of using electronic ballasts as the energy-saving technology in lighting industry. With a better luminous efficacy, lower product and maintenance costs, much longer lifetime, and the use of recyclable metallic materials over its electronic counterparts, this patent-pending proposal provides a truly sustainable lighting solution to the lighting industry. © 2006 IEEE.published_or_final_versio

Cloud computing and validation of expandable in silico livers

<p>Abstract</p> <p>Background</p> <p>In Silico Livers (ISLs) are works in progress. They are used to challenge multilevel, multi-attribute, mechanistic hypotheses about the hepatic disposition of xenobiotics coupled with hepatic responses. To enhance ISL-to-liver mappings, we added discrete time metabolism, biliary elimination, and bolus dosing features to a previously validated ISL and initiated re-validated experiments that required scaling experiments to use more simulated lobules than previously, more than could be achieved using the local cluster technology. Rather than dramatically increasing the size of our local cluster we undertook the re-validation experiments using the Amazon EC2 cloud platform. So doing required demonstrating the efficacy of scaling a simulation to use more cluster nodes and assessing the scientific equivalence of local cluster validation experiments with those executed using the cloud platform.</p> <p>Results</p> <p>The local cluster technology was duplicated in the Amazon EC2 cloud platform. Synthetic modeling protocols were followed to identify a successful parameterization. Experiment sample sizes (number of simulated lobules) on both platforms were 49, 70, 84, and 152 (cloud only). Experimental indistinguishability was demonstrated for ISL outflow profiles of diltiazem using both platforms for experiments consisting of 84 or more samples. The process was analogous to demonstration of results equivalency from two different wet-labs.</p> <p>Conclusions</p> <p>The results provide additional evidence that disposition simulations using ISLs can cover the behavior space of liver experiments in distinct experimental contexts (there is in silico-to-wet-lab phenotype similarity). The scientific value of experimenting with multiscale biomedical models has been limited to research groups with access to computer clusters. The availability of cloud technology coupled with the evidence of scientific equivalency has lowered the barrier and will greatly facilitate model sharing as well as provide straightforward tools for scaling simulations to encompass greater detail with no extra investment in hardware.</p

Luminescent Organic–Inorganic Hybrids of Functionalized Mesoporous Silica SBA-15 by Thio-Salicylidene Schiff Base

Novel organic–inorganic mesoporous luminescent hybrid material N, N′-bis(salicylidene)-thiocarbohydrazide (BSTC-SBA-15) has been obtained by co-condensation of tetraethyl orthosilicate and the organosilane in the presence of Pluronic P123 surfactant as a template. N,N′-bis(salicylidene)-thiocarbohydrazide (BSTC) grafted to the coupling agent 3-(triethoxysilyl)-propyl isocyanate (TESPIC) was used as the precursor for the preparation of mesoporous materials. In addition, for comparison, SBA-15 doped with organic ligand BSTC was also synthesized, denoted as BSTC/SBA-15. This organic–inorganic hybrid material was well-characterized by X-ray diffraction, Fourier transform infrared spectroscopy, transmission electron microscopy (HRTEM), and photoluminescence spectra, which reveals that they all have high surface area, uniformity in the mesostructure. The resulting materials (BSTC-SBA-15 and BSTC/SBA-15) exhibit regular uniform microstructures, and no phase separation happened for the organic and the inorganic compounds was covalently linked through Si–O bonds via a self-assemble process. Furthermore, the two materials have different luminescence range: BSTC/SBA-15 presents the strong dominant green luminescence, while BSTC-functionalized material BSTC-SBA-15 shows the dominant blue emission

Interactions among mitochondrial proteins altered in glioblastoma

Mitochondrial dysfunction is putatively central to glioblastoma (GBM) pathophysiology but there has been no systematic analysis in GBM of the proteins which are integral to mitochondrial function. Alterations in proteins in mitochondrial enriched fractions from patients with GBM were defined with label-free liquid chromatography mass spectrometry. 256 mitochondrially-associated proteins were identified in mitochondrial enriched fractions and 117 of these mitochondrial proteins were markedly (fold-change &#8805;2) and significantly altered in GBM (p &#8804; 0.05). Proteins associated with oxidative damage (including catalase, superoxide dismutase 2, peroxiredoxin 1 and peroxiredoxin 4) were increased in GBM. Protein–protein interaction analysis highlighted a reduction in multiple proteins coupled to energy metabolism (in particular respiratory chain proteins, including 23 complex-I proteins). Qualitative ultrastructural analysis in GBM with electron microscopy showed a notably higher prevalence of mitochondria with cristolysis in GBM. This study highlights the complex mitochondrial proteomic adjustments which occur in GBM pathophysiology