Financial correlations at ultra-high frequency: theoretical models and empirical estimation

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a characterization of stochastic models of stock price returns which is appropriate at very high frequency.Comment: 22 pages, 8 figures, 1 table, version to appear in EPJ

Economic Fluctuations and Diffusion

Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of transactions $N_{\Delta t}$ - and the price change $G_{\Delta t}$, for a given stock, over a time interval $[t, t+\Delta t]$. To this end, we analyze a database documenting every transaction for 1000 US stocks over the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of diffusion, where the diffusion coefficient fluctuates drastically in time. We relate the analog of the diffusion coefficient to two microscopic quantities: (i) the number of transactions $N_{\Delta t}$ in $\Delta t$, which is the analog of the number of collisions and (ii) the local variance $w^2_{\Delta t}$ of the price changes for all transactions in $\Delta t$, which is the analog of the local mean square displacement between collisions. We study the distributions of both $N_{\Delta t}$ and $w_{\Delta t}$, and find that they display power-law tails. Further, we find that $N_{\Delta t}$ displays long-range power-law correlations in time, whereas $w_{\Delta t}$ does not. Our results are consistent with the interpretation that the pronounced tails of the distribution of $G_{\Delta t} are due to$w_{\Delta t}$, and that the long-range correlations previously found for$| G_{\Delta t} |$are due to$N_{\Delta t}$.Comment: RevTex 2 column format. 6 pages, 36 references, 15 eps figure

Statistical Properties of Share Volume Traded in Financial Markets

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.Comment: 4 pages, two-column format, four figure

The ROTSE-III Robotic Telescope System

The observation of a prompt optical flash from GRB990123 convincingly demonstrated the value of autonomous robotic telescope systems. Pursuing a program of rapid follow-up observations of gamma-ray bursts, the Robotic Optical Transient Search Experiment (ROTSE) has developed a next-generation instrument, ROTSE-III, that will continue the search for fast optical transients. The entire system was designed as an economical robotic facility to be installed at remote sites throughout the world. There are seven major system components: optics, optical tube assembly, CCD camera, telescope mount, enclosure, environmental sensing & protection and data acquisition. Each is described in turn in the hope that the techniques developed here will be useful in similar contexts elsewhere.Comment: 19 pages, including 4 figures. To be published in PASP in January, 2003. PASP Number IP02-11

GYES, a multifibre spectrograph for the CFHT

We have chosen the name of GYES, one of the mythological giants with one hundred arms, offspring of Gaia and Uranus, for our instrument study of a multifibre spectrograph for the prime focus of the Canada-France-Hawaii Telescope. Such an instrument could provide an excellent ground-based complement for the Gaia mission and a northern complement to the HERMES project on the AAT. The CFHT is well known for providing a stable prime focus environment, with a large field of view, which has hosted several imaging instruments, but has never hosted a multifibre spectrograph. Building upon the experience gained at GEPI with FLAMES-Giraffe and X-Shooter, we are investigating the feasibility of a high multiplex spectrograph (about 500 fibres) over a field of view 1 degree in diameter. We are investigating an instrument with resolution in the range 15000 to 30000, which should provide accurate chemical abundances for stars down to 16th magnitude and radial velocities, accurate to 1 km/s for fainter stars. The study is led by GEPI-Observatoire de Paris with a contribution from Oxford for the study of the positioner. The financing for the study comes from INSU CSAA and Observatoire de Paris. The conceptual study will be delivered to CFHT for review by October 1st 2010.Comment: Contributed talk at the Gaia ELSA conference 2010, S\`evres 7-11 June 2010, to be published on the EAS Series, Editors: C. Turon, F. Arenou & F. Meynadie

Moisture susceptibility of high and low compaction dry process crumb rubber modified asphalt mixtures

The field performance of dry process crumb rubber-modified (CRM) asphalt mixtures has been reported to be inconsistent with stripping and premature cracking on the surfacing. One of the concerns is that, because achieving field compaction of CRM material is difficult due to the inherent resilient nature of the rubber particle, nonuniform field compaction may lead to a deficient bond between rubber and bitumen. To assess the influence of compaction, a series of CRM and control mixtures was produced and compacted at two levels: 4% (low, optimum laboratory compaction) and 8% (high, field experience) air void content. The long-term durability, in regard to moisture susceptibility of the mixtures, was assessed by conducting repeated moisture conditioning cycles. Mechanical properties (stiffness, fatigue, and resistance to permanent deformation) were determined in the Nottingham Asphalt Tester. Results indicated that compared with conventional mixtures, the CRM mixtures, regardless of compaction effort, are more susceptible to moisture with the degree of susceptibility primarily depending on the amount of rubber in the mixture, rather than the difference in compaction. This behavior is different from that of conventional mixtures in which, as expected, poorly compacted mixtures were found to be more susceptible to moisture than were well-compacted mixtures

Neutrophil C5a receptor and the outcome in a rat model of sepsis

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/154259/1/fsb2fj030009fje.pdfhttps://deepblue.lib.umich.edu/bitstream/2027.42/154259/2/fsb2fj030009fje-sup-0001.pd

Protonation-Induced Microphase Separation in Thin Films of a Polyelectrolyte-Hydrophilic Diblock Copolymer

Block copolymers composed of poly(oligo ethylene glycol methyl ether methacrylate) and poly(2-vinylpyridine) are disordered in the neat state but can be induced to order by protonation of the P2VP block, demonstrating a tunable and responsive method for triggering assembly in thin films. Comparison of protonation with the addition of salts shows that microphase separation is due to selective protonation of the P2VP block. Increasing acid incorporation and increasing 2-vinylpyridine content for P2VP minority copolymers both promote increasingly phase-separated morphologies, consistent with protonation increasing the effective strength of segregation between the two blocks. The self-assembled nanostructures formed after casting from acidic solutions may be tuned based on the amount and type of acid incorporation as well as the annealing treatment applied after casting, where both aqueous and polar organic solvents are shown to be effective. Therefore, POEGMA-b-P2VP is a novel ion-containing block copolymer whose morphologies can be facilely tuned during casting and processing by controlling its exposure to acid.United States. Dept. of Energy. Office of Basic Energy Sciences (Award DE-SC0001088)National Science Foundation (U.S.) (Award CMMI-1246740

The Multi-Object, Fiber-Fed Spectrographs for SDSS and the Baryon Oscillation Spectroscopic Survey

We present the design and performance of the multi-object fiber spectrographs for the Sloan Digital Sky Survey (SDSS) and their upgrade for the Baryon Oscillation Spectroscopic Survey (BOSS). Originally commissioned in Fall 1999 on the 2.5-m aperture Sloan Telescope at Apache Point Observatory, the spectrographs produced more than 1.5 million spectra for the SDSS and SDSS-II surveys, enabling a wide variety of Galactic and extra-galactic science including the first observation of baryon acoustic oscillations in 2005. The spectrographs were upgraded in 2009 and are currently in use for BOSS, the flagship survey of the third-generation SDSS-III project. BOSS will measure redshifts of 1.35 million massive galaxies to redshift 0.7 and Lyman-alpha absorption of 160,000 high redshift quasars over 10,000 square degrees of sky, making percent level measurements of the absolute cosmic distance scale of the Universe and placing tight constraints on the equation of state of dark energy. The twin multi-object fiber spectrographs utilize a simple optical layout with reflective collimators, gratings, all-refractive cameras, and state-of-the-art CCD detectors to produce hundreds of spectra simultaneously in two channels over a bandpass covering the near ultraviolet to the near infrared, with a resolving power R = \lambda/FWHM ~ 2000. Building on proven heritage, the spectrographs were upgraded for BOSS with volume-phase holographic gratings and modern CCD detectors, improving the peak throughput by nearly a factor of two, extending the bandpass to cover 360 < \lambda < 1000 nm, and increasing the number of fibers from 640 to 1000 per exposure. In this paper we describe the original SDSS spectrograph design and the upgrades implemented for BOSS, and document the predicted and measured performances.Comment: 43 pages, 42 figures, revised according to referee report and accepted by AJ. Provides background for the instrument responsible for SDSS and BOSS spectra. 4th in a series of survey technical papers released in Summer 2012, including arXiv:1207.7137 (DR9), arXiv:1207.7326 (Spectral Classification), and arXiv:1208.0022 (BOSS Overview

The Palomar Testbed Interferometer Calibrator Catalog

The Palomar Testbed Interferometer (PTI) archive of observations between 1998 and 2005 is examined for objects appropriate for calibration of optical long-baseline interferometer observations - stars that are predictably point-like and single. Approximately 1,400 nights of data on 1,800 objects were examined for this investigation. We compare those observations to an intensively studied object that is a suitable calibrator, HD217014, and statistically compare each candidate calibrator to that object by computing both a Mahalanobis distance and a Principal Component Analysis. Our hypothesis is that the frequency distribution of visibility data associated with calibrator stars differs from non-calibrator stars such as binary stars. Spectroscopic binaries resolved by PTI, objects known to be unsuitable for calibrator use, are similarly tested to establish detection limits of this approach. From this investigation, we find more than 350 observed stars suitable for use as calibrators (with an additional $\approx 140$ being rejected), corresponding to $\gtrsim 95$ sky coverage for PTI. This approach is noteworthy in that it rigorously establishes calibration sources through a traceable, empirical methodology, leveraging the predictions of spectral energy distribution modeling but also verifying it with the rich body of PTI's on-sky observations.Comment: 100 pages, 7 figures, 7 tables; to appear in the May 2008ApJS, v176n