Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract

Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for testing the continuation of market anomalies because of the low cost of arbitrage. We find that TOTM effects for S&P 500 futures disappear after 1990, and this result carries over to the S&P 500 spot market. We conjecture that a change in the preference of individual investors over time from making direct to making indirect stock purchases through mutual funds is related to the disappearance of the TOTM effect for more recent return data. In this paper, we argue that turn-of-the-month return patterns for both spot and futures prices are dynamic and related to market microstructure and therefore subject to change without notice. Financial economists should be careful when making out-of-sample inferences from observed in-sample return regularities.Financial markets ; Futures

Normalization in econometrics

The issue of normalization arises whenever two different values for a vector of unknown parameters imply the identical economic model. A normalization does not just imply a rule for selecting which point, among equivalent ones, to call the maximum likelihood estimator (MLE). It also governs the topography of the set of points that go into a small-sample confidence interval associated with that MLE. A poor normalization can lead to multimodal distributions, disjoint confidence intervals, and very misleading characterizations of the true statistical uncertainty. This paper introduces the identification principle as a framework upon which a normalization should be imposed, according to which the boundaries of the allowable parameter space should correspond to loci along which the model is locally unidentified. The authors illustrate these issues with examples taken from mixture models, structural VARs, and cointegration.

Nanoscale Mechanical Drumming Visualized by 4D Electron Microscopy

With four-dimensional (4D) electron microscopy, we report in situ imaging of the mechanical drumming of a nanoscale material. The single crystal graphite film is found to exhibit global resonance motion that is fully reversible and follows the same evolution after each initiating stress pulse. At early times, the motion appears “chaotic” showing the different mechanical modes present over the micron scale. At longer time, the motion of the thin film collapses into a well-defined fundamental frequency of 1.08 MHz, a behavior reminiscent of mode locking; the mechanical motion damps out after ∼200 μs and the oscillation has a “cavity” quality factor of 150. The resonance time is determined by the stiffness of the material, and for the 75 nm thick and 40 μm square specimen used here we determined Young’s modulus to be 1.0 TPa for the in-plane stress−strain profile. Because of its real-time dimension, this 4D microscopy should have applications in the study of these and other types of materials structures

Searching for life with rovers: exploration methods and science results from the 2004 field campaign of the “Life in the Atacama” project and applications to future Mars Missions

LITA develops and field tests a long-range automated rover and a science payload to search for microbial life in the Atacama. The Atacama's evolution provides a unique training ground for designing and testing exploration strategies and life detection methods for the search for life on Mars

Recommendations for the Evaluation of Left Ventricular Diastolic Function by Echocardiography

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Effects of human immunodeficiency virus and metabolic complications on myocardial nutrient metabolism, blood flow, and oxygen consumption: a cross-sectional analysis

<p>Abstract</p> <p>Background</p> <p>In the general population, peripheral metabolic complications (MC) increase the risk for left ventricular dysfunction. Human immunodeficiency virus infection (HIV) and combination anti-retroviral therapy (cART) are associated with MC, left ventricular dysfunction, and a higher incidence of cardiovascular events than the general population. We examined whether myocardial nutrient metabolism and left ventricular dysfunction are related to one another and worse in HIV infected men treated with cART vs. HIV-negative men with or without MC.</p> <p>Methods</p> <p>Prospective, cross-sectional study of myocardial glucose and fatty acid metabolism and left ventricular function in HIV+ and HIV-negative men with and without MC. Myocardial glucose utilization (GLUT), and fatty acid oxidation and utilization rates were quantified using ¹¹C-glucose and ¹¹C-palmitate and myocardial positron emission tomography (PET) imaging in four groups of men: 23 HIV+ men with MC+ (HIV+/MC+, 42 ± 6 yrs), 15 HIV+ men without MC (HIV+/MC-, 41 ± 6 yrs), 9 HIV-negative men with MC (HIV-/MC+, 33 ± 5 yrs), and 22 HIV-negative men without MC (HIV-/MC-, 25 ± 6 yrs). Left ventricular function parameters were quantified using echocardiography.</p> <p>Results</p> <p>Myocardial glucose utilization was similar among groups, however when normalized to fasting plasma insulin concentration (GLUT/INS) was lower (p < 0.01) in men with metabolic complications (HIV+: 9.2 ± 6.2 vs. HIV-: 10.4 ± 8.1 nmol/g/min/μU/mL) than men without metabolic complications (HIV+: 45.0 ± 33.3 vs. HIV-: 60.3 ± 53.0 nmol/g/min/μU/mL). Lower GLUT/INS was associated with lower myocardial relaxation velocity during early diastole (r = 0.39, p < 0.001).</p> <p>Conclusion</p> <p>Men with metabolic complications, irrespective of HIV infection, had lower basal myocardial glucose utilization rates per unit insulin that were related to left ventricular diastolic impairments, indicating that well-controlled HIV infection is not an independent risk factor for blunted myocardial glucose utilization per unit of insulin.</p> <p>Trial Registration</p> <p>NIH Clinical Trials <a href="http://clinicaltrials.gov/ct2/show/NCT00656851">NCT00656851</a></p

System-Size Independence of Directed Flow Measured at the BNL Relativistic Heavy-Ion Collider

We measure directed flow (ν_1) for charged particles in Au+Au and Cu+Cu collisions at √S_(NN)=200 and 62.4 GeV, as a function of pseudorapidity (η), transverse momentum (p_t), and collision centrality, based on data from the STAR experiment. We find that the directed flow depends on the incident energy but, contrary to all available model implementations, not on the size of the colliding system at a given centrality. We extend the validity of the limiting fragmentation concept to ν_1 in different collision systems, and investigate possible explanations for the observed sign change in ν_1(p_t)

Pion interferometry in Au+Au collisions at sqrt[sNN]=200GeV

We present a systematic analysis of two-pion interferometry in Au+Au collisions at sqrt[sNN]=200GeV using the STAR detector at Relativistic Heavy Ion Collider. We extract the Hanbury-Brown and Twiss radii and study their multiplicity, transverse momentum, and azimuthal angle dependence. The Gaussianness of the correlation function is studied. Estimates of the geometrical and dynamical structure of the freeze-out source are extracted by fits with blast-wave parametrizations. The expansion of the source and its relation with the initial energy density distribution is studied