Discrete sine transform for multi-scale realized volatility measures

In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale regression approach can also be applied in the context of the Zhou [Nonlinear Modelling of High Frequency Financial Time Series, pp. 109–123, 1998] or DST orthogonalization of the observed tick-by-tick returns. Providing a natural orthonormal basis decomposition of observed returns, the DST permits the optimal disentanglement of the volatility signal of the underlying price process from the market microstructure noise. The robustness of the DST approach with respect to the more general dependent structure of the microstructure noise is also shown analytically. The combination of the multi-scale regression approach with DST gives a multi-scale DST realized volatility estimator similar in efficiency to the optimal Cramer–Rao bounds and robust against a wide class of noise contamination and model misspecification. Monte Carlo simulations based on realistic models for price dynamics and market microstructure effects show the superiority of DST estimators over alternative volatility proxies for a wide range of noise-to-signal ratios and different types of noise contamination. Empirical analysis based on six years of tick-by-tick data for the S&P 500 index future, FIB 30, and 30 year U.S. Treasury Bond future confirms the accuracy and robustness of DST estimators for different types of real data

Tracking down alpha-particles: The design, characterisation and testing of a shallow-angled alpha-particle irradiator

Human exposure to α-particles from radon and other radionuclides is associated with carcinogenesis, but if well controlled and targeted to cancer cells, α-particles may be used in radiotherapy. Thus, it is important to understand the biological effects of α-particles to predict cancer risk and optimise radiotherapy. To enable studies of α-particles in cells, we developed and characterised an α-particle automated irradiation rig that allows exposures at a shallow angle (70° to the normal) of cell monolayers in a 30 mm diameter dish to complement standard perpendicular irradiations. The measured incident energy of the α-particles was 3.3 ± 0.5 MeV (LET in water = 120 keV μm-1), with a maximum incident dose rate of 1.28 ± 0.02 Gy min-1, which for a 5 μm cell monolayer corresponds to a mean dose rate of 1.57 ± 0.02 Gy min-1 and a mean LET in water of 154 keV μm-1. The feasibility of resolving radiation-induced DNA double-strand breaks (DSB) foci along the track of α-particles was demonstrated using immunofluorescent labelling with γH2AX and 53BP1 in normal MRC-5 human lung cells

Radiation hardness qualification of PbWO4 scintillation crystals for the CMS Electromagnetic Calorimeter

This is the Pre-print version of the Article. The official published version can be accessed from the link below - Copyright @ 2010 IOPEnsuring the radiation hardness of PbWO4 crystals was one of the main priorities during the construction of the electromagnetic calorimeter of the CMS experiment at CERN. The production on an industrial scale of radiation hard crystals and their certification over a period of several years represented a difficult challenge both for CMS and for the crystal suppliers. The present article reviews the related scientific and technological problems encountered

Intercalibration of the barrel electromagnetic calorimeter of the CMS experiment at start-up

Calibration of the relative response of the individual channels of the barrel electromagnetic calorimeter of the CMS detector was accomplished, before installation, with cosmic ray muons and test beams. One fourth of the calorimeter was exposed to a beam of high energy electrons and the relative calibration of the channels, the intercalibration, was found to be reproducible to a precision of about 0.3%. Additionally, data were collected with cosmic rays for the entire ECAL barrel during the commissioning phase. By comparing the intercalibration constants obtained with the electron beam data with those from the cosmic ray data, it is demonstrated that the latter provide an intercalibration precision of 1.5% over most of the barrel ECAL. The best intercalibration precision is expected to come from the analysis of events collected in situ during the LHC operation. Using data collected with both electrons and pion beams, several aspects of the intercalibration procedures based on electrons or neutral pions were investigated