A test of speculative arbitrage : is the cross-section of volatility invariant?

We derive testable implications of Kyle and Obizhaeva’s (2016) notion of “bet invariance” for the cross-section of trade-time volatilities. We jointly develop theoretical foundations of “no speculative arbitrage” whose implications incorporate those of bet invariance. Our proposed test circumvents the unobservable nature of “bets.” Utilizing a large sample of U.S. stocks post decimilization, we show that using realized volatilities rather than expected volatilities introduces noise that substantially biases the tests. This leads us to use estimates of normalized volatilities based on running 24 month windows. We find strong support for no speculative arbitrage at a moment in time, but not across time

The night and day of Amihud’s (2002) liquidity measure

Amihud’s (2002) stock (il)liquidity measure averages the daily ratio of absolute closeto-close return to dollar volume, including overnight returns, while trading volumes come from regular trading hours. Our modified measure addresses this mis-match by using open-to-close returns. It better explains cross-sections of returns, doubling estimated liquidity premia over 1964–2017. Using non-synchronous trading near close as an instrument reveals that overnight returns are primarily information-driven and orthogonal to price impacts of trading. Thus, including them in liquidity proxies magnifies measurement error, understating liquidity premia. Our modification especially matters when applications in finance and accounting render use of intraday data infeasible/undesirable

Stellar science from a blue wavelength range - A possible design for the blue arm of 4MOST

From stellar spectra, a variety of physical properties of stars can be derived. In particular, the chemical composition of stellar atmospheres can be inferred from absorption line analyses. These provide key information on large scales, such as the formation of our Galaxy, down to the small-scale nucleosynthesis processes that take place in stars and supernovae. By extending the observed wavelength range toward bluer wavelengths, we optimize such studies to also include critical absorption lines in metal-poor stars, and allow for studies of heavy elements (Z>38) whose formation processes remain poorly constrained. In this context, spectrographs optimized for observing blue wavelength ranges are essential, since many absorption lines at redder wavelengths are too weak to be detected in metal-poor stars. This means that some elements cannot be studied in the visual-redder regions, and important scientific tracers and science cases are lost. The present era of large public surveys will target millions of stars. Here we describe the requirements driving the design of the forthcoming survey instrument 4MOST, a multi-object spectrograph commissioned for the ESO VISTA 4m-telescope. We focus here on high-density, wide-area survey of stars and the science that can be achieved with high-resolution stellar spectroscopy. Scientific and technical requirements that governed the design are described along with a thorough line blending analysis. For the high-resolution spectrograph, we find that a sampling of >2.5 (pixels per resolving element), spectral resolution of 18000 or higher, and a wavelength range covering 393-436 nm, is the most well-balanced solution for the instrument. A spectrograph with these characteristics will enable accurate abundance analysis (+/-0.1 dex) in the blue and allow us to confront the outlined scientific questions. (abridged)Comment: 14 pages, 8 figures, accepted for publication in A

A High-resolution Scintillating Fiber Tracker With Silicon Photomultiplier Array Readout

We present prototype modules for a tracking detector consisting of multiple layers of 0.25 mm diameter scintillating fibers that are read out by linear arrays of silicon photomultipliers. The module production process is described and measurements of the key properties for both the fibers and the readout devices are shown. Five modules have been subjected to a 12 GeV/c proton/pion testbeam at CERN. A spatial resolution of 0.05 mm and light yields exceeding 20 detected photons per minimum ionizing particle have been achieved, at a tracking efficiency of more than 98.5%. Possible techniques for further improvement of the spatial resolution are discussed.Comment: 31 pages, 27 figures, pre-print version of an article published in Nuclear Instruments and Methods in Physics Research Section A, Vol. 62

The Gaia-ESO Survey: radial metallicity gradients and age-metallicity relation of stars in the Milky Way disk

We study the relationship between age, metallicity, and alpha-enhancement of FGK stars in the Galactic disk. The results are based upon the analysis of high-resolution UVES spectra from the Gaia-ESO large stellar survey. We explore the limitations of the observed dataset, i.e. the accuracy of stellar parameters and the selection effects that are caused by the photometric target preselection. We find that the colour and magnitude cuts in the survey suppress old metal-rich stars and young metal-poor stars. This suppression may be as high as 97% in some regions of the age-metallicity relationship. The dataset consists of 144 stars with a wide range of ages from 0.5 Gyr to 13.5 Gyr, Galactocentric distances from 6 kpc to 9.5 kpc, and vertical distances from the plane 0 < |Z| < 1.5 kpc. On this basis, we find that i) the observed age-metallicity relation is nearly flat in the range of ages between 0 Gyr and 8 Gyr; ii) at ages older than 9 Gyr, we see a decrease in [Fe/H] and a clear absence of metal-rich stars; this cannot be explained by the survey selection functions; iii) there is a significant scatter of [Fe/H] at any age; and iv) [Mg/Fe] increases with age, but the dispersion of [Mg/Fe] at ages > 9 Gyr is not as small as advocated by some other studies. In agreement with earlier work, we find that radial abundance gradients change as a function of vertical distance from the plane. The [Mg/Fe] gradient steepens and becomes negative. In addition, we show that the inner disk is not only more alpha-rich compared to the outer disk, but also older, as traced independently by the ages and Mg abundances of stars.Comment: accepted for publication in A&

The design, construction and performance of the MICE scintillating fibre trackers

This is the Pre-print version of the Article. The official published version can be accessed from the link below - Copyright @ 2011 ElsevierCharged-particle tracking in the international Muon Ionisation Cooling Experiment (MICE) will be performed using two solenoidal spectrometers, each instrumented with a tracking detector based on diameter scintillating fibres. The design and construction of the trackers is described along with the quality-assurance procedures, photon-detection system, readout electronics, reconstruction and simulation software and the data-acquisition system. Finally, the performance of the MICE tracker, determined using cosmic rays, is presented.This work was supported by the Science and Technology Facilities Council under grant numbers PP/E003214/1, PP/E000479/1, PP/E000509/1, PP/E000444/1, and through SLAs with STFC-supported laboratories. This work was also supportedby the Fermi National Accelerator Laboratory, which is operated by the Fermi Research Alliance, under contract No. DE-AC02-76CH03000 with the U.S. Department of Energy, and by the U.S. National Science Foundation under grants PHY-0301737,PHY-0521313, PHY-0758173 and PHY-0630052. The authors also acknowledge the support of the World Premier International Research Center Initiative (WPI Initiative), MEXT, Japan

Probing BFKL Dynamics in the Dijet Cross Section at Large Rapidity Intervals in ppbar Collisions at sqrt{s}=1800 and 630 GeV

Inclusive dijet production at large pseudorapidity intervals (delta_eta) between the two jets has been suggested as a regime for observing BFKL dynamics. We have measured the dijet cross section for large delta_eta in ppbar collisions at sqrt{s}=1800 and 630 GeV using the DO detector. The partonic cross section increases strongly with the size of delta_eta. The observed growth is even stronger than expected on the basis of BFKL resummation in the leading logarithmic approximation. The growth of the partonic cross section can be accommodated with an effective BFKL intercept of a_{BFKL}(20GeV)=1.65+/-0.07.Comment: Published in Physical Review Letter

Search for W~1Z~2\widetilde{W}_1\widetilde{Z}_2 Production via Trilepton Final States in ppˉp\bar{p} collisions at s=1.8\sqrt{s}=1.8 TeV

We have searched for associated production of the lightest chargino, $\widetilde{W}_1$, and next-to-lightest neutralino, $\widetilde{Z}_2$, of the Minimal Supersymmetric Standard Model in $p\bar{p}$ collisions at \mbox{$\sqrt{s}$ = 1.8 TeV} using the \D0 detector at the Fermilab Tevatron collider. Data corresponding to an integrated luminosity of 12.5$\pm 0.7$ \ipb were examined for events containing three isolated leptons. No evidence for $\widetilde{W}_1\widetilde{Z}_2$ pair production was found. Limits on $\sigma(\widetilde{W}_1\widetilde{Z}_2)$Br$(\widetilde{W}_1\to l\nu\widetilde{Z}_1)$Br$(\widetilde{Z}_2\to l\bar{l}\widetilde{Z}_1)$ are presented.Comment: 17 pages (13 + 1 page table + 3 pages figures). 3 PostScript figures will follow in a UUEncoded, gzip'd, tar file. Text in LaTex format. Submitted to Physical Review Letters. Replace comments - Had to resumbmit version with EPSF directive

Search for Top Squark Pair Production in the Dielectron Channel

This report describes the first search for top squark pair production in the channel stop_1 stopbar_1 -> b bbar chargino_1 chargino_1 -> ee+jets+MEt using 74.9 +- 8.9 pb^-1 of data collected using the D0 detector. A 95% confidence level upper limit on sigma*B is presented. The limit is above the theoretical expectation for sigma*B for this process, but does show the sensitivity of the current D0 data set to a particular topology for new physics.Comment: Five pages, including three figures, submitted to PRD Brief Report