On the correlation structure of microstructure noise in theory and practice

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods

On the Correlation Structure of Microstructure Noise in Theory and Practice

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed crosscorrelation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods.Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics

Corporate Spheres of Responsibility: Architects, Cowboys, and Eco-Warriors in Myanmar's Oil & Gas Industry

Myanmar's recently opened economy is flush with incoming investment and activity. World leaders advocate that all businesses entering the country must operate in a "socially responsible manner." However, the history of corporate social responsibility (CSR) in Myanmar is undefined, contradictory, and complex. Thus, to get a handle around what it means to be “responsible,” this paper investigates the collective way in which actors in the petroleum industry in Myanmar enact CSR from 1990 to 2014. The oil and gas (O&G) industry is the most lucrative, and arguably powerful, national sector. The practice and philosophy of CSR, which originated in this industry, is now proclaimed to be the starting point for this newly charted course of responsible business in Myanmar. Yet, activists and critics maintain that CSR is an insincere PR measure of profit maximization whereby companies can conduct business as normal. I argue that CSR in the Myanmar petroleum industry is influenced by more complex factors than profit maximization or image management. CSR initiatives are sculpted by (1) the geography of petroleum extraction, (2) corporate philosophies and company national origins, and (3) type of company operations. The petroleum industry's CSR activities to date, in terms of geographic span and development targets, all fit into a spectrum of assumed spheres of corporate responsibility that have been forged by the corporate ‘architects' and tempered by geographic and global forces

Spin-Lattice Relaxation in Metal-Organic Platinum(II) Complexes

The dynamics of spin-lattice relaxation (slr) of metal-organic Pt(II) compounds is studied. Often, such systems are characterized by pronounced zero-field splittings (zfs) of the lowest-lying triplets. Previous expressions for the Orbach slr process do not allow to treat such splitting patterns properly. We discuss the behavior of a modified Orbach expression for a model system and present results of a fit of the temperature dependence of the spin-lattice relaxation rate of Pt(2-thpy)$_2$ based on the modified expression.Comment: 9 pages, 3 figures (made from 4 .eps files), elsart.cls. Using dvips (dvipsk 5.58f), it may be necessary to manually edit the generated file letter.ps to change in the first line from PS-Adobe-2.0 to PS-Adobe-3.0. Chemical Physics Letters, in pres

Inflammatory bowel disease-specific autoantibodies in HLA-B27-associated spondyloarthropathies: Increased prevalence of ASCA and pANCA

Aims: An association between inflammatory bowel disease (IBD) and spondyloarthropathies (SpA) has repeatedly been reported. The aim of the present study was to investigate whether serologic markers of IBD, e. g. antibodies against Saccharomyces cerevisiae (ASCA), antibodies against exocrine pancreas (PAB) and perinuclear antineutrophil cytoplasmic antibodies (pANCA) are present in HLA-B27-associated SpA. Methods: 87 patients with HLA-B27-positive SpA and 145 controls were tested for ASCA, PAB and pANCA employing ELISA or indirect immunofluorescence, respectively. Antibody-positive patients were interviewed regarding IBD-related symptoms using a standardized questionnaire. Results/Conclusion: When compared to the controls, ASCA IgA but not ASCA IgG levels were significantly increased in patients with SpA, in particular in ankylosing spondylitis (AS) and undifferentiated SpA (uSpA). pANCA were found in increased frequency in patients with SpA whereas PAB were not detected. The existence of autoantibodies was not associated with gastrointestinal symptoms but sustains the presence of a pathophysiological link between bowel inflammation and SpA. Copyright (C) 2004 S. Karger AG, Basel

The Steady State Chlorophyll a Fluorescence Exhibits in Vivo an Optimum as a Function of Light Intensity which Reflects the Physiological State of the Plant

Modulated (690 and 730 nm), as well as direct chlorophyll (Chl) a fluorescence and changes in the concentration of the oxidized P700 were measured under steady state conditions in leaves of higher plants adapted to different light intensities. All the leaf samples exhibit an optimum curve of steady state fluorescence yield (Fs) versus the light intensity but its position with respect to light intensity varies considerably from one species to another or from one sample to other even in the same plant or within the same leaf sample. However, the optimum level of Fs was always at a moderate light intensity. By using the modulated fluorescence technique, the system with all closed (Flm) or open reaction center (Flo) were measured in steady state conditions. Each experimentally measured fluorescence yield was separated into a fluorescence emission of open (Fopen = Flo,(1—Vs)) and closed (Fclosed = (Flm . Vs)) reaction center (RC) of photosystem II where Vs=(Fs - Flo)/(Flm - Flo) is the function of fraction of closed reaction centers. With increasing light intensity, the fraction of open RC decreased while the fraction of closed RC increased. Maximum quantum efficiency (ΦPo) and actual quantum efficiency (ΦP) decreased by increasing light intensity. An optimum level of Fs was observed, when the fraction of closed reaction centers Vs of each sample was about 0.2 showing a common quenching mechanism which determines the fluorescence properties under steady state condition. This explains the apparent phenomenological contradiction that the fluorescence yield under steady state conditions can increase or decrease upon an increase of actinic ligh

A mapping approach to synchronization in the "Zajfman trap": stability conditions and the synchronization mechanism

We present a two particle model to explain the mechanism that stabilizes a bunch of positively charged ions in an "ion trap resonator" [Pedersen etal, Phys. Rev. Lett. 87 (2001) 055001]. The model decomposes the motion of the two ions into two mappings for the free motion in different parts of the trap and one for a compressing momentum kick. The ions' interaction is modelled by a time delay, which then changes the balance between adjacent momentum kicks. Through these mappings we identify the microscopic process that is responsible for synchronization and give the conditions for that regime.Comment: 12 pages, 9 figures; submitted to Phys Rev

Estimation of Density-Dependent Mortality of Juvenile Bivalves in the Wadden Sea

We investigated density-dependent mortality within the early months of life of the bivalves Macoma balthica (Baltic tellin) and Cerastoderma edule (common cockle) in the Wadden Sea. Mortality is thought to be density-dependent in juvenile bivalves, because there is no proportional relationship between the size of the reproductive adult stocks and the numbers of recruits for both species. It is not known however, when exactly density dependence in the pre-recruitment phase occurs and how prevalent it is. The magnitude of recruitment determines year class strength in bivalves. Thus, understanding pre-recruit mortality will improve the understanding of population dynamics. We analyzed count data from three years of temporal sampling during the first months after bivalve settlement at ten transects in the Sylt-Rømø-Bay in the northern German Wadden Sea. Analyses of density dependence are sensitive to bias through measurement error. Measurement error was estimated by bootstrapping, and residual deviances were adjusted by adding process error. With simulations the effect of these two types of error on the estimate of the density-dependent mortality coefficient was investigated. In three out of eight time intervals density dependence was detected for M. balthica, and in zero out of six time intervals for C. edule. Biological or environmental stochastic processes dominated over density dependence at the investigated scale