The effect of asymmetries on stock index return value-at-risk estimates

It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value-at-risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models

Representational predicaments for employees: Their impact on perceptions of supervisors\u27 individualized consideration and on employee job satisfaction

A representational predicament for a subordinate vis-à-vis his or her immediate superior involves perceptual incongruence with the superior about the subordinate\u27s work or work context, with unfavourable implications for the employee. An instrument to measure the incidence of two types of representational predicament, being neglected and negative slanting, was developed and then validated through an initial survey of 327 employees. A subsequent substantive survey with a fresh sample of 330 employees largely supported a conceptual model linking being neglected and negative slanting to perceptions of low individualized consideration by superiors and to low overall job satisfaction. The respondents in both surveys were all Hong Kong Chinese. Two case examples drawn from qualitative interviews illustrate and support the conceptual model. Based on the research findings, we recommend some practical exercises to use in training interventions with leaders and subordinates. © 2013 Copyright Taylor and Francis Group, LLC

Serum magnesium and calcium levels in relation to ischemic stroke : Mendelian randomization study

ObjectiveTo determine whether serum magnesium and calcium concentrations are causally associated with ischemic stroke or any of its subtypes using the mendelian randomization approach.MethodsAnalyses were conducted using summary statistics data for 13 single-nucleotide polymorphisms robustly associated with serum magnesium (n = 6) or serum calcium (n = 7) concentrations. The corresponding data for ischemic stroke were obtained from the MEGASTROKE consortium (34,217 cases and 404,630 noncases).ResultsIn standard mendelian randomization analysis, the odds ratios for each 0.1 mmol/L (about 1 SD) increase in genetically predicted serum magnesium concentrations were 0.78 (95% confidence interval [CI] 0.69-0.89; p = 1.3 7 10-4) for all ischemic stroke, 0.63 (95% CI 0.50-0.80; p = 1.6 7 10-4) for cardioembolic stroke, and 0.60 (95% CI 0.44-0.82; p = 0.001) for large artery stroke; there was no association with small vessel stroke (odds ratio 0.90, 95% CI 0.67-1.20; p = 0.46). Only the association with cardioembolic stroke was robust in sensitivity analyses. There was no association of genetically predicted serum calcium concentrations with all ischemic stroke (per 0.5 mg/dL [about 1 SD] increase in serum calcium: odds ratio 1.03, 95% CI 0.88-1.21) or with any subtype.ConclusionsThis study found that genetically higher serum magnesium concentrations are associated with a reduced risk of cardioembolic stroke but found no significant association of genetically higher serum calcium concentrations with any ischemic stroke subtype

Limits on the production of scalar leptoquarks from Z (0) decays at LEP

A search has been made for pairs and for single production of scalar leptoquarks of the first and second generations using a data sample of 392000 Z0 decays from the DELPHI detector at LEP 1. No signal was found and limits on the leptoquark mass, production cross section and branching ratio were set. A mass limit at 95% confidence level of 45.5 GeV/c2 was obtained for leptoquark pair production. The search for the production of a single leptoquark probed the mass region above this limit and its results exclude first and second generation leptoquarks D0 with masses below 65 GeV/c2 and 73 GeV/c2 respectively, at 95% confidence level, assuming that the D0lq Yukawa coupling alpha(lambda) is equal to the electromagnetic one. An upper limit is also given on the coupling alpha(lambda) as a function of the leptoquark mass m(D0)

Operation and performance of the ATLAS semiconductor tracker

The semiconductor tracker is a silicon microstrip detector forming part of the inner tracking system of the ATLAS experiment at the LHC. The operation and performance of the semiconductor tracker during the first years of LHC running are described. More than 99% of the detector modules were operational during this period, with an average intrinsic hit efficiency of (99.74±0.04)%. The evolution of the noise occupancy is discussed, and measurements of the Lorentz angle, δ-ray production and energy loss presented. The alignment of the detector is found to be stable at the few-micron level over long periods of time. Radiation damage measurements, which include the evolution of detector leakage currents, are found to be consistent with predictions and are used in the verification of radiation background simulations

Measurement of the cross section of high transverse momentum Z→bb̄ production in proton–proton collisions at √s = 8 TeV with the ATLAS detector

This Letter reports the observation of a high transverse momentum Z→bb̄ signal in proton–proton collisions at √s=8 TeV and the measurement of its production cross section. The data analysed were collected in 2012 with the ATLAS detector at the LHC and correspond to an integrated luminosity of 19.5 fb−¹. The Z→bb̄ decay is reconstructed from a pair of b -tagged jets, clustered with the anti-ktkt jet algorithm with R=0.4R=0.4, that have low angular separation and form a dijet with pT>200 GeVpT>200 GeV. The signal yield is extracted from a fit to the dijet invariant mass distribution, with the dominant, multi-jet background mass shape estimated by employing a fully data-driven technique that reduces the dependence of the analysis on simulation. The fiducial cross section is determined to be σZ→bb¯fid=2.02±0.20 (stat.) ±0.25 (syst.)±0.06 (lumi.) pb=2.02±0.33 pb, in good agreement with next-to-leading-order theoretical predictions

Measurement of the branching ratio Γ(Λb⁰ → ψ(2S)Λ0)/Γ(Λb⁰ → J/ψΛ0) with the ATLAS detector

An observation of the $\Lambda_b^0 \rightarrow \psi(2S) \Lambda^0$ decay and a comparison of its branching fraction with that of the $\Lambda_b^0 \rightarrow J/\psi \Lambda^0$ decay has been made with the ATLAS detector in proton--proton collisions at $\sqrt{s}=8\,$TeV at the LHC using an integrated luminosity of $20.6\,$fb$^{-1}$. The $J/\psi$ and $\psi(2S)$ mesons are reconstructed in their decays to a muon pair, while the $\Lambda^0\rightarrow p\pi^-$ decay is exploited for the $\Lambda^0$ baryon reconstruction. The $\Lambda_b^0$ baryons are reconstructed with transverse momentum $p_{\rm T}>10\,$GeV and pseudorapidity $|\eta|<2.1$. The measured branching ratio of the $\Lambda_b^0 \rightarrow \psi(2S) \Lambda^0$ and $\Lambda_b^0 \rightarrow J/\psi \Lambda^0$ decays is $\Gamma(\Lambda_b^0 \rightarrow \psi(2S)\Lambda^0)/\Gamma(\Lambda_b^0 \rightarrow J/\psi\Lambda^0) = 0.501\pm 0.033 ({\rm stat})\pm 0.019({\rm syst})$, lower than the expectation from the covariant quark model.Comment: 12 pages plus author list (28 pages total), 5 figures, 1 table, published on Physics Letters B 751 (2015) 63-80. All figures are available at https://atlas.web.cern.ch/Atlas/GROUPS/PHYSICS/PAPERS/BPHY-2013-08

Measurement of the View the tt production cross-section using eμ events with b-tagged jets in pp collisions at √s = 13 TeV with the ATLAS detector

This paper describes a measurement of the inclusive top quark pair production cross-section (σtt¯) with a data sample of 3.2 fb−1 of proton–proton collisions at a centre-of-mass energy of √s = 13 TeV, collected in 2015 by the ATLAS detector at the LHC. This measurement uses events with an opposite-charge electron–muon pair in the final state. Jets containing b-quarks are tagged using an algorithm based on track impact parameters and reconstructed secondary vertices. The numbers of events with exactly one and exactly two b-tagged jets are counted and used to determine simultaneously σtt¯ and the efficiency to reconstruct and b-tag a jet from a top quark decay, thereby minimising the associated systematic uncertainties. The cross-section is measured to be: σtt¯ = 818 ± 8 (stat) ± 27 (syst) ± 19 (lumi) ± 12 (beam) pb, where the four uncertainties arise from data statistics, experimental and theoretical systematic effects, the integrated luminosity and the LHC beam energy, giving a total relative uncertainty of 4.4%. The result is consistent with theoretical QCD calculations at next-to-next-to-leading order. A fiducial measurement corresponding to the experimental acceptance of the leptons is also presented