Empirical Study of Intraday Option Price Changes using extended Count Regression Models

In this paper we model absolute price changes of an option on the XETRA DAX index based on quote-by-quote data from the EUREX exchange. In contrast to other authors, we focus on a parameter-driven model for this purpose and use a Poisson Generalized Linear Model (GLM) with a latent AR(1) process in the mean, which accounts for autocorrelation and overdispersion in the data. Parameter estimation is carried out by Markov Chain Monte Carlo methods using the WinBUGS software. In a Bayesian context, we prove the superiority of this modelling approach compared to an ordinary Poisson-GLM and to a complex Poisson-GLM with heterogeneous variance structure (but without taking into account any autocorrelations) by using the deviance information criterion (DIC) as proposed by Spiegelhalter et al. (2002). We include a broad range of explanatory variables into our regression modelling for which we also consider interaction effects: While, according to our modelling results, the price development of the underlying, the intrinsic value of the option at the time of the trade, the number of new quotations between two price changes, the time between two price changes and the Bid-Ask spread have significant effects on the size of the price changes, this is not the case for the remaining time to maturity of the option. By giving possible interpretations of our modelling results we also provide an empirical contribution to the understanding of the microstructure of option markets

Macroporous silicon membranes as electron and x-ray transmissive windows

Macroporous silicon membranes are fabricated whose pores are terminated with 60 nm thin silicon dioxide shells. The transmission of electrons with energies of 5 kV-25 kV through these membranes was investigated reaching a maximum of 22% for 25 kV. Furthermore, the transmission of electromagnetic radiation ranging from the far-infrared to the x-ray region was determined. The results suggest the application of the membrane as window material for electron optics and energy dispersive x-ray detectors

Triple resonant four-wavemixing boosts the yield of continuous coherent VUV generation

Continuous-wave coherent radiation in the vacuum ultraviolet (VUV)wavelength region at 121 nm will be essential for future laser-cooling of trapped antihydrogen [1]. Cold antihydrogen will enable both tests of the fundamental symmetry between matter and antimatter at unprecedented experimental precision [2] and also experiments in antimatter gravity [3]. Another fascinating application of narrowband continuous laser radiation in the VUV is quantum information processing using single trapped ions in Rydberg-states [4, 5]. Here we describe highly efficient continuous four-wave mixing in the VUV by using three different fundamental wavelengths with a sophisticated choice of detunings to resonances of the nonlinear medium. Up to 6 microwatts of vacuum ultraviolet radiation at 121 nm can be generated which corresponds to an increase of three orders of magnitude in efficiency.Comment: 11 pages, 3 figure

The role of ν\nu-induced reactions on lead and iron in neutrino detectors

We have calculated cross sections and branching ratios for neutrino induced reactions on ^{208}Pb and ^{56}Fe for various supernova and accelerator-relevant neutrino spectra. This was motivated by the facts that lead and iron will be used on one hand as target materials in future neutrino detectors, on the other hand have been and are still used as shielding materials in accelerator-based experiments. In particular we study the inclusive ^{56}$Fe(\nu_e,e^-)$^{56}Co and ^{208}$Pb(\nu_e,e^-)$^{208}Bi cross sections and calculate the neutron energy spectra following the decay of the daughter nuclei. These reactions give a potential background signal in the KARMEN and LSND experiment and are discussed as a detection scheme for supernova neutrinos in the proposed OMNIS and LAND detectors. We also study the neutron-emission following the neutrino-induced neutral-current excitation of ^{56}Fe and ^{208}Pb.Comment: 23 pages (including 7 figures

Statistical Analysis of Absolute Transaction Price Changes of Options

In market microstructure theory the effect of time between consecutive transactions and trade volume on transaction price changes of exchange traded shares and options has been considered (e.g. Diamond and Verecchia (1987) and Easley and O'Hara (1987)). The goal of this paper is to investigate if these theoretical considerations can be supported by a statistical analysis of data on transaction price changes of options on shares of the Bayer AG in 1993-94. For this appropriate regression models with non linear and interaction effects are developed to study the influence of trade volume, time between trades, intrinsic value of an option at trading time and price development of the underlying share on the absolute transation price change of an option. Since price changes are measured in ticks yield count data structure, we use in a first analysis ordinary Poisson generalized linear models (GLM) ignoring the time series structure of the data. In a second analysis these Poisson GLM's are extended to allow for an additional AR(1) latent process in the mean which accounts for the time series structure. Parameter estimation in this extended model is not straight forward and we use Markov Chain Monte Carlo (MCMC) methods. The extended Poisson GLM is compared to the ordinary Poisson GLM in a Bayesian setting using the deviance information criterion (DIC) developed by Spiegelhalter et al. (2002). With regard to market microstructure theory the results of the analysis support the expected effect of time between trades on absolute option price changes but not for trade volume in this data set

Neutrino and antineutrino cross sections in 12^{12}C

We extend the formalism of weak interaction processes, obtaining new expressions for the transition rates, which greatly facilitate numerical calculations, both for neutrino-nucleus reactions and muon capture. We have done a thorough study of exclusive (ground state) properties of $^{12}$B and $^{12}$N within the projected quasiparticle random phase approximation (PQRPA). Good agreement with experimental data is achieved in this way. The inclusive neutrino/antineutrino ($\nu/\tilde{\nu}$) reactions $^{12}$C($\nu,e^-)^{12}$N and $^{12}$C($\tilde{\nu},e^+)^{12}$B are calculated within both the PQRPA, and the relativistic QRPA (RQRPA). It is found that the magnitudes of the resulting cross-sections: i) are close to the sum-rule limit at low energy, but significantly smaller than this limit at high energies both for $\nu$ and $\tilde{\nu}$, ii) they steadily increase when the size of the configuration space is augmented, and particulary for $\nu/\tilde{\nu}$ energies $> 200$ MeV, and iii) converge for sufficiently large configuration space and final state spin.Comment: Proceedings of the International Nuclear Physics Conference 2010, Vancouver, BC - Canada 4-9 Jul 201

Continuous Lyman-alpha generation by four-wave mixing in mercury for laser-cooling of antihydrogen

Cooling antihydrogen atoms is important for future experiments both to test the fundamental CPT symmetry by high-resolution laser spectroscopy and also to measure the gravitational acceleration of antimatter. Laser-cooling of antihydrogen can be done on the strong 1S-2P transition at the wavelength of Lyman-alpha (121.6nm). A continuous-wave laser at the Lyman-alpha wavelength based on solid-state fundamental lasers is described. By using a two-photon and a near one photon resonance a scan across the whole phasematching curve of the four-wave mixing process is possible. Furthermore the influence of the beam profile of one fundamental beam on the four-wave mixing process is studied.Comment: 4 pages, 4 figure

From evidence-based research to practice-based evidence : disseminating a web-based computer-tailored workplace sitting intervention through a health promotion organisation

Prolonged sitting has been linked to adverse health outcomes; therefore, we developed and examined a web-based, computer-tailored workplace sitting intervention. As we had previously shown good effectiveness, the next stage was to conduct a dissemination study. This study reports on the dissemination efforts of a health promotion organisation, associated costs, reach achieved, and attributes of the website users. The organisation systematically registered all the time and resources invested to promote the intervention. Website usage statistics (reach) and descriptive statistics (website users' attributes) were also assessed. Online strategies (promotion on their homepage; sending e-mails, newsletters, Twitter, Facebook and LinkedIn posts to professional partners) were the main dissemination methods. The total time investment was 25.6 h, which cost approximately 845 EUR in salaries. After sixteen months, 1599 adults had visited the website and 1500 (93.8%) completed the survey to receive personalized sitting advice. This sample was 38.3 +/- 11.0 years, mainly female (76.9%), college/university educated (89.0%), highly sedentary (88.5% sat >8 h/day) and intending to change (93.0%) their sitting. Given the small time and money investment, these outcomes are positive and indicate the potential for wide-scale dissemination. However, more efforts are needed to reach men, non-college/university educated employees, and those not intending behavioural change