Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses

This paper examines trading imbalance as well as traditional trading variables in the volume-volatility relation in futures market. Unlike the majority of studies which utilize daily data, our empirical investigation compares an array of intraday frequencies (from five minutes to one hour) with daily interval. The primary analysis is conducted through a series of GARCH tests and the findings are then confirmed by a set of two-stage least square regressions. Since this paper adopts an information-based framework to explain the volume-volatility relation, unexpected trading variables are used to proxy for new market information. Results indicate that different trading imbalance metrics are useful and more significant than traditional trading variables in explaining the volatility relation for all daily and intraday intervals. Empirical findings support the existence of asymmetric information hypothesis at all intervals. On the other hand, mixture of distributions and difference in opinion hypotheses are validated in only some intraday intervals. Moreover, not only are the conclusions from daily observations not the same as the ones from intraday counterparts but also there are differences in the results between longer and shorter intraday intervals.Futures markets, price volatility, trading imbalance, number and volume of trades, asymmetric information, difference in opinion, mixture of distributions, GARCH and persistence effect.

Rough paths in idealized financial markets

This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths of Brownian motion. We do not make any stochastic assumptions and only assume that the price path is positive and right-continuous. The qualification "typical" means that there is a trading strategy (constructed explicitly in the proof) that risks only one monetary unit but brings infinite capital when the variation index of the realized price path exceeds 2. The paper also reviews some known results for continuous price paths and lists several open problems.Comment: 21 pages, this version adds (in Appendix C) a reference to new results in the foundations of game-theoretic probability based on Hardin and Taylor's work on hat puzzle

Delivering mesenchymal stem cells in collagen microsphere carriers to rabbit degenerative disc - Reduced risk of osteophyte formation.

Mesenchymal stem cells (MSCs) have the potential to treat early intervertebral disc (IVD) degeneration. However, during intradiscal injection, the vast majority of cells leaked out even in the presence of hydrogel carrier. Recent evidence suggests that annulus puncture is associated with cell leakage and contributes to osteophyte formation, an undesirable side effect. This suggests the significance of developing appropriate carriers for intradiscal delivery of MSCs. We previously developed a collagen microencapsulation platform, which entraps MSCs in a solid microsphere consisting of collagen nanofiber meshwork. These solid yet porous microspheres support MSC attachment, survival, proliferation, migration, differentiation, and matrix remodeling. Here we hypothesize that intradiscal injection of MSCs in collagen microspheres will outperform that of MSCs in saline in terms of better functional outcomes and reduced side effects. Specifically, we induced disc degeneration in rabbits and then intradiscally injected autologous MSCs, either packaged within collagen microspheres or directly suspended in saline, into different disc levels. Functional outcomes including hydration index and disc height were monitored regularly until 6 months. Upon sacrifice, the involved discs were harvested for histological, biochemical, and biomechanical evaluations. MSCs in collagen microspheres showed advantage over MSCs in saline in better maintaining the dynamic mechanical behavior but similar performance in hydration and disc height maintenance and matrix composition. More importantly, upon examination of gross appearance, radiograph, and histology of IVD, delivering MSCs in collagen microspheres significantly reduced the risk of osteophyte formation as compared to that in saline. This work demonstrates the significance of using cell carriers during intradiscal injection of MSCs in treating disc degeneration.published_or_final_versio

An Optimization of (

Addressing the problems of a health care center which produces tailor-made clothes for specific people, the paper proposes a single product continuous review model and establishes an optimal policy for the center based on (Q,r) control policy to minimize expected average cost on an order cycle. A generic mathematical model to compute cost on real-time inventory level is developed to generate optimal order quantity under stochastic stock variation. The customer demands are described as compound Poisson process. Comparisons on cost between optimization method and experience-based decision on Q are made through numerical studies conducted for the inventory system of the center

Cyclohexanedione as the negative electrode reaction for organic redox flow batteries

The electrochemical reduction and oxidation of cyclohexanedione is evaluated for the first time as the negative electrode reaction in an organic redox flow battery. Electrochemical characterization indicates that the redox reaction of cyclohexanedione is a proton-coupled electron transfer process with quasi-reversible behavior in acidic media (pH 2 M) and exhibit reduction process with up to 4 electrons transferred

PCA Beyond The Concept of Manifolds: Principal Trees, Metro Maps, and Elastic Cubic Complexes

Multidimensional data distributions can have complex topologies and variable local dimensions. To approximate complex data, we propose a new type of low-dimensional ``principal object'': a principal cubic complex. This complex is a generalization of linear and non-linear principal manifolds and includes them as a particular case. To construct such an object, we combine a method of topological grammars with the minimization of an elastic energy defined for its embedment into multidimensional data space. The whole complex is presented as a system of nodes and springs and as a product of one-dimensional continua (represented by graphs), and the grammars describe how these continua transform during the process of optimal complex construction. The simplest case of a topological grammar (``add a node'', ``bisect an edge'') is equivalent to the construction of ``principal trees'', an object useful in many practical applications. We demonstrate how it can be applied to the analysis of bacterial genomes and for visualization of cDNA microarray data using the ``metro map'' representation. The preprint is supplemented by animation: ``How the topological grammar constructs branching principal components (AnimatedBranchingPCA.gif)''.Comment: 19 pages, 8 figure

Team flow is a unique brain state associated with enhanced information integration and neural synchrony

Team flow occurs when a group of people reaches high task engagement while sharing a common goal as in sports teams and music bands. While team flow is a superior enjoyable experience to individuals experiencing flow or regular socialization, the neural basis for such superiority is still unclear. Here, we addressed this question utilizing a music rhythm task and electroencephalogram hyper-scanning. Experimental manipulations held the motor task constant while disrupted the hedonic musical correspondence to blocking flow or occluded the partner’s body and task feedback to block social interaction. The manipulations’ effectiveness was confirmed using psychometric ratings and an objective measure for the depth of flow experience through the inhibition of the auditory-evoked potential to a task-irrelevant stimulus. Spectral power analysis revealed higher beta/gamma power specific to team flow at the left temporal cortex. Causal interaction analysis revealed that the left temporal cortex receives information from areas encoding individual flow or socialization. The left temporal cortex was also significantly involved in integrated information at both the intra- and inter-brains levels. Moreover, team flow resulted in enhanced global inter-brain integrated information and neural synchrony. Thus, our report presents neural evidence that team flow results in a distinct brain state and suggests a neurocognitive mechanism by which the brain creates this unique experience

Team flow is a unique brain state associated with enhanced information integration and neural synchrony

Team flow occurs when a group of people reaches high task engagement while sharing a common goal as in sports teams and music bands. While team flow is a superior enjoyable experience to individuals experiencing flow or regular socialization, the neural basis for such superiority is still unclear. Here, we addressed this question utilizing a music rhythm task and electroencephalogram hyper-scanning. Experimental manipulations held the motor task constant while disrupted the hedonic musical correspondence to blocking flow or occluded the partner’s body and task feedback to block social interaction. The manipulations’ effectiveness was confirmed using psychometric ratings and an objective measure for the depth of flow experience through the inhibition of the auditory-evoked potential to a task-irrelevant stimulus. Spectral power analysis revealed higher beta/gamma power specific to team flow at the left temporal cortex. Causal interaction analysis revealed that the left temporal cortex receives information from areas encoding individual flow or socialization. The left temporal cortex was also significantly involved in integrated information at both the intra- and inter-brains levels. Moreover, team flow resulted in enhanced global inter-brain integrated information and neural synchrony. Thus, our report presents neural evidence that team flow results in a distinct brain state and suggests a neurocognitive mechanism by which the brain creates this unique experience

The Nylon Scintillator Containment Vessels for the Borexino Solar Neutrino Experiment

Borexino is a solar neutrino experiment designed to observe the 0.86 MeV Be-7 neutrinos emitted in the pp cycle of the sun. Neutrinos will be detected by their elastic scattering on electrons in 100 tons of liquid scintillator. The neutrino event rate in the scintillator is expected to be low (~0.35 events per day per ton), and the signals will be at energies below 1.5 MeV, where background from natural radioactivity is prominent. Scintillation light produced by the recoil electrons is observed by an array of 2240 photomultiplier tubes. Because of the intrinsic radioactive contaminants in these PMTs, the liquid scintillator is shielded from them by a thick barrier of buffer fluid. A spherical vessel made of thin nylon film contains the scintillator, separating it from the surrounding buffer. The buffer region itself is divided into two concentric shells by a second nylon vessel in order to prevent inward diffusion of radon atoms. The radioactive background requirements for Borexino are challenging to meet, especially for the scintillator and these nylon vessels. Besides meeting requirements for low radioactivity, the nylon vessels must also satisfy requirements for mechanical, optical, and chemical properties. The present paper describes the research and development, construction, and installation of the nylon vessels for the Borexino experiment