Portfolio return autocorrelation and non-synchronous trading in UK equities

Although infrequent trading in equity stocks is more prevalent in the United Kingdom (and other non-United States countries), we find that it is proportionally more important in explaining the degree of serial correlation in stock returns in the US than in the UK, in contrast to much of the existing literature.We show that infrequent trading cannot explain more than a small proportion of the serial correlation observed in monthly UK stock returns and hence, other explanations for return predictability must be sought. Many studies have shown that stock market returns in the UK and other international markets are substantially and significantly serially correlated. The success of an investment strategy that is based on the apparent predictability of returns depends on whether the serial correlation is truly random and period specific or due to time varying risk premia or to market microstructure effects. A frequently noted explanation for this serial correlation is market thinness or, more precisely, the infrequency with which a substantial number of UK stocks are traded. Non-synchronous trading results in a measurement error in the observed data for returns on individual stocks, portfolios and market indices. This measurement error generates serial correlation in the observed returns. Here, we assess the extent to which the observed serial correlation in returns can be explained by equity non-trading behaviour. This will reveal whether there is any residual serial correlation left to be explained by alternative sources. We find that, whilst a proportion of the serial correlation in the returns of portfolios of low value stocks can be explained by non-trading, much of it still remains unexplained.

Approximate Fixed Point Theorems in Banach Spaces with Applications in Game Theory

In this paper some new approximate fixed point theorems for multifunctions in Banach spaces are presented and a method is developed indicating how to use approximate fixed point theorems in proving the existence of approximate Nash equilibria for non-cooperative games.Nash equilibrium;noncooperative games

Regionalisation of groundwater droughts using hydrograph classification

Groundwater drought is a spatially and temporally variable phenomenon. Here we describe the development and application of a method to regionalize and quantify groundwater drought based on categorisation of Standardised Groundwater level Index (SGI) time series. The categorisation scheme uses non-hierarchical k-means cluster analysis. This has been applied to 74 SGI time series for the period January 1983 to August 2012 for a case study from Lincolnshire, UK. Six SGI time series clusters have been identified. For each cluster a correlation can be established between the mean SGI and a mean Standardised Precipitation Index (SPI) associated with an optimal SPI accumulation period, qmax. Based on a comparison of SPI time series for each cluster and SPI estimated for the whole study area, it is inferred that the clusters are largely independent of heterogeneity in the diving meteorology across the study region and are primarily a function of catchment and hydrogeological factors. This inference is supported by the observation that the majority of sites in each cluster are associated with one of three principal aquifers in the study region. The groundwater drought characteristics of the three largest clusters (CL1, CL2 and CL4 that constitute ~80% of the sites) have been analyzed. There is a common linear relationship between drought magnitude and duration for each of three clusters. However, there are differences in the character of the groundwater drought events between the three clusters as a function of autocorrelation of the mean SGI time series for each cluster. For example, CL1 has a relatively short period of significant SGI autocorrelation compared with CL2 (15 and 23 months respectively); CL1 has more than twice the number of drought episodes (39 episodes) than CL2 (15 episodes), and the average and maximum duration of droughts in CL1 (4.6 and 27 months) are less than half those of CL2 (11.3 and 61 months). The drought characteristics of CL4 are intermediate between those of CL1 and CL2. Differences in characteristics between the three clusters are also seen in their response to three major multi-annual droughts that occurred during the analysis period. For example, sites in CL2 with the longest SGI autocorrelation experience the greatest magnitude droughts and are the slowest to recover from drought, with groundwater drought conditions typically persisting at least six months longer than at sites in the other two clusters. Membership of the clusters reflects differences in the autocorrelation of the SGI time series that in turn is shown to be related to unsaturated zone thickness at individual boreholes. This last observation emphasises the importance of catchment and aquifer characteristics as (non-trivial) controls on groundwater drought hydrographs

Regional analysis of groundwater droughts using hydrograph classification

Groundwater drought is a spatially and temporally variable phenomenon. Here we describe the development of a method to regionally analyse and quantify groundwater drought. The method uses a cluster analysis technique (non-hierarchical k-means) to classify standardised groundwater level hydrographs (the standardised groundwater level index, SGI) prior to analysis of their groundwater drought characteristics, and has been tested using 74 groundwater level time series from Lincolnshire, UK. Using the test data set, six clusters of hydrographs have been identified. For each cluster a correlation can be established between the mean SGI and a mean standardised precipitation index (SPI), where each cluster is associated with a different SPI accumulation period. Based on a comparison of SPI time series for each cluster and for the study area as a whole, it is inferred that the clusters are independent of the driving meteorology and are primarily a function of catchment and hydrogeological factors. This inference is supported by the observation that the majority of sites in each cluster are associated with one of the principal aquifers in the study region. The groundwater drought characteristics of the three largest clusters, which constitute ~ 80 % of the sites, have been analysed. There are differences in the distributions of drought duration, magnitude and intensity of groundwater drought events between the three clusters as a function of autocorrelation of the mean SGI time series for each cluster. In addition, there are differences between the clusters in their response to three major multi-annual droughts that occurred during the analysis period. For example, sites in the cluster with the longest SGI autocorrelation experience the greatest-magnitude droughts and are the slowest to recover from major droughts, with groundwater drought conditions typically persisting at least 6 months longer than at sites in the other clusters. Membership of the clusters is shown to be related to unsaturated zone thickness at individual boreholes. This last observation emphasises the importance of catchment and aquifer characteristics as (non-trivial) controls on groundwater drought hydrographs. The method of analysis is flexible and can be adapted to a wide range of hydrogeological settings while enabling a consistent approach to the quantification of regional differences in response of groundwater to meteorological drought

Approximate fixed point theorems in Banach spaces with applications in game theory

In this paper some new approximate fixed point theorems for multifunctions in Banach spaces are presented and a method is developed indicating how to use approximate fixed point theorems in proving the existence of approximate Nash equilibria for non-cooperative games

Narrow Line X-Ray Calibration Source for High Resolution Microcalorimeters

We are developing a narrow line calibration source for use with X-ray microcalorimeters. At energies below 300 electronvolts fluorescent lines are intrinsically broad, making calibration of high resolution detectors difficult. This source consists of a 405 nanometers (3 electronvolts) laser diode coupled to an optical fiber. The diode is pulsed to create approximately one hundred photons in a few microseconds. If the pulses are short compared to the rise time of the detector, they will be detected as single events with a total energy in the soft X-ray range. Poisson fluctuations in photon number per pulse create a comb of X-ray lines with 3 electronvolts spacing, so detectors with energy resolution better than 2 electronvolts are required to resolve the individual lines. Our currently unstabilized diode has a multimode width less than 1 nanometer, giving a 300 electronvolt event a Full width at half maximum (FWHM) less than 0.1 electronvolts. By varying the driving voltage, or pulse width, the source can produce a comb centered on a wide range of energies. The calibration events are produced at precisely known times. This allows continuous calibration of a flight mission without contaminating the observed spectrum and with minimal deadtime

Interleukin-7 deficiency in rheumatoid arthritis: consequences for therapy-induced lymphopenia

We previously demonstrated prolonged, profound CD4+ T-lymphopenia in rheumatoid arthritis (RA) patients following lymphocyte-depleting therapy. Poor reconstitution could result either from reduced de novo T-cell production through the thymus or from poor peripheral expansion of residual T-cells. Interleukin-7 (IL-7) is known to stimulate the thymus to produce new T-cells and to allow circulating mature T-cells to expand, thereby playing a critical role in T-cell homeostasis. In the present study we demonstrated reduced levels of circulating IL-7 in a cross-section of RA patients. IL-7 production by bone marrow stromal cell cultures was also compromised in RA. To investigate whether such an IL-7 deficiency could account for the prolonged lymphopenia observed in RA following therapeutic lymphodepletion, we compared RA patients and patients with solid cancers treated with high-dose chemotherapy and autologous progenitor cell rescue. Chemotherapy rendered all patients similarly lymphopenic, but this was sustained in RA patients at 12 months, as compared with the reconstitution that occurred in cancer patients by 3–4 months. Both cohorts produced naïve T-cells containing T-cell receptor excision circles. The main distinguishing feature between the groups was a failure to expand peripheral T-cells in RA, particularly memory cells during the first 3 months after treatment. Most importantly, there was no increase in serum IL-7 levels in RA, as compared with a fourfold rise in non-RA control individuals at the time of lymphopenia. Our data therefore suggest that RA patients are relatively IL-7 deficient and that this deficiency is likely to be an important contributing factor to poor early T-cell reconstitution in RA following therapeutic lymphodepletion. Furthermore, in RA patients with stable, well controlled disease, IL-7 levels were positively correlated with the T-cell receptor excision circle content of CD4+ T-cells, demonstrating a direct effect of IL-7 on thymic activity in this cohort

Mucociliary Transit Assessment Using Automatic Tracking in Phase Contrast X-Ray Images of Live Mouse Nasal Airways

Purpose The rate of mucociliary transit (MCT) is an indicator of the hydration and health of the airways for cystic fibrosis (CF). To determine the effectiveness of cystic fibrosis respiratory therapies, we have developed a novel method to noninvasively quantify the local rate and patterns of MCT behaviour in vivo by using synchrotron phase contrast X-ray imaging (PCXI) to visualise the MCT motion of micron-sized spherical particles deposited onto the airway surfaces of live mice. Methods In this study the baseline MCT behaviour was assessed in the nasal airways of CFTR-null and normal mice which were then treated with hypertonic saline (HS) or mannitol. To assess MCT, the particle motion was tracked throughout the synchrotron PCXI sequences using fully-automated custom image analysis software. Results There was no significant difference in the MCT rate between normal and CFTR-null mice, but the analysis of MCT particle tracking showed that HS may have a longer duration of action in CFTR-null mice than in the normal mice. Conclusion This study demonstrated that changes in MCT rate in CF and normal mouse nasal airways can be measured using PCXI and customised tracking software and used for assessing the effects of airway rehydrating pharmaceutical treatments.Hye-Won Jung, Ivan Lee, Sang, Heon Lee, Kaye Morgan, David Parsons, Martin Donnelle

Cosmological distance indicators

We review three distance measurement techniques beyond the local universe: (1) gravitational lens time delays, (2) baryon acoustic oscillation (BAO), and (3) HI intensity mapping. We describe the principles and theory behind each method, the ingredients needed for measuring such distances, the current observational results, and future prospects. Time delays from strongly lensed quasars currently provide constraints on $H_0$ with < 4% uncertainty, and with 1% within reach from ongoing surveys and efforts. Recent exciting discoveries of strongly lensed supernovae hold great promise for time-delay cosmography. BAO features have been detected in redshift surveys up to z <~ 0.8 with galaxies and z ~ 2 with Ly-$\alpha$ forest, providing precise distance measurements and $H_0$ with < 2% uncertainty in flat $\Lambda$CDM. Future BAO surveys will probe the distance scale with percent-level precision. HI intensity mapping has great potential to map BAO distances at z ~ 0.8 and beyond with precisions of a few percent. The next years ahead will be exciting as various cosmological probes reach 1% uncertainty in determining $H_0$, to assess the current tension in $H_0$ measurements that could indicate new physics.Comment: Review article accepted for publication in Space Science Reviews (Springer), 45 pages, 10 figures. Chapter of a special collection resulting from the May 2016 ISSI-BJ workshop on Astronomical Distance Determination in the Space Ag