International price discovery in the presence of microstructure noise

This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies, these estimators are distorted. We offer a modified approach that identifies unique information shares based on distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest that rather than stock specific factors, market characteristics determine information shares

Tell-tale tails: A data driven approach to estimate unique market information shares

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the main drawback of the widely used Hasbrouck (1995) methodology which merely delivers upper and lower bounds of a market's information share. When these bounds diverge, as is the case in many applications, informational leadership becomes blurred. We show how fat tails and tail dependence of price changes, which emerge as a result of differences in market design and liquidity, can be exploited to estimate unique information shares. The empirical application of the new methodology emphasizes the leading role of the credit derivatives market compared to the corporate bond market in pricing credit risk during the pre-crisis period. --price discovery,information share,fat tails,tail dependence,liquidity,credit risk

International price discovery in the presence of market microstructure effects

This paper addresses and resolves the problems caused by microstructure effects when measuring the relative importance of home and U.S. market in the price discovery process of internationally cross listed stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, this entails a potential bias of estimated information shares induced by microstructure effects. We propose a modified approach that relies on distributional assumptions and yields unique and unbiased information shares. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been severely underestimated to date. Moreover, we find that rather than stock specific factors, market design determines information shares. --international cross-listings,market microstructure effects,price discovery

Price discovery in the markets for credit risk

We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares dur- ing tranquil and crisis periods. The results show that price discovery takes place mostly on the CDS market. The importance of the CDS market even increases during the more volatile crisis periods. Accord- ing to a cross sectional analysis liquidity is the main determinant of a market's contribution to price discovery. During the crisis period, however, we also find a positive link between leverage and CDS market information shares. Overall the results indicate that price discovery measures and their determinants change during tranquil and crisis pe- riods, which emphasizes the importance of more exible frameworks, such as Markov switching models

Multifunctionality of a peri-urban landscape: exploring the diversity of residents’ perceptions and preferences

Developing successful policies for sustainable land use requires understanding the perspectives of different actors. This study explored how residents–an often under-represented and un-organized group–vary in their valuation of ecosystem services (ES) and perception of multifunctionality in a peri-urban setting. We conducted 127 interviews in the Kromme Rijn region of the Netherlands guided by an interactive, visual canvas tool (STREAMLINE). We addressed four research questions: (1) Is there variation among residents regarding preferences for ES? (2) Which competing interests do residents see in this landscape? (3) Where are hotspots of perceived multifunctionality? and (4) Can the level of perceived multifunctionality be explained by its location on the rural–urban gradient? Our findings demonstrate that while the majority of ES are important to residents of a peri-urban landscape, there is variation in relative preference towards a subset of ES (mainly provisioning services). A typology of preferences distinguishes three groups: (A)‘I want it all’–all ES (very) important; (B)‘I want most of it’–majority of ES important; and (C)‘I want some’–several ES not important at all. The majority of competing interests identified by respondents were between biodiversity and either a provisioning or cultural service. Universal hotspots of perceived multi-functionality overlapped with the area around residential areas, whereas natural (grassland) areas and water were considered multifunctional by only a small share of respondents. These perceptions and preferences do not necessarily align with current policy and management efforts, it is advised that residents’ perceptions and values are better accounted for in landscape governance

Two-gap superconductivity with line nodes in CsCa2_2Fe4_4As4_4F2_2

We report the results of a muon-spin rotation ($\mu$SR) experiment to determine the superconducting ground state of the iron-based superconductor CsCa$_2$Fe$_4$As$_4$F$_2$ with $T_{\rm c} \approx 28.3\,$K. This compound is related to the fully-gapped superconductor CaCsFe$_4$As$_4$, but here the Ca-containing spacer layer is replaced with one containing Ca$_2$F$_2$. The temperature evolution of the penetration depth strongly suggests the presence of line nodes and is best modelled by a system consisting of both an $s$- and a $d$-wave gap. We also find a potentially magnetic phase which appears below $\approx 10\,$K but does not appear to compete with the superconductivity. This compound contains the largest alkali atom in this family of superconductors and our results yield a value for the in-plane penetration depth of $\lambda_{ab}(T=0)=423(5)\,$nm.Comment: 6 pages, 2 figure

Robustness of superconductivity to competing magnetic phases in tetragonal FeS

We have determined the superconducting and magnetic properties of a hydrothermally synthesized powder sample of tetragonal FeS using muon spin rotation ({\mu}SR). The superconducting properties are entirely consistent with those of a recently published study, showing fully gapped behavior and giving a penetration depth of {\lambda}_{ab} = 204(3) nm. However, our zero-field {\mu}SR data are rather different and indicate the presence of a small, non-superconducting magnetic phase within the sample. These results highlight that sample-to-sample variations in magnetism can arise in hydrothermally prepared phases, but interestingly the superconducting behavior is remarkably insensitive to these variations.Comment: 5 pages, 2 figure

A Lagrangian perspective on stable water isotopes during the West African Monsoon

We present a Lagrangian framework for identifying mechanisms that control the isotopic composition of mid-tropospheric water vapor in the Sahel region during the West African Monsoon 2016. In this region mixing between contrasting air masses, strong convective activity, as well as surface and rain evaporation lead to high variability in the distribution of stable water isotopologues. Using backward trajectories based on high-resolution isotope-enabled model data, we obtain information not only about the source regions of Sahelian air masses, but also about the evolution of H$_{2}$O and its isotopologue HDO (expressed as δD) along the pathways of individual air parcels. We sort the full trajectory ensemble into groups with similar transport pathways and hydro-meteorological properties, such as precipitation and relative humidity, and investigate the evolution of the corresponding paired {H$_{2}$O, δD} distributions. The use of idealized process curves in the {H$_{2}$O, δD} phase space allows us to attribute isotopic changes to contributions from (1) air mass mixing, (2) Rayleigh condensation during convection, and (3) microphysical processes depleting the vapor beyond the Rayleigh prediction, i.e., partial rain evaporation in unsaturated and isotopic equilibration δin saturated conditions. Different combinations of these processes along the trajectory ensembles are found to determine the final isotopic composition in the Sahelian troposphere during the monsoon. The presented Lagrangian framework is a powerful tool for interpreting tropospheric water vapor distributions. In the future, it will be applied to satellite observations of H$_{2}$O, δD} over Africa and other regions in order to better quantify characteristics of the hydrological cycle

Anatomical Reconstruction and Functional Imaging Reveal an Ordered Array of Skylight Polarization Detectors in Drosophila

Many insects exploit skylight polarization as a compass cue for orientation and navigation. In the fruit fly, Drosophila melanogaster, photoreceptors R7 and R8 in the dorsal rim area (DRA) of the compound eye are specialized to detect the electric vector (e-vector) of linearly polarized light. These photoreceptors are arranged in stacked pairs with identical fields of view and spectral sensitivities, but mutually orthogonal microvillar orientations. As in larger flies, we found that the microvillar orientation of the distal photoreceptor R7 changes in a fan-like fashion along the DRA. This anatomical arrangement suggests that the DRA constitutes a detector for skylight polarization, in which different e-vectors maximally excite different positions in the array. To test our hypothesis, we measured responses to polarized light of varying e-vector angles in the terminals of R7/8 cells using genetically encoded calcium indicators. Our data confirm a progression of preferred e-vector angles from anterior to posterior in the DRA, and a strict orthogonality between the e-vector preferences of paired R7/8 cells. We observed decreased activity in photoreceptors in response to flashes of light polarized orthogonally to their preferred e-vector angle, suggesting reciprocal inhibition between photoreceptors in the same medullar column, which may serve to increase polarization contrast. Together, our results indicate that the polarization-vision system relies on a spatial map of preferred e-vector angles at the earliest stage of sensory processing