Quantitative law describing market dynamics before and after interest-rate change

We study the behavior of U.S. markets both before and after U.S. Federal Open Market Committee (FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes a financial shock, where the dynamics after the announcement is described by an analogue of the Omori earthquake law. We quantify the rate n(t) of aftershocks following an interest rate change at time T, and find power-law decay which scales as n(t-T) (t-T)^-$\Omega$, with $\Omega$ positive. Surprisingly, we find that the same law describes the rate n'(|t-T|) of "pre-shocks" before the interest rate change at time T. This is the first study to quantitatively relate the size of the market response to the news which caused the shock and to uncover the presence of quantifiable preshocks. We demonstrate that the news associated with interest rate change is responsible for causing both the anticipation before the announcement and the surprise after the announcement. We estimate the magnitude of financial news using the relative difference between the U. S. Treasury Bill and the Federal Funds Effective rate. Our results are consistent with the "sign effect," in which "bad news" has a larger impact than "good news." Furthermore, we observe significant volatility aftershocks, confirming a "market underreaction" that lasts at least 1 trading day.Comment: 16 pages (2-column), 9 Figures, 1 Table; Changes in final version made in response to referee comment

Stability analysis and break-up length calculations for steady planar liquid jets

This study uses spatio-temporal stability analysis to investigate the convective and absolute instability properties of a steady unconfined planar liquid jet. The approach uses a piecewise linear velocity profile with a finite-thickness shear layer at the edge of the jet. This study investigates how properties such as the thickness of the shear layer and the value of the fluid velocity at the interface within the shear layer affect the stability properties of the jet. It is found that the presence of a finite-thickness shear layer can lead to an absolute instability for a range of density ratios, not seen when a simpler plug flow velocity profile is considered. It is also found that the inclusion of surface tension has a stabilizing effect on the convective instability but a destabilizing effect on the absolute instability. The stability results are used to obtain estimates for the breakup length of a planar liquid jet as the jet velocity varies. It is found that reducing the shear layer thickness within the jet causes the breakup length to decrease, while increasing the fluid velocity at the fluid interface within the shear layer causes the breakup length to increase. Combining these two effects into a profile, which evolves realistically with velocity, gives results in which the breakup length increases for small velocities and decreases for larger velocities. This behaviour agrees qualitatively with existing experiments on the breakup length of axisymmetric jets

Crystal state conformation of three model monomer units for the β-bend ribbon structure

The molecular and crystal structures of three compounds, representing the repeating units of the β-bend ribbon (an approximate 310-helix, with an intramolecular hydrogen-bonding donor every two residues), have been determined by x-ray diffraction. They are Boc-Aib-Hib-NHBzl, Z-Aib-Hib-NHBzl, and Z-L-Hyp-Aib-NHMe (Aib, α-aminoisobutyric acid; Bzl, benzyl; Boc, t-butyloxycarbonyl; Hyp, hydroxyproline Hib, α-hydroxyisobutyric acid; Z, benzyloxycarbonyl). The two former compounds are folded in a -bend conformation: type III (III′) for Boc-Aib-Hib-NHBzl, while type II (II′) for the Z analogue. Conversely, the structure of Z-L-Hyp-Aib-NHMe, although not far from a type II β-bend, is partially open

House Prices and Consumption Inequality

I characterize how house price shocks affect consumption inequality using a life-cycle model of housing and nonhousing consumption with incomplete markets. I derive analytical expressions for the dynamics of inequalities and use these to analyze large house prices swings seen in the UK. I show that movements in consumption inequality were large, that they correspond with the theoretical predictions qualitatively, and that the model explains a large fraction of the movements quantitatively. I demonstrate the accuracy of this analysis using an extended model’s full non-linear solution. Finally, accounting for house price shocks alters estimates of labour-income risks using cross-sectional data

Conformations of peptides containing 1-aminocyclohexanecarboxylic acid (Acc<SUP>6</SUP>). Crystal structures of two model peptides

The crystal structures of two peptides containing 1-aminocyclohexanecarboxylic acid (Acc6) are described. Boc-Aib-Acc6-NHMe &#183; H2O adopts a &#946;-turn conformation in the solid state, stabilized by an intramolecular 4 &#8594; 1 hydrogen bond between the Boc CO and methylamide NH groups. The backbone conformational angles (&#966;Aib = - 50.3&#176;, &#968;Aib = - 45.8&#176;; &#966;Acc6 = - 68.4&#176;, &#968;Acc6 = - 15&#176;) lie in between the values expected for ideal Type I or III &#946;-turns. In Boc-Aib-Acc6-OMe, the Aib residue adopts a partially extended conformation (&#966;Aib = - 62.2&#176;, &#968;Aib = 143&#176;) while the Acc6 residue maintains a helical conformation (&#966;Acc6 = 48&#176;, &#968;Acc6= 42.6&#176;). 1H n.m.r. studies in CDCl3 and (CD3)2SO suggest that Boc-Aib-Acc6-NHMe maintains the &#946;-turn conformation in solution

Modeling house price dynamics with heterogeneous speculators

This paper investigates the impact of speculative behavior on house price dynamics. Speculative demand for housing is modeled using a heterogeneous agent approach, whereas ‘real’ demand and housing supply are represented in a standard way. Together, real and speculative forces determine excess demand in each period and house price adjustments. Three alternative models are proposed, capturing in different ways the interplay between fundamental trading rules and extrapolative trading rules, resulting in a 2D, a 3D, and a 4D nonlinear discretetime dynamical system, respectively. While the destabilizing effect of speculative behavior on the model’s steady state is proven in general, the three specific cases illustrate a variety of situations that can bring about endogenous dynamics, with lasting and significant price swings around the ‘fundamental ’ price, as we have seen in many real markets